21 Apr Creating a Simple, Profitable Portfolio
Creating a Simple, Profitable Portfolio
Apr. 21, 2023
This week we’re looking at the advantages of Futures.
In our last Newsletter, we took a simple idea and it turned out to be hypothetically profitable.
But it also had losing years and periods of twitchy performance.
And that’s to be expected. Simple ideas are the most robust. And the most robust ideas lose.
If it wins all the time in testing, it probably won’t win much going forward.
Does that mean we’re doomed to suffer drawdowns?
No. There’s a way around that.
We can add additional simple ideas to our simple idea. The hope is that several simple ideas combined will create profit and manageable drawdown.
(That simple combining idea might actually be the holy grail. Gasp. Don’t tell anyone.)
Here’s another simple idea on the ES (S&P 500) Futures contract. I think I got this one from Art Collins (who has a lot of books with system ideas).
30M ES Momentum (Long Only)
- Entry: If current bar is green and the previous bar was green and the close of the current bar is greater than today’s Open, go Long.
- Stop: I used $700 per contract
- Target: I used $1200 per contract
- Time Exit: Get out before 16:15 Eastern (4:15 pm ET)
- Code screenshot is here:Â https://www.screencast.com/t/4I3RW8HD4e
Again, very simple. If the past two bars are bullish and it’s higher than when the day started, what do you think?
Bullish, right?
Here’s the Report via Portfolio Architect from 2008-now trading 1 contract each time (on a hypothetical $20k account):
And here’s the Curve:
Just like our previous system, it’s clearly profitable and clearly has some drawdown periods.
Now, what if we put those two together?
Using my handy Portfolio Architect software once again, here’s what we get:
Our hypothetical $20k account is now over $140k. And here’s the combined Report:
The combination of two simple ideas has combined to hypothetically make a nicely profitable portfolio with reasonable drawdown.
Futures has some advantages. Maybe it’s worth some consideration.
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.