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Introduction:

It’s hard to believe that 2025 is already coming to an end and 2026 is just around the corner. This year has been full of meaningful wins and improvements, both in my systematic trading portfolio and on a personal level.

In this post, I will cover the following:

• 2025 live systematic trading performance update

• Live performance compared to backtested performance

• New systems added to the portfolio in 2025

• System-by-system performance since inception

• Biggest winning and losing trades in 2025

• Planned portfolio updates for 2026

• Long term goals (2026 and beyond)

• Non-trading related wins in 2026

Let’s get into it!

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Portfolio Performance Charts:

We’ll start with what I would assume people care about the most, my systematic trading portfolio performance.

2025 was my best year thus far.

For anyone unaware, I started trying to figure out systematic trading in 2020. I spent 3-ish years performing all the most common retail mistakes of curve fitting, trying to make the holy grail system, falling for fake gurus, and ultimately losing money.

About 2.5 years ago I changed my methods and my equity curve started heading in the right direction. I’m still trying to figure this whole systematic trading thing out, but I think I’m getting closer every year.

2025 Live Recorded Performance:

Not too shabby, I can’t complain about 61%, especially considering the S&P 500 returned ~16.6%.

While a portfolio return of 61% is spectacular in my book, I cannot expect this every year. This is definitely on the upper end of returns when I compare back to my longer term backtested performance.

10 Year Backtested Performance (Equity Curve, Performance Stats, and Drawdown Plot):

Above is my systematic trading portfolio (blue) compared to the S&P 500 since 2010. For anyone wondering, the pre-2010 timeframe actually performs even better than the post-2010 timeframe.

The reason why I am only showing post-2010 is because I literally can’t backtest that far back all at once anymore. I simply do not have the computer power, I froze my PC multiple times trying to run a backtest from the early 1990’s until today. I am debating buying a better PC next year because I do think it’s important to be able to work with as much data as possible when making portfolio level decisions.

The reason why backtesting back until the 1990’s takes so much computer power is because I’m trading many systems across three markets: USA, ASX, and TSX. That’s over 50,000 stock ticker symbols which need to be processed every day in the portfolio backtest. Just since 2010, that’s over 200 million computations per indicator. So, you could see how that could add up pretty fast…

Could I make my coding more efficient to reduce the number of computations? Maybe, but why would I do that when I can use it as an excuse to buy a new PC?

Anyway, one thing I don’t like about my portfolio is I hold a lot of leveraged beta. You can tell because the equity curve shape somewhat mirrors the S&P 500, just with higher returns (but also lower drawdowns!).

This intuitively makes sense because I trade a lot of trend and momentum systems. That said, I want to start exploring systems that hold very little beta and have lesser correlation to the underlying market. I do have some hedging systems and systems that have relatively low correlation to the general market, but I need more. Hence, 2026 will be the year of diversification in the portfolio.

10 Year Backtested Performance (Drawdown Length Plot):

A cool plot I don’t see too often is the drawdown length plot. This shows how many days the portfolio has been in a drawdown historically.

Most of the time I am only in a drawdown for a handful of days, but occasionally I’m in a drawdown for over 6 months.

If you run a portfolio backtest pre-2010, there are periods where I would have been in a drawdown for over a year. So patience is key!

10 Year Backtested Performance (Exposure Plot):

I think it’s important to point out that in my portfolio I do use leverage from time to time. I try not to hold leverage for very extended periods of time, rather just short term spikes.

Generally speaking, I use leverage when I am fully allocated or near fully allocated to my longer term trend/momentum systems and then a short term trading systems kick on (like a mean reversion system). These scenarios tend to kick me into some leverage.

While this is riskier than using only cash (no leverage), I am typically only using leverage for a short period of time (lasting just a couple of days on average). I’m comfortable holding modest leverage for brief periods of time to allow my shorter term systems to trade.

I’ll note, while I am okay with some leverage, I do think my current allocations can cause leverage can spike just a little too high. This year, my portfolio spiked to around 150% exposure at one point and I was a bit uncomfortable.

Hence, I am slowly trying to shift around some system allocations to reduce the amount of leverage the portfolio can use. I would prefer to cap short term leverage at closer to 140%.

It’s all an iterative and continuous improvement project for me. Once I learn something new or test my own psychological limits, I take those learnings and experiences and use them as a feedback loop to tune the behavior of the portfolio such that it only gets better over time.

10 Year Backtested Performance (Number Of Position Held Plot):

You’ll notice my portfolio holds many positions at once. Commonly sitting at 130-140 different stocks and occasionally spiking up to 180+. Luckily I use an order management software to keep tabs on all these positions because I could never track all of this myself.

Generally, I have no idea what stocks I hold. I could maybe list off 4 or 5 just because I noticed the ticker and I am familiar with the company; but I don’t know what 97% of my positions are.

And frankly, I don’t really care. These stocks are displaying some sort of momentum, trend, or mean reverting qualities and thus my systems buy or sell them. That’s all that matters to me.

So don’t ask me what stocks to buy or what the next hot sector will be because I have no idea. I don’t even know what I currently hold in my own portfolio. Usually when I tell people that they look at me funny, which is always entertaining.

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Newest System Additions In 2025:

This year I implemented two new systems into the trading portfolio. At this point, I am basically at capacity in terms of the number of systems I can trade in relation to my account size. But I am currently saving up some cash so I can add it to the portfolio and deploy more systems in 2026.

System #1:

The first system I added in 2025 was a Canadian (TSX) stock weekly trend-following system. I already traded a daily trend-following system on the TSX, but I figured moving to a higher timeframe would filter out noise and capture even longer term trends.

I’m a big believer in stacking multiple simple, but different, systems together. One system may operate on the daily timeframe, another on the weekly, one system may be looking for breakouts to new highs, another may be chasing relative momentum, one system may use short term lookbacks, another uses long term etc.

What this does is stack multiple simple features together, and when they are all traded side-by-side it creates a sort of meta-system that naturally scales into the strongest stocks and scales out of the weakest stocks.

The concept of the new TSX weekly trend following system is extremely simple: buy higher-timeframe/very long term breakouts. That’s it. Despite the simplicity, the historical performance has been powerful and should meaningfully add to my portfolio over time.

The system holds positions for very long periods of time, often many months or even years, but that’s intentional. Once the system captures a big winner, I want to hold it as long as the trend persists.

Market: TSX
Type: Trend Following
Side: Long
Timeframe: Weekly

I launched this system live in May 2025, so it’s only had about seven months of out-of-sample live performance. For a system with such long holding periods, seven months isn’t much and is not meaningfully significant yet; but here’s the live equity curve so far (this curve is constructed based on the actual trades generated by this system that I took in my trading account):

As you can see, it’s choppy but it’s headed in the right direction. As I said, seven months of live data is somewhat meaningless for this type of system; so we’ll need to check back in another year or so to get a better sense of how it’s holding up. Either way, I’m happy with the performance thus far.

System #2:

The most significant improvement to the portfolio this year was the implementation of what I call the “mean reversion mini-portfolio.” I call this “system” a “mini-portfolio” because it’s actually 6 very simple signals all stacked on top of each other.

