Diversified Strategy

Our Diversified Strategy stands out as our top recommendation for portfolios with a starting value of $250,000 or more. This sophisticated approach involves trading 42 global futures markets, employing a powerful combination of trend following and an equity rebalancing strategy. What sets this strategy is apart is its remarkably low correlation, creating a portfolio that not only exhibits a consistently smooth equity curve but also offers diversification with minimal correlation to traditional assets such as stocks and bonds. This unique blend of strategies has demonstrated its ability to navigate various market conditions effectively, making it an excellent choice for investors seeking stability and diversification in their portfolios.

Stepped Parameter Summary Performance

Test		Ending Balance	Ending VADI	CAGR%	MAR	Modified Sharpe	Annual Sharpe	Max Total Equity DD	Longest Drawdown	# Trades
1		3,192,388,725.32	3,192,388,725.32	58.28%	1.65	1.67	0.95	35.2%	17.2	4,521

Yearly Performance Summary

Year	Days	Closed Balance	End Total Equity	End VADI	Total Equity Gain	Gain %	# Trades
2003	365	269,198.08	285,230.15	285,230.15	85,230.15	42.6%	153
2004	366	412,277.40	439,211.81	439,211.81	153,981.66	54.0%	189
2005	365	463,057.20	534,905.57	534,905.57	95,693.76	21.8%	175
2006	365	611,295.02	639,395.37	639,395.37	104,489.80	19.5%	196
2007	365	1,467,461.57	1,563,958.20	1,563,958.20	924,562.83	144.6%	173
2008	366	2,500,130.43	2,879,078.90	2,879,078.90	1,315,120.71	84.1%	199
2009	365	2,837,232.68	2,986,434.04	2,986,434.04	107,355.14	3.7%	230
2010	365	6,119,440.86	6,901,217.97	6,901,217.97	3,914,783.93	131.1%	216
2011	365	6,277,573.39	6,871,377.63	6,871,377.63	-29,840.34	-0.4%	259
2012	366	7,215,926.95	7,514,460.05	7,514,460.05	643,082.41	9.4%	256
2013	365	8,731,819.88	9,654,509.46	9,654,509.46	2,140,049.41	28.5%	219
2014	365	21,478,958.72	25,184,177.95	25,184,177.95	15,529,668.49	160.9%	196
2015	365	28,780,134.90	30,907,071.42	30,907,071.42	5,722,893.47	22.7%	246
2016	366	48,162,763.69	50,821,241.21	50,821,241.21	19,914,169.79	64.4%	237
2017	365	48,454,530.57	55,967,084.01	55,967,084.01	5,145,842.81	10.1%	248
2018	365	63,578,451.78	73,447,527.72	73,447,527.72	17,480,443.70	31.2%	226
2019	365	117,105,336.03	126,237,873.16	126,237,873.16	52,790,345.44	71.9%	212
2020	366	326,033,731.97	380,925,692.39	380,925,692.39	254,687,819.23	201.8%	198
2021	365	855,279,074.91	956,496,041.30	956,496,041.30	575,570,348.91	151.1%	189
2022	365	2,192,904,372.24	2,464,847,392.33	2,464,847,392.33	1,508,351,351.02	157.7%	227
2023	365	2,869,064,253.03	3,220,749,589.60	3,220,749,589.60	755,902,197.27	30.7%	257
2024	29	2,654,214,160.62	3,192,388,725.32	3,192,388,725.32	-28,360,864.27	-0.9%	20

