PST Portfolio

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To avoid data mining and to show the robustness of the various strategies I’ll be teaching I will be showing results over various portfolios. These portfolios are selected at arms length based on diversity (market segment) and liquidity (highest average daily contract volume). These portfolios have not been constructed to show each strategy at their best.

To learn more about these portfolios and their construction you can click on the following link: Portfolio Construction

Since every trader is different according to their individual risk appetite, risk capital and time frame I’ll run the various strategies over five portfolios;

  • P2
  • P4
  • P8
  • P16
  • P24

P2
This portfolio contains the 2 most liquid futures contracts within 2 diverse market segments. The E-Mini SP500 from the “financials” segment and Crude Oil from the “energy” sector.

P4
This portfolio contains the 4 most liquid futures contracts within 8 diversified market segments. They include the E-Mini SP500, Crude Oil, Gold and Corn.

P8
This portfolio contains the most liquid futures contracts over 8 diversified market segments. They include the E-Mini SP500, Euro Currency, 10 Year Treasury Notes, Crude Oil, Gold, Corn, Sugar and Live Cattle.

P16
This portfolio contains the two most liquid futures contracts over 8 diversified market segments. They include;

  Indices:                    E-Mini SP500 and E-Mini NASDAQ.
  Currencies:              Euro Currency and Japanese Yen.
  Interest Rates:        10 Year Treasury Notes and 5 Year Treasury Notes.
  Energy:                    Crude Oil and Natural Gas.
  Metals:                     Gold and Copper.
  Grains:                     Corn and Soybeans.
  Softs:                       Sugar and Coffee.
  Livestock:                Live Cattle and Lean Hogs.

P24
This portfolio contains the three most liquid futures contracts over 8 diversified market segments. They include;

  Indices:                    E-Mini SP500, E-Mini NASDAQ and E-Mini Dow Jones.
  Currencies:              Euro Currency, Japanese Yen and British Pound.
  Interest Rates:        10 Year Treasury Notes, 5 Year Treasury Notes and 30 Year Government Bonds.
  Energy:                    Crude Oil, Natural Gas and ULSD-Heating Oil.
  Metals:                     Gold, Copper and Silver.
  Grains:                     Corn, Soybeans and Wheat.
  Softs:                       Sugar, Coffee and Cotton.
  Livestock:                Live Cattle, Lean Hogs and Live Cattle.