Different Market, Better Result?

Different Market, Better Result?

July 21, 2023

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This week we’re trying to build a simple, “diversified” portfolio.

Diversified is in quotes because we’re not diversifying that much.

In fact, our first two systems were on the same thing (the ES.D futures contract).

And here’s where we’re at so far:

We have amazing hypothetical results since 2019, but we still have a losing year in 2018 and also one way back in the Dot-Com Armageddon of 2002.

Using two different timeframes on the same thing seemed to help, though. Would using something different help more?

To find out, we’ll use the Nikkei futures contract (@NK). It’s the Japanese stock market, which hopefully acts differently than the S&P 500.

Here are the details on the 240-Minutes CCI NK High % System:

  • Entry: Long Only and price must be above the 40-bar simple moving average.
  • Go Long when price closes into Oversold on the CCI indicator (Length 24, Oversold -100).
  • Target: 0.8 times the Average True Range (ATR) of the past 14 bars.
  • Stop: 13.5 times the ATR of the past 14 bars

Here is a “recent” trade:

Here are the Annual Returns:

Just like our 240-minute ES.D chart, this one has an outrageous win percentage and also doesn’t trade much. It actually hasn’t taken a trade since 2022.

Does it help our simple portfolio?

Once again, I would say yes.

The losing year has hypothetically been cut in half and we still have those hypothetically gargantuan years from 2019-2023.

Could we stomach a $1,700 losing year to make over $42,000 just two years later? I would love for the answer to be yes.

In summary, it seems like using simple systems with high win rates can make darn good hypothetical portfolios. One warning, though. The Average True Range is calculated differently on different platforms. If you’re trying to re-create, the ATR multipliers might have to be different on your platform.

That said, it would be fun, I think, to trade a portfolio that wins a lot and hypothetically has some big winning years.

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.