It’s a meta system that combines 6 very simple ideas together to make one mini-portfolio. I then integrated this mean reversion mini-portfolio into my overall total portfolio allocation. The simulated impact of the mean reversion mini-portfolio on my overall portfolio performance is very promising.

Up until this point, I only had a handful of mean reversion systems. The vast majority of my portfolio allocation was towards long term trend and momentum systems. Thus, adding this mean reversion mini-portfolio provides a complementary trading style to the longer term systems which should have a massive positive impact on the overall portfolio.

Here’s the backtested performance of the mean reversion mini-portfolio over the past 15 years (the pink line is the S&P 500 and the blue line is the mean reversion portfolio):

Market: USA
Type: Mean Reversion
Side: Long
Timeframe: Daily

That’s a pretty nice-looking equity curve, if I do say so myself. Not too bad for simply stacking 6 simple signals together. I’m very excited about it and happy to have it running live (and so far the live performance matches very well with the simulated performance).

I’ve historically been hesitant about mean reversion systems. Many mean reversion ideas I’ve stumbled across have felt fragile. In my experience, mean reversion is extremely easy to overfit. Most mean reversion systems I’ve found online are overfit as well.

Hence, I took a step back, found 6 super simple mean reversion features/measurements that work very well, have very few parameters, are stupidly simple, and stacked them all together.

Most mean reversion systems combine rules on top of rules to curve fit a fantastic result. This system works differently. Each mildly predictive feature (rule) of the system operates independently of the others.

I’m not curve fitting to find the perfect combination of rules with the perfect parameters to get this result. I’m trading many singular rules individually (with a broad parameter space that works), and the combined result is much more robust and interesting for me to allocate capital to.

See the plot below to see a breakdown of the many equity curves that make up this mean reversion mini-portfolio. Each line represents one feature (rule) applied to one of the tradable instruments.

You’ll notice some of these equity curves look great, some look okay, and some are flat or actually lose money over the long term. I don’t care, I trade them all. When you stack all of these simple results together, the result is very interesting, at least to me.

One thing that’s cool about mean reversion is it generally uses very minimal capital. Occasionally capital exposure spikes to 100%, which you have to be careful about in terms of total portfolio level allocation, but the vast majority of the time the mean reversion portfolio is sitting around 15% to 40% exposure. Thus, the returns are pretty interesting given the efficiency of the capital usage. See the exposure plot over time below:

Oh, and for anyone concerned about the backtest only going back to 2009 (that’s generally when the traded instruments became available, which are leveraged ETFs), I ran the mean reversion portfolio on non-leveraged ETFs back to 2000. Obviously the returns would be less, but the stability of the equity curve is what’s more important here.

The mean reversion mini-portfolio still holds up great. There’s a few bumps and bruises like in 2001 and some volatility in 2008, but overall not too bad.

It’s also worth noting, no data pre-2009 was used in the development of this system, so that’s pure out-of-sample.

Also, 2018 onwards was used for out-of-sample testing as well. So, 2009 to 2018 was the development/fitting period and everything else was completely unseen. Not too shabby if I do say so myself.

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System By System Live Performance (Since Inception):

Thus far, I’ve shown the backtested performance of the entire portfolio, the live performance in my Interactive Brokers account, and the two new systems I added to the portfolio in 2025. This section will show my system-by-system live performance. These plots will show how each system has performed individually.

The ROR (rate of return, same as CAGR) and Max Drawdown metrics shown below won’t really make sense because they are being calculated based on the entire account size; when in reality each of these systems is only allocated a small fraction of the full account size.

So, for example, if the full trading account was $100,000 and a system stated a live ROR of 5%, but the system was only allocated 20% of the account, then the true live ROR of the system would be closer to 25% (assuming the system traded the whole account). Basically, the ROR and Max Drawdown stats are scaled down by the system allocation percentage.

I figured it was worth pointing that out so you weren't completely confused by what some of these numbers mean. I don’t explicitly label it, but most systems are somewhere in the mid-teens in terms of percentage portfolio allocation.

It’s also worth noting, some of these systems I have been trading for a little over a year before the plots shown below display. I was using a different backtesting and order management system back then which did not allow me to display the plots I will be showing in this article. Since I switched over to my current infrastructure in early 2024, I have much better records and more ways to process and display data.

It’s also worth pointing out some of the systems listed below are “meta-systems”. Meaning, the system is made up of multiple mini-systems that all work together to make the final system (similar to how the mean reversion mini-portfolio works). So if you were to count all of the systems I have including every mini system within a meta-system, I would have over 30 systems in total. But, if you count the meta-systems as just one system, then I have only 13 systems total.

The meta-systems are shown below in blue (only the aggregated result of the meta-systems are shown, rather than the result of each small component of the meta-system), and the singular systems are shown in green (these systems are not made of many smaller simpler systems).

Below I will show tracked system-by-system live performance as seen by my trading account since March 2024 (except for the couple new systems, which started at a later date).

Alright, that’s enough of me being confusing and stating caveats, here is the system-by-system live performance.

Market: ASX
Type: Mean Reversion
Side: Long
Timeframe: Daily

Market: ASX
Type: Trend Following
Side: Long
Timeframe: Daily

Market: ASX
Type: Momentum
Side: Long
Timeframe: Monthly

Market: ASX
Type: Trend Following
Side: Long
Timeframe: Weekly

Market: TSX
Type: Mean Reversion
Side: Long
Timeframe: Daily

Market: TSX
Type: Trend Following
Side: Long
Timeframe: Daily

Market: TSX
Type: Trend Following
Side: Long
Timeframe: Weekly

Market: USA
Type: Trend Following
Side: Long
Timeframe: Daily

Market: USA
Type: Trend Following / Hedging
Side: Long (Long Volatility)
Timeframe: Daily

Market: USA
Type: Trend Following
Side: Short
Timeframe: Daily

System has never turned on… maybe one day.

Market: USA
Type: Mean Reversion
Side: Short
Timeframe: Daily

Market: USA
Type: Momentum
Side: Long
Timeframe: Monthly

Market: USA
Type: Mean Reversion
Side: Long
Timeframe: Daily

2025 Biggest Winners and Losers (on a percent basis):

For fun, here are some of my biggest winning and losing trades of the year. I’ve had several big winners that I held for most of the year (and even for part of 2024) as they slowly climbed higher.

I’ve also had some big losers, especially on the short side, but generally speaking big losers have been infrequent. Most of my losers are relatively small. Even the larger losers (on a percent basis) are relatively small compared to the entire portfolio in terms of dollar value. So, I am controlling losers via a relatively tight exit and/or with relatively small position sizes.

Below I show a series of screenshots of trade stats tables corresponding with a big winning or losing trade. Then right below the table I show a plot of the stock price action and the trade taken (and for some trades I have the stop loss plotted as well).

Note: These trades are both long and short, so keep that in mind in terms of direction. The plots note if the trade is a long or short trade. Also, some of these trades are mean reversion trades while others are long term momentum/trend trades, so the the definition of “big” winner or loser is relative to the system type the trade was taken from.

