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Portfolio Calculator Update - Advanced Market Segmentation and Master Filters for FOMC Week

Capstone Trading
Nov 4, 2024

In this video we discuss the latest portfolio calculator update. Additional features have been added to expand the segmentation of different filters and markets, as well as the addition of a portfolio characterization matrix. The data has been updated through Friday 11/01/2024.


This is one of the first things you'll see: we've added a 'Do Not Trade on FOMC Week' filter. We've compressed the performance statistics into this section and moved some of the filters up. The new addition is 'Do Not Trade on FOMC Week.' We typically don't trade during the FOMC day but we are adding a filter for the entire week. For our example portfolio, we have 'Do Not Trade on FOMC' filter by default. What happens if you do trade on FOMC? Your biggest drawdown increases. However, if you don't trade during FOMC week, we can see the results.


We are calling this week in advance as a non-trading week, primarily because of the election, but it’s also an FOMC week. What would happen if you didn't trade during FOMC week? So, this is a good filter to have in addition to not trading on FOMC day.


Let's look at what else we have added. We have expanded the segmentation of our filters so that there are trend and counter trend segments for each of the three categories: Day Trade, Session Trade, and Overnight Trade. Now, you can selectively choose, for example, 'Day Trade Trend Strategies for the E-mini S&P.' You can filter out all S&P strategies by selecting that, and it will display how many of each are traded in this particular portfolio in the Portfolio Characterization matrix.


For example, Silver is all counter-trend, with twelve day trade counter-trend strategies and one overnight counter-trend strategy. The Porfolio Characterization matrix visualizes the type of strategies in the portfolio and potential areas of development.


We can boost the Sharpe ratio and lower the overall maximum drawdown but reduce the return over drawdown if we go with a longer term bias of using counter trend E-mini S&P and trend E-mini Nasdaq for day trade strategies.


This is an update I have wanted to make for several months and was finally able to implement this. There are some additional features and analytics that I would like to add as well. Let us know your suggestions.



 
 
 

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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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