Portfolio #6: Multi-Commodity Trend Portfolio
A Diversified Approach to Commodity Trading
Most traders diversify by buying more stocks.
But diversification inside the same asset class doesn’t reduce risk, it multiplies it.
Real diversification happens across markets that don’t care about each other.
This portfolio brings together five commodity markets: Silver, Gold, Cocoa, Orange Juice, and Crude Oil.
Each driven by its own dedicated strategy, combined into a single, rules-based portfolio that has been backtested for 14 years.
The individual strategies themselves are built on a very simple set of conditions around price behaviour and continuation patterns. Without giving too much away, each strategy identifies high-probability entry conditions based on how price moves relative to its own recent history. The details of the specific parameters and logic will be published in the upcoming weeks for paid readers, keep reading for a full breakdown of the portfolio’s performance characteristics.
Markets & Strategy Overview (2012-2026)
Silver (Commodities Trend-Following Strategy) (Coming Soon)
Silver has a habit of being calm for extended periods before breaking into powerful, sustained moves. That dynamic makes it one of the better trend-following markets when the conditions finally align.
Profit: €10,458
Trades: 228
Win Rate: 40.4%
Risk/Reward: 2.01
CAGR: 3.0%
Gold (Donchian Breakout Trend-following) (Strategy #8)
Most traders hold Gold as a safe haven, not as a trend vehicle. That's a missed opportunity. Gold produces extended directional moves that a systematic breakout strategy is well positioned to capture.
Profit: €16,214
Trades: 65
Win Rate: 40%
Risk/Reward: 2.61
CAGR: 4.4%
Cocoa (Pullback Breakout Daily Strategy) (Coming Soon)
Cocoa has seen some of the most dramatic price swings of any commodity in recent years, exactly the kind of directional movement a pullback breakout strategy is designed to capture.
Profit: €22,527
Trades: 184
Win Rate: 52.2%
Risk/Reward: 1.58
CAGR: 5.6%
Orange Juice (Pullback Breakout Daily Strategy) (Coming Soon)
OJ is a market most systematic traders ignore entirely, which is part of why it works so well. Thin institutional participation and supply-driven volatility create trends that are unusually clean and persistent. It's the standout performer in this portfolio, contributing 46.5% of total profit.
Profit: €53,510
Trades: 274
Win Rate: 43.1%
Risk/Reward: 1.99
CAGR: 9.8%
Crude Oil (CL Composite RSI Strategy) (Available in Portfolio #5)
Crude Oil brings energy sector exposure and genuine decorrelation from the other commodities in this portfolio. Its lower CAGR here is by design, it's doing diversification work as much as return work.
Profit: €12,414
Trades: 113
Win Rate: 54.9%
Risk/Reward: 1.15
CAGR: 3.5%
Portfolio Total
Profit: €115,124
Trades: 864
Win Rate: 45.6%
Risk/Reward: 1.82
CAGR: 14.5%
Each strategy trades daily timeframes and is designed to be fully automated.
Portfolio Performance
The combined portfolio generated a total profit of €115,124 across 864 trades, with an overall win rate of 45.6% and a Risk/Reward ratio of 1.82. This means the portfolio wins less than half the time but the average winner is nearly twice the size of the average loser, a classic sign of trend-following systems.
The portfolio CAGR stands at 14.5%, meaningfully higher than any single strategy on its own, a clear illustration of the diversification benefit at work.
Drawdown Profile
The maximum drawdown across the portfolio sits at -€6,118, with a peak drawdown duration of 466 days and an average drawdown duration of just 104 days. While the max drawdown duration may appear long on paper, the relatively short average duration suggests the portfolio recovers efficiently from equity dips. The MAR Ratio of the portfolio is 1.33.
Market & Trade Distribution
As shown in the distribution charts below, the portfolio is well-diversified both in terms of trade activity and profit contribution:
Distribution of Trades by Market:
Orange Juice leads with 31.7% of all trades
Silver follows at 26.4%
Cocoa at 21.3%, Crude Oil at 13.1%, and Gold at 7.5%
Distribution of Gains by Market:
Orange Juice dominates gains at 46.5% of total portfolio profit
Cocoa contributes 19.6%
Gold 14.1%, US Crude Oil 10.8%, and Silver 9%
Orange Juice is clearly the standout performer in this portfolio, a market that is often overlooked by retail systematic traders, but one that has shown persistent trend behaviour over long periods.
Risk Management Across the Portfolio
Each strategy includes its own risk parameters, but portfolio-level risk management is equally important:
Position Sizing: Each strategy uses dynamic sizing based on volatility
MAX Drawdown Risk Parity: Each strategy gets sized so its maximum historical drawdown equals a set amount of money.
This Portfolio:
Portfolio Max DD: -€6,118 | Sum of Individual Max DDs: -€23,307
Diversification Factor: 6,118 / 23,307 = 0.26
This means you’re getting 74% drawdown reduction from diversification in this portfolio, pretty damn good.
The individual strategies behind this portfolio are being released exclusively to premium members over the coming weeks. The Gold and Crude Oil strategies are already available. Silver, Cocoa, and Orange Juice are coming soon.
Join 7,100+ traders following this research. Premium membership is currently €399/year, the price will increase as the strategy library grows.
Lock in the current rate before the next increase.
Why This Portfolio Works
Several structural advantages underpin this portfolio’s consistency:
True diversification.
The five markets, soft commodities, precious metals, and energy have low correlations to one another. When Orange Juice trends strongly, Crude Oil may be choppy, and vice versa. This natural de-correlation lowers equity curve volatility at portfolio level.
Asymmetric payoff profiles.
Every individual strategy in the portfolio maintains a Risk/Reward ratio above 1.0, meaning each trade is structured so that winning trades, when they occur, outpace the losses. This is the mathematical foundation for long-term trend-following profitability even with sub-50% win rates.
Rules-based entries and exits.
Every entry and exit is triggered by clearly defined, systematic conditions removing emotional decision-making from the equation entirely. The risk of trading trend following discretionary is that you can miss entries, with a fully automated and rules-based entry/exit there is extremely low risk of missing a good opportunity.
Daily timeframe resilience.
Operating on daily bars means reduced sensitivity to intraday noise, lower transaction costs relative to shorter timeframes and a more sustainable approach for traders who cannot monitor markets in real time.
Coming Soon
The individual strategies that make up this portfolio are currently being finalised for public release. Each one will be available, giving traders the flexibility to deploy them individually or replicate the full portfolio structure.
Want to be the first to know when these strategies are available? Follow me for updates, release announcements will be shared as soon as they’re ready.
If you’ve been looking for a systematic approach to commodity trading, this is what it can look like in practice.
In the meantime, if you have questions about portfolio construction, strategy diversification, or systematic commodity trading in general, feel free to drop them in the comments below.
Included Strategies
Premium Membership includes full ProRealTime code and description for each system.
Thank you for your support!
Disclaimer: I am not a financial advisor and I don’t recommend you to trade my strategies. This article is for informational and educational purposes only. Trading involves risk, and you can lose money. Always do your own research.