Key Trading Ideas:
Combine separate ideas into a portfolio of systems
A Portfolio of Four Natural Gas Systems:
Illustrates the idea of combining simple systems into a portfolio of systems. Combining systems can help smooth returns and drawdowns.
Results of combined Natural Gas Systems, 2006-p:
373/689 wins/trades: 54%
Average Trade: $429.59
Annual Return: 11.9%
Max Drawdown: 19.7%(!)
Sharpe Ratio: 1.3
! That’s an awfully big drawdown but 101 Trading Ideas is an Alpha hunt and methodology so on the first pass through we are looking for Alpha and exploring ideas and insights. This always comes before we add the scaffolding for real world trading.