Our EA Just Broke the Monthly Profit Ceiling! Find Out How.

A beginner-friendly summary of the verification: “Our EA Just Broke the Monthly Profit Ceiling! Find Out How.”.

This time around, we explored a fascinating way to potentially boost our algorithmic trading systems (EAs) beyond what we thought was possible: by combining an existing, reliable strategy with a completely new one. The goal was simple but ambitious: break through a perceived ceiling on our monthly profits.

What’s the Big Idea?

The core concept here is called “uncorrelated diversification.” Imagine you have a fantastic chef (our “core system”) who consistently makes delicious meals. But what if you added an equally talented baker (our “index sleeve”) whose creations are popular but for different reasons? If the chef has an off day, the baker can still bring in the customers. That’s the essence: combining strategies that don’t always move in lockstep. When one might be experiencing a bit of a downturn, the other could be thriving, leading to smoother overall performance and potentially higher returns. For this research, we took our established “core system” and integrated it with a new “index Go Long” strategy. This index strategy is designed to only buy, betting on upward movements in a specific index (let’s call it US3, which acts like a general market barometer). It uses daily (D1) data, with specific entry and exit points based on price levels (30 and 60), and filters trades using a 200-period Simple Moving Average (SMA 200). We then combined the results of these two independent strategies into one portfolio.

How We Put It to the Test

We ran extensive backtests, simulating trades from 2015 all the way through 2026. First, we looked at the performance of our “core system” on its own, without any additions. This gave us a baseline. Then, we introduced the “index sleeve” alongside it. We experimented with different “risk allocations” for the index sleeve – essentially, how much capital we’d allow it to risk per trade. We tested configurations where the index sleeve risked 0.005% of the capital per trade, and a more aggressive version risking 0.008%. We tracked several key metrics:

Monthly Profit: The average percentage gain per month.
Drawdown (DD): The largest percentage drop from a peak in our equity curve. It tells us how much our capital might shrink during a losing period – lower is always better!
Profit Factor (PF): This is calculated as total gross profit divided by total gross loss. A PF greater than 1 means the system is profitable. The higher the number, the better!
Consistency Metric (MC): This is a measure of the system’s robustness and how consistently it performs. A higher percentage indicates better overall stability.

The Results Are In! (And They’re Exciting!)

The initial results were truly impressive! Here’s how the “core system” performed on its own, over the 2015-2026 period:

Monthly Profit: 0.47%
Drawdown (DD): -9.0%
Consistency Metric (MC): 85.1% Now, look what happened when we combined it with the “index sleeve” (using a risk allocation of 0.005%):
Monthly Profit: 0.53%
Drawdown (DD): -8.3%
Profit Factor (PF): 1.45
Consistency Metric (MC): 89.5% In other words: We saw improvements across the board!
Our monthly profit increased from 0.47% to 0.53% – that’s a significant boost of over 13% more profit each month!
Our drawdown actually decreased from -9.0% to -8.3%, meaning our portfolio was more resilient during losing periods.
The Profit Factor jumped to 1.45, indicating that for every dollar we lost, we were making $1.45 in profit.
And our Consistency Metric also improved, suggesting a more robust and reliable overall system. This is a classic example of uncorrelated diversification in action: simultaneously achieving higher returns and lower risk! For the first time, we’ve broken through what we previously considered a “ceiling” of around 0.5% monthly profit for our systems. We also tested a slightly more aggressive setup for the index sleeve (risk 0.008%), which pushed monthly profits even higher to 0.63%, but at the cost of a slightly larger drawdown (-9.8%) and a minor dip in the Consistency Metric (88%). While tempting, the balanced approach with 0.005% risk seemed to offer the best combination of returns and risk management.

The Catch: Why It’s Not “Confirmed” Yet

This all sounds fantastic, right? And it is! However, there’s a crucial “but.” While the daily (D1) timeframe backtests showed incredible promise, the “index sleeve” strategy has only been verified using daily data. This means we haven’t yet tested its behavior on intraday (M1, or 1-minute chart) data. Why is this a big deal? Indices, especially during active trading hours, can experience rapid price movements, sudden “gaps” (when the market opens at a significantly different price than it closed), and sharp “spikes.” These kinds of volatile events are smoothed out on a daily chart but can be very impactful on a minute-by-minute basis. We have a strict risk management discipline from previous research (Research 12 & 17) that requires us to confirm how a system handles a “daily -5% rule” – meaning, if the system loses 5% in a single day, it needs to be able to react appropriately. This critical safety check hasn’t been performed for the index sleeve on intraday data. Think of it like testing a new car only on a perfectly smooth highway; we still need to see how it handles bumpy city streets and sudden turns before we can truly trust it. Therefore, before we can officially “confirm” and deploy this integrated system, we absolutely need to:

Acquire minute-by-minute (M1) data for the index.
Conduct thorough intraday backtesting to verify its risk profile and ensure it adheres to our safety protocols, especially the daily -5% rule.

What We’ve Learned (And What’s Next)

This research has unveiled a truly exciting path forward! We’ve seen that by intelligently combining uncorrelated strategies, we can potentially achieve significantly higher monthly profits while simultaneously reducing overall risk. The potential for an additional 13% or more in monthly profit is a game-changer. Once the crucial intraday (M1) verification is complete and successful, our recommended configuration for this powerhouse system will be a combination of our “overlay core” (with a risk allocation of 0.003%) and the “index sleeve” (with a risk allocation of 0.005%). Stay tuned! We’re eager to share the results of the M1 verification as soon as it’s done. It’s a reminder that even when results look great, thorough testing is always the key to long-term success in algorithmic trading.

How this connects

This verification builds on earlier ones (what failed before and what I tried this time, comparisons between approaches).