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Top 50 Select Portfolio Setup

Capstone Trading
Mar 27, 2024

Which trading systems are working now and in the past that were developed between 2004 - 2022. As we approach Q2, 2024, we built the Top 50 Select Portfolio to answer this question. Taking a systematic approach to portfolio selection will remove biases that we may develop about a strategy being our favorite or least favorite.


While our individual trading systems have a short duration for time in the market and entries and exits, the performance measures for selection of trading systems is longer term. The drawdown curve for all 258 strategies was observed and the strategies that are in a worse case drawdown or haven't made an equity peak in the last couple of years were removed. From this list, we then selected strategies that were developed prior to the end of 2022. V-Reversal Combo 24 is the only exception. There are 49 "old" strategies and one new strategy.


There are some overnight strategies as well and the concentration of day trade strategies is countertrend and mean reversion.


The performance summary is below. Learn more and subscribe.


TOP 50 PORTFOLIO - 50 STRATEGIES HYPOTHETICAL PERFORMANCE SUMMARY 01/01/2008 - 03/25/2024 *DEVELOPED AND RELEASED ON MARCH 28, 2024 *CONTACT US FOR LATEST OUT OF SAMPLE RESULTS


performance summary for algorithmic trading systems portfolio

 
 
 

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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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