Creating an Automatic Aggressive Futures Trading Portfolio
I recommend viewing trading from a professional perspective. Years ago, it was very trendy to set stops in ticks, and that, except in very exceptional cases, doesn’t make sense in the long run. This caused winning systems from that time to turn into losers; silly things like this could have been avoided, but unfortunately, this and many other things are only discovered through trial and error. It’s an example of thousands of things to consider.
How to create the best algorithmic porfolio
Trading is tough, and having more information is necessary to do things more correctly. I’m not saying that my way is better, but I know what doesn’t work. If you’re going to do it, it’s always good to have some additional information about the systems. Sometimes you may wonder things that, if answered, will help you understand the system better. Knowing the systems and when they operate more will help you build a better portfolio or encourage you to take the leap in a better way. Trying two systems with a required capital of 22,000 euros each doesn’t make sense.
We will start from the following hypothesis, which will be the subject of our test: The hypothesis suggests that it does not matter whether it has been verified for a long time or not. We will proceed to create a decorrelated portfolio, comprised of systems with low required capital and a minimum profit factor of 1..20, verified independently of how long it has been in place.
Selected Systems
La Piscine E-mini S&P future
In this case, the profit factor is 5.29, more than enough for our purposes. Here’s a secret: this system does not operate every day of the week, which will help us to decorrelate the portfolio.
Only Long intra Nasdaq
A profit factor of 1.22 works for me, and here’s why: it’s profitable and only opens long positions, which will help to decorrelate my portfolio.
Crude Oil Hs
This system has an advantage in that it only takes short positions in Crude Oil. If there’s a drop in oil prices due to whatever reason, this system could potentially capture it the best. It helps to decorrelate my portfolio.
Notorious E-mini S&P future
Notorious has a profit factor of 1.58 and does not operate every day. It is selective in its trading hours, which helps to decorrelate the portfolio.
GasBot
The natural gas market is currently at very low levels, yet it has been able to maintain a 2.20 profit factor. If it breaks resistances, it should be able to capture an uptrend. It helps to decorrelate the portfolio.
Sp midcap Zp:
It only operates long in the midcap, which helps to decorrelate my portfolio.
Seven
This heating oil system maintains the percentage of winning sessions. Despite its infrequent operation, it only requires $3,300. As a distinct asset that operates both upward and downward, it decorrelates the portfolio.
Russel mini pW
It operates the Mini Russell with a profit factor of 1.3, and trades both long and short positions, which helps to decorrelate my portfolio
Mini Dow Qw
Similar to the previous one, with a profit factor of 1.34, it decorrelates the portfolio by being a distinct asset. It trades both long and short positions.
Bayona Bund
For the Bayona Bund, this system would involve taking 2 units. It has a profit factor of 1.36 based on verified results, which decorrelates the portfolio.
Giancarlo
With a profit factor of 1.72 in the Mini DAX, it decorrelates the portfolio. For this one, 2 units will be used.
CR7
It operates infrequently, is selective, and has a profit factor of 2.42. It trades both long and short positions. This diversifies our portfolio
Bayona Mini Nasdaq 2
The Bayona Mini Nasdaq 2 has been audited since 2017. We are interested in a system with a solid historical performance, even though it has been somewhat inactive for a while.
Crude Oil Ml
This system has an advantage in that it only takes short positions in Crude Oil. If there’s a drop in oil prices due to whatever reason, this system could potentially capture it the best. It helps to decorrelate my portfolio.
Torn Curtain
It operates infrequently with a profit factor of 1.58, which helps to decorrelate the portfolio
Mini SP ES JK
I’m adding this system to the portfolio simply because of how well it has performed.
Shutter Island
It has a profit factor of 1.81 and operates infrequently, which prevents surprises in the portfolio.
Total portfolio systems
- Mini SP ES Jk: 1 unit * $5,500 = $5,500
- La piscine: 1 unit * $3,200 = $3,200
- Only Long Intra Nasdaq: 1 unit * $4,800 = $4,800
- Crude Oil Hs: 1 unit * $1,800 = $1,800
- Notorious: 1 unit * $4,300 = $4,300
- GasBot: 1 unit * $3,300 = $3,300
- SP MIDCAP Zp: 1 unit * $5,700 = $5,700
- Giancarlo: 2 units * $1,900 = $3,800
- Bayona bund: 2 units * $1,800 = $3,600
- Bayona mini nasdaq: 1 unit * $6,100 = $6,100
- CR7: 1 unit * $5,300 = $5,300
- Torn Curtain: 1 unit * $3,200 = $3,200
- Crude Oil ML: 1 unit * $1,200 = $1,200
- Shutter Island: 1 unit * $3,300 = $3,300
The total capital required to trade all these strategies would be $54,800.
Portfolio since 2020
Equity Curve 2020-2024
Drawdown over time 2020-2024
Dispersion of data points 2020-2024
To build this portfolio, we have only considered data since 2020. The rest of the data doesn’t add value to the portfolio, as it wouldn’t be reliable. We should take into account data from 2024 onwards to verify its effectiveness. Considering the required capital of all systems and the maximum drawdown, using it with less than $80,000 would guarantee losses. It’s important to note that this is an investment advice and merely a hypothesis of how I would create a portfolio in a life or death situation.
We could still improve it further.
Adding Nigran crude and Joseja 2 mini Nasdaq Swing Systems
Porfolio Charts 2001-2024
Porfolio Charts 2020-2024
The essence of this post is simple: it resides in the premise that through the creation and management of portfolios on a large scale, significant profitability in the market can be achieved and is infinitely more robust than any other type of financial asset. The underlying strategy suggests that by increasing the number of systems and ensuring their stability in behavior, there is potential to surpass the robo-advisor market because people do not want a 50% drawdown along the way. The ideal dream of any trader is not to earn huge returns but to have the most robust growth with the least possible volatility. The adaptability and scalability of this investment model can be a gem in offering a promising alternative to traditional automated investment solutions, and who knows, this might just be the next unicorn in investments.
The best portfolio is…
One that incorporates all possible scenarios, which is why the more money a person has, the more likely they are to achieve profitability. And honestly, I tell you, for small investors, it’s better to invest in funds that do the same rather than trading with small amounts. This is the realm of professional and institutional investors.
Disclaimer
Past returns do not guarantee future returns. This is not investment advice.