Biggest Winners:

2025 Biggest Losers:

To be honest, because I run a portfolio comprised of many systems and I typically hold 140+ positions at any given time, I often don’t even know what my biggest winners or losers are until I specifically go look. I only discovered the trades listed above when I was preparing this section of the article.

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Portfolio Updates Planned For 2026:

In 2026, I have some portfolio updates to implement. Some of these updates include adding new systems, changing some system allocations, and even turning some systems off.

Update #1:

I’ll start first with the bad news. My ASX mean reversion system has not been working as well as I had hoped. Since inception in early 2024, it has just been chopping sideways.

You can see the entire system backtest below. To understand the performance degradation I am referring to, compare the performance from 2000-2023 to 2023-onwards.

Market: ASX
Type: Mean Reversion
Side: Long
Timeframe: Daily

Could this system have been curve fit by me? Quite possibly. But also, the system works just fine on the TSX too. See below for this same system on the TSX market (I also trade this same system on the TSX, aside from one small tweak to the system).

Market: TSX
Type: Mean Reversion
Side: Long
Timeframe: Daily

Similar behavior occurs on the TSX as well. Recent performance has flatlined compared to historical performance. So, it could be curve fitting, it could also be the system simply doesn’t work anymore.

Either way, I am going to turn off the ASX version of this system. It is simply tying up too much capital for little to no reward. Could the system turn around? Sure it could, but it’s not worth paying the commissions waiting for that to happen. The system doesn’t return that much anyway and I have much better systems to focus my efforts on at this point.

For now, I will keep the TSX version of this system running. The TSX version seems to be turning around and starting to go back upwards. That said, the system will be on probation. I won’t hesitate to turn the TSX version of the system off if the performance starts to degrade.

This is the first system I have turned off since ~2023 (pre-2023 I had no idea what I was doing and all of my systems lost money, though you could argue I still have very little idea what I’m doing). I accept it’s part of the game. Systems fail or don’t behave as expected. At least in this case the system didn’t die in a catastrophic drawdown, but rather just sideways chop.

Update #2:

Another update I plan for 2026 is to reduce the allocation to my new mean reversion mini-portfolio. I think I was over-excited and came in hot with the initial allocation percentage. This resulted in more leverage than I care for, at least that’s what I learned the hard way.

There were a few days around the end of November where I was pretty nervous about my exposure going into the weekend. I am normally unphased with my portfolio and it’s allocations, but I was holding a decent bit of leverage (150% exposure), my portfolio NLV had a ~10% drawdown overnight, and I simply was more concerned about it than I would like to be.

The best way to fix that is to simply lower some allocations to prevent this in the future.

You can actually see this -10% day on my live performance plot below, circled in red:

Luckily the portfolio recovered quickly, but I learned my lesson… the hard way… like I always do.

I already reduced the allocation to the mean reversion mini-portfolio a little bit this past weekend, but I will likely lower it a little more. I came out guns blazing, then scurried back into my hole with my tail tucked between my legs. I plan to not let that happen in the future.

Update #3:

One of the other areas where I plan to make some headway in 2026 is to add systems which provide more short-side and hedging exposure; as well as systems which reduce my exposure to leveraged beta. Ultimately, I would like to reduce my portfolio level correlation to the underlying market.

Hence, 2026 will be the year of exploring new strategy types on different markets or instruments than what I currently trade. I think this will give me a lot of bang for my buck. Adding more trend or momentum will add very little to my portfolio at this point.

If you have any ideas/suggestions for system concepts to explore, please let me know!

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Long Term Systematic Trading Goals:

My ultimate long term goal is to be able to live off my systematic trading portfolio. Rough napkin math says I need at least a low 7-figure portfolio to be able to do this.

Currently I’m sitting in the lower half of 6-figures, so I am still very much in the building and growing phase. I’m trying to shove as much of my savings as possible into my portfolio so compounding can do its magic.

I’m an entrepreneur by heart and I dislike the corporate world with a passion. I enjoy being my own boss, making my own decisions, and being self sufficient; hence why I want to be an independent systematic trader and live off my portfolio so badly.

When I was in college and for the first year out of college, I started and operated a small landscaping business that was pulling in 5 figures a month in profit. Still to this day, I regret leaving that small business I built to go into the corporate world.

Running my own business was the most fun I ever had working. Since I treat my systematic trading like a business, I see it as no different. I want to run my trading account as my business and be the boss of the business and report to no one except myself.

Assuming a long term CAGR of 25% (my backtested portfolio CAGR sits at 35%, but let’s conservatively assume that decays a bit), if I add no more external capital to my portfolio, I could be in the 7-figure range in 8-9 years.

But, if I work hard, save hard, and keep adding capital to the portfolio, I could be in the 7-figure range as early as 6-7 years.

Either way, I still have a bit of runway to go before I have a chance at living off my portfolio; and until I get there I’m going to be treating my systematic trading account like a savings account.

One big gap in my systematic trading portfolio is the ability to profit in bear markets and during market shocks. I do have some hedging systems within the portfolio that do this, but I want more. I’m very long bias, which is fine as equities tend to drift up over time, but I need to be more prepared for less friendly market environments.

Sitting in cash and/or massive drawdown because of a large market crash next year would elongate the time until I can live off my systematic trading portfolio. Hence, in 2026 I’ll be focusing on researching new trading systems so that I am more prepared for less favorable market conditions, and to reduce my leveraged beta exposure.

Non-Trading Related Wins In 2025:

I figure I could share a few things non-trading related which were positive expectancy that happened to me in 2025.

During the first 6 months of 2025, I lost 50 pounds. I do the typical bulk-cut cycle that lifters tend to do. Though this last bulk lasted 3 years, so I added some fluffiness.

I spent January thru July losing all that weight, dropping from 225 lbs back down to a healthy and lean 175 lbs. My blood pressure and other health metrics have all improved and I feel fantastic at 175 lbs compared to 225 lbs, where I felt slow and sluggish.

Another positive outcome for me was I just learned I had the highest performance rating on my team at my day job. That should result in a healthy raise and bonus next year, and you better believe that’s all going into the systematic trading account.

Though I want to be a self sufficient systematic trader and not be in the corporate world forever, I do recognize the importance of performing well at my job during this time of building my trading account. I focus on performing well at the day job because that income fuels my systematic trading and allows the account to grow even faster.

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Conclusion:

Wrapping up 2025, I have to say this has been my strongest year yet, both in terms of portfolio performance and the progress I’ve made in building something robust and sustainable.

What I am the most excited about this year is I finally feel like I’ve developed a mean reversion approach that actually feels right for me. Although I had some leverage lessons learned the hard way, that’s just part of the iterative learning and improvement process.

I can’t complain about the performance of the portfolio at all, this year has been fantastic. Fingers crossed performance continues into 2026. But realistically, I’d be happy with half the performance I had this year.

In 2026 I plan to continue to evolve the portfolio. I’ll be turning off some underperforming strategies, fixing some system allocations, and most importantly, researching and developing new strategies that reduce my exposure to leveraged beta. If you have any suggestions on what ideas I should focus on, seriously DM me or comment below; I’m all ears.

