Portfolio Level II Trading System Reports
First we take all the benefits of our individual trading algorithms and next we combine those algorithms together into Portfolio Level I. Next level diversification is Portfolio Level II. Here we are able to diversify further and extract the most synergies between the systems by adding additional trading size. Our automated trading strategy algorithms can even grow beyond Level II to Level III and Level IV.
MELBOURNE
F1, F2 and F Trend 9 Market Combined
Trades 2 contracts each of f1 / f2 e-mini and 9 Markets with F Trend
System Name: Melbourne
System Type: Portfolio Level II
Individual System Algorithms: F1, F2
and F Trend 9 Markets
Markets Traded: E-mini S&P 500, Gold,
Copper, Crude Oil, Cotton, Sugar, Soybeans, Wheat, Euro, Ten Year Notes
Contracts Traded: 2 F1/F2, 1 F Trend
Hold Overnight: F1/F2 No, F Trend Yes
Account Size: $70,000
Highlights
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Profit Factor 1.718
-
Total Trades 3223
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Percent Profitable 64.01%
-
Average Trade $223.10
-
Max Drawdown $19,414.50
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Net Profit / Max DD 37.04
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Avg. Annual Return 83.26%
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Avg. Monthly $4,857.09
-
Avg. Commission $8.50 R/T F1, F2
$12.00 R/T F Trend -
Avg. Slippage $10.50 R/T F1
$17.00 F2, $20.00 F Trend -
Report Period: Jan 2008 - Apr 2020
MONZA
F1, F2 and F Trend 19 Market Combined
Trades 2 contracts each of f1 / f2 e-mini and 19 Markets with F Trend
System Name: Monza
System Type: Portfolio Level II
Individual System Algorithms: F1, F2
and F Trend 19 Markets
Markets Traded: E-mini S&P 500, Gold,
Copper, Silver, Crude Oil, Natural Gas, Cotton, Sugar, Corn, Soybeans, Wheat, Euro, Yen, Pound, Five Year Notes, Ten Year Notes, Bund, Bobl, ES, NQ
Contracts Traded: 2 F1/F2, 1 F Trend
Hold Overnight: F1/F2 No, F Trend Yes
Account Size: $120,000
Highlights
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Profit Factor 1.673
-
Total Trades 4281
-
Percent Profitable 60.64%
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Average Trade $232.40
-
Max Drawdown $24,376.84
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Net Profit / Max DD 44.55
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Avg. Annual Return 66.99%
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Avg. Monthly $6,699.49
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Avg. Commission $8.50 R/T F1, F2
$12.00 R/T F Trend -
Avg. Slippage $10.50 R/T F1
$17.00 F2, $20.00 F Trend -
Report Period: Jan 2008 - Apr 2020
