100k Low Frequency Portfolio for 2012
We are making adjustments to the 100k Low Frequency Portfolio based on the opportunities we see in our systems for 2012. In 2011, we released the 100k Low Frequency Portfolio on 9/12/2011 with a hypothetical profit for the year of $82,540. At the end of the year the portfolio was up to $111,837.50 with equity peaks occurring on the last 3 trading days of the year, to end the year at a new equity peak and nearly a 30% gain in the last 3 1/2 months of trading.
The Nine Trading systems in the the 100k Low Frequency Portfolio for 2012 include:
- EVP-2 5 minute Euro Currency
- EVP-2 15 minute Crude Oil
- Gold Spike
- Soybeans Daytrader II
- Corn Swing
- Cobra III E-mini S&P
- Cobra II Bonds
- Cobra CT II E-mini Russell
- Gap Fill Rank E-mini S&P
All systems are daytrade except for Corn Swing. Follow the results on our Daily Trading System Reports <===Bookmark this page.
We started this portfolio in 2011 using 6 trading systems, with 2 contracts of each trading system, for a total of 12 contracts. The trading systems we used were Cobra III E-mini S&P, Gold Spike, EVP-2 5 minute Euro Currency, Soybeans Daytrade II, and Cobra II Euro Currency. From the beginning of October through mid November, Cobra II Bonds went through a drawdown and was removed from the portfolio. In December, big gains were made in Cobra II Bonds that would have added to our returns had we kept it in the portfolio.
In 2012, we are changing the portfolio to include more systems and more markets. Our total contracts will be 9 futures contracts as we will trade 9 different systems with one contract each and 8 different markets including the Euro Currency, Crude Oil, Gold, Corn, Soybeans, E-mini S&P, 30 Year T-Bonds, and the E-mini Russell. The list of all nine systems is show above in the Portfolio Report and includes Gap Fill Rank from our book “Seven Trading Systems for the S&P Futures“.
Since we released this portfolio in September 2011, the changes based on the original configuration include removing Cobra II Euro Currency and adding EVP-2 15m Crude Oil (a new trading system based on EVP-2), Corn Swing, Cobra CT II E-mini Russell, and Gap Fill Rank E-mini S&P. In Gold Spike we are changing the max trades per day to 1 instead of 3.
The hypothetical results are shown below and include only 4 losing month in the last 4 years and a maximum drawdown of $8,276.25 since 2005 when trading these 9 systems together. The recommended drawdown allowance going forward is $20,000. The current margin requirements for this portfolio is $38,570.50. The minimum required capital for this portfolio is $47,000 when you add maximum drawdown and margin requirements but we recommend 100k to trade this portfolio with the ability to risk 20k.
If this portfolio draws down 20k, then we would stop trading the portfolio. There can also be potential changes in the portfolio based on changing market conditions, new research, and under performing systems. Any changes in the portfolio could affect the bare minimum capital required of $47k. Also increases in volatility can increase exchange minimum margins which would require more than $47k as well.
In 2011, all systems were day-trade systems. In 2012, we add one swing trade system to this portfolio, Corn Swing. All entries and exits are taken during the day sessions with overnight risk existing in this strategy.
The hypothetical results include the $200/month lease fee and $25 round turn slippage and commission costs. We may raise the subscription for new subscribers starting in February. Current subscribers will remain at $200/month. Your subscription will allow you to trade up to 2 contracts of each system. Annual subscriptions are available for $1,800.
This portfolio was designed in Tradestation. Six of the nine trading systems listed are also available in the NinjaTrader Platform. Gold Spike, Cobra III E-mini S&P, and Gap Fill Rank are still being converted to NinjaScript for the NinjaTrader platform. Gold Spike should be converted by the end of January with Cobra III E-mini S&P and Gap Fill Rank target for conversion by March/April timeframe.
Corn Swing and EVP-2 5 minute Crude Oil will be on our website soon for both Tradestation and NinjaTrader.
Original Release of the 100k Portfolio in 2011 is below with updated report through October.
100k Low Frequency Portfolio
On September 12, 2011, we released the 100k Low Frequency Portfolio. Here is the original release. The updated results as of October 31, 2011 are shown below. There are slight non-material changes in the performance based on changing some trading system code to exit on the open of a 1 minute bar versus the close of a 1 minute bar. There is a one tick difference in the timeframe of results. There were small, non-material errors in our previous report based on early closings on the holidays.
The complete list of systems include:
- Cobra Vb E-mini S&P
- Viper III E-mini S&P
- Viper II Euro Currency
- EVP-2 Euro Currency 2.0 (5 minute version)
- Viper Bonds II
- Gold Spike
- Soybeans Daytrade II
All seven trading systems are automated day-trading systems and trade 2 contracts each. The three trading systems that are the same as our Low Frequency Portfolio are Cobra Vb E-mini S&P, Viper III E-mini S&P, and Soybeans Daytrade II. EVP-2 2.0 5 minute is the 5 minute version of our our original EVP-2 trading system.
The new trading systems include Viper Bonds II, Viper Euro II, and Gold Spike. Viper Bonds II is similar to Viper Bonds but uses a stop order to enter our positions instead of limit orders. We released Viper Bonds II on 9/1/2011 and discuss how using stop orders can help reduce slippage in real time trading. Limit orders cancelled and replaced at the market shortly after the order is generated can cause slippage almost every time a trade is placed. Viper Euro II is a more selective version of Viper Euro. Gold Spike was added on 5/26/2011 and is taken from a stock index futures trading system. The more volume that is traded on Gold and the more popular the Gold ETF, the more this market trades intra-day similar to stocks and stock index futures.
The hypothetical performance results for the portfolio based on our new trading systems and research are show above. We take out $25 per round turn trade for slippage and commission. We did our portfolio research for the report above using Calculator tool on our website. We export all of the end of day data into an Excel spreadsheet and use it as our Calculator to look at portfolio combinations of our trading systems. This strategy leases for $200 per month. The monthly lease fee is also included in the calculation.
Soybeans Daytrade II does not start until August 2006 since the grains markets did not trade electronically until then and Gold Spike trade data does not start until September 2009 since the Gold Spike system was designed based on patterns seen in the last 18-24 months. Gold volume on the electronic markets is not significant until 2007. All other trading systems use trading system data back to January 2005. If both Soybeans Daytrade II and Gold Spike are removed from the portfolio the portfolio still shows good historical results.
This portfolio will work on the Tradestation Platform. Not all of the portfolio trading systems are available yet for the NinjaTrader platform. The portfolio trading systems that are available for the NinjaTrader platform at this time are EVP-2 Euro Currency 2.0 5 minute, Viper Bonds II, and Soybeans Daytrade II.
These three strategies are in our Three System Portfolio that will work in both the NinjaTrader and Tradestation Platform.