Algorithmic portfolios
How does changing the combination of systems change the questions we need to ask about joint risk? These pages describe our portfolio architecture, not a selection of accounts available for investment.
Portfolio range
Names identify our research structures. They are not risk ratings, suitability assessments or recommendations to allocate money.
Aegis brings together two strategy sleeves. It lets us examine concentration within a smaller combination; fewer components do not establish that a portfolio is safe.
Recorded weekly data · 02 Oct 2026
Orion uses four sleeves to study a wider combination of trading approaches. Adding components changes the review work; it does not by itself demonstrate diversification.
Recorded weekly data · 02 Oct 2026
Nova uses eight sleeves, including additional gold exposure. A broader architecture introduces more interactions, execution dependencies and concentration questions.
Recorded weekly data · 02 Oct 2026
iAll three card charts use the same $10,000 baseline and shared vertical scale. They are sampled at Friday end-of-week balance for readability. Published 1M, 3M, since-start and Max Balance Drawdown figures are calculated from the complete normalized closed-position sequence. Historical performance is not a forecast or guarantee.
How to compare
Different algorithms can still hold the same market direction at the same time. We examine position timing and common sources of loss.
A weight affects exposure, not just presentation. We consider position sizing, concentration and drawdown alongside the operational limits of each component.
Monthly rolling-window reviews help organise our observations. Any adjustment needs a reason and a record; recent performance alone is not a reliable selection rule.
Side-by-side
All three portfolios use the same $10,000 normalization basis and the same completed-Friday cutoff. The statistics are calculated from the full normalized position sequence.
POLARIS / Historical portfolio comparison
We compared our original coefficient choices with an adjusted version. Coefficients are set using a six-month window; the charts below show the two historical paths side by side.
Historical research comparison — not live-account performance or a forecast.
1 July 2023 – 14 September 2026 · September is a partial month
Both paths start at USD 10,000 and retain the original historical trade sizes. This is a reconstruction, not a new backtest that recalculates those sizes for a USD 10,000 account. Historical results do not guarantee future performance.
Scroll horizontally to view the complete chart or table.
The same starting capital, time span and historical source data for both paths.
Scroll horizontally to view the complete chart or table.
Cumulative profit or loss relative to the USD 10,000 starting point.
Scroll horizontally to view the complete chart or table.
This curve uses month-end values and month-end highs. Summary and table drawdowns use historical minute samples; the maximum dollar and percentage drawdowns are measured separately.
The adjusted path is not better in every month. Read the changes in profit and drawdown together.
| Year | Our original coefficients | After the dominance adjustment | ||||
|---|---|---|---|---|---|---|
| Profit / loss | Return · % | Largest monthly drawdown · USD | Profit / loss | Return · % | Largest monthly drawdown · USD | |
