After two years out-of-sample test (shadow-trading) of the trading strategy, from August 2023 to August 2025 we can finally share results over a reasonable timeframe, with a severe shock in the market due to global market trade tariffs negotiations, several wars ongoing, etc.
The selected underlyings are NQ=F, ES=F, RTY=F, YM=F, futures on major indexes, extremely liquid, thus they could be related to most of the stock markets trends. No balance of the associated margins, one future each underlying traded and simple trading strategy. Daily predict gain or loss for each underlying and trade long or short accordingly, achieving a natural balance (almost market neutral as they could trade long or short independently every day). Initial margin 53k.
The summary results shows pros and cons and I leave to the reader to interpret results, especially because it is always personal in terms of the acceptable risk and the expected gains.
FULL PERFORMANCE SUMMARY (509 trading days)
Initial capital (margin): 53,000
Total PnL series length: 509 days
Equity = 53,000 + cumulative PnL
Starting equity: 57,465
Ending equity: 498,079
Return Metrics
Average daily return: +0.4538%
Average monthly return (~21 trading days): +9.97%
CAGR (annualized compound return): +189.44% per year
Total equity growth factor: ~8.7×
Risk Metrics
Annualized volatility: 38.05%
Sharpe ratio (rf = 0): 2.98
Sortino ratio: 5.58
Maximum drawdown: –17.64%
Calmar ratio (CAGR / MaxDD): 10.74
Win rate: 56.89%
Average up day: +1.61%
Average down day: –1.08%
Tail Risk (Historical)
1-day VaR 95%: –2.45%
1-day Expected Shortfall 95% (ES): –3.95%