Z-score mean reversion on the front-month vs back-month FCPO spread. Trade the term-structure: long the spread when it falls 2σ below its rolling mean, short when it rises 2σ above.
This strategy has not been validated against TradingView multi-year history yet — RM/day, trades/day, and monthly projection are only computed from authoritative TV stats. The 1-month sweep below is in-sample only and should not be used as a profit forecast.
“NOTE: using SYNTHETIC leg2 data — results not reflective of real spread. Update when CL/ZL/FCPO2 data extracted. Thesis: the front/back-month spread is pinned by cost-of-carry, so 2σ excursions are usually noise that reverts by expiry.”
The featured config below was not directly covered by the walk-forward grids (different dataset or timeframe, or the in-sample SQN was too low to promote to OOS evaluation). Treat the in-sample numbers with appropriate caution — no unseen-window validation yet.
This strategy: Spread strategy uses synthetic leg-2 data and is not in the walk-forward grid. Badge will be re-evaluated once real FCPO2 series is wired in.
Did not show a stable edge in the sample — treat with caution.
{
"dataset": "legacy_1m (FCPO1) + STUB FCPO2",
"tf": "1m",
"params": {
"lookback": 100,
"entryZ": 2.5,
"exitZ": 0,
"stopZ": 3,
"allowLong": true,
"allowShort": true
},
"trades": 101,
"winRate": 34.65,
"netProfitMYR": -5330,
"profitFactor": 0.49,
"sqn": -2.41,
"maxDrawdownMYR": 5615
}