Instrument Performance Summary

Symbol	Wins	%	Losses	%	Trades	Win Months	%	Loss Months	%	Avg. Win %	Avg. Loss %	Avg. Trade %	% Profit Factor
BAX	59	28.6%	147	71.4%	206	103	40.7%	150	59.3%	1.45%	0.63%	-0.03%	0.92
BL2	57	44.5%	71	55.5%	128	141	55.7%	112	44.3%	2.68%	0.79%	0.75%	2.71
BO2	38	40.9%	55	59.1%	93	141	55.7%	112	44.3%	1.86%	0.72%	0.34%	1.79
CGB	35	41.2%	50	58.8%	85	149	58.9%	104	41.1%	1.51%	0.67%	0.23%	1.58
COX	25	36.8%	43	63.2%	68	142	56.1%	111	43.9%	4.31%	0.84%	1.05%	2.97
CT2	29	35.8%	52	64.2%	81	130	51.4%	123	48.6%	2.78%	0.86%	0.45%	1.81
DA	28	41.2%	40	58.8%	68	155	61.3%	98	38.7%	3.22%	0.76%	0.88%	2.96
DA2	78	44.6%	97	55.4%	175	143	56.5%	110	43.5%	1.80%	0.54%	0.50%	2.68
DX	26	44.8%	32	55.2%	58	162	64.0%	91	36.0%	2.11%	0.80%	0.50%	2.14
EBL	66	41.8%	92	58.2%	158	133	52.6%	120	47.4%	0.85%	0.49%	0.07%	1.25
EBM	78	46.7%	89	53.3%	167	123	48.6%	130	51.4%	0.77%	0.51%	0.08%	1.30
EMA	44	51.2%	42	48.8%	86	154	60.9%	99	39.1%	3.09%	0.99%	1.10%	3.27
FEI	16	40.0%	24	60.0%	40	166	65.6%	87	34.4%	3.69%	0.89%	0.94%	2.76
FLG	33	38.8%	52	61.2%	85	152	60.1%	101	39.9%	1.48%	0.55%	0.24%	1.70
FV	12	30.0%	28	70.0%	40	143	56.5%	110	43.5%	4.10%	0.90%	0.60%	1.96
JT	18	36.7%	31	63.3%	49	145	57.3%	108	42.7%	3.47%	0.83%	0.75%	2.42
KPO	50	42.4%	68	57.6%	118	126	49.8%	127	50.2%	1.83%	0.68%	0.38%	1.98
LCO	80	45.2%	97	54.8%	177	145	57.3%	108	42.7%	1.09%	0.48%	0.23%	1.85
LGO	29	35.4%	53	64.6%	82	158	62.5%	95	37.5%	2.80%	0.72%	0.52%	2.12
LH	40	39.2%	62	60.8%	102	145	57.3%	108	42.7%	1.10%	0.54%	0.11%	1.32
LRC	72	42.9%	96	57.1%	168	123	48.6%	130	51.4%	1.08%	0.56%	0.14%	1.45
LSU	65	42.8%	87	57.2%	152	129	51.0%	124	49.0%	1.06%	0.54%	0.14%	1.47
LWB	100	43.1%	132	56.9%	232	138	54.5%	115	45.5%	1.90%	0.66%	0.45%	2.19
M6B	18	31.0%	40	69.0%	58	162	64.0%	91	36.0%	1.44%	0.75%	-0.07%	0.86
M6E	15	40.5%	22	59.5%	37	201	79.4%	52	20.6%	2.15%	0.78%	0.41%	1.88
MBT	23	50.0%	23	50.0%	46	234	92.5%	19	7.5%	1.74%	1.48%	0.13%	1.18
MCL	3	30.0%	7	70.0%	10	240	94.9%	13	5.1%	1.45%	0.77%	-0.11%	0.80
MES	131	64.2%	73	35.8%	204	179	70.8%	74	29.2%	1.79%	0.70%	0.90%	4.61
MGC	31	33.3%	62	66.7%	93	168	66.4%	85	33.6%	1.09%	0.51%	0.02%	1.06
MHG	3	60.0%	2	40.0%	5	247	97.6%	6	2.4%	0.21%	0.66%	-0.14%	0.48
MNG	0	0.0%	0	0.0%	0	253	100.0%	0	0.0%	0.00%	0.00%	0.00%	100.00
MNQ	143	68.8%	65	31.2%	208	171	67.6%	82	32.4%	2.25%	0.46%	1.40%	10.71
MW	49	43.8%	63	56.2%	112	139	54.9%	114	45.1%	1.22%	0.54%	0.23%	1.76
NBB	23	39.7%	35	60.3%	58	158	62.5%	95	37.5%	5.00%	1.08%	1.33%	3.05
RS	97	38.8%	153	61.2%	250	127	50.2%	126	49.8%	2.33%	0.69%	0.48%	2.12
SB2	22	37.3%	37	62.7%	59	143	56.5%	110	43.5%	2.92%	0.71%	0.64%	2.44
SEF	19	52.8%	17	47.2%	36	211	83.4%	42	16.6%	5.32%	1.14%	2.27%	5.20
SJB	50	44.2%	63	55.8%	113	152	60.1%	101	39.9%	0.79%	0.55%	0.04%	1.13
SM2	48	46.2%	56	53.8%	104	130	51.4%	123	48.6%	1.01%	0.59%	0.15%	1.47
TU	12	31.6%	26	68.4%	38	172	68.0%	81	32.0%	5.84%	0.93%	1.21%	2.90
TY	83	45.1%	101	54.9%	184	135	53.4%	118	46.6%	1.32%	0.55%	0.30%	1.98
US	59	37.6%	98	62.4%	157	136	53.8%	117	46.2%	1.27%	0.54%	0.14%	1.42
XC2	27	36.5%	47	63.5%	74	156	61.7%	97	38.3%	1.65%	0.78%	0.11%	1.21
XS2	22	38.6%	35	61.4%	57	187	73.9%	66	26.1%	1.83%	0.75%	0.24%	1.53

Test Period for parameter run 1.
First Test Date	2003-01-01
Last Test Date	2024-01-29

