Portfolio Analysis of Our Published Strategies (Combined) - Results Shown Inside
How uncorrelated edges create a smoother line
Hey All, today will be a quick one.
I’ve put together a quick look at the portfolio mix across the recently released strategies.
Strategies covered:
Core stance: keep it simple and spread risk. A few clear rules per model, diversified across as many uncorrelated markets as possible.
Contracts & sizing: analysis uses the most liquid Micro contracts. Running on E-minis is roughly 10× the P&L and drawdown. Results below are one contract, no compounding for fair comparison.
Returns are smooth because the strategies are low-correlated. Below is the correlation analysis using daily, weekly, and monthly returns.
Daily:
Weekly:
Monthly:
Portfolio Monte Carlo: even at the 95 percent worst case, return to drawdown remains strong.
For compounding: starting with $10,000 and using percentage based position sizing, the portfolio delivered an 18 percent CAGR and an 8,068 percent return on capital over 24 years. (10x the profit and drawdown for E-minis)
This portfolio works because it spreads risk across simple ideas that do not move together. The correlation checks back that up across daily, weekly, and monthly views.
The Monte Carlo results show resilience even in tough sequences, while the fixed size tests avoid inflated claims. If you want the compounded view, it is there as an option, but the core message remains steady progress with controlled drawdowns.
⚠️ Disclaimer
This publication is education only, not financial advice. It doesn’t consider your objectives or needs—seek licensed advice if required. Results include hypothetical backtests; past performance is not indicative of future results. Futures and derivatives involve substantial risk (leverage, gaps, slippage, liquidity, data/execution issues) and you can lose more than your initial investment. Metrics are research, not guarantees; code/parameters are provided as-is—validate on your own data and infrastructure. The author is not a licensed adviser and may hold related positions.