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Portfolio Trading Systems Playbook Starting December 5, 2022


We use data to give us clarity in our automated trading. This is difficult to achieve in discretionary trading as it is more difficult to quantify.


The perspective is that even though we had this drawdown the last two days after Equity Peaks on November 30, the setup we are trading by alternating between the Stock Index Portfolio 18 MIT and BLITZ 10 has outperformed the Stock Index Portfolio 18 MIT since November 1. It has also outperformed the Stock Index Portfolio 18 MIT + BLITZ. Alternating between these two portfolios put us in position to improve our profits while also managing risk.


We only did slightly better through December 2, 2022 as we never captured a major surge. The move last Wednesday was pretty choppy early or it could have been one of those days that matched some of the biggest winning days in the portfolio. The Stock Index Portfolio 18 MIT made a worse case drawdown last month by 3k and then bounced. The Stock Index Portfoli 18 MIT + BLITZ 10 is at a worse case drawdown of 44k (3k more than the previous worse case drawdown) as of Friday while our live trading drawdown is about 23k after capturing 49k in profits in November.


The playbook for next week is a new portfolio setup. The concept of using only market internal based strategies continues to strengthen. The new portfolio setup for next week is to remove five of the Blitz 10 strategies that don't use market internals and additionally removing Tick Count Trend II v2 1m and 5m versions for a new portfolio setup. We also have a new version of Cobra III (using an 1100 profit target instead of 600) and one small adjustment to improve Cobra CT III 2023 version.


This is a new 21 strategy Portfolio, 16 from the original Stock Index Portfolio 18 (that we were trading) and 5 from the original BLITZ 10. Robot NQ is the only non market internal strategy. We will remove it on the next profitable day or after the next portfolio equity peak.


Subscribers can also continue to trade the Stock Index Portfolio 18 MIT + BLITZ for a potential bounce. The last two days of consolidation have been extremely choppy with an incredible amount of noise with another two day VIX Divergence.


Its difficult to short the market the second half of 2022 and the seasonality is in favor of the longs. After another VIX Divergence with the stock indexes down two days in a row while the VIX is also down two days in a row, the likelihood of another big rally, baring any major news events, is high. I am anticipating a big move next week. Sentiment is also very bearish.


I also backtested the alternating results. The return over drawdown is better going back to 2011 but the current setup is also at a worse case drawdown. I will do another backtest for the current setup to see if alternating between 16 and 5 is a good approach or staying with the new setup of 21 total strategies. I will cover that in the next post.


Subscribers will receive the updated strategies and workspaces before Monday's trade (late Sunday night).


This portfolio is for experienced trades with the Tradestation or Multicharts platforms and can be leased here: https://www.capstonetradingsystems.com/stock-index-portfolio It can also be traded for you in a managed account.


The lessons of drawdowns provide encouragement to research more profitable setups. Trying to backtest portfolios of strategies using a combined portfolio stop loss for the day or starting on a drawdown or using a profit target for the day is a project that I hope to finish by the end of the year or early January 2023. It is intensive and requires advanced use of my Money Management Algorithms.

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