In this article, we discuss combining previously learned concepts about rule-based strategies, backtesting, and risk management. A core insight: a single strategy can't be profitable all the time, but only during the market conditions for which it's designed.
TrendCatcher Strategy Performance
Let's look at a long-only trend-following strategy with these results:
- Overall Profit: 5,806%
- Historical Drawdown: 38%
- Winning trades: 30%
A corresponding short version generated 81% profit with 33% drawdown and 36% win rate.
Portfolio Construction Benefits
When combining long and short versions on the same account, traders achieved $113,216 compared to $30,700 when running separately—almost four times more. The strategies show low correlation, meaning they generate profits and losses at different moments.
Robuxio's Diversified Approach
We use 12 total strategies:
Long strategies: MomentumCatcher, TheMoon, HighFlyer, Puncher, VolatilityCatcher, TrendCatcher, TheRebounder, BargainHunter, DipHunter
Short strategies: TrendCatcherShort, BearishBulldozer, FakeBar, PumpPopper, PumpNdump, GameOver
Combined results: 49,000% profit with only 15% maximum drawdown and 53% win rate.
Mean Reversion Strategies
Combined Portfolio
Key Takeaway
Uncorrelated strategies enable superior risk-adjusted returns. Trading this portfolio is not a simple task and requires robust infrastructure—Robuxio's core service offering.
In the next article, we will discuss drawdowns – how to understand them, survive them, and use them to improve your trading.
Dries – Robuxio