Portfolio of Systems. Where indicated, multiple systems are combined w/in a timeframe (daily, multiday, etc.) and stacked so that only one system trades per signal. Thus the portfolio naturally rotates through its components smoothing results and providing a natural buffer against ever-changing cycles.

Leverage. System results are presented without leverage. At 1x leverage a 1% move in the underlying market would cause a 1% change in the system P&L. At 2x leverage a 1% move in the underlying market would cause a 2% move in the system P&L. Knowing the leverage used makes it easier to compare and contextualize results.

Buy and Hold. This number is much easier to compute without dividend reinvestment but it is not as accurate and is a lower benchmark than Buy and Hold with dividend reinvestment. So we are using a lower benchmark that distorts 'vs Buy and Hold' results in our favor. The number does, however, give us an accurate read of a system's correlation with the underlying market (beta).

Slippage and Commisions have been deducted where noted. We have deducted them where they may have a large material impact such as intraday trading.

Historical Results. Future results, like future markets, will be different, perhaps substantially different.

Vertical Solutions Daily SP Trading Portfolio, (1997-present)
A portfolio of systems that holds 24 hours or less and handles leverage well. This is a high alpha, low beta collection with consistently successful results over many market conditions.
S&P Futures, Annual Unlevered ROR 16.7%, MaxDD 7.9%, Sharpe 2.42, PDF...

Vertical Solutions Multiday SP Trading Portfolio, (1997-present)
A portfolio of systems that holds several days.
This is a high-alpha collection that consistently beats buy and hold.
S&P Futures, Annual Unlevered ROR 10.2%, MaxDD 8.0%, Sharpe 1.03, PDF...

Vertical Solutions BHSH SP Trading System, (1997-present)
An experimental long-only system that's interesting for its simplicity, consistency and what's missing for something so simple: big drawdowns. A work in progress.
(Developed with Dr. Kim Zussman)
S&P Futures, Annual Unlevered ROR 10.24%, MaxDD 14.5%, Sharpe 0.88, PDF...

SP CAsh Buy and Hold Benchmark, (1997-present)
Without dividend reinvestment.
S&P Cash, Annual ROR 4.4%, MaxDD 50.3%, Sharpe 0.12, PDF...