| 2023 | 2,061.33 | 20.61 | 688.74 | 2,499.01 | 24.99 | 944.40 |
| 2024 | 38,555.38 | 319.66 | 8,557.51 | 21,501.39 | 172.02 | 4,920.98 |
| 2025 | 156,159.38 | 308.51 | 40,250.95 | 76,423.56 | 224.77 | 19,881.24 |
| 2026 | 371,878.27 | 179.85 | 167,815.03 | 267,202.27 | 241.98 | 32,343.80 |
| Month | Our original coefficients | After the dominance adjustment | Profit / loss difference · USD | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Opening value | Profit / loss | Return · % | Ending value | Monthly drawdown · USD / % | Opening value | Profit / loss | Return · % | Ending value | Monthly drawdown · USD / % | ||
| 2023-07 | 10,000.00 | -355.67 | -3.56 | 9,644.33 | 420.89 / 4.20% | 10,000.00 | -355.67 | -3.56 | 9,644.33 | 420.89 / 4.20% | 0.00 |
| 2023-08 | 9,644.33 | 5.26 | 0.05 | 9,649.59 | 268.10 / 2.74% | 9,644.33 | 5.26 | 0.05 | 9,649.59 | 268.10 / 2.74% | 0.00 |
| 2023-09 | 9,649.59 | -186.80 | -1.94 | 9,462.79 | 281.44 / 2.89% | 9,649.59 | -186.80 | -1.94 | 9,462.79 | 281.44 / 2.89% | 0.00 |
| 2023-10 | 9,462.79 | -204.69 | -2.16 | 9,258.11 | 688.74 / 7.09% | 9,462.79 | -204.69 | -2.16 | 9,258.11 | 688.74 / 7.09% | 0.00 |
| 2023-11 | 9,258.11 | 891.46 | 9.63 | 10,149.57 | 665.17 / 7.14% | 9,258.11 | 906.49 | 9.79 | 10,164.60 | 569.46 / 6.12% | 15.03 |
| 2023-12 | 10,149.57 | 1,911.76 | 18.84 | 12,061.33 | 670.80 / 5.82% | 10,164.60 | 2,334.41 | 22.97 | 12,499.01 | 944.40 / 7.87% | 422.64 |
| 2024-01 | 12,061.33 | -209.53 | -1.74 | 11,851.80 | 1,118.35 / 9.13% | 12,499.01 | -909.93 | -7.28 | 11,589.08 | 1,252.06 / 9.94% | -700.39 |
| 2024-02 | 11,851.80 | -2,149.22 | -18.13 | 9,702.58 | 2,880.62 / 23.20% | 11,589.08 | -3,167.29 | -27.33 | 8,421.79 | 3,576.73 / 30.21% | -1,018.08 |
| 2024-03 | 9,702.58 | 3,716.80 | 38.31 | 13,419.38 | 3,835.44 / 26.88% | 8,421.79 | 5,088.25 | 60.42 | 13,510.03 | 4,558.81 / 28.85% | 1,371.44 |
| 2024-04 | 13,419.38 | 8,160.59 | 60.81 | 21,579.97 | 4,031.08 / 16.00% | 13,510.03 | 3,528.91 | 26.12 | 17,038.94 | 2,674.29 / 13.98% | -4,631.68 |
| 2024-05 | 21,579.97 | -1,030.37 | -4.77 | 20,549.60 | 6,833.00 / 30.72% | 17,038.94 | -125.97 | -0.74 | 16,912.97 | 3,882.40 / 22.64% | 904.40 |
| 2024-06 | 20,549.60 | 212.92 | 1.04 | 20,762.52 | 1,868.51 / 8.39% | 16,912.97 | 1,876.22 | 11.09 | 18,789.19 | 1,990.55 / 10.17% | 1,663.30 |
| 2024-07 | 20,762.52 | 8,182.25 | 39.41 | 28,944.78 | 3,562.05 / 12.56% | 18,789.19 | 3,670.96 | 19.54 | 22,460.16 | 1,410.91 / 6.70% | -4,511.29 |
| 2024-08 | 28,944.78 | 2,963.94 | 10.24 | 31,908.72 | 5,697.51 / 15.42% | 22,460.16 | 722.20 | 3.22 | 23,182.36 | 3,998.71 / 15.10% | -2,241.75 |
| 2024-09 | 31,908.72 | 5,581.15 | 17.49 | 37,489.87 | 4,885.99 / 12.06% | 23,182.36 | 3,061.47 | 13.21 | 26,243.83 | 3,263.29 / 13.42% | -2,519.68 |
| 2024-10 | 37,489.87 | 7,188.30 | 19.17 | 44,678.17 | 7,327.48 / 18.58% | 26,243.83 | 3,834.83 | 14.61 | 30,078.66 | 4,920.98 / 17.73% | -3,353.47 |
| 2024-11 | 44,678.17 | 6,200.14 | 13.88 | 50,878.31 | 5,891.17 / 13.10% | 30,078.66 | 3,655.29 | 12.15 | 33,733.95 | 3,867.69 / 12.81% | -2,544.85 |
| 2024-12 | 50,878.31 | -261.60 | -0.51 | 50,616.71 | 8,557.51 / 16.82% | 33,733.95 | 266.45 | 0.79 | 34,000.40 | 3,331.36 / 9.88% | 528.05 |
| 2025-01 | 50,616.71 | 19,240.76 | 38.01 | 69,857.48 | 7,983.48 / 11.39% | 34,000.40 | 3,242.42 | 9.54 | 37,242.82 | 2,913.85 / 7.65% | -15,998.34 |