Ultimately, I’m still in the building phase; both in terms of developing more systems and trying to compound my account. It’s going to take a lot of patience, discipline, and a likely 7+ more years of smart iterations and development, but I am finally starting to feel like I’m walking down the right path, or at least walking in the right general direction.

Thanks for reading and please feel free to provide any thoughts or feedback, I’m always happy to learn and consider new ideas/methods.

Disclaimer

The information and services provided by the Systematic Trading with TradeQuantiX newsletter are for educational and informational purposes only and do not constitute financial advice, investment recommendations, or guarantees of trading performance. Any information provided is general in nature and does not take into account your individual circumstances. Trading involves significant risks, including the potential for substantial financial losses, and past performance is not indicative of future results. The information is provided ‘as is’ without warranty of accuracy or completeness. All decisions and actions based on the information provided are the sole responsibility of the reader. You should seek independent professional advice before trading. The Systematic Trading with TradeQuantiX newsletter is not liable for any losses, damages, or outcomes resulting from the use of this information or our services.

Welcome to the “Systematic Trading with TradeQuantiX” newsletter, your go-to resource for all things systematic trading. This publication will equip you with a complete toolkit to support your systematic trading journey, sent straight to your inbox. Remember, it’s more than just another newsletter; it’s everything you need to be a successful systematic trader.

Introduction:

It's that time again—another entry in the TradeQuantiX Portfolio Journal. Every few months, I share an update on my portfolio's performance, along with insights into other trading and non-trading aspects of my life. In this update, I review a few things:

• My portfolio's performance

• Share recent Substack growth

• Share a new data manipulation technique I’ve began developing

• Share a technique for switching off non-performing systems

• Look at some winning and losing trades

Let’s get into it!

If you missed the last portfolio update you can check it out here:

Portfolio Performance Update:

In my last portfolio update back in May, I was just beginning to recover from a large drawdown. Now, two months later, I've not only reached new equity highs but surpassed my previous high by a large margin. To be honest, recent performance has been exceptional, there’s no other way to say it. You can view my portfolio equity curve in the plot below.

My portfolio’s equity curve has been almost unbelievable for the past month or so, resembling a near-perfect upward trajectory with very few red days. While my performance shows some correlation with the broader market—particularly in the timing and magnitude of drawdowns—my upward swings are significantly amplified compared to the general market.

This correlation makes sense, as I trade many trend and momentum systems, which often experience drawdowns in sync with the general market. However, once the bottom of a drawdown is reached, these systems tend to propel my portfolio to new highs and beyond, riding the wave of recovering trends.

Trend and momentum strategies keep me invested in the best-performing stocks, which tend to surge out of drawdowns to new highs much sooner and with much greater magnitude than the general market. For instance, while the S&P 500 (SPY) is just shy of its all-time high, my portfolio has soared approximately 20% above its previous all time highs. I can’t complain about that.

Hitting all-time highs feels exhilarating, but I work hard to temper my excitement. I constantly remind myself that a new high is just one day away from the start of a new drawdown. The next drawdown could begin tomorrow—I never know. This uncertainty is why systematic trading always keeps you on your toes.
At this stage in my trading career, I’ve grown comfortable with drawdowns. They act like a cleansing mechanism for my portfolio, as my systems offload underperforming stocks and retain only the strongest performers. It’s like a reset that strengthens my holdings. You can compare my drawdown periods to the S&P 500’s performance in the plot below.

As evident from the drawdown plot, the timing and magnitude of my portfolio’s drawdowns closely align with those of the S&P 500. However, my equity curve reveals that my upside performance far outpaces the S&P 500.

My portfolio has managed to keep downside volatility in line with the broader market while amplifying upside volatility well beyond the general market’s gains. Upwards volatility is the good volatility!

As I’ve mentioned, I’ve grown comfortable with drawdowns at this point in my trading career. When you kick off your systematic trading journey with a $25,000 loss followed by a two-year drawdown, you develop an almost psychopathic resilience to losses. Sure, losing money isn’t fun, but it’s nothing new for me, I’ve experienced drawdowns many times before.

More importantly, I trust my systematic trading portfolio. I trust that it is strategically positioning me to capitalize on the market’s next upward move. My systems are designed to ensure that when market strength returns, I’m ready to ride the markets to new highs. I do have some systems that benefit from market sell offs too, but these more or less just keep my portfolio afloat. The bulk of the gains come from the long-side momentum and trend systems

I’ve also created a new plot showcasing the Sharpe ratio of my portfolio, calculated on a rolling 50-day basis. This plot highlights how the Sharpe ratio fluctuates over time. Recently, it skyrocketed as my portfolio emerged from drawdowns, reflecting strong risk-adjusted returns.

While seeing the 50-day rolling Sharpe ratio is interesting, my focus is more on the average Sharpe ratio over time. Currently, my portfolio’s average Sharpe ratio stands at 2.18, a value I’m thrilled with. Especially since this Sharpe ratio reflects real, out-of-sample live performance. You can see the rolling 50-day Sharpe ratio plot below.

Some systematic trading purists might argue that my portfolio exhibits too much volatility, claiming that a truly skilled systematic trader would have a more stable Sharpe ratio and fewer drawdowns with a lesser magnitude. To them, I say: show me your real, out-of-sample results.

I achieve my performance with less than five minutes of daily effort, running my systems each morning then going on with my day, not worrying about trading until tomorrow when I have to run my systems again. I’m perfectly fine with a bit of volatility if it means I don’t have to babysit my trading systems all day.

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Non-Portfolio Related Performance Updates:

While my trading performance remains the focus of these updates, I also enjoy sharing personal milestones and other trading related achievements from time to time.

Substack Growth:

I’m thrilled to announce that this Substack publication has surpassed 2,000 subscribers—a milestone I never imagined reaching when I launched it nine months ago. So, thank you to all of you for your support in reaching this milestone! Systematic trading can be a lonely endeavor. Often times it’s just me and my computer, so having a community to write to and occasionally connect with makes a huge difference.

I will say though, I wish my portfolio’s equity curve was as consistently smooth as my Substack’s subscriber growth!

Monte Carlo Engine:

Another non-performance-related update: I’ve started developing a new Monte Carlo engine to enhance robustness testing of my trading systems. This engine can do multiple things, such as:

• Modify time series data to apply noise to the open high low and/or close

• Modify time series data to apply drift to the data based on random walk

• Modify time series data to shift a stocks timeseries forward or backwards in time

This allows me to create realistic synthetic stock data I can test with. This approach effectively creates additional out-of-sample data I can use for validating system robustness.

I’ve been experimenting with the Monte Carlo engine recently and it’s been pretty helpful with my system development. In the upcoming portfolio development series I’ve been working on, one of the articles will explore how I use different Monte Carlo techniques generated by this engine to robustness test a trading system.

One technique I’m considering is to develop systems using the synthetic Monte Carlo data, then validate the systems against real historical data for out-of-sample testing. This method could significantly reduce the risk of curve-fitting and would give me access to a broader dataset for development and testing. More to come here.

Ranking System Approach:

I recently discovered an intriguing technique mentioned in a podcast with Cesar Alvarez, a well-known systematic trader. Cesar employs a unique systematic trading approach where, every quarter, he rotates out underperforming systems and replaces them with higher-performing ones in his portfolio.

