Strategy portfolio on the Mini Index

History and validation

The history was used to build the portfolio. The out-of-sample period starts after the cutoff date and did not influence any choice.

Portfolio vs. Mini Index

Cumulative portfolio result in points, with one contract per setup (10 contracts in total), versus the raw Mini Index series (continuous WIN, unadjusted) multiplied by 10 to have the same exposure.

Performance by setup

Cumulative result of each of the ten strategies. The dashed line marks the start of the out-of-sample period. Click a setup to highlight it.

Statistics by setup

Same period and same order as the chart above, history and out-of-sample combined.

Result by year

In index points, all strategies combined.

* year in progress

Quarter-by-quarter result

20 of 22 quarters closed positive.

Month-by-month result

55 of 64 months closed positive. Hover over a bar to see the value.

Monthly map

In thousands of points. Green is a positive month, red is a negative one.

Result per trade

Average of 132 pts per trade, about 576 trades per year.

Source code of a strategy

An example for technical audit: a research strategy, outside the portfolio and with more modest performance than the ten above. It is plain Python, with no libraries, and runs on any CSV of 10-minute bars of the WIN. Each trade in the list can be checked against your own data.

# python win.py   (CSV: datetime,open,high,low,close,roll)
F="WIN_M10.csv"
a,b,c,d,e=.0075,.0175,25,24,1050
L=open(F).read().splitlines()
H=L[0].split(",")
I=[H.index(k) for k in("datetime","open","high","low","close","roll")]
D={}
for s in L[1:]:
    r=s.split(",")
    t,o,h,l,x,z=[r[i] for i in I]
    D.setdefault(t[:10],[]).append((t,int(t[11:13])*60+int(t[14:16])+10,float(o),float(h),float(l),float(x),z=="True"))
K=list(D)
n=S=0
for k in range(1,len(K)):
    P,T=D[K[k-1]],D[K[k]]
    if any(q[6] for q in T):continue
    u=max(q[3] for q in P);v=min(q[4] for q in P)
    if u<=v or len(T)<2 or not(T[0][2]-v)/(u-v)*100<c:continue
    p=T[0][5];g=p*(1+a);s=p*(1-b);w=T[1][5]
    for j in range(1,len(T)):
        _,m,_,h,l,x,_=T[j]
        if h>=g and l<=s:raise SystemExit(T[j][0])
        if h>=g:w=g;break
        if l<=s:w=s;break
        w=x
        if j>=d or m>=e or j==len(T)-1:break
    print("%s;%.1f;%.1f;%.1f"%(T[0][0],p,w,w-p))
    n+=1;S+=w-p
print(n,round(S))