I recently came across a Futures trading system that has a 70% annual return and a Sharpe ratio of 1.42. As usual, I spent some time tracking the trades before reaching out to the system developer, Daniel, to ask some questions about his trading system.
Here is the information that he sent in:
Daniel R / Algoteam1
Stock Index Futures, Energy & Metals
Trading System Name
We are a team thats been trading together since 2015. We have different backgrounds and experiences. For example, we come from Economics, IT-Engineering, and Programming with a mutual interest in statistics and Algorithms. Our target audience are investors with trading capital of 100K.
Futures Trading Style
We mostly take intraday and some swing positions. Breakout logic is dominant but there are some counter trend and others also. It is 100% Algorithmic and all positions are managed with stop loss.
We have a strong bias to overall portfolio performance rather than focusing on separate Algos or markets. So we work a lot with correlation tests and diversification both in logic and markets. Our goal is to beat the S&P500 index with a 3:1 factor per year with about the same total risk as the index itself.
Admittedly, I was hoping to get more info from Daniel regarding his specific trade entry and management models but I appreciate what was submitted. You can always check out the other trading strategies.