With this we do the 4 th consecutive month in which the portfolio end systems with a positive result.
month has been quite complicated, and most of the time the overall result of the systems has been moving slightly between the positive and the negative. by the end recent operations in the Oil and American indices have managed to finish a new month in positive adding + € 2179.75 between all systems.
One of the things I like about the global evolution of the systems is that so far this year have been getting good results with a maximum Drawdown very content.
The truth is that if we had used continuous systems or systems on the market longer estuveran surely we would have obtained better results, however, continuous systems are often much more extensive drawdowns, and the margin requirement to be portfolio also take is much higher.
diversification is working well, particularly this month can be seen as results of the systems on European indices DAX and CAC accumulated losses while systems on American index Russell 2000 and S & P Mid Cap 400 accumulated earnings.
Diversification is helping us to reduce the standard deviation (Drawdown) global, while increased the expectation of benefits.
And now a question can we further improve the ratio Benefit / Drawdown?
course!.
In recent months I have been working on a portfolio to currency futures on Globex I'm sure I will implement if we would have even better results, but friends, as I do not have unlimited resources and I have no castle to sell right now I have no choice but to leave things as they are!
:-) Then upload a graphic that shows the ranking of all systems in the portfolio since January this year to date.
Ranking systems:
- System on Crude (QM) System
- Ibex (intraday)
- Ibex System (SwingTrading)
- Dax System
- System on S & P Mid Cap 400
- on CAC 40 System
- on Mini Russell 2000 System.
- Scheme on Bund (FGBL).
Crude The system is spectacular and this month returns to make a new record. The volatility in this market remains very positive and that makes our system that opens and closes positions the same day to take big movements. So far we are providing very positive results showing a very good correlation with other systems, so we let it linger to see if it is for many more months!
The two systems on the ibex are behaving very well this year.The Swing-Trading system that leaves open is more specialized positions on the short side, so this month has had a slightly negative. The intraday system however, is more focused to take advantage of short strokes, and this month has been found in the sauce.
Both systems interpenetrate each other very well covering each of them the weak point that has the other. Both are behaving in a neat and showing strength over the months, and also so let them continue their streak.
systems on DAX and CAC 40 have had a bad behavior. These are the two stones in the shoe that brought me crazy during the month. The reading this might wonder: how is it that has gone wrong if these markets have had a few falls as strong?.
If you look at the list of operations almost every day have made one or another operation trying to get some movement, however, the two systems operate in a given time frame, and we had the misfortune of any falls have been taken in that time slot. Although during the last days I've been working on these systems testing new changes none of them gives me better results than we have implemented, so we let them continue to run anything, and give them a vote of confidence for the coming months.
The Mini Russell and the S & P Mid Cap 400 have had a good month and the two systems have benefited very well falls in the last days. If we look at the blog on 4 April (4 months ago) publish this news to . As the S & P and Russell are moving in a very similar had divided the two contracts that were carrying in Russell's system, leaving only one for this going the other market and the S & P Mid Cap 400. Our goal was to reduce the risk of lead with 2 contracts operate on a single market through diversification, let's see if we have achieved:
Looking at the past 4 months we have:
If we had continued to operate 2 Mini Russell contracts during April, May, June and July would accumulate a loss of € -399.26 .
Having diversified by adding a contract to Mini Russell and a contract to S & P Mid Cap 400 accumulate between the two +911.57 a profit of € during April, May, June and July.
diversification in this case has gone without a hitch, and even helped us to mitigate the bad behavior of Russell Mini system.
Bund The system ends the month with a positive profit of 432 €. On this system I have little to comment because as you will see is a very quiet very few persons transactions per month and needs a lot more data to stabilize the statistics, in the 5 months he has been working lates year loss - € 920, nothing was out of schedule, so we also run without modification.
Overall I am very happy with the overall performance of the portfolio.
If we look at each system independently all have their weak point, but what is interesting in this type of approach is the overall result of the portfolio, rather than the result of any particular system. However I'm still working on improving the overall result day.
That's all for now folks, greetings and good trading.
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