1. Last weekend's strategy situation
It has been almost a month since my first post. Last time I proposed a very simple trading method: after the CME futures close on weekends, shorting when the price rises and going long when it falls, settling when it reverts.
First, let's look at this weekend's market, as shown in the picture; the closing time is 6:00 on January 11 (UTC+8), with a closing price of 94582.
My initial plan was to place orders around the range of extreme oscillation (93200-95850), but I found that although the market was quite volatile from January 1-5, the weekend still maintained a consistent narrow range. So, I adjusted the operating range to (94000-95200) and opened a neutral grid trade.
The grid strategy achieved a paper profit of 17% over two days, with actual operating time from January 11, 18:00 to January 12, 22:00, grid range of 94000-95200, number of grids 4, using 60% of the operating capital. Due to the uniqueness of Binance contract grids, the actual maximum leverage is account capital X8, profit = 60% * 17.65 = 10.59%.
The remaining 40% of the funds were used for some pending orders, totaling 4 orders, as shown by the yellow arrows in the picture.
The return is 25.23% of the operating capital of 40%, so 40% * 25.23% = 10.092%.
Total weekend return = 10.59% + 10.092% = 20.682%.
The weekend closing price is 94582, the highest price is 95444, the lowest price is 93661, with a fluctuation range of ±0.98%.
Price reversion occurred on January 13 at 8:03 after the CME opened, filling the gap, which belongs to reversion within half a day after opening.
The maximum position loss is 6% of the operating capital.
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2. Review of last month's strategy
Next, let's review the weekend market over the past four weeks.
December 14 - December 15:
Closing price is 101207, lowest price is 100559, highest price is 108366, price reversion time is December 19, 3:45 (UTC+8), which belongs to reversion after Monday and within Wednesday (UTC).
The maximum fluctuation was 7.07%, with a maximum leverage of 10X, and the maximum position loss = 55.05%.
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December 21 - December 22:
Closing price is 96602, lowest price is 96375, highest price is 99485, price reversion time is December 22, 11:00 (UTC+8), which belongs to reversion within half a day after opening.
The maximum fluctuation was 2.9%, with a maximum leverage of 10X, and the maximum position loss of the strategy = 14%.
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December 28 - December 29:
Closing price is 94423, lowest price is 91512, highest price is 95346, price reversion time is December 31, 02:15 (UTC+8), which belongs to reversion within one day of opening.
The maximum fluctuation was 3.08%, and there was no CME weekend trading.
This is the first part of the rebound after dropping to 99800. The overall market trading atmosphere is very poor, and everyone is waiting for the second drop, with hourly volatility becoming very low.
After several attempts to open positions, I quickly closed them, with almost no trading; I spent the entire weekend playing POE2.
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January 4 - January 6:
Closing price is 98327, lowest price is 97544, highest price is 98852, price reversion time is January 6, 9:15 (UTC+8), which belongs to reversion within half a day after opening.
The maximum fluctuation was 0.77%, with a maximum leverage of 10X, and the strategy's maximum position loss is <5%.
The market situation from the weekend two weeks ago. This week, in addition to manual trading, contract grid trading has been added, with an overall profit of about 10%, including 6.5% from the grid part and 4% from the manual part.
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3. Summary
Over the past five weeks, there were a total of 3 instances of reversion within half a day after opening, 1 instance within one day after opening, and 1 instance within three days after opening, with a total strategy return of 60-70%, and an annualized return rate of about 700%, including an average of 2 instances of over 100% losses, with an expected final return rate of 500%.
If you pay attention to international news, you can avoid at least one instance of a 100% loss, but it will also reduce regular profits, which is approximately equivalent to having followed international news for a year without gain. Therefore, my operations will only be based on price changes.
The CME gap oscillation strategy is a price reversion strategy characterized by a high win rate and low returns; it cannot roll over like trend strategies. To cope with a 100% loss situation of 7%, all profits are either withdrawn or executed using other strategies.
However, it has less pressure for monitoring, making it suitable for part-time traders or for full-time traders to execute small positions during the weekend breaks.
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Others:
Those interested in running this strategy can pay attention; starting Saturday, January 18, the strategy will be synchronized in the square.
