This report examines two trading strategies on crude oil futures contracts by employing four time series models. Using daily prices of crude oil futures contracts in recent two years, we found that those models with better predictive ability will generate more profitable opportunities with lower risk from the result of simulated trading process. However, the two trading strategies associated with different models perform completely different. The empirical reasoning for the performance of different model-strategies is discussed, as well as applying the appropriate models and strategies in different markets. This work helps the research and development in statistical trading strategies / text