BCalc™ Commodities Strategies 

BCalc™ Commodities Strategies unearth value from alternative markets.

The following table summarizes the parameters and performance of Tradagon’s BCalc Soybean Strategy and BCalc Wheat Strategy.

Figures 1-2 illustrate the 15-year backtest results of Tradagon’s BCalc Commodities Strategies for Chicago Soybeans and Chicago Wheat.  The Soybean chart includes two BCalc use cases - one with no leverage - the Base case - and the other with 50% leverage (12% risk control stops could be added to either use case without impacting performance).  The Wheat chart includes four use cases - Base, w/Exit Bracket (10% stop & 20% profit target), w/50% Leverage, and w/both Exit Bracket & Leverage.  The strategies make alternating long and short trades, and the use cases without exit brackets are “always-in”.

 

The lower portions of the two charts show the data used for the backtests - the daily prices for the unadjusted Soybean and Wheat futures continuous contracts (electronic trading data only).  The Soybean contract includes all months except Aug & Sep, the Wheat contract includes all months, and rollovers for both occur two days before First Notice Day.

Fig. 1

Fig. 2

Figures 3-4 show the Maximum Favorable & Adverse Price Excursions (or upside & downside), in percent, for the trades taken by the Soybean and Wheat Base case strategies during the 15 year backtest period.  Note that for each trade, the entry price used for analysis is the actual price at which the trade would have been entered, not a back-adjusted price.  Then, on a walk-forward basis, the excursion values for that trade are adjusted for all rollover price gaps encountered during the trade.  This results in excursion values that are accurate in both absolute and percentage terms.  The ratio of the average downside to the average upside is noted on the charts and the summary table as the Risk/Reward Ratio.

Fig. 3

Fig. 4

About the backtests:  All backtests are run on daily data.  Each backtest starts out in mid-2002 with 1M in initial capital, which is fully invested/re-invested in each subsequent trade in that symbol, using the specified leverage.  The actual entry prices used in the analysis - rather than back-adjusted prices - also enable accurate position sizing.  The tests run through Aug 2017 and any open position at the end of a run is marked as closed and included in the trade count.  (Lot size 1 contract.  Commission & slippage not included.)

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