The Quantopolis Portfolio II investment strategy combines the TF Pull Back, VX Short, NQ LONG I, NQ LONG II, ZN LONG and ES Pull Back strategies into one account. The amount of capital allocated to each strategy is as described in the summary description for each strategy and totals to $52,000.
The true power of diversification comes to bear with the Portfolio approach as different strategies behave differently in different markets thereby reducing the losses and increasing the overall gains.
Backtesting was done from 2006 to 2016 as this is the period where data was available for all the strategies. During this period the Portfolio had a net average annual return of 49.73% with a maximum drawdown of -22.83% of allocated capital of $52,000. This translates to a Risk Reward ratio of 2.18. The portfolio averaged 100 trades per year. In addition, as the table below illustrates, during this 11 year period the portfolio had 81% up months and no down years.
In contrast, during the same period, using a buy and hold strategy on the S&P 500 index as the benchmark, we get an average annual return of 7.08% with a maximum drawdown of -50.82% for a risk reward ratio of 0.14. During this 11 year period the S&P 500 had 64% up months and three down years.
Thus, if we use the Risk Reward factor to compare the portfolio performance with a buy and hold approach in the S&P 500, we can see that the Portfolio did about 15.5 times better.
It is worth noting at this point that all the performance metrics for the Portfolio include the costs of commissions as well as the strategy subscription fees charged by Striker. Furthermore, implicit in a buy and hold approach is the compounding of returns as the monies are invested once and held until the end of the time period. By contrast, the Portfolio invests one contract in each underlying strategy during the whole backtesting period. The investor can further increase returns by re-investing some of the generated profits as discussed here.