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Trading Systems Research for February 2026

January was a challenging start to the year. I have a list of research updates and tools I am working on. I wish I could stop time and finish it before February trading starts at 5 pm CST today. We will have to process the research and provide updates as we continue to verify and move through the month.


I've spent a lot of time on the process and technology updates in 2025 and I am working on more updates in 2026. I use several tools for combined trading system analysis for the portfolios. The Portfolio Calculator (in MS Excel), Multicharts Portfolio Trader, and now my python based web app - Portfolio Metrics.


Over the weekend I put together a new tool that uses the data sets in the Portfolio Metrics database. Right it is called the Portfolio Optimizer. There are different methods that it uses to find the best combination of strategies to place into a portfolio. The one that is promising is the XGBoost Machine Learning Algorithm optimizing for Composite Return and Correlations.


Based on the output from this tool and using the 100+ strategies in our database (I don't have all strategies added to the SQL database yet), and removing the Overnight and Session strategies (trading only day trade), and removing Gold and Silver, we get a nice Portfolio setup. The Bitcoin strategies are overnight strategies so we are only trading E-mini S&P, E-mini Nasdaq, and Crude Oil in this portfolio setup.


This new portfolio includes 28 trading systems.


The Profit/Max Drawdown is 97.83. The Diversification score on a scale of 0-1 is 0.94. The Max pairwise correlation is .806. The mean correlation is .065.




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