Cross BTC Trio One
60 minute bars
The portfolio consists of three relatively uncorrelated BTC futures strategies. It is built on 60 minute bars. Slippage and commission of $17.50 has been charged. BitCoin futures have a micro contract which makes these high-performance strategies within the reach of many traders..
We have established a relationship with an excellent clearing firm which can auto-trade this portfolio for you on the full size or micro contracts. If you are interested in this reach out to us via our Contact page - https://www.pardo.space/contact.
This is the performance of the Cross BTC Trio One Signal workspaces. These are the strategies that are traded. Due to the shorter Walk-Forward windows in use this cycle, the look back is limited to the shortest window which starts in 1/2023
The Signal strategies will often times have different parameters than the Static strategies. This is the result of walk-forward updating. Consequently, performance between the Static and Signal strategies will diverge.
All of the Cross BTC Trio One strategies are built with our proprietary application of Walk-Forward Analysis. What is presented here under Current Performance is the performance of the most current WFA out-of-sample window for each strategy. Our process periodically evaluates the performance of what we call the Static version of the strategy, i.e., the performance of the optimization space, with that of the Dynamic version of the strategy, which is its performance under Walk-Forward Analysis. We select the strategy which exhibits the best current performance. This can and will change from time to time. The performance of the Static portfolio is next presented in the Historical Performance section.
Nonetheless, every Cross BTC Trio strategy has been validated for robustness using our proprietary application of Walk-Forward Analysis. Every strategy in the Cross BTC Trio One has to pass this rigorous and unique process. Period.
All Cross BTC Trio One strategies are built on a historical look-back from April 1, 2018 through December 31, 2022. Due to the different sizes of the WFA windows used in these strategies, Current Performance starts 1/2/22.
Updated through 10-31-2023
Key Statistics -
Net PL: $445,300
Current OE: $27,212
Max DD: $22,575
PL / DD 19.7
Ave Trade: $2,042
# Trades: 218
% Profit: 51.4%
This is meant to give an overview of the historical performance of these strategies. As previously stated, all of these strategies have passed our rigorous, proprietary robustness testing which features extensive use of Walk-Forward Analysis. Experience has shown that peak performance is best achieved by utilizing the strategies that are currently performing the best. To achieve this, we look at a number of different strategies, walk-forwards and different instances thereof. As a result, there may be times when the best performing strategy is the Static ones, etc. There are many possible variations. However, the performance of the Signal or what we call Current Performance is what it currently recommended for trading.
Updated through 10-31-2023
Historical Performance covers 4/2/2018 to 10-31-2023
Key Statistics -
Net PL: $2,080,700
Max DD: $97,150
PL / DD 21.4
Ave Trade: $1,598
# Trades: 1302
% Profit: 45.01%
Capital Micro: $30,000
This is hypothetical performance.
Government Required Disclaimer - Commodity Futures Trading Commission states:
Futures and Options trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures, stocks or options on the same. No representation is being made
that any account will or is likely to achieve profits or losses similar to those discussed in this document. The past performance of any trading system or methodology is not necessarily indicative of future results.
CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.