What 2,041 Breakout Strategies Actually Look Like

For most of my career, a trader was considered lucky to build one viable strategy a year.

I want to show you what happens when that constraint disappears.

How many breakout strategies have we actually built?

As of today, we have created 2,041 high quality breakout trading strategies across nine vastly different market categories, on 34 different markets.

Out of those, 1,706 are considered tradable inside my hedge fund. The rest got disqualified for a boring, practical reason: markets like Pork Bellies, Lumber and Orange Juice simply don’t carry enough volume for the size we trade.

That is the whole filter. Not a fancy statistical veto. Liquidity.

Here is the breakdown by futures category:

Futures category	Strategies
Indexes	530
Energies	259
European markets	216
Metals	200
Grains	191
Softs	137
Currencies	108
Bonds	50
Meats	15
Total	1,706

Which individual markets carry the most strategies?

Broken down by symbol, the concentration tells you where the formula is easiest to apply:

• Indexes: E-mini Dow Jones (YM) 238, E-mini S&P 500 (ES) 238, E-mini NASDAQ (NQ) 54
• Energies: Natural Gas (NG) 102, RBOB Gasoline (RB) 70, Crude Oil (CL) 51, Heating Oil (HO) 36
• Grains: Soybeans (S) 106, Wheat (W) 50, Soybean Oil (BO) 30, Corn (C) 5
• Metals: Gold (GC) 119, Platinum (PL) 49, High Grade Copper (HG) 17, Silver (SI) 15
• Softs: Cotton (CT) 63, Sugar (SB) 54, Coffee (KC) 20
• Currencies: Japanese Yen (JY) 42, British Pound (BP) 31, Swiss Franc (SF) 22, Euro (EC) 13
• Bonds: 10-year T-Note (TY) 32, 30-year US Bonds (US) 18
• Meats: Lean Hogs (LH) 15
• European markets: Euro-Bunds (FGBL) 102, German DAX (FDAX) 77, Euro Stoxx 50 (FESX) 36

Nine sectors. One formula. No sector-specific magic.

Why build so many strategies?

Three reasons, and I’ll be honest about all of them.

First: because we can. The formula is universal enough that tens of thousands would be possible. 2,041 is simply what we needed to launch our first portfolios.

Second: because portfolio construction is where stability actually comes from. The lower the average correlation between strategies in a portfolio, the better. And to build what I’d call a perfect portfolio of 10-15 breakout strategies, we estimate we may need up to 100 strategies to choose from.

That ratio is the real answer. You don’t build hundreds of strategies to trade hundreds of strategies. You build them so you can be brutally selective.

Third: because we think big. The largest breakout portfolio in my hedge fund runs 120 strategies.

Why futures and not stocks?

We’ve built plenty of breakout strategies on stocks and ETFs too. Our hedge fund licence doesn’t permit us to trade them yet — and frankly I’m not sure I care.

Correlations between many stocks are high. I still haven’t found a single advantage over futures. Futures give us a regulated, centralised, well-protected environment, and the best correlation profile for a genuinely global business.

And with micro contracts now available on most futures markets, account size is no longer the barrier it used to be. The formula works identically on micros.

How were these results measured?

This matters more than the numbers themselves. Every strategy example I publish follows the same rules:

• 10 years of data history, plus 0.5 to 2 years of true out-of-sample results, depending on how long the strategy has lived in our database.
• After execution costs — brokerage commission plus 1-2 ticks of slippage on entry and 1-2 ticks on exits, depending on the market.
• Per one trading unit, which in futures means one contract. So a USD$120,000 profit means roughly USD$11,000 per year on a single contract. Two contracts, double it.
• Built exactly to the formula: Point Of Initiation, Space, Filter, Time-condition, and an exit or exit combo. Then stress-tested, and required to show satisfactory results on most other markets in the same sector.

On every equity curve there’s a vertical line. Everything to the right is real out-of-sample — trades on data that did not exist when the strategy was built.

What do the sample strategies look like?

One from each category, to give you the shape of it:

• Indexes: E-mini Dow Jones (YM), 70-minute timeframe. My favourite sector — fast and simple, and most Index strategies work best long, given the bullish bias.
• Energies: Natural Gas (NG) swing, 80-minute. Always moving, big rewards, higher volatility.
• Grains: Soybeans (S) swing, 80-minute. Traded in the fund. Beautifully low correlation to Indexes and Energies.
• Metals: Silver (SI) swing, 80-minute. Works equally well long and short.
• Softs: Coffee (KC) swing, 30-minute, biased short. Tricky sector — leave it until you have experience.
• Currencies: Japanese Yen (JY) swing, 60-minute. Currencies are hard. Be patient.
• Meats: Lean Hogs (LH) swing, 80-minute. Low liquidity, fine for a few contracts.
• Bonds: 10-year Note (TY) swing, 240-minute. Traded in the fund. Tough markets — save them for last.
• European markets: Euro-Bunds (FGBL) swing, 90-minute. Europe works extremely well with the formula.

I never intended to become a money manager. The formula took me there anyway.

Why think small when you have the tools to think big?