The Portfolio Calculator has been updated through October 31, 2024. October was a tough month with pre-election trade and sloppy markets. We anticipate these types of markets but cannot predict the "timing" in advance. You never know how far in advance a market will become sloppy and how it will respond right before the event or how the trading cycles can change on a new month or during the event for which it was waiting.
The Stock Index Portfolio 18 dipped below its worse-case drawdown but recovered about half of its drawdown losses the last five trading days of the month. This portfolio can be traded with E-minis or Micros and includes many of our core strategies.
The 500K MNS Portfolio 70 and the Top 50 Select were two of the top performing portfolios. These portfolios were down on the month but held worse case drawdowns.
The Top 50 Select released on March 27, 2024 based on the best drawdown curves. The out of sample hypothetical results include:
+$112,880 the last 7 months since released.
5 of 7 months profitable
Two losing months were small -$5,697.50 (May) and -$5,887.50 (October)
The Top 50 Select has a worse case drawdown of about $63,000 going back to 1/1/2008. The worse case drawdown since March 2009 is much less at $37,200 in November 2020. Going back to 1/1/2008, the Sharpe Ratio for these 50 trading systems is 2.47 with the Average Drawdown Duration of 25 days.
A new portfolio that combines the ideas of the 500K MNS 70 and Top 50 Select has been added for November 1, 2024 that we will begin to trade today. This portfolio syncs up with our current drawdown to give us an entry at a 1% risk from worse case drawdown. The One Million MNS 112 has been added to the Portfolio Calculator and includes a 112 strategy setup with a Sharpe Ratio of 3.08 and Average Drawdown Duration of 13.14 Days. The Total Profit/Drawdown is robust as well. These are hypothetical results but the portfolio includes strategies that were mostly from the One Million MNS 128 that we have already been trading. We have added VRUN NQ to this portfolio. VRUN NQ is a new strategy we have released this week.
The One Million MNS Portfolios can be traded through the All Strategy Access.
The hypothetical results can be seen for this portfolio setup below.
One Million MNS 112 Hypothetical Performance Summary
$25 Round Turn Slippage and Commission Included
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