This system rotation is done systematically. He has a governing ranking system that ranks all of his individual trading systems. I thought this was a very cool concept. Inspired by this, I’ve started to develop and test with a similar approach. I believe this methodology could be a powerful way to ensure my portfolio consistently trades only the top-performing strategies. While I won’t implement it exactly as Cesar does, the approach I am developing is closely related—let me explain.

I’ve always been cautious about mean reversion strategies, as I find them prone to overfitting during backtesting and then underperform during out-of-sample testing. This is why I currently trade only a few mean reversion systems. I’d like to incorporate more mean reversion strategies into my portfolio but have hesitated due to concerns about their reliability in future unseen markets.

Cesar’s ranking approach potentially offers a solution. If I develop, say, 10 mean reversion systems, I can track and rank their performance over time during live trading. If a mean reversion system begins to lag relative to the others, it naturally falls to the bottom of the ranking. I can then set a threshold, such as excluding the bottom three systems from trading.

This mechanism would automatically phase out a failing mean reversion system and preference the winning systems. I would not use this technique on all of my portfolio, but rather just short term mean reversion systems.

This technique is exciting because it provides a systematic way to deactivate underperforming systems, making me more confident about trading mean reversion strategies. I’m eager to test this approach and see how it performs. I’ll keep you updated on the results! See the link below for the podcast I’m referring to:

The Algorithmic Advantage

Episode 041 - Cesar Alvarez - A Novel Way to Combine Trend, Reversion, ETFs, Volatility & More!

When I sat down recently with Cesar Alvarez of Alvarez Quant Trading, I knew I'd be tapping into a deep reservoir of quantitative trading wisdom. Cesar’s journey into systematic trading began similarly to many of us—starting with discretionary trades, dabbling in mutual funds, and eventually stumbling into the quant world. From his early days at Connors…

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10 months ago · 7 likes · Simon M

Noteworthy Trades:

The final update I want to share is a showcase of some noteworthy trades some of my trading systems currently hold. Recently, I’ve had several big winners, with a few individual positions growing to nearly 10% of my portfolio’s equity.

I’ve included screenshots from my brokerage account below to highlight some of these trades. In the screenshots, the green highlighted area represents open profits, while anything below that green region indicates open losses.

The image below is of a recently closed short position I held for 1 day. The small red and blue tick marks indicate what I entered and exited the short.

You can see on the second to last large red bar my system shorted at around $7.40, then covered the position the next open around $3.75. That’s a quick ~50% profit overnight. I can’t complain about that!

Sometimes shorting is fun like that, other times you end up at a 150% loss overnight; that’s the game you play shorting small cap stocks.

Not all of my trades are big winners of course. I also have some real laggards in the portfolio which are noisy and not really doing anything productive. Some might say:

“If they are such laggards, why not just sell the positions?”

Great question.

It’s because I’m a systematic trading purist.

I tested and validated these trading systems, and historically these systems have not had me monkeying with the trades, so I’m not going to mess with the trades going forward in time either. I’ll hold these trades until the system says to sell them. That’s the fun part of being a systematic trader, your data backed systems control your portfolio, not you and your emotional human mind.

See the images below for some lagging positions that are currently sitting at a small loss.

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Conclusions:

Alright, that’s it for this entry into the TradeQuantiX Portfolio Journal. I’m very excited to have hit new highs recently, but am ready for the next drawdown right around the corner. As I mentioned, drawdowns don’t really faze me anymore—not after that $25,000 two-year drawdown I experienced when I first started.

Outside of my trading portfolio, it’s unbelievable that I’ve hit 2,000 subscribers on Substack. Nine months ago, I didn’t think anyone would care what I had to say, so thank you for proving me wrong! Trading’s a lonely game—just me and my screen most days—so having you all to share this with means a lot.

Systematic trading is never boring. One day you’re at a high, the next you’re bracing for a drawdown. That’s just how it goes. I’ll keep tinkering, testing, and improving my portfolio and will share any big updates along the way. Thanks for reading—happy trading!

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Disclaimer

The information and services provided by the Systematic Trading with TradeQuantiX newsletter are for educational and informational purposes only and do not constitute financial advice, investment recommendations, or guarantees of trading performance. Any information provided is general in nature and does not take into account your individual circumstances. Trading involves significant risks, including the potential for substantial financial losses, and past performance is not indicative of future results. The information is provided ‘as is’ without warranty of accuracy or completeness. All decisions and actions based on the information provided are the sole responsibility of the reader. You should seek independent professional advice before trading. The Systematic Trading with TradeQuantiX newsletter is not liable for any losses, damages, or outcomes resulting from the use of this information or our services.

Welcome to the “Systematic Trading with TradeQuantiX” newsletter, your go-to resource for all things systematic trading. This publication will equip you with a complete toolkit to support your systematic trading journey, sent straight to your inbox. Remember, it’s more than just another newsletter; it’s everything you need to be a successful systematic trader.

Introduction:

It’s been a minute since I’ve written a portfolio journal, so I figured it was about time to write another. This will be a quick one, but I’ll give an overview of a few things going on with my portfolio and life since I last checked in. This article will cover the following:

• Portfolio Performance

• A New Trading System

• Trading While Traveling

Here we go, let’s dive in.

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Portfolio Update: 5/14/2025

When I last logged a portfolio update back in February 2025, I was at all-time highs. Since then, I’ve been sitting in a drawdown. I hit an equity peak near the end of February, then the drawdown set in. It makes complete sense why I’m in a drawdown; a lot of my strategies are long momentum-based. When the general stock market sells off like it has the past couple of months, my portfolio is going to feel a little pain as well. The goal is to have more gains and less drawdown than the general stock market over the long term. If I can do that, I’m a happy trader; and so far so good! Check out the plot below for my portfolio performance:

While drawdowns aren’t fun, they’re part of the game. On the other side of each drawdown is an all-time high. The longer I sit in a drawdown, the closer I am to new highs. This is how I frame the concept of drawdowns in my head—it helps keep me sane. Keeping your sanity is how you stay in the game to trade for the long term, so please, do what you have to do to keep your sanity!

With that said, my equity is quickly crawling back toward all-time highs. It seems like after each drawdown comes a rocket-like recovery, so let’s hope this time is no different.

It’s always important to zoom out, too. When I run my portfolio back to the year 2000 until today, the most recent pullback is nothing but a little blip on the equity curve. Check out the very top right corner of this portfolio equity curve—that’s what I’m experiencing right now. Doesn’t seem like that big of a drawdown anymore, does it?

As a side note, the past few months of my life have been pretty busy, which is both good and bad. It’s good because it distracts me from thinking about how I’m in a drawdown. It’s bad because it takes time away from system development and portfolio improvement. Can’t win them all—I just do what I can when I can. I’ve been working on building the habit of consistency. I try to spend at least 30 minutes a night on some activity that could improve my portfolio in the long run. While 30 minutes a day isn’t much, over the course of a year, that’s a lot of work completed. Sometimes I have to remind myself of that when I feel like I’m making zero progress due to being busy. As long as I get those 30 minutes in, that’s all I need to make progress (though I’ll do more if I’m able!).

