Capstone Trading Systems introduces two new Nasdaq-100 futures trading portfolios designed to improve strategy selectivity, balance trading approaches, and optimize historical profit relative to maximum drawdown.
Watch the complete portfolio development and performance review.
At Capstone Trading Systems, we continuously evaluate our algorithmic futures trading portfolios across different market environments. Our research emphasizes historical risk-adjusted performance, average trade profitability, portfolio composition, and drawdown characteristics.
In this latest update, we introduce two new configurations: the 21 System Portfolio NQ and the 11 System Portfolio NQ.
Both were developed from existing portfolios by selecting different combinations of strategies rather than simply increasing the number of trading systems.
The objective is to maintain exposure to multiple trading opportunities while reducing less desirable strategy characteristics, particularly during lower-volatility and sideways Nasdaq market environments.
The new 21 System Portfolio NQ was developed by replacing six strategies from our existing 21-strategy Nasdaq portfolio with six alternative algorithms.
The revised portfolio emphasizes greater selectivity in opening-range breakouts, gap continuation, news-based trading, trend-following, and countertrend strategies.
| Performance Metric | Value |
|---|---|
| Net Profit / Maximum Drawdown | 65.72 |
| Historical Maximum Drawdown | $38,555 |
| Current Drawdown | $26,390 |
| Average Trade Profit | $153.91 |
Historical analysis beginning in 2020. Performance incorporates an assumed $25 round-turn trading cost for commissions and slippage. Metrics reflect the portfolio snapshot discussed in the video and may change with subsequent trades.
One of our primary portfolio evaluation metrics is total historical net profit divided by maximum historical drawdown. The resulting ratio of 65.72 is particularly notable for this configuration.
The current drawdown of $26,390 also provides an opportunity to study the portfolio's position within its historical equity curve. A drawdown may present a potential entry consideration under a drawdown-based deployment framework, but it does not guarantee a subsequent recovery.
We examined the original 21-strategy portfolio and replaced six trading systems, including less selective or asymmetric configurations.
The revised portfolio incorporates more selective versions of opening-range, gap-continuation, and news-related strategies, while replacing several existing trend strategies with a combination of selective trend and countertrend algorithms.
Rather than maximizing trade frequency, the objective is to improve the relationship between historical net profitability, maximum drawdown, and average profit per trade.
Our second new configuration is the 11 System Portfolio NQ, developed by removing seven trend-following strategies from the established 18 System Portfolio.
These removals include NQ Open Range, NQ Pulse, NQAT 2022, NQ EVP1, NQ Tick Wave, NQ Max 7, and VSD Trender.
This adjustment changes the portfolio's balance of trend-following, countertrend, and mean-reversion strategies, resulting in a more selective portfolio with a lower historical maximum drawdown in the period analyzed.
| Performance Metric | Value |
|---|---|
| Net Profit / Maximum Drawdown | 48.05 |
| Historical Maximum Drawdown | $31,960 |
| Current Drawdown | $19,750 |
| Average Trade Profit | $146.25 |
For comparison, the established 18 System Portfolio has a historical net profit-to-maximum-drawdown ratio of 37.98 and average trade profit of $138.45 in the reviewed data.
The 11 System configuration therefore offers an alternative historical risk profile for traders who prefer a smaller, more selective group of strategies.
Across our Nasdaq portfolio research, 28 individual trading strategies can be used to configure seven portfolio combinations, with an additional money-management variation of the Two System Portfolio.
| Portfolio | Primary Focus |
|---|---|
| 21 System NQ — New | Selective combination emphasizing historical profit relative to drawdown |
| 21 System NQ — Original | Existing Nasdaq strategy combination from diversified portfolio research |
| 18 System NQ | Established multi-strategy Nasdaq futures portfolio |
| 11 System NQ — New | More selective trend, countertrend, and mean-reversion balance |
| 7 System NQ | Concentrated portfolio with substantial trend exposure |
| 3 System NQ | Two-strategy foundation plus opening-range strategy |
| 2 System NQ | Two-strategy foundation, also available with MM variation |
The smaller portfolios generally focus on a limited number of trading systems with higher historical average trade profits. For example, the Three System Portfolio shows an average trade profit of approximately $207.55 in the reviewed analysis.
The market environment discussed in this October 2026 update includes relatively subdued volatility, sideways trading conditions, interest-rate uncertainty, and the approaching U.S. midterm elections.
These conditions can create challenges for trend-following strategies, especially when markets repeatedly reverse rather than establish sustained directional movement.
We also continue to monitor the relationship between rising Nasdaq index levels and trading systems whose profit and loss characteristics are not symmetrical.
Higher nominal index values may produce larger dollar or point-based drawdowns in certain strategies. Accordingly, evaluating portfolios requires more than comparing their historical total net profits.
Our research considers maximum drawdown, average trade profitability, strategy diversification, and the ratio of net profit to historical drawdown.
Review portfolio equity curves, historical drawdowns, annual trading performance, periodic returns, and additional performance statistics through our online Portfolio Metrics platform.
Compare portfolio configurations and examine historical performance across different Nasdaq market environments.
Capstone Trading Systems offers annual software subscriptions providing access to the 28 algorithmic trading strategies used across these seven Nasdaq futures portfolio configurations.
The subscription offering includes strategy updates and access to the new 21 System Portfolio NQ and 11 System Portfolio NQ configurations.
Contact Capstone Trading Systems for information about the complete Nasdaq portfolio subscription offering, software access, and available licensing arrangements.
Watch our latest trading system development updates, portfolio reviews, futures market research, and algorithmic trading tutorials.
Futures trading involves substantial risk of loss and is not suitable for all investors. Historical, hypothetical, or backtested performance is not necessarily indicative of future results. Hypothetical performance has inherent limitations, including the benefit of hindsight and the inability to fully account for financial risk in actual trading. Portfolio strategies may experience drawdowns exceeding their historical maximums. Actual trading results may differ significantly due to commissions, slippage, order execution, market liquidity, and other factors. Performance metrics presented here are historical research figures discussed in the accompanying video and should not be interpreted as a promise or guarantee of future profitability.
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