07 Oct Possible Performance Portfolio Upgrade
Possible Performance Portfolio Upgrade (NQ)
Oct. 7, 2024
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The PPP (Performance Page Portfolio) has been cranking along in 2024.
I wanted to indefinitely track a portfolio that makes sense and will grow over time. I also wanted it to be Futures.
Why Futures?
Because Futures are leveraged, easily diversifiable, great for trade execution, and easy to trade on Tradestation. It’s a way to trade the stock market but do much better than index funds.
Anyway, how has 2024 been?
It’s hypothetically made $36,819 on a sample $35k or $57k account. The four strategies don’t all trade at the same time, so it’s theoretically possible to trade all four on just a $35k account. But if they’re all in a trade, we’d need about $57k. Obviously, in a smaller account, we’d hypothetically be up over 100% but some trades might not be taken. That’s always the danger when trying to game the margin amount.
Nonetheless, that’s great performance.
Can we do better?
Specifically, can we do better than using the 5M RSI ES.D strategy?
I put this strategy in because I want a strategy that wins when the market is breaking out. Our other portfolio members get in on pullbacks. I wanted a method that does the opposite.
But the 5M RSI does lose trades (it has a positive reward-to-risk, so that means losing), and it does have losing years. It feels like we might be able to improve on that.
Let’s take a look.
First, we’ll switch over to the Nasdaq Futures contract (NQ.D). We’ll stay in the 5M timeframe, but we’ll add a tweak.
The current strategy gets in when RSI goes into Overbought. Overbought often means a powerful breakout, so it’s a good way to get into trades.
But what if we waited a tick?
What if we waited until the instrument went into Overbought, but didn’t enter until it closed back down out of Overbought?
That would look like this:
It’s a little hard to see in this recent trade but it went over 85 on the RSI and then closed back down below 85. When that happens, the entry is the next bar.
Here are the NQ.D 5M RSI Pullback details:
- Enter at the open of the next bar when price closes back out of Overbought (RSI 12 length, Overbought 85).
- Target: $800 per contract
- Stop: $600 per contract
The possible advantage is that it might avoid whipsaw breakouts. Does it?
Here’s the Report via Portfolio Architect:
Here’s the Curve since 2001:
Overall, the drawdown is better than the ES 5M version and the losing year distribution is better.
The problem is: NQ needs a lot more margin. It forces us to keep $6,000 more in our account to trade this version.
Is that worth it?
I’m going to dig in and take a look. I’ll report back after some research.
But the entry method is definitely interesting and could be something to transfer over into other instruments on other timeframes.
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.