swingHigh Rmean-reversionmediumBest TF: 1mWalk-forward untestedTV: Not yet ported to Pine

FCPO vs WTI Crude Spread (FCPO1 − CL1)

Cross-asset Z-score mean reversion — fade stretched dislocations between palm oil and crude, which are linked through biodiesel arbitrage.

Profitability metrics

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.

Philosophy

“NOTE: using SYNTHETIC leg2 data — results not reflective of real spread. Update when CL/ZL/FCPO2 data extracted. Thesis: biodiesel demand ties palm oil to crude — when the spread stretches, substitution economics pull it back. Wider bands than calendar because cointegration is weaker.”

Walk-forward status: Walk-forward untested

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 CL leg — not in walk-forward grid. Badge pending real CL1 data.

Best backtest config (1-month sweep)

SQN
-2.40
Profit Factor
0.48
Win rate
31.3%
Trades
64
Net profit
MYR -7,245
Max drawdown
MYR +7,245
Dataset
legacy_1m (FCPO1) + STUB CL
Timeframe
1m

Strategy properties

Style
swing
Profile
High R
Trades / day
2.91
Avg bars held
—
TV compile status
Not yet ported to Pine
Walk-forward
Walk-forward untested
Low WR but big winners. Long losing streaks are normal — the rare runaway pays for them.

Parameters

lookback
100
entryZ
2.5
exitZ
0
stopZ
3.5
allowLong
true
allowShort
true

Applies to

  • Market: FCPO (Crude Palm Oil Futures, Bursa Malaysia)
  • Timeframe: 1m
  • Style: Swing (hours to days)
  • Complexity: 2-3 rules, some discretion

When it works

Did not show a stable edge in the sample — treat with caution.

Pine Script coming soon

Related strategies (mean-reversion)

VWAP Reversion
SQN 2.29 · PF 6.25
RSI-2 Mean Reversion
SQN 1.68 · PF 2.03
Bollinger Squeeze Breakout
SQN 0.52 · PF 1.70
Full raw backtest result
{
  "dataset": "legacy_1m (FCPO1) + STUB CL",
  "tf": "1m",
  "params": {
    "lookback": 100,
    "entryZ": 2.5,
    "exitZ": 0,
    "stopZ": 3.5,
    "allowLong": true,
    "allowShort": true
  },
  "trades": 64,
  "winRate": 31.25,
  "netProfitMYR": -7245,
  "profitFactor": 0.48,
  "sqn": -2.4,
  "maxDrawdownMYR": 7245
}