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Portfolio Construction
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Portfolio Construction

  #1 (permalink)
Trading Apprentice
Atlanta GA
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: ES, TF, EMD, CL, QM
 
dgresens's Avatar
 
Posts: 17 since Dec 2010
Thanks: 6 given, 3 received

Portfolio Construction

I'm considering trading the following combination of portfolios, but I don't understand which combination is the "better" choice and would like to solicit feedback.

Portfolio one consisted of 1 contract each of EC, GC & EMD with the following performance stats:

Total profit: $299,550
Avg Win: $1980
Avg Loss: $957
% Profitable: 40.5%
Win/Loss 2.07
Drawdown 14.15%

Portfolio two is EC & GC only, again a single contract:

Total Profit: $221,545
Avg Win: $3310
Avg Loss: $1410
% Profitable: 40.5%
Win/Loss: 2.35
Drawdown: 19.64

Which combination would represent the lower risk option?

Many Thanks.

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  #2 (permalink)
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  #3 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
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Backtest results have little to do with future results.

That said, I will shout to @imPairsonator and see if he can spare some time to work his magic in answering your question. He has an excellent thread on a diversified portfolio here:

https://futures.io/elite-circle/21967-developing-gtaa-system.html

Mike

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  #4 (permalink)
Elite Member
Israel
 
Futures Experience: Intermediate
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First is better. If they correspond to the same period.
PF TP DD% DD$ TP/DD
1 299,550 14.15 42,386 7.07
2 221,545 19.64 43,511 5.09

Of course the DD are too big for me on both.

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