Capstone Trading Systems

08/26/2026

A trading rule can sound like a good idea and still make the system worse.

I recently tested a couple of simple “what-if” scenarios on our V Reversal trading system using TradeStation EasyLanguage.

One example:

What if we do **not** allow a second trade in the same direction as the first trade of the day?

The base strategy produced approximately:

• $254,905 net profit
• ~$24K max drawdown
• ~$130 average trade

The variation produced approximately:

• ~$219K net profit
• ~$28K max drawdown
• ~$130 average trade

So the extra rule sounded reasonable, but the historical results were actually worse.

That is one of the biggest advantages of systematic trading research:

**You don’t have to guess. You can test it.**

I walk through the logic, the equity curves, and the EasyLanguage code in the full blog post:

https://capstonetradingsystems.com/blogs/trading-systems-market-update/backtesting-v-reversal-what-if-scenarios-with-open-code

08/19/2026

Rolling average trade profit is one of the most useful metrics I’ve found for evaluating algorithmic trading systems and portfolios.

Most performance reports tell you the average trade over the entire historical test.

But I think a more useful question is:

**What has the average trade profit been over the last 50, 100, or 200 trades?**

That rolling view can help show where a strategy or portfolio is within its current performance cycle—whether it is near an equity peak, moving through a drawdown, or experiencing an unusually strong or weak stretch.

In this new post and video, I walk through the Capstone **18-System Portfolio** and show:

* Rolling average trade profit
* The relationship between average trade and drawdown
* In-sample vs. out-of-sample performance
* Individual strategy equity curves
* Why the systems in a diversified portfolio should not all be at the same point in their performance cycles
* Analysis using the Capstone Portfolio Metrics Lab and MultiCharts

One of the key ideas is that diversification is not just about having more systems.

It is about combining **independent trading edges with different return profiles, different methodologies, and different performance cycles.**

Full post + video:

https://capstonetradingsystems.com/blogs/trading-systems-market-update/key-metrics-for-algorithmic-trading-portfolios-rolling-average-trade-profit

08/12/2026

One great trading system isn't enough.

Any edge can lag. Any strategy can go into drawdown.

That’s why we build portfolios of independent trading systems instead of depending on one “perfect” strategy.

Our 18 System Portfolio was finalized in May 2025 and has now accumulated approximately 15 months of unchanged out-of-sample performance.

Full results:
https://capstonetradingsystems.com/blogs/trading-systems-market-update/18-system-portfolio-out-of-sample-results-and-performance

06/24/2026

The Dilemma of Market Diversity in 2026 for Algorithmic Traders

One of the biggest challenges for systematic futures traders right now is not simply finding opportunity.

It is sizing the opportunity.

Yesterday’s daily dollar range across several major futures markets was still substantial:
Silver: nearly $20,000 per contract
Peak on January 30: over $200,000

Gold: nearly $10,000 per contract
Peak on January 30: over $77,000

Crude Oil: nearly $2,000 per contract
Peak on March 9: over $38,000

Crude oil’s daily dollar ranges have moderated somewhat lately, but metals remain a clear example of the problem.

As systematic traders, we generally want market diversity. Multiple markets. Multiple strategies. Multiple methodologies. Different return drivers. Different volatility regimes. Different correlations.

That is the right portfolio concept.

But in 2026, the capital required to capture that diversity has surged.

The visible opportunity may be larger, but so is the risk per contract. Wider daily ranges require wider stops. Wider stops require more capital. Static order book participation appears to have dropped in many markets, visible spreads have widened, and the dollar risk embedded in each futures contract has expanded meaningfully.

This creates a real portfolio construction dilemma:
The trader wants diversification, but the capital requirement for diversification has increased.

Multi-contract traders can scale down quickly. They can reduce size, trade fewer contracts, or shift allocations across markets.

Smaller traders have fewer choices. They may need to move to micro contracts, reduce exposure, or stop trading certain markets altogether until volatility stabilizes.

The opportunity set has expanded.

But so has the cost of participating in it.

That is one of the most important futures trading realities of 2026: market diversity still matters, but volatility-adjusted capital allocation matters even more.

06/05/2026

Today our NQ portfolios hit new equity peaks — driven mainly by short-side gains. Key highlights:
• All Nasdaq futures portfolios at equity peak: 25, 18, 7, 3, 2 System Portfolios (NQ).
• New largest winning days: 18, 7, 3 System Portfolios (NQ).
• Top short strategies: TICK Wave, NQ Pulse, NQ Open Range.
We expect drawdowns to expand as index levels climb; the upside follows the same pattern. If you trade futures, these diversified, tested systems show how algorithmic rules and hands-free ex*****on can produce consistent results while managing risk.
Read the full breakdown and system P&L details: See the link below and tell us which system you want analyzed next.

The portfolio setups captured the moves today to new equity peaks with both long and short trades with the biggest gains coming from the short side.All the Nasdaq futures Portfolios at equity peak today:-25 System Portfolio NQ-18 System Portfolio NQ-7 System Portfolio NQ-3 System Portfolio NQ-2 Syst...

06/02/2026

We look at the V-Reversal fully automated trading system for the E-mini Nasdaq futures. We run through the trades of the last 5 trading days for long and short trades and discuss the live results from the Auto Trade Broker.

https://www.capstonetradingsystems.com

06/01/2026

Turn Trading Ideas Into TradeStation EasyLanguage (Open Code)

Open-code EasyLanguage strategy examples from the Capstone Trading Systems YouTube channel.

Learn how trading ideas become objective rules you can code, compile, and backtest in TradeStation.

Lifetime access + downloadable code:
https://capstonetradingsystems.com/products/youtube-easylanguage-examples

Subscribe: https://www.youtube.com/

Educational only. Hypothetical/simulated results are not indicative of future performance. Futures trading involves substantial risk.

04/28/2026

I walk you through automated signal generation using Capstone’s tested strategy so you can apply it in MultiCharts or NinjaTrader. Learn how long signals suit trending markets and short signals work in reversals. Benefits: 25 years of strategy development, clear rules, real chart example. See the snapshot and start learning: https://wix.to/AiwvxJ6 📈🔍

Want a deeper breakdown? Tell me which market you trade and I’ll point to the best signal type.