A Very Detailed Bollinger Band™ Breakout Portfolio
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This week we've looked at two Band breakout strategies on the E Mini Dow and E Mini Nasdaq Futures contracts.
Both defied the idea that indexes only revert to the mean.
But what would it take to try to do this in the real world?
The first calculation we'd have to make is for margin. We're holding these Bollinger Band™ breakouts overnight, and that means we need to have a lot more money in our trading account.
According to Tradestation, we would need $27,280 worth of Overnight Margin. Chances are, most trades would end on the day they were created. And we won't always be in both strategies at the same time.
So, we might be able to get away with less. But we'll use a sample $27,000 to be safe.
Now let's put both the @YM.D and the @NQ.D strategies we've discussed into a portfolio.
Here's what the Equity Curve would look like from 2007-2023 trading 1 contract each time via Portfolio Architect:
That looks pretty good. But how does it compare to the market?
From 2007-2023, the SPY would have turned $10k into $44k, for an average of 9% per year:
Woohoo.
But here's what happens if we take our breakout index portfolio and compound it.
Starting with a hypothetical $27k and trading 1 contract each time, we'll add a contract every time we double the account. So, at $54k, we'll trade 2 contracts each time. At $108k, we'll trade 3 contracts, and so on.
If we do that, here's what we get. As of 12/7/23, our sample $27k account would have turned into $648,000.
That's an average of 20% per year for our portfolio, which is more than double what the market would have done.
We beat the market yet again.
Even though we used breakout strategies on indexes.
Talk to you soon.
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Disclaimer:
It should not be assumed that the methods, techniques, or indicators presented in these products will be profitable or that they will not result in losses. Past results are not necessarily indicative of future results. Examples presented on these sites are for educational purposes only. These set-ups are not solicitations of any order to buy or sell. The authors, the publisher, and all affiliates assume no responsibility for your trading results. There is a high degree of risk in trading.
HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY 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 PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.
