Steady Futures 2021 Year In Review

When looking at performance numbers, it's worth to mention how conservative our performance reporting is. We report performance on the whole portfolio, while SF portfolio rarely has more than 20% of the trading capital at risk at any given time.

Example: with the model portfolio of $50k, the system typically allocates only 20% or $10k. With yearly gain of $10k, we would report 20% gain on the whole portfolio, while most other services would report 100% gain on the $10k capital at risk.

Trend following systems typically have 35% win rates, so twice that is quite impressive if you still reap the benefits of trend following systems, of which the most important is very large wins compared to small loses. In other words, trend following works because, while it loses 2/3 of the time, loses are very controlled and wins are huge. Lots of people focus too much on win rate. To me, what matters are the annual returns of the capital at risk divided by the maximum drawdown, because that gives you an idea of how painful it is to stick to the plan, and how much to size your allocation to the strategy as it pertains to your overall portfolio volatility.

I believe this is exactly the reason why they allocate only 20% of the account. The strategy can be volatile, and larger allocation can lead to larger drawdowns. Members with higher risk tolerance can of course increase the allocation - this will lead to higher returns and higher drawdowns.

Can we get a how-to primer on how we analyze and action on the Friday SteadyFutures email ?

6 hours ago, Bullfighter said:

Trend following systems typically have 35% win rates, so twice that is quite impressive if you still reap the benefits of trend following systems, of which the most important is very large wins compared to small loses. In other words, trend following works because, while it loses 2/3 of the time, loses are very controlled and wins are huge. Lots of people focus too much on win rate. To me, what matters are the annual returns of the capital at risk divided by the maximum drawdown, because that gives you an idea of how painful it is to stick to the plan, and how much to size your allocation to the strategy as it pertains to your overall portfolio volatility.

Yes we are concerned with the overall expectancy of the model and not the win rate.

There were pros and cons with incorporating spreads in the system.  The primary purpose was to make the model more accessible to average trader without have to trade far OTM contracts. Spreads can limit upside in some moves ( but we roll weekly) and also improved win rate in our case.

Most trend following systems ( from my experience) are traditionally long vol only and aren’t trading  spreads. 

2 hours ago, PBJ said:

Can we get a how-to primer on how we analyze and action on the Friday SteadyFutures email ?

 

I will message you a link that explains taking the trades. 

I've been considering adding commodities exposure to my portfolio and was planning to allocate $50k to Steady Futures this year, but see you're changing the model portfolio to $100k. Is it still within the realm of possibility to do a $50k allocation to this strategy or are the changes you're making going to make it difficult to follow for smaller than $100k allocations?

While I have extensive experience in options and stocks, my futures knowledge is a bit limited. I tracked a few markets for a while (e.g. CL, ES, GC, SB, ZW) and paper traded a modified version of the Turtle Traders strategy, but I'd consider myself a bit of a novice still.

42 minutes ago, greenspan76 said:

 

I've been considering adding commodities exposure to my portfolio and was planning to allocate $50k to Steady Futures this year, but see you're changing the model portfolio to $100k. Is it still within the realm of possibility to do a $50k allocation to this strategy or are the changes you're making going to make it difficult to follow for smaller than $100k allocations?

While I have extensive experience in options and stocks, my futures knowledge is a bit limited. I tracked a few markets for a while (e.g. CL, ES, GC, SB, ZW) and paper traded a modified version of the Turtle Traders strategy, but I'd consider myself a bit of a novice still.

 

 No it will be easy to follow with 50k.  We will post the deltas for both 50k portfolio and 100k.  We did that this week.  You would just open a 50k delta spread and we will open one using the 100k delta.  
 

looks like this: