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Tracking our new Forex Portfolios

In my last post, I mentioned that I would be looking to group multiple trading algorithms into a portfolio to allow for diversification and risk with the end goal in mind to have a portfolio that can 'weather all storms'.

So I've gone and done this, setting up 2 portfolios, each will house a few trading algorithms to form it's portfolio. I've unimaginatively called these P1 and P2. The individual components of each portfolio have been created using my algo engine using data between Jan 2018- Jan 2020 (in-sample testing). I've run the backtests from 2015 and to September 2020 (additional 3 years and 10 months out-of-sample backtesting) and selected only the best ones to be part of the portfolio. However, you never really know until you actually run the trading systems themselves which is where we are at now.

My expectation is that there will be a few algos which will perform well and we can take this and form a new, hopefully, superior portfolio.


P1 portfolio

This consists of 3 algos trading USDJPY, EURUSD and GBPJPY and the backtest chart is show below with the blue line being the combined equity growth between 2018 and August 2020 assuming a $10k account.


You can download the backtest trading data here :

Portfolio 1 backtest trades.csv
.zip
ZIP • 71KB


The live tracking of the Portfolio can always be found on this page:



P2 Portfolio

This portfolio has 3 algos also and these are trading the EURCHF, EURGBP and GBPJPY pairs and the backtest chart is show below with the blue line being the combined equity growth between 2018 and August 2020 assuming a $10k account.


You can download the backtest trading data here:

Portfolio 2 Backtest Trading.csv
.zip
ZIP • 12KB

The live tracking of the Portfolio can always be found on this page:

It would be prudent for me to make a few portfolios like this as it'll help with the diversification and portfolio selection process so will keep you up to date with this.

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