Portfolio of Copper Systems
Combine separate ideas into a portfolio of systems
A Portfolio of Five Copper Systems:
Illustrates the idea of combining simple systems into a portfolio of systems. Combining systems can help smooth returns and drawdowns.
Take the five prior daily Copper systems built from 101 Trading Ideas and combine them into a portfolio of systems.
Results of combined Copper Systems, 2006-p:
854/1361 wins/trades: 62%
Average Trade: $420.35
Annual Return: 22.9%
Max Drawdown: 10.1%
Sharpe Ratio: 1.6