If you missed the last portfolio update, you can check it out here:

A New Trading System:

As any systematic trader who has attempted to build a few trading systems knows, 95% of trading system ideas turn out to be poor systems. I test out new ideas all the time; most of those ideas are poor, and the systems get thrown in the garbage bin. But sometimes, an idea turns out to be a decent one.

Recently, I’ve stumbled across a new trading system idea that I’ll likely add to my trading portfolio. I still have to do some more work to ensure it’s robust, but assuming it passes, I’ll be adding it to my collection of systems in the portfolio. At a high level, the system is a long term trend following system (which I also refer to sometimes as time series momentum) on the Canadian stock market. The performance looks super stable over time, and the system-level stats don’t look too bad either:

My favorite part of the system is that it’s super simple. The system only has a handful of rules, and they aren’t that complex. Also, the system works on other stock markets as well, such as the Australian stock market, shown below:

I love when systems work on multiple markets. It’s like a two-for-one. I could trade this system on both markets and benefit further from market diversification. I’ll be sure to share how the overall portfolio looks once this system is added to the mix!

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Trading While Traveling:

I just got back a couple of days ago from a trip to New York City. I had never been before, so it was a vacation to check out the city, eat some good food, and visit some family that lives in the area. Of course, it rained almost the whole time I was there, but the overcast did make for some pretty cool pictures:

Obviously, I had to keep up with my trading while I was traveling. That means waking up a little earlier to update my data, run my trading systems, and place the orders. Part of being a systematic trader is being consistent every day, even if you don’t want to. Remember, this isn’t a hobby—this is a business, and it should be treated as such.

There was one day that was pretty annoying. I woke up, cracked open my laptop, and began my stock price data download as I normally would. So far, so good. Once the new stock price data was all downloaded, I kicked off the batch script I have that runs all my trading systems. For whatever reason, on this one particular day, this script kept dying and disconnecting from the drive account where I keep everything stored. I would check on my computer every 5 minutes or so just to find the batch script had died. I would look into why it died, implement what I thought was the fix, then restart it. Five minutes later, it died again. This happened three or four times. I was frustrated—it was getting close to the market open, and I didn’t have all my orders for the day generated yet. I finally ended up getting all of my systems run and orders submitted about 15 minutes after the market opened.

I hate placing orders late. In my eyes, placing late orders is a mistake and potentially eats away at expectancy. I did what I could to avoid it and fix the issues, but on this one day, it wasn’t quite enough. These are the difficulties that come with traveling sometimes. No matter how prepared you think you are, something unforeseen will happen and throw everything off. It’s annoying, but that’s life. This is why 99% of the time we have to be on our A game and be perfect with our execution, so for the 1% of the time when something goes wrong, we can survive the extra costs that may occur (due to extra slippage from being late to execute orders or having poor execution).

If you’re interested in my systematic trading while traveling setup, let me know—I can write an article explaining exactly how I do it!

Conclusion:

Well, that’s the latest on the TradeQuantiX portfolio and life as a systematic trader. Drawdowns suck, but they’re just speed bumps on the road to new highs.

I’m pretty excited about this new trading system—fingers crossed it holds up to my robustness checks and adds some extra performance to my portfolio.

Trading while traveling can be a pain in the neck, but it’s all part of being a systematic trader who treats trading like a business. Sometimes you just have to roll with the punches, stay consistent, and keep your eyes on the long game.

I’ll keep moving forward and trying to improve every day, 30 minutes at a time (and probably cursing at my laptop when scripts crash again).

Stay tuned for the next update, and if you have questions or want me to dive deeper into anything, let me know!

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Disclaimer

The information and services provided by the Systematic Trading with TradeQuantiX newsletter are for educational and informational purposes only and do not constitute financial advice, investment recommendations, or guarantees of trading performance. Any information provided is general in nature and does not take into account your individual circumstances. Trading involves significant risks, including the potential for substantial financial losses, and past performance is not indicative of future results. The information is provided ‘as is’ without warranty of accuracy or completeness. All decisions and actions based on the information provided are the sole responsibility of the reader. You should seek independent professional advice before trading. The Systematic Trading with TradeQuantiX newsletter is not liable for any losses, damages, or outcomes resulting from the use of this information or our services.

I haven’t written a portfolio update in a while. I have been busy with holidays, work, travel, and other trading-related activities the past few months. So today I will update you on the portfolio performance, traveling while trading experiences, some interesting trading/investing conversations I was involved in, and some pretty darn near perfect trades my systems placed recently. In case you need to catch up, the previous portfolio update is linked below:

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Portfolio Update: 2/17/2025

The portfolio is still behaving as expected and has performed decently well so far in 2025. The markets have experienced a little sideways action and mild volatility, but the TradeQuantiX portfolio decided it didn't want anything to do with that. Happy to see new highs in the portfolio equity after some sideways chop between September 2024 and mid-January 2025. You have to embrace the chop; you spend more time with your equity being chopped around than increasing in value. See the portfolio performance plot below.

I was able to avoid some of the market choppiness at the end of January and beginning of February. This is because my US momentum systems went into defensive mode and sold their weakest positions. I ended up holding only the strongest stocks during that period, which defiantly helped out the overall portfolio. I am now fully allocated to US momentum again for February. See my tweet about this for more details.

I recently got back from a week-long ski trip in Park City, Utah. I took my trading laptop with me so I could run all my systems and place my orders every morning. I was getting up between 5:30am and 6am every day to do this because of the time change. Even when you are on vacation, the grind never stops; the trading must happen. I also ended up getting the flu halfway through the trip. I felt like I was hit by a bus, so getting up that early was mentally difficult to say the least. I'm glad I did it though, because the portfolio performed fairly well while I was on the ski trip (the large ramp-up in portfolio equity during February was when I was on the ski trip). If I had slacked off and not done my trading, I would have missed out on some of these gains. You never know when the portfolio is going to make money; that is why you always have to be trading, no excuses. Here's a picture of me snowboarding, before I got the flu.

It was a beautiful place to spend the week. While on this ski trip, I picked up on some interesting human psychology traits during conversation (traits most of us already know about, but always interesting to see enforced). There were 7 of us who went on the trip, and the topic of stocks came up a couple of times (not by me). People were sharing their big winners, how they bought XYZ stock early and made good money on it recently, how they are going to buy ABC stock tomorrow when the market opens because they had a "good feeling" about it. I never said a word about my trading or the stocks I own (none of these guys actually know what I do). Instead, I just played dumb and listened to the conversation as a form of entertainment. I loved hearing all the biases and misunderstandings the average investor makes. My favorite quote I heard was "Just buy bankrupt airline stocks, the government bails them out every time and you always make money". Sure, that may work, until the government doesn’t bail them out. To me, that's the equivalent of saying "Just walk out in front of a train, they stop every time". Anyway, I digress.

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Recent Losers:

Listening to these conversations just cements the notion that everyone is a genius in a bull market. It also cements the sentiment that everyone seems like a genius when all they share are their winners, so don’t be fooled by anyone sharing only winning trades. So with that said, here are my recent losers:

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Recent Winners:

And of course here are some winners too, everyone loves some good winners.

