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One Million Dollar MNS Portfolio



Using existing trading systems and the concept we have discussed on a regular basis that markets have the tendency to trend at night and chop during the day, I built the One Million Dollar MNS Portfolio. We are releasing the first revision of this strategy for tracking on March 25, 2024. This year it is up 93K, with most of the gains from our old swing trade strategies that trade during the 24 hour session, such as VSD Breakout and 60M Breakout.


The hypothetical results based on selecting the overnight swing strategies, session strategies, and day trade strategies show an average annual profit of 277K and a maximum drawdown of 57K. (27.7% annual against a 5.7% drawdown). Starting after a losing streak or drawdown will also reduce initial risk against maximum hypothetical drawdown creating an additional risk buffer for market changes and technical errors.


There are a total of 91 strategies in this portfolio with 90%+ of the day trade strategies qualifying as mean reversion or countertrend strategies.


The biggest highlight is how we have removed most of the day trade, trend and momentum based strategies and how well this setup works historically with counter trend day trade and overnight and session strategies.


The last few years, our portfolios have been highly focused on day trade trend-momentum strategies. That approach worked well during with the larger ranges and higher VIX from 2020 - 2023. The One Million Dollar MNS portfolio highlights how overnight strategies (mostly trend based) paired with countertrend day trade strategies have been working well in 2024, but also work well in our back test to 2008 using existing strategies. This is a pattern that is highly visible in the charts.

What does this mean for the Stock Index Portfolio and the 250K Portfolio? Additional research to scale back on the One Million Dollar MNS Portfolio will be done for the Stock Index Portfolio and 250K Portfolio.


As I release this first revision, I already have many notes for the next revision to test. My Top Five include:


1.) VSD Breakout

VSD Breakout takes too many trades at the beginning of the session. Making sure the range of the session reaches a certain threshold before it takes its first trade, shows better average trade profits and lower drawdowns in the initial backtest. I need to add this new version to the portfolio calculator to confirm it would improve the portfolio. The new rule is a simple rule to limit and discern a trend from the noise.


2.) New VWAP Strategies I have some new VWAP strategies that I have been tracking that I want to add to the Portfolio Calculator that may be included in the next revision of this portfolio if it meets our criteria.


3.) Variable framework for VIX Regimes

Backtest the concept of maintaining this framework of employing trendy overnight strategies and countertrend day trade strategies (since the history is so positive) during low VIX, while also adding the momentum day trade trend strategies (that worked so well for us the last few years) when VIX is high. We need a stable and obvious filter to determine when to add trend momentum day trade strategies when VIX is high and sideline them when VIX is low. It is possible we will not find a stable way to do this and maintain the same framework of overnight strategies and mostly countertrend day trade strategies.


What happens if the market chops at night and trends during the day? We have a few trend based strategies in the One Million MNS Portfolio. The backtest includes all market environments since 2008 which include a trendy day sessions and choppy overnight sessions. Many of the mean reversion and counter trend day trade strategies also do well capturing a move back into the trend for trendier markets.


The financial crisis was the big event in 2008. While the E-mini S&P has been electronic since 1997, many of the commodity markets started to trade mostly electronic instead of in the pit between 2006-2008. Simply going from pit to electronic is a regime change with different patterns in the market with mostly electronic markets versus mostly pit traded markets.


4.) SR CounterTrend Expansions SR CounterTrend is my long term strategy that uses the same parameters on a range of markets and has many stable variables that I have found. This alone is an SR CounterTrend MAX Portfolio setup that can be merged with the One Million MNS since there are many SR CounterTrends that currently exist in the One Million MNS.


5.) Machine learning and AI Applying machine learning concepts to see how well it could improve our portfolio selection as well as individual trading systems. We have already started this with our Python scripts using the data from the Portfolio Calculator in Excel. It will be interesting to see the release of NVIDIAs new Blackwell computer and how it could help trading systems research.



Definitions

Overnight strategies can hold positions overnight.


Session strategies can start at the beginning of the session at 6pm EST but will close trades by the end of the session at 5pm EST.


Day trade strategies typically trade during the day session using day trade margins.


MNS - Money Never Sleeps, inspired by Oliver Stone's movie, Wall Street, with Michael Douglas (Gordon Gecko) and Charlie Sheen (Bud Fox).


This portfolio trades a long list of strategies (91) around the clock during the week. It is not for everyone and probably not for most individual traders. Stay tuned for the updates and 250K Portfolio and Stock Index Portfolio revisions.


This scene in particular, "Money Never Sleeps Pal, I made 800,000 last night in Hong Kong Gold"





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Live Trading System Signals on April 16, 2024

The One Million MNS was down -0.6% today with the 250K Portfolio down -$1,250 and still up on the month and quarter by 0.5% after two up days and three down days. The Stock Index Portfolio was up +$57

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