| 2025-02 | 69,857.48 | 13,876.96 | 19.86 | 83,734.44 | 8,339.71 / 9.35% | 37,242.82 | 4,425.82 | 11.88 | 41,668.64 | 3,704.03 / 8.61% | -9,451.14 |
| 2025-03 | 83,734.44 | 13,381.28 | 15.98 | 97,115.71 | 13,885.59 / 15.29% | 41,668.64 | -873.80 | -2.10 | 40,794.84 | 5,351.55 / 12.76% | -14,255.07 |
| 2025-04 | 97,115.71 | 38,969.72 | 40.13 | 136,085.44 | 25,262.93 / 24.16% | 40,794.84 | 15,649.66 | 38.36 | 56,444.50 | 10,429.00 / 23.95% | -23,320.06 |
| 2025-05 | 136,085.44 | -17,545.46 | -12.89 | 118,539.98 | 36,765.44 / 26.59% | 56,444.50 | -3,571.45 | -6.33 | 52,873.06 | 9,262.11 / 15.55% | 13,974.01 |
| 2025-06 | 118,539.98 | -1,220.45 | -1.03 | 117,319.53 | 30,088.68 / 21.50% | 52,873.06 | -4,131.85 | -7.81 | 48,741.20 | 8,274.38 / 14.78% | -2,911.40 |
| 2025-07 | 117,319.53 | 20,149.52 | 17.17 | 137,469.05 | 13,569.56 / 10.65% | 48,741.20 | 4,793.86 | 9.84 | 53,535.07 | 4,467.76 / 8.69% | -15,355.66 |
| 2025-08 | 137,469.05 | 4,696.48 | 3.42 | 142,165.53 | 32,604.13 / 20.92% | 53,535.07 | 634.30 | 1.18 | 54,169.37 | 5,456.04 / 9.58% | -4,062.18 |
| 2025-09 | 142,165.53 | 21,080.63 | 14.83 | 163,246.16 | 12,970.70 / 8.28% | 54,169.37 | 21,080.63 | 38.92 | 75,250.00 | 12,970.70 / 18.87% | 0.00 |
| 2025-10 | 163,246.16 | 16,576.16 | 10.15 | 179,822.32 | 14,039.27 / 7.85% | 75,250.00 | 10,149.49 | 13.49 | 85,399.48 | 8,633.14 / 10.08% | -6,426.67 |
| 2025-11 | 179,822.32 | 6,083.38 | 3.38 | 185,905.70 | 40,250.95 / 19.12% | 85,399.48 | 9,804.52 | 11.48 | 95,204.01 | 19,881.24 / 18.81% | 3,721.14 |
| 2025-12 | 185,905.70 | 20,870.39 | 11.23 | 206,776.10 | 19,470.74 / 9.32% | 95,204.01 | 15,219.95 | 15.99 | 110,423.96 | 13,728.19 / 13.83% | -5,650.44 |
| 2026-01 | 206,776.10 | 68,620.21 | 33.19 | 275,396.30 | 24,399.50 / 10.15% | 110,423.96 | 52,205.69 | 47.28 | 162,629.65 | 18,037.44 / 12.38% | -16,414.52 |
| 2026-02 | 275,396.30 | 44,157.54 | 16.03 | 319,553.84 | 31,148.60 / 9.92% | 162,629.65 | 42,014.18 | 25.83 | 204,643.83 | 28,470.71 / 13.99% | -2,143.36 |
| 2026-03 | 319,553.84 | 82,460.57 | 25.80 | 402,014.41 | 40,096.24 / 11.58% | 204,643.83 | 61,525.05 | 30.06 | 266,168.88 | 32,343.80 / 14.02% | -20,935.52 |
| 2026-04 | 402,014.41 | 4,709.33 | 1.17 | 406,723.74 | 24,805.29 / 6.05% | 266,168.88 | 8,233.34 | 3.09 | 274,402.21 | 21,703.60 / 7.90% | 3,524.01 |
| 2026-05 | 406,723.74 | 74,755.27 | 18.38 | 481,479.01 | 36,934.52 / 8.06% | 274,402.21 | 46,029.82 | 16.77 | 320,432.04 | 21,479.57 / 6.86% | -28,725.44 |
| 2026-06 | 481,479.01 | 199,932.09 | 41.52 | 681,411.10 | 32,518.11 / 4.83% | 320,432.04 | 54,436.54 | 16.99 | 374,868.58 | 14,194.83 / 4.02% | -145,495.55 |
| 2026-07 | 681,411.10 | 32,401.68 | 4.76 | 713,812.78 | 55,545.34 / 7.64% | 374,868.58 | -2,179.05 | -0.58 | 372,689.53 | 14,052.77 / 3.69% | -34,580.73 |
| 2026-08 | 713,812.78 | -115,782.29 | -16.22 | 598,030.48 | 167,815.03 / 23.43% | 372,689.53 | 1,016.33 | 0.27 | 373,705.86 | 5,718.08 / 1.51% | 116,798.62 |
| 2026-09Partial month | 598,030.48 | -19,376.12 | -3.24 | 578,654.36 | 27,293.20 / 4.54% | 373,705.86 | 3,920.38 | 1.05 | 377,626.23 | 4,634.48 / 1.22% | 23,296.50 |
Related research and applications
Move between focused research, system engineering and portfolio construction without losing the context of this page.
Questions
Questions about the design or the software specification are welcome. No account-management or portfolio-access offer is made here.
Ask about the research →