19 Jul Diversification Through a Different Timeframe
Diversification Through a Different Timeframe
July 19, 2023
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This week we’re trying to build a simple portfolio.
By request, we’re building it on the ES (E-mini S&P 500) futures contract.
Our first portfolio member was an RSI system on the Daily ES.D chart from last week.
Can we diversify our little portfolio by keeping the ES but switching to a 240-minute chart?
Let’s find out.
Here’s the new ES.D 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: 10 times the ATR of the past 14 bars
Here are some recent trades:
Here are the Annual Returns:
A few things to notice.
One, it wins almost 100% of the time. That’s obviously because of the big stoploss.
Two, it doesn’t make a ton of money because it’s very picky.
But does it help our simple portfolio created by Portfolio Architect?
You may disagree, but I say it does. We no longer have 2 losing years in a row, and the losing year is not that big.In addition, 2020-now have hypothetically huge winning years.
This portfolio is definitely interesting.
What if we actually went away from the ES, though, and added a different index? Would that make it even better?
We’ll find out in the next Newsletter.
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.