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Favorite Trade Recently:

Here is my favorite trade of the month. I got into this position at the beginning of February; a couple days later, the stock jumped ~30%. Then at the peak, my short system kicked in and shorted the high of the day and covered the next day after an ~8% pullback. I am now long again and the stock is consolidating and looks like it wants to go higher. I wish I could say this was skill, but it wasn't; 110% luck. You trade enough, and eventually, this will happen. Still cool to see though.

That’s all I had for this portfolio update, will see you in the next article. Until then, happy trading!

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Mistakes:

I made a few mistakes the past couple weeks. There were two instances where I forgot to place my orders. In one instance I just completely forgot to run all my trading systems and I didn't get around to running the systems and placing the orders until an hour after the US markets opened. In the other instance I ran my systems but I left for work before I placed the orders in the market. I've been systematically trading with my current framework for about 2.5 years and the number of times I have forgotten to complete my trading in the morning I could count on one hand. Two of those instances happened in the last two weeks.

I attribute forgetting to complete my trading to my day job. The past couple of months at work have been hectic and have distracted me from my trading. Luckily, all the fiasco's at work seem to be dying down. To combat the lack of focus I've had on my systematic trading I decided to take Friday off and use one of my personal days. I need to refocus and do a deep examination of the current positions I own. This needs to be done to ensure that missing two days of trading hasn't caused my positions to become out of whack (due to missing entry or exit signals).

All of my systems are coded up and I can simply double click a executable and it will run all of my systems and generate their orders. Once all the orders are generated, I have a second piece of software that reconciles all of the orders and then I can press a button to push them to my broker. So, even though my process is 90% automated there is still 10% that has a human component which requires a couple minutes of work. A lot of people think systematic trading is “set and forget”, meaning once the trading systems are running you can just let them run and don't have to check up on them. This is not the case. As you can see there is still a small amount of human intervention that is required every day and if this 10% of work is not completed or is forgotten about, then it in can cause massive problems with the trading portfolio. Though a lot of systematic trading involves automation, there are always some components that will require manual work, whether that's reconciling orders, placing orders, validating the systems working properly etc. there is always something manual that needs done. If there is something else in your life that is distracting you and preventing you from doing the manual work, then that can wreak havoc on your systematic trading.

Anyway now that I've gotten my two big mess ups off my chest, there's one more issue I want to discuss. There was a stock in the past two weeks that went up over 750%. The stock ticker was called DRUG. See the image below (I had to put it in log scale to actually see the move):

One of my shorting systems gave me an order to short the stock. I was aware of this stock and its crazy moves from people posting about it on X. So when I saw the order signal to short DRUG, I deleted the order so it wouldn't be placed in the market. In hindsight, it didn't matter because my broker didn't have any short stock to borrow, but I overrode my system and did something different then what the backtest said to do. This was an emotional decision, I felt scared because if I shorted this stock and it continued to go up hundreds of percent, then that would hurt my P&L. From a risk management perspective this may have been the right thing to do since moves like this don't tend to happen too often historically. But on the other hand, I have a strong belief that I should never override my system. If I find something that is inherently wrong with the system, I should fix the system such that it doesn't happen again in the future. Thus, I plan to look into adding a rule that prevents the system from shorting stocks that have gone up multiple hundreds of percent in one or two days, like DRUG did.

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Current Performance and Positions:

Alright that's enough about the mistakes and emotional decisions I've made in the past couple of weeks. Let's look at my current performance as well as some of the main positions that I'm in right now. I have updated my P&L equity graph below.

As you can see, in the last couple weeks I've had a little bit of sideways chop and in the last couple days I've gone into a drawdown of a few percent. This is expected, especially after the massive run that the portfolio had the past couple months. Honestly, I think my portfolio may chop sideways or go into a larger drawdown for the next month or two. But this is just my speculation, it doesn't mean anything, I'm going to continue to trade like I always have.

Another thing interesting to note about my portfolio, my hedging system has turned on with 1/3 size. This system is actually wrong most of the time, so I don't necessarily foresee some big sell off happening, but it's good to know that if something does happen I am hedged. This hedging system focuses on profiting during periods like 2000, 2008, 2020 etc. This system takes signals based off the VIX, and the VIX looks like it's starting to go higher. So, if the VIX takes off at least I am hedged, but if the VIX settles back down then I'll take the small loss. That’s the cost of having insurance. See below for a chart of the VIX:

In other news, I still have a few open positions that are killing it. These three trades are some of my biggest winners right now:

That's all for the update this week. As you can see I'm not perfect, I make mistakes, I still get impacted by emotional decisions. Onwards and upwards as they say, let's finish out the year strong. My goal is to have zero mistakes for the last two months of this year. This should be doable considering that the number of mistakes I've had in total this year I could count on one hand. I just don't like how multiple of them happened in such a short time span. Anyway, happy trading!

I’m definitely overdue for a pullback in the portfolio, and I think it’s in the beginning stages of a pullback now. There’s no tell tale sign that the portfolio pull pack is starting now other than a little blip at the top of the equity curve; but who knows, maybe it turns back up and keeps going. Either way, I’m just going to keep trading my systems and managing my expectations and psychology.

See what I mean? That’s a crazy run up in equity. Between you and me, I’d love for that number on the Y axis to hit 30% by the end of the year, but I need to manage my expectations so I’m not let down. This thought is my greed getting the best of me.

In my eyes, there’s two flaws to a traders psychology. One flaw is fear and making rash decisions when times are tough and losses are abundant. The other flaw is greed and the desire for more, more, and even more when times are good. Well, for my portfolio, times are really good right now and it’s very difficult not to feel the greed. I have found myself in thought experiments like: “If my portfolio continues growing at this rate for another month then I’ll have this much more money in my account!”. I have to snap myself out of those thoughts because when the inevitable drawdown comes, it makes it that much harder to deal with.

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I think of trader psychology like I think about portfolio construction. If you construct a portfolio to be high risk high reward with lots of volatility, your psychology is going to be very volatile as well, thrashing between fear and greed every week. On the other hand, if you build a stable portfolio then your psychology should be stable as well. I’m trying to keep my mind stable. I am trying to not let my greed overtake my mind because the less greedy I am now, the more dampened the fear will be once the drawdown starts. A stable psychology is the way to go but it’s hard to have sometimes. Anyway, I’m working on it by trying not to think about trading in my free time.

As part of the process I do every week, I check on my live system performance and ensure everything seems with expectation. Most of my systems have been performing well the past month, but I have one system that stands out above the others. The performance of this system has been insane since I launched it live in June, like astronomically insane. Here are the stats based on real live trades since the system started:

And the equity curve is wild too:

Obviously, long term this isn’t sustainable, 29.20% CAR with a 0.34% max drawdown, but it’s definitely fun to watch right now. Just a good example of timing luck when starting a system. Most of the time when you start a new trading system you immediately go into drawdown, this time it just happened to go the other way for me.

Anyway, here’s a look at some of the recent winners:

These are three different stocks, but looking at the price patterns they all are correlated with a massive price jump in mid august. Granted these trades are all from one system so maybe that’s expected. Goes to show, sometimes correlation can be good thing, if it’s going in your favor… we will see how long that lasts. ‘Til next time!

