top of page
Search

Balancing the Nasdaq 100 Futures Trading Systems Portfolio


The tools we have now allow us to build more balanced portfolios.


Today, as we prepare for March 2026, we focus on the difference between the Nasdaq strategies in the Diversified Portfolio 57 and the TEST Portfolio 27 that we are "watching and tracking". The Diversified Portfolio 57 trades 21 Nasdaq strategies. We are strictly focused on Nasdaq trade analysis in this article. The stock indexes have endured a more extended streak of being both range bound on the daily charts and on an intra-day basis with very limited range expansion after the first 1-2 hours of trade. This extended streak is longer than normal and has challenged the current balance of 21 Nasdaq strategies in the Diversified 57 Portfolio with 66.7% Trend, 23.8% CounterTrend, and 9.52% Mean Reversion.



Mean Reversion strategies have the tendency to capture the current market environment. Adding a balance of Mean Reversion strategies allows us to balance the portfolio. The TEST Portfolio 27 has a balance of 48.1% Trend, 18.5% CounterTrend, 33.3% Mean Reversion.


If we add mean reversion strategies now, will the portfolio underperform if the market cycles back to strong trends? While past performance is not indicative of future results, we can test the portfolio on data going back to 2017 and cover the largest trend, counter trend, and mean reversion time periods. This window also includes low VIX, high VIX, bull markets, bear markets, rate hikes, rate cuts, and inflation.


We go over the analysis in the video using Portfolio Metrics tool as well as the Multicharts Portfolio Calculator. Additionally, we look at the Monte Carlo Analysis.




Comments

EXCLUSIVE MARKET AND STRATEGY UPDATES

 Capstone Trading Systems © 2025. All Rights Reserved.

​

U.S. Government Required Disclaimer - Commodity Futures Trading Commission. Futures and options trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This website is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this website. The past performance of any trading system or methodology is not necessarily indicative of future results.

​

CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY, SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

bottom of page