An automated futures trading portfolio created by Old Bainbridge Capital, currently running live on a $25,000 trading account. View the historical backtest, current live performance, and the methodology behind every trade.
NT8 engine. All metrics include commissions and modeled slippage. Composite max drawdown computed from daily cumulative portfolio equity, not individual sub-strategy DDs. Live execution is within the historical strategy variance distribution and well below the composite max drawdown threshold.
Disabled all MCL sub-strategies due to elevated volatility from the ongoing Iran conflict and broader Middle East tensions. Crude oil is currently trading on geopolitical news flow rather than technical structure, which places it outside the market regime the MCL strategies were validated against. The strategies will be re-enabled once volatility normalizes and price action returns to a technically-driven regime.
Closed an open MES position early to lock in approximately a 4.4% account gain. Recent months have shown irregular intraday price action that increases the risk of an open profitable position reversing before the strategy's systematic exit. Manual interventions of this kind are rare and only triggered when a discretionary read of market conditions warrants protecting realized gains over waiting for the planned exit.
Ten sub-strategies allocated across four micro-futures instruments. All admitted via the same enhanced discovery framework. Backtest period 2020-01-02 to 2026-04-14.
Composite portfolio net P&L is greater than the sum of any single sub-strategy because drawdowns across the four strategies don't fully overlap. The composite max drawdown of −$2,882 is smaller than the individual MNQ V5 max drawdown of −$2,885, an explicit benefit of cross-instrument diversification.
OBC Core V2 is built across four behavioral strategy families. Each family targets a different market regime so the portfolio is not concentrated in a single behavior. No single family dominates overall contribution.
Captures directional continuation during sustained momentum regimes.
Exploits short-term dislocations and exhaustion behavior.
Targets volatility expansion following periods of contraction.
Identifies directional reversals and intraday momentum transitions.
Diversification across these four families reduces concentration risk during regime shifts. Strategy overlap is monitored through correlation and drawdown clustering analysis. Cross-family drawdown diversification is approximately 71% — composite max drawdown is materially smaller than the sum of individual sub-strategy drawdowns.
Every sub-strategy in this portfolio went through the same six-stage validation process before any live capital was committed. Each stage filters out fragile strategies. The process is repeatable across markets and trading styles supported by NinjaTrader 8.
Each candidate begins with a testable hypothesis grounded in market structure. Not a chart pattern someone noticed last week.
Ran on 6+ years of historical data with slippage, commission, and exchange fees modeled. A backtest that ignores execution costs is fiction.
Test the strategy across a grid of parameter combinations to confirm the edge is robust, not the result of one lucky setting.
Train on one window of history, test on the next. Repeat across years. A strategy that only works in-sample doesn't work.
Resample thousands of times to confirm the edge isn't an artifact of the specific historical sequence. Test against random entries to verify statistical significance.
Port the validated Python logic into a NinjaTrader 8 strategy, then re-backtest inside NT8 to confirm the deployed code reproduces the Python results. Translation errors caught here, not in live.
Run on a paper account before committing real capital. Only strategies that survive every prior stage ever reach a funded account.
Six diagnostic views from the OBC Core V2 validation pass. Walk-forward profit factors, Monte Carlo distributions, permutation tests, and regime decomposition. Together they answer the only question that matters: is the edge structural, or is it an artifact of one lucky path through history?
Cumulative net P&L for the combined portfolio and each sub-strategy. Confirms the composite curve is supported by multiple contributors rather than a single dominant strategy.
Block bootstrap across simulated trade sequences. Daily equity paths, bootstrap terminal P&L, max drawdown distribution, and per-instrument contribution. Breach probability against the $5,250 prop limit sits at 12.9% in this view.
Test the strategy's metrics against thousands of random-entry baselines on the same data. If a real edge exists, the observed result should fall far outside the random distribution.
Yearly P&L by instrument, monthly P&L distribution, monthly time series, and day-of-week breakdown. Profitability is spread across years, instruments, and weekdays — not concentrated in a single regime.
Ten rolling out-of-sample windows, each tested on data the optimization never saw. Train on twelve months, test on the next six. Every window has its own equity curve and profit factor.
Profit factor by walk-forward window. Mean PF of 1.418 across ten windows. All ten above breakeven, lowest 1.144. No window in loss. This is the single most important robustness check.
Walk-forward windows: twelve months in-sample, six months out-of-sample. Monte Carlo: block bootstrap across simulated trade sequences. Permutation test: random-entry baselines on identical price data. All net of fees and slippage assumptions.
Apply the same process behind OBC Core V2 to your own strategy, or build a full algorithmic portfolio from the ground up.
Submit a systematic strategy for the same multi-stage validation pipeline applied to OBC Core V2. Realistic backtesting with commissions and slippage, parameter sweeps, walk-forward windows, Monte Carlo and permutation testing. An honest verdict at the end: deploy, refine, or kill.
A guided program for building a validated algorithmic portfolio from the ground up. The discovery framework, research stack, and deployment pipeline behind a live, prop-funded multi-strategy portfolio. End with a system you can run, not a slide deck.