New 30k Futures Portfolio strategy


Last week I published a new trading strategy in C2. the 30k Futures Portfolio:

It combines 11 different and uncorrelated trading systems whit excellent results over more than 10 years:

  • Five over E-mini S&P500 futures
  • Two over Soybeans futures
  • One over Bund futures
  • One over E-mini DAX futures
  • One over Crude Oil futures
  • One over Natural Gas futures

Portfolio is aggressive in capital management in my opinion. I want to say with this than maximun drawdown expectation is about 30% in the most extreme scenario, never happened in the past, but it has probability of ocurrence less than 2%.

As you know, % of drawdown by itself doesn´t means anything. For example, I can double then account equity from 30k to 60k and % of expected drawdown will be the half. However, the % of anual return will be the half also.

That´s way because the important metric is return/drawdown. Therefore, portfolio anual return expectation is over 100%. It means, double account size each year.

This model account is designed to obtain important profits from a moderate account size and having ‘tolerable’ drawdown, however it depends each one.

There is a free trial week and if you have any doubt you can contact me anytime.


Some people asked me why the system is not TOS.

I of course trade my portfolio, but I employ TradeStation and this broker is not accepted in TOS program.

Nowdays I´m begining to work with MultiCharts in Interactive Brokers, I hope that soon system will be TOS in C2.



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do you have a link to back tested data that goes back atleast 5-6 years? Please link us to it.


Here you have it. It begins in 2006 until nowdays, some less than 11 years.

Last image shows the correlation matrix between different strategies.

If you have any question more feel free to ask.



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I forgot to comment than porfolio backtest analisys has the next features, they are important:

  1. Employs a commision of 5 USD for each trade
  2. Employs an slipagge of 20 USD for each market trade
  3. Sell Limit orders are filled when market runs above, to avoid non filled limit orders. Is the same from the long side. Is a conservative calculation.
  4. Portfolio employs a unique contract for system all time. This is very important, because applying money management techniques the results could be hugely better, but this is not the analysis objetive. The objetive is to cuantify risk and expected returns.



5 weeks after portfolio was publisehd in C2, Sharpe Ratio is over 5

Do you employ stops? If so, how are they derived?

Does it concern you that you’ve already hit the backtested max drawdown in your first 2 months? Maybe backtest is overfit?


Hi Chr1stopher.

Of corse, trading without stop loss is like this:

The portfolio employs 11 different trading systems.

Each one of them has his own stop loss criterion based on volatility, price action, significant levels… Intraday systems has fitted stop levels and swing systems more ample.

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I’m so risk averse that I couldn’t watch that until the end.


Hi David.

Max historical drawdown from backtest hasn´t been hit. It would be horrible in the first month!! :slight_smile:

Take in account than % of Drawdown in backtest is calculated over capital in each moment, so it´s decreasing in time. As the equity is greater in time, %DD is lower.

I prefer calculate max DD over initial capital. For that, if you see the absolute money drawdowns, you can see than usually are over 5.000 USD (16% initial capital) and the maximun was 11.700 USD (39% initial capital).

Take in account than then 30.000 USD employed for initial capital has been chosen to try anual returns over 100%.

Ch1stopher I thougth the same when I saw the video first time, but is a good comparison

I don’t understand one thing. From where these newbies taking strategy pricing? $199 per month is the same price as R Options, best 100% TOS strategy with 1.7 mln USD made on record. Looks like selling value of paper backtesting is skyrocketing :slight_smile:

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Hi marekj.

There are important differences between strategies than you aren´t taking in account. For example:

  • Sharpe Ratio is over 6 in my portfolio and in R Option is 1.5. Very important difference.
  • Max DD was 41% in R Option, my expectation is below 35%.

I explained above in the post why my strategy is not TOS. I work with TradeStation and isn´t accepted in TOS program. In some months I will begin to work with IB in TOS program.

Selling value paper? My friend, I have other portfolio and system publish from a year ago, are they paper value also? Ask to suscribers.

On the end of the day, you can ask for subscription price whatever you want (freedom of speech and land of opportunities) . But let’s go to make clear one thing. In the business of making money, the money only speaks. Please do not try to assign the same value for backtesting numbers and 1.7 mln TOS account, and do not try to argue about it,


Sharpe Ratio is from C2, not backtested.

Let me choose how I want argue my strategies.

If you dont like the price is simple, don´t suscribe.

I always try to understand logic of other people and here I have issue with my abilities. Are you really assign the same value to 1 month sharp ratio from your documented trades and 4 years 1.7 mln TOS account? Do you really think that you can compare it?

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I tend to discount the Sharpe ratio on a system without a significant history (or number of trades) but even so, on a 30K account, paying the $200pm sub fee requires the strategy to make 8% annually just to break even. More once you include commissions.

I agree Ch1stopher, there are a little time still to have robust ratios.

Yes, is a 8%, but take in account than profitability objetives are over 100%.

I can understand criticism like marekj but at the moment I consider than suscription fee is just, but I could be wrong…

Your backtest results are beautiful. But if I had a dollar for every beautiful equity curve I’ve seen in backtest results…

Expectations are good, personally I wouldn’t consider trading a black box (from subscriber’s perspective) that does not have at least 1 year track record, even if sub. fee was free, but of course others may act differently and I wish you a lot of success.

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