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All my trading systems on the S&P 500

The best system? Find out for yourself

In this short article I show you all my trading systems on the S&P 500, I remind you that you can find them on my shop.

Here they are, in total they are 18 system’s

  • Nature: the nature of the strategy MR = Mean Reverting, BK = Breakout, IM = Inter Market, TF = Trend Follow, HY = Hybrid
  • Type: The method by which it was written, I give it a name
  • Stop: The monetary stop loss, in this case on the Micro contract which is equivalent to 1/10
  • Max Op Stop: The maximum consecutive number of trades that went into stop loss
  • Max DD: Maximum drawdown of the strategy
  • Creation Date: The writing date of the strategy

(you can find the metrics of each strategy updated every month on my website)
Now let’s go buy the systems that have given better results over time, this is a tool that I make available for free here

ALL THE HISTORICAL

Here are the results of all the systems compared with a historical one starting from 2010

First place in order of Net Profit POLI, a Trend Follow system that follows the data released by the COT

Second place for Venom, Mean Reverting system on 60 minute timeframe

Third place OpenI, a Mean Reverting system based on Open Interests

LAST 5% OF TRADES

Here we analyze how the systems performed in the last 5% of the trades placed

First place BLASCO with 25k net profit
Second place again VENOM with also 25k net profit
Third place BONDAGE with 25k net profit

LAST 2 MONTHS

We analyze the performance of the systems in the last 2 months

First place Venom 60 with 13k net profit
Second place Venom 240 with 11k net profit
Third place Lux with 11k net profit

PORTFOLIO PERFORMANCE

What if we traded all these systems together? Here are the results:

In 13 years we would have had a profit of 3 million! Not bad right?

This is the weekly correlation, of course speaking of the same instrument we would have had a lot of correlation except for some systems uncorrelated from the others

BEST SYSTEM

From this analysis based on Net Profit (don’t just rely on this) it is the best system VENOM 60 in OOS since October 2022 in recent times it is making great performances

Thanks for coming this far, see you in the next article!