PPP High-Percentage System Still Cruising Along
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I built the Performance Page Portfolio a few years ago with the idea that I'd never have to change or optimize the portfolio ever again.
And a crucial part of the portfolio's robustness needed to come from at least one system having an outrageously high winning percentage.
If something wins all the time, we're making constant progress.
Once the high-percentage system is set, then maybe that system could be mixed with other things that don't win very much. And maybe that all would form a solid portfolio.
But systems that win a lot have always been my preference.
So, how do we make systems that win at an extraordinarily high rate?
You have to use "negative reward to risk".
In short, you have to have stoplosses that are way bigger than your profit targets.
And that's what this negative r:r system does.
First, it focuses on an index. Indexes are great for high-percentage systems.
Second, it gets in on a pullback.
Third, the target is about 9x less than the stop. It has plenty of room to work itself out and hit an easy-to-reach target.
How has that combination done over the years?
Here's the Curve for that system on a 240M chart on the daytime ES Futures contract (not 24 hours) from January 1999 through January 2022:
And here's the Report:
Up until 2022, the Curve for this negative r:r system was outstanding. And you can see the win rate is a staggering 94%.
That's why I wanted it in my Performance Page Portfolio (PPP).
But that's the testing period. And we know a Bear Market is coming in 2022. How has it held up from January 2022 to now?
Here's the Curve and the Report:
It's still doing what it was supposed to do. And it's been winning a lot lately.
Here are several recent trades:
Because it has a filter, it didn't trade during the Bear Market in 2025--and has won every trade since the bearishness ended.
What are the downsides?
1. The shear mechanics of it all.
Setting up a Futures account is super hard when compared to opening up a Robinhood or Schwab stock account.
Then dealing with the rollover dates can be a hassle.
And Tradestation is hard to use on a VPS, so you have to have a computer that is always on. Further, you'd have to find a way to access your desktop remotely if you ever decide to take a vacation.
2. Even high win rates have losing years. They're usually small losing years, but there are losing years all the same.
3. If the average true range of the S&P 500 goes down, profits for this system will go down.
What are the upsides?
Almost every trade wins. That's fun.
And years with high volatility can really be big winners with a system like that.
Overall, if you're looking for the details on the system, they're in the video that I hyperlinked above.
If you're looking to buy the system or get the code, you can email me.
But it's been very pleasing to see how well this system has held up over the years. Negative r:r seems to be a perfectly viable way to trade.
Talk soon.
DISCLAIMER: This is not financial advice.
It should not be assumed that the methods, techniques, or indicators presented in these videos will be profitable or that they will not result in losses. Past results are not necessarily indicative of future results. Examples presented 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.
