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Maybe I'm using it wrong, but I'v never got a 'captain trading' route to come anywhere near the profitability of a simple 120/140 city hopping manual route. Captain training doesn't allow the convoy the option to buy cheap goods in cities without warehouses.
I use a few captain trading routes to transport specific warehouse goods from city to city. I also use a few that sell certain goods in certain cities..
I then use a few normal routes to gather materials from each city (load/unload) I own.
I have a few routes that do that but backwards or at random directions (skip a city, etc).
On a few of them I'll toggle load goods/warehouse stuff and sell goods/warehouse stuff.
Then I have a few that load goods from warehouses and sell in cities without warehouses (so I'll hit the entire rome area, or whatever I don't have warehouses in) bouncing back to a warehouse in the process if I pass one. These do well too.
In all, it seems like if you load/unload/sell you'll make a profit just about anywhere.
My warehouses are set to 115% buy and 160% sell. I locked all goods that specific cities need to produce things at 200/100.
I also would do Lending from the bank when I remembered.
I was pulling in quite a bit of money. If I let it go on speed 5 for a few min I'd come back with 1-2 mil.
Buying for 115% is the same as having it turned off, you need to hit 120% for buying to grab any goods, but oh boy do it then grab goods like crazy, problem is creating a large enough fleet to move the goods out for sale faster than the steward buys.
So as an example
Pottery sells really well in Constantinople because Pottery is needed for Silk
Wood sells really well in Tunis because wood is needed for Pottery
Wood is available in Thressalonika
So a single ship profitable trade route will consist of these three cities buying and selling all goods equally.
If you want to make even more money and have even more ships add in more cities with more needs.
To continue this we're using Wood as a base. What else needs wood? Well Glass and Tools. Now link in all cities that produce Tools and Glass. what else does it take to make Tools and Glass? Metal of course so now you need to add in a city producing metal.
Overwhelmingly when you are mass producing your own items the goal will be to create those end tier items like Glass and Silks. In my current game I'm sitting on 6 100K trade routes with all of the warehouses being profitable as well.
I did not have such problems when i play Patrician 3 & 4 or Port Royal
https://www.youtube.com/watch?v=LWk827FjyNw