Trading Performance CAGR % 58.28% MAR Ratio 1.65 RAR % 55.22% R-Squared 0.971 R-Cubed 2.37 Avg Margin to Equity Ratio 34.68% Daily Return % 0.1885% Average Monthly Return % 4.2586% Daily Geometric Return % 0.1258% Daily Standard Deviation % 1.57% Annualized Daily StandDev % 25.42% Monthly Standard Deviation % 8.83% Annualized Monthly StandDev % 30.59% Daily Downside Deviation % 1.02% Daily Sharpe Ratio 0.120 Daily Geo Sharpe Ratio 0.080 Modified Sharpe Ratio 1.67 Annual Sharpe Ratio 0.95 Monthly Sharpe Ratio 0.48 Robust Sharpe Ratio 1.81 Daily Sortino Ratio 0.186 Annual Sortino Ratio 278.65 Monthly Sortino Ratio 1.34 Calmar Ratio 1.95 Maximum Total Equity Drawdown % 35.24% Longest Total Equity Drawdown (months) 17.22 Average Max TE Drawdown % 24.48% Average Max TE Drawdown Length (months) 11.41 Maximum Monthly Total Equity Drawdown % 29.94% Maximum Monthly Closed Equity Drawdown % 18.50% Maximum Closed Equity Drawdown % 22.04% Average Closed Equity Drawdown % 2.36% Round Turns Per Million 3,576 Round Turns 19,801,284 Total Trades 4,521 Start Account Balance 200,000.00 Total Win Dollars 5,958,763,644.08 Total Loss Dollars 3,717,058,745.12 Total Profit 2,241,704,898.97 Earned Interest 0.00 Margin Interest 0.00 End Closed Equity 2,654,214,160.62 End Open Equity 538,174,564.70 End Total Equity 3,192,388,725.32 Highest Total Equity 3,261,818,950.08 Highest Closed Equity 2,894,290,806.97 Total Commissions 202,360,645.00 Commission per Round Turn 10.22 Total Slippage 470,788,069.52 Slippage per Round Turn 23.78 Total Forex Carry 0.00 Total Dividends 0.00 Total Other Expenses 0.00 Fees Incentive Accrued 0.00 Fees Management Accrued 0.00 Fees Incentive Total 0.00 Fees Management Total 0.00 Capital Adds Draws Total 0.00

Win/Loss Statistics Wins 1956 43.3% Losses 2565 56.7% Total 4521 100.0% Winning Months 169 66.8% Losing Months 84 33.2% Total 253 100.0% Average Risk Percent -26980108510.88% Average Win Percent 1.86% Average Loss Percent 0.66% Win/Loss Percent Ratio 2.83 Average Win Dollars 3,046,402.68 Average Loss Dollars 1,449,145.71 Win/Loss Dollars Ratio 2.10 Average Trade Percent 0.43% Average Trade Duration 60.55 Average Trade Dollars 495,842.71 Profit Factor 1.60 Percent Profit Factor 2.16 Expectation 0.00   Equity Management Test Starting Equity 200,000.00 Order Generation Equity 0.00 Order Generation Equity High 0.00 Leverage (fraction) 1.00000000 Trading Equity Base Total Equity Drawdown Reduction Threshold (%) 0.00% Drawdown Reduction Amount (%) 0.00%   Global Simulation Parameters Earn Interest False Slippage Percent 5.00% Minimum Futures Slippage 10.00 Max Percent Volume Per Trade 0.00% Max Margin Equity 100.00% Trade Always on Tick True Smart Fill Exit True Entry Day Retracement -1.00% Max Units 0 Use Broker Positions False Thread Count 1 Walk Forward Optimization 365 Walk Forward OOS 9,125 Minimum Futures Volume 0 Commission per Contract 10.00 Trade on Lock Days False Account for Contract Rolls True Roll Slippage in % of ATR 5.00% Minimum Stock Volume 10,000 Commission per Stock Trade 0.00 Commission per Stock Share 0.010 Commission per Forex Trade 0.00 Commission by Stock Value (%) 0.00% Sell Stock Split Remainder True Earn Dividends True Pay Margin on Stocks True Forex Trade Size 1,000.00 Account for Forex Carry True Use Pip Based Slippage False Management Fee 0.00% Management Fee Period Daily Incentive Fee 0.00% Incentive Fee Period Daily Use Capital Adds Draws True   Preferences Risk Free Rate 0.00% Load Volume True Load Unadjusted Close True Process Weekly Bars False Process Monthly Bars False Process Daily Bars False Process Weekends True Additional Years of Data 5.00

Required Disclaimer – Commodity Futures Trading Commission: Futures and options trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don’t trade with money you can’t afford to lose. This website is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this website. The past performance of any trading system or methodology is not necessarily indicative of future results

CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY, SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.