As mentioned below, the diversified portfolio of the system consists of eight futures:
Oil
mini SP500
live cattle
natural gas
platinum
coffee
soy flour
sugar
In order to approximately normalize these futures among themselves, need to know their volatility, for example ATR(20) and multiply by the cost of one point. We find the most expensive futures and decide that we will trade this futures with one contract (for millionaires — the least number of contracts). Farther — see that other futures are about three times cheaper — so we will trade it with three contracts. Etc. This should be reconsidered when the volatility of instruments changes., for example, every month. In general, with today's volatility, we got the following approximate distribution:
oil — 1 the contract
mini SP500 — 2
live cattle — 3
natural gas — 1
platinum — 1
sugar — 2
coffee — 2
soy flour – 2 contract
Suspected system weakness — slip loss, as positions are opened and closed by stop orders, as well as subjective selection of tools. The result is worse on other futures..
Test results with one contract without reinvestment, excluding slippage and commissions:
