30k Portfolio

4 system Portfolio for $30k Account

Traded Instruments@ES - E-mini S&P 500 Futures
@EMD - E-mini S&P MidCap 400 Futures
@CL - Crude Oil Futures
@YM - E-mini Dow Futures
Systems in PortfolioAchilles (CL)
Pegas (ES)
Orion (EMD)
Octagon (YM)
Type of Systems in PortfolioIntraday, breakout
Max. Risk per Trade$ 1100
Max. Drawdown$ 8870
Worst Case Monte Carlo DD
(*Confidence level 99%)
$ 12421

The presented final equity as well as all presented results below:

  • come from walk-forward tests of systems included in this portfolio
  • contain no in-sample* data and are comprised solely of out-of-sample** intervals
  • incorporate SL, a transaction cost of $5 and slippage 2 ticks RT
  • simulate trading with one contract without the application of position sizing

The systems contained in a particular portfolio are always chosen in a way that results in the best possible diversification in the given portfolio. Each portfolio is comprised of systems trading different markets, built on different approaches and conditions, and, of course, in a way that it correlates as little as possible with other systems.

* in-sample interval – a sample of data, on which the optimisation of the system takes place
** out-of-sample interval – unseen data; data that was not used in the development and optimisation of the system

Interested ?

If our approach to development and our systems caught your attention, we will be pleased if you contact us. We are open to various forms of and possibilities for cooperation.