Want to know what my systems do month by month? I will show you the profits and losses that my systems generated in the month just ended!
Before analyzing what happened this month, I’ll explain how this format is structured:
- part: My Portfolio — How I build my portfolio and how I select systems;
- part: Portfolio Specification — The specifics of each system and some metrics I use;
- part: Portfolio Past Performance — Past performance of the portfolio and systems;
- part: Systems Monthly Performance — The performances of the individual live systems in the month that has just ended;
- part: Portfolio Monthly Performance — The overall performance of the portfolio in the month just ended;
- part: Complications during the month — Complications and problems that arose during the month;
- part: Conclusions…
MY PORTFOLIO
My portfolio consists of different trading systems that I choose every month based on their past performance.
In this article you will find which systems I have used in the last month and how I have selected them.
How do I compose the portfolio?
My portfolio differs in types of strategies, timing, markets and correlations between strategies.
To select which systems to use for the next month, I use tools of my own writing (available free online) to analyze the past performance of all the trading algorithms I own.
To select the best systems I use these filters:
- Net Profit
- Average trades
- Percent Win Trade
- Profit Factor
- Last two months must be positive
- Low Drawdown
- Return on Account
If you are interested in my tools or in buying my strategies you can visit the following links:
And now the results of my analyses, I analyze instrument by instrument, finding the best system among them
PORTFOLIO SPECIFICATIONS
In this section we look at the types of systems I use and all the values needed to keep the portfolio going. With these values, I evaluate the portfolio’s riskiness and show me in drawdown phases whether the portfolio is reacting as in the past or it is time to make changes.
Let’s take a closer look at the portfolio:
- Market column: are the markets chosen for each system
- Margin required column: are the margins required by the broker to open a position
- System name column: the selected strategy name
- Stop loss system: the monetary stop loss for each single system
- A — Max Margin required: the sum of all the margins required for each strategy
- B — Max DD Portfolio: the maximum drawdown recorded by the portfolio
- C — Tot Capital: minimum capital required for the portfolio
- D — Security Capital: security capital for the portfolio
- E — % of Drawdown: The maximum historical drawdown of the portfolio (must not exceed 25%)
Once all the data taken from the strategies and the portfolio have been entered, we obtain that in order to use this portfolio we need a minimum capital (see point C) and a capital to be more relaxed (see point D).
PORTFOLIO PAST PERFORMANCE
Here we will analyze the performance of the portfolio that I have extracted based on the criteria and tools listed above.
For the month just ended I chose this portfolio with 6 systems .
Below are the screens of the past performance of the entire portfolio:
SYSTEMS MONTHLY PERFORMANCE
In this section we see the real performance of the systems in the month that has just ended..
Crude Oil
Soybeans
Gold
Euro
Australian Dollar
PORTFOLIO MONTHLY PERFORMANCE
In this section you will find the monetary performances for the month ended.
As you can see I have recorded a loss of $ 1,300 in this month!
COMPLICATIONS DURING THE MONTH
In this section I show you a log taken directly from my worksheet in which I write down day by day if there have been problems or operations to be done that have required my attention.
CONCLUSION
As you have seen, this month I suffered a big loss, also thanks to the numerous problems with the platform but above all having overweighted the energy and currency departments, completely excluding the indices, this exposed me a lot in sectors that have not done much this month well while I could have balanced with the climb of the indices. See you next month! 🤟