Since just the last week or two, the portfolio has actually done very well. I was in a small drawdown in the last portfolio update, which was 100% expected because I just had a recent performance spike. But since that update, I have launched out of drawdown into new equity highs.

To be honest, I was not really expecting that to happen, but when I look at a chart of the S&P 500, there has been a small recovery since the last update. I tend to use the S&P 500 as my benchmark and market barometer, so my portfolio will generally be compared to the S&P 500 (I use the SPY ETF to represent the S&P 500). See the SPY chart below:

I guess maybe it makes sense that I am at new equity highs, the markets hit new highs too. I honestly didn’t even realize the markets hit a new high. For some reason, I thought we may see a little more market wide churn first. Anyway, I just added the new portfolio data and SPY data to my performance tracking plot:

The last couple weeks haven’t been too bad, honestly pretty good if you ask me.

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If you’re reading this confused why it seems like I have no idea what’s going on in the markets, it’s because it’s true. I’m literally writing this portfolio update and looking at charts/trades my portfolio has taken the past couple weeks at the same time. Yes, if you’re reading in between the lines, that means I do not look at charts everyday. I hardly even look at the trades my trading systems put on day to day, especially this past couple weeks because I have been busy. Is that irresponsible? Personally, I don’t think so.

I use systematic trading systems, the entries and exits are all coded and systematized. Also, my order management software points out any inconsistencies to me every morning when I am placing my trades, so I can fix any issues, if needed, real time. Sure, I do periodic reviews every week or two, but daily reviews are pretty unnecessary, especially after having traded systematically for a few years now. After awhile, you start to trust that your systems and process are working properly. A mistake may happen from time to time and go unnoticed for a couple days, but these events are rare and when they happen I put a process in place to prevent them in the future.

Honestly, I feel pretty lucky that I have gotten to the point to where I can trade systematically and not have to worry about the day to day. Most of the time I only look at my PnL in my broker once a day, when I am running my trading systems; and I only look because I have to so I can properly size my trades based on my current account balance. Other than that, I tend not to look at my portfolio until the next day when I have to place my orders again. Basically, I’m the opposite of this guy I made with an AI image generator, staring a multiple charts all day:

These portfolio updates give me a chance to decompress, review, and reflect on my portfolio and its performance. Most of the day I don’t even think about my trading performance, I’m too focused on something else, like my day job, or my workout, or my 4 month old puppy.

He’s cute isn’t he?

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All that being said, I can’t just ignore what’s going on in my portfolio, at least not for longer than 2-3 weeks at most. I feel like that’s where it would start to become irresponsible. There needs to be some rhythm to being on top of what’s going on, hence why I started writing these journals, to force me to review everything with the portfolio and ensure it’s all in line. I hope these journals will keep me accountable and on top of everything. I’m sure once I go into a large drawdown my attention will start to focus a lot more on my performance; but so far this year has been pretty smooth sailing.

Anyway, here’s a couple screenshots of the recent winners (all of these positions are still open):

Now that I shared all these screenshots, these trades will all be losers next week, just watch.

Anyway, that’s all folks!

Not too long ago, the US markets had a little volatility fit. Just 4 weeks ago the SPY dropped by about 10% pretty quickly. The SPY hit all time highs, pulled back slightly, had a little bounce back up, then decided to drop pretty aggressively over the course of 2-3 days. Here is a chart of what the SPY looked like:

Not necessarily the worst thing that could happen, but definitely not an enjoyable experience (unless somehow you managed to short this move, in which case, congratulations that’s impressive). I did not catch any shorts from this move on the way down because the initial pullback wasn’t deep enough to trigger any of my short systems, and the second pullback was too quick to allow any time for short entries to trigger during the selloff.

By the time the markets were fully sold off and at the bottom of the pullback, my hedging system kicked on, perfect timing (not!). I guess it’s better to be hedged than not in these instances. Here’s what that looked like:

My system bough the top of the VXX, so much for a hedge. I was not too worried though, because if the markets continued to sell off I was in a good position to profit from further sell offs; that’s just not what happened this time. Instead we ended up getting a “V” shaped recovery bounce out of the bottom of the sell off. This recovery is where I made my profits.

Most of the long side of my portfolio are momentum and trend following type trading systems. These types of systems tend to buy and hold the strongest stocks in the market. When these quick market sell offs happen, the stocks in the trend/momentum systems also sell off but when there is a fast recovery market wide, the stocks held by the trend/momentum systems rally up even harder. Due to the mechanics of how trend/mometum systems work during fast recoveries, I was able to recover very quickly from this market sell off and get back to all time highs. See my portfolio equity curve vs. SPY below:

You can see where the selloff happened in August in my portfolio (blue line). My portfolio of trading systems held up to the initial market pullback, but when the quick dump happened, my portfolio also dropped pretty quick. I actually remember this day pretty well, I logged into my computer and saw I was down 5% overnight. Most people would freak out to see this. My computer screen was completely red as nearly every stock I owned was down. Though this situation wasn’t very fun, I was actually able to retain my composure, which I am very proud of. See my tweet below about the day of the sell off:

I was pretty proud of my ability to realize this is just part of the game. These things happen, you can’t expect to win in every scenario. You should be trading with a mindset in the horizon of years and decades, not day to day. Day to day moves are just noise, anything can happen, it’s the long term that matters.

What this volatility experience opened my eyes to is:

• It seems like I am well positioned for market recoveries

• It seems like I am well positioned for very deep market selloffs/crashes (more than the 10% we saw).

• On the other hand, it seems like my portfolio has a missing component of profiting from medium sized selloffs of around 5-10%, like in this case. This will need to be a place of research for me in my strategy development so I can fill this gap in my portfolio.

While I survived then thrived from this volatile move in the markets, it was a little eye opening for me. Not only was it eye opening because it pointed out a weakness in my portfolio, but also because just a couple weeks before I was looking into a short volatility trading system. If you’re unfamiliar, short volatility collect profits when the markets are non-volatile, in other words when the markets are behaving a short volatility systems make money. When the markets misbehave, a short volatility system gets wacked, and usually pretty hard. Think about it like picking up pennies in front of a steamroller, yea you’ll make some consistent money, until you get run over.

Here is the system I was working on just a couple weeks before the high volatility event:

Is this system that great? No, I was just in the beginning stages of development, but it shows the hidden dangers of shorting volatility. Just a couple weeks after starting to develop this system, it hit a new worst case draw down of 36%, which is much worse than the previous worst case draw down of about 17%. Not only does this show the dangers of shorting volatility, but also how easy it is to curve fit out poor performance in a backtest. This backtest managed to go 14 years without a major hiccup, then the second it starts sitting in live incubation it has double to worst case draw down. In the trash this system goes. In the future I will have to write an article about how easy it is to curve fit poor performance out of a trading system without even realizing it.

To Do list:

• Create a trading system to profit from smaller 5-10% sell offs

• Don’t trade short volatility

That’s all for this weeks journal, hope you enjoyed the first of this series and maybe it gives you a couple things to look into with your own portfolio.