Portfolio of Crude Oil, Natural Gas and Copper Systems
From 101 Trading Ideas:
Combine separate ideas into a portfolio of systems
A Portfolio of Four Crude Oil, Four Natural Gas and 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 thirteen prior daily Crude Oil, Natural Gas and Copper systems built from 101 Trading Ideas and combine them into a portfolio of systems.
Results of combined Systems, 2006-p:
1743/2985 wins/trades: 58%
Average Trade: $397.64
Annual Return: 47.5%
Max Drawdown: 13.6%
Sharpe Ratio: 2.4