Systematic strategies on Index, Bitcoin, S&P 500 and Russell 2000
Four quantitative portfolios, each with several strategies trading together on the 10-minute chart.
Mini Index (WIN)
Mini Index Portfolio
- Trades
- 3,043
- Result / max. drawdown
- 23,7x
- Maximum drawdown
- 17,024 pts
- Positive months
- 86%
- Out-of-sample
- 38,187 pts
Ten strategies 路 1 contract per setup 路 May 3, 2021 to Aug 14, 2026
View portfolioBitcoin (BIT)
Bitcoin Portfolio
- Trades
- 3,808
- Result / max. drawdown
- 20,3x
- Maximum drawdown
- 100,071 pts
- Positive months
- 90%
- Out-of-sample
- 323,411 pts
Nine strategies 路 1 contract per setup 路 Apr 23, 2024 to Sep 18, 2026
View portfolioMicro E-mini S&P 500 (MES)
Micro S&P 500 Portfolio
- Trades
- 2,906
- Result / max. drawdown
- 11,0x
- Maximum drawdown
- 960 pts
- Positive months
- 74%
- Profit factor
- 1.29
Three strategies 路 1 contract per setup 路 May 6, 2019 to Sep 29, 2026
View portfolioMicro E-mini Russell 2000 (M2K)
Micro Russell 2000 Portfolio
- Trades
- 3,316
- Result / max. drawdown
- 12,9x
- Maximum drawdown
- 552 pts
- Positive months
- 73%
- Profit factor
- 1.33
Four strategies 路 1 contract per setup 路 May 6, 2019 to Sep 30, 2026
View portfolioResults are in points of each asset and are not comparable to one another: one Mini Index point, one Bitcoin point, one S&P 500 point and one Russell 2000 point have different values.
What the portfolios have in common
Same way of presenting and testing, so the reading is straightforward.
Each trade is simulated on 10-minute data, with entry, target, stop and exit time defined in advance.
In the Mini Index and Bitcoin portfolios, part of the period is kept apart from the history used to build the portfolio and is shown separately.
Each portfolio adds up several strategies, one contract per setup, and shows the result of each one.
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