Rocket

First portfolio tries to benefit from C2 systems which are quite young, show good profits and low drawdowns. Frankly saying, I am catching high-flyers hoping that they bring me money before failure. The following filters are applied:

• system age is more than 90 days
• annualized return with costs is higher then 100%
• max drawdown is lower then 50% *
• made 10+ trades
• received profits in 30, 60 and 90 last days **
• calmar ratio is higher then 1.5 to exclude systems with max drawdown larger then annualized return

* max drawdown level of 15% was used to create original portfolio couple weeks ago, new condition will be considered for further portfolio updates

** These conditions were added recently and will be considered for further portfolio updates.

Initial portfolio value of 50,000$ is established, no more then 5 trading systems should be subscribed in the same time.

Trading systems down-selected using rules above are scaled in order to have maximum drawdown for each system not larger than 6%. Assuming the worst case scenario with all 5 trading systems got into max drawdown at the same time, the max expected portfolio drawdown is 30%. The experiment will be stopped as soon as portfolio reaches this drawdown.

Here is the link to the portfolio logs - Rocket portfolio

DISCLAIMER: I am not a financial adviser and I do not offer trading advice or recommendation. The content of this blog is for informational purposes only. The posts on this blog should not be considered as recommendation to trade any financial instruments or join any services. Trading in general is speculative and involves substantial risk of loss. It is your responsibility to be fully aware of the inherent risks before beginning of trading or before joining any services. The information in this blog is provided AS IS. Authors accept no liability for your usage of the information, or for any losses or damages that may result from your use of  the information. The information is not an invitation to make any investment nor to join any service. The information should not be relied upon in relation to any investment decision. The past performance of any share, future contract, options, trading system or service does not guarantee the future performance.