top of page
Search

Unique Asset Class and Portfolio Calculator Update 08/10/2024

The equity curve of a trading systems portfolio is a unique asset class. Starting on drawdowns is similar to buying dips in an individual equity or index. What makes this unique is the fact that the equity curve of the trading systems portfolio represents many markets taking long and short trades instead of a representation of the value of a company.


The Portfolio Calculator allows us to create trading systems portfolios as a unique asset class. It has been updated through August 9, 2024. This is an Excel tool that serves as a database for our trading systems. It allows "What If" scenarios to quickly calculate risk/reward outcomes for different combinations of strategies.


The Portfolio Calculator also includes strategy characterization filters such as:

1.) Trend vs CounterTrend

2.) Swing Trade, Day Trade, Session Trade

3.) Dont Trade On FOMC


*Slippage and commission factors ARE included to cover transaction costs.

*We do not trade all strategies all the time and the results are hypothetical.


This week is a prime example of having to be out of the office for something like outpatient surgery. In this case you may miss some gains or losses in a portfolio that was scheduled to trade live. This week we missed some gains. There have been other scenarios where we have missed losing streaks in the portfolio.


After missing a cycle of trading, we typically wait for a drawdown entry alert. This has been the best approach for us. The Stock Index Portfolio 18 had four equity peaks in a row from Tuesday through Friday of this past week for the week ending August 9, 2024. Starting live trading after a series of trading system signals that were tracked but not traded, can oftentimes line up with an immediate drawdown.


It is possible, winning streaks can continue but the goal is to reduce account volatility. Starting live trading after the portfolio of strategies being tracked (but not traded) goes through a series of losers, leading to a drawdown, is the approach that is used. This technique allows us to limit losses if a set of strategies starts to go through a worse case drawdown by using a portfolio level stop loss near the historical worse case drawdown level.



Comments

EXCLUSIVE MARKET AND STRATEGY UPDATES

 Capstone Trading Systems © 2025. All Rights Reserved.

​

U.S. Government Required Disclaimer - Commodity Futures Trading Commission. Futures and options trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This website is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this website. The past performance of any trading system or methodology is not necessarily indicative of future results.

​

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.

bottom of page