There are three main updates in this version of the Portfolio Calculator in addition to the data that has been updated through June 21, 2024.
1.) Stock Index Portfolio 18
2.) New Trading Systems Added
3.) Margin Calculation Update
The Stock Index Portfolio 18 that was released at the end of March has had a nice out of sample performance for the last three months. We make some minor adjustments going forward by adding shorts to V-Reversal COMB 24, removing VSD NQ, and adding Gap Continuation GC. Subscribers will receive this update and can continue to trade either version. Additionally, E-mini subscribers will have the option to add the new Lean Hogs Trender strategy. There is no micro contract for Lean Hogs.
We have added several new trading systems including three new Silver strategies, one new Crude Oil strategy, and the new Lean Hogs trend strategy.
The Margin Calculations have been updated for the latest margin requirements based on Tradestation margins. We have also added an input to use DayTrade Margins in the Margins tab of the spreadsheet. For some of the most recent trading system additions, margins had not been added. They have now been added with this update.
Overall, we have been in a low VIX period and margins have not changed much lately. Also, in a portfolio of trading systems, we don't typically see more than about 20-30% of the strategies active with a net position in each market at any given time (for larger portfolios). Setting DT Margins to 0 (in the Margins tab as shown in the video) and using the margin calculations as if every market has a total net position for the same number of strategies in each market is the most conservative approach. We have to consider higher volatility regimes going forward and how there are times when the brokers may remove day trade margins.
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