Cross-asset Z-score mean reversion between palm oil and soybean oil — the textbook vegoil-complex pair trade.
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: palm and soybean oil are direct substitutes in food and biodiesel, so their spread mean-reverts via demand substitution. Strongest statistical pair of the three.”
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 ZL leg — not in walk-forward grid. Badge pending real ZL1 data.
Did not show a stable edge in the sample — treat with caution.
{
"dataset": "legacy_1m (FCPO1) + STUB ZL",
"tf": "1m",
"params": {
"lookback": 100,
"entryZ": 2.5,
"exitZ": 0,
"stopZ": 3.5,
"allowLong": true,
"allowShort": true
},
"trades": 139,
"winRate": 15.83,
"netProfitMYR": -8920,
"profitFactor": 0.24,
"sqn": -5.07,
"maxDrawdownMYR": 8920
}