A Seasonality Portfolio

A Seasonality Portfolio

May 19, 2023

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This week we’ve been looking at seasonality.

Specifically, we’ve been looking at a system that only buys in three months of the year and only sells during one month of the year.

That seems arbitrary and weird and not useful.

And yet it’s produced outstanding Equity Curves on the ES, YM, and EMD futures contracts. And they all used the same settings.

Was it just luck? Three times is pretty convincing, but let’s do one more.

Here’s the Equity Curve on the NQ from 1999-2023:


Another good-looking curve. Here’s the Report:

Another great Profit Factor. The profit numbers are a little lower than the others and the drawdown is a little higher, but the numbers are excellent for a long-term system.

And this test goes back almost 25 years.

Okay, just one more. What about the Russell? Here’s the Curve and Report on the RTY futures contract from 2001-2023:


It holds up once again. But the Curve and Report look good.

So, what would happen if we put these together? Using Portfolio Architect¬†here’s what trading 1 contract each time would look like on a hypothetical $20k account using ES, NQ, YM, and RTY from 1997-2023:

While there are some drawdowns, the portfolio would hypothetically be up over 1,100%.

Crazy.

And it begs a bunch of questions:

  • What if we traded more than just those three months for Longs and one month for Shorts?
  • What if we used a different timeframe?
  • What if we changed the stop?
  • How about a profit target?
  • What if we changed the moving average filter?
  • Could we use it on other things?
  • Why does this weird thing work?

And on and on.

All I can tell you is that I found this old system based on seasonality patterns and the testing is very good.

Maybe there’s something to this stuff.

And maybe you could take the idea and make it even better. (And share it.)

Talk to you soon.

 

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Disclaimer:
It should not be assumed that the methods, techniques, or indicators presented in these products will be profitable or that they will not result in losses. Past results are not necessarily indicative of future results. Examples presented on these sites are for educational purposes only. These set-ups are not solicitations of any order to buy or sell. The authors, the publisher, and all affiliates assume no responsibility for your trading results. There is a high degree of risk in trading.

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY 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 PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.