Out of sample results are always a common question. In our portfolios, we may change the combination of strategies traded. Many of the strategies have been around for 10 years or more while we may also implement new research. Trading system portfolio updates are not a process of optimization where we run the optimization tool to find the best parameters. The question still remains, "How well have the signals worked, since it was released", regardless of the method used to determine the portfolio of trading systems. We discuss the out of sample results for the Stock Index Portfolio.
The Stock Index Portfolio 18 is a trading systems portfolio that includes 18 trading systems; 10 for the E-mini Nasdaq, 5 for the E-mini S&P, 2 for Gold and 1 for Silver. The latest version was released on June 25, 2024. We can see the results for the out of sample trading system signals for this setup for the last three months below. These are hypothetical signals for a portfolio of trading system signals released on June 25, 2024:
July 2024 = $9,675.00 August 2024 = $20,915.00
September 2024 = $18,302.50 (through September 27, 2024)
This is based on trading One Emini per strategy and using $25 round turn slippage and commission.
The previous version was released on March 27, 2024. It's out of sample performance for Q2 2024 was:
April 2024 = $24,717.50
May 2024 = -$835.00 June = $25,467.50
At the end of June 2024, it was updated to its most recent version by changing two strategies:
1.) Remove NQ V-Reversal 2024 COMB 24 (Long Only) to trade the NQ V-Reversal 2024 COMB 24 (Long-Short)
2.) Remove NQ VSD 2024 and adding GC Gap Continuation
All other strategies and parameters remained the same. The optimization tool was not used.
Portfolio adjustments can be made based on new research and a determination of strategies that match the current market environment as well as scenarios where some strategies are removed if their performance has started to degrade. Changes in volatility can be another reason portfolios may be adjusted. The latest report for the Stock Index Portfolio 18 is below.
Stock Index Portfolio 18 January 2008 - September 27, 2024 Hypothetical Performance Summary *Includes $25 round turn slippage and commission
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