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NEW Stock Index Portfolio 17 - Download Reports

Ive been gather data starting during the day session on Friday and through yesterday and today for this post with subscription updates to follow. The complete Tradestation Performance Summaries for these individual strategies can be downloaded below.


By my measure, we have seen the longest and most extended news cycle in the modern trading era. It has been extremely challenging in recent months to determine the best way to trade this market environment. There are a set of strategies that have done well and stand out during this trading cycle.


The recent market environment has given us a chance to determine the strategies that continue to do well and hold up in this extended news driven cycle. We are releasing the Stock Index Portfolio 17 to replace Stock Index Portfolio 11. Subscribers will receive the updates by tomorrow.


The three main highlights are:

1.) It holds up during the News Cycle trading (no range filter required)

2.) It tests well back to 2017

3.) Existing strategies with existing parameters (no new strategies or optimization)


Highlight One: New Cycle Trading and Range Filter

During the massive ranges and highest levels of CVIX and Zig Zag Counts, we started using the Pre-Market Range Filter to stop trading on days when we anticipated higher levels of churn. The VIX does not always measure churn, the amount of back and forth during the day, so we use Zig Zag and CVIX, which are some of our proprietary indicators.


Using these filters has briefly only "masked" a new downtrend in some of the strategies. There are a group of strategies that don't trade as well in this newest and most recent market environment. The new portfolio includes a combination of strategies that do trade well in this market environment regardless of Churn and VIX.


Highlight Two: Tests Well Back to 2017

Many of our tests in the current portfolio setups look at data since 1/1/2020. The set of strategies that that also hold up without churn, volatility, and pre-market range filters also test well back to 2017.


Highlight Three: Using Existing Strategies

This portfolio adjustments uses a different combination of existing strategies. We are not adding new trading systems and we are not adjusting or optimizing the parameters of existing trading systems.


This Portfolio recovered from a near worse case drawdown on April 17th and made consecutive equity peaks into the end of April. It is currently in a drawdown entry alert of 19.7K out of 32.3K per E-mini, which makes it a good transition point. The Portfolio Calculator has been updated and the Web App (online portfolio calculator will also be updated in the next 1-2 days).


Backtested to 1/1/2017 with $25 round turn slippage and commission.


Hypothetical Performance Summary of Combined End of Day Equity Curves

Using $25 Round Turn Slippage and Commission




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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.

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