Futures Trading in a truly diversified portfolio

I am a firm believer in the fact that howsoever sound a technical strategy and money management system may be, a truly diversified portfolio is a must to decrease the risk and to earn profits in all types of markets. However, true diversification requires that the assets must be negatively correlated to each other. In practice, it is not very easy find a group of such negatively correlated assets. Nevertheless, a compromise can be made by selecting items which are not related to each other. For example, such a portfolio may consist of Stock index, Bonds, agri commodities, forex, metals etc. Considering the limitations, I have been trading the below mentioned portfolio for more than 5 years now:

Nifty
Bank Nifty
Chana
Mustard seed
Soyabean
Copper
Crude
Silver

With this approach I have been able to generate about 50% returns per annum with a draw down of not more than 10%.

Since I hate to see good intentioned and hard working traders loosing their money, I intend to publish my trading diary for one (out of many) such portfolio under my management.

Capital 40 lacs (20 lacs as margin, 20 lacs as back up. Back up money will earn 9% per annum unless withdrawn to meet losses)

Risk per trade :1-2 % of capital (40-80,000 per trade)

All 8 items mentioned above shall be traded on a consistent basis. However, there may be occasions when there may not be any position in a particular item.

A screen shot of the ODIN will be taken at the end of trading day (at midnight when MCX closes) and will be published day by day on the following morning.

The purpose of the thread is to highlight the importance of proper diversification. Hope I succeed in this mission.

I also need to emphasize that so long a trader keeps the trend in mind and prudently manages a diversified portfolio, he should be comfortable in trading.

This new portfolio has been started on 18/11/2013 and the first day's screen shot will be attached now.

18/11/2013

are your trades positional.

if so what is the time frame of your trades

Please note:

1. This is not an intra-day trading strategy.
2. Since it was the first day of trading in this portfolio, there was minor hiccup in starting the ODIN in the morning and some orders were executed telephonically. The total quantity of Nifty was actually 100 & Banknifty was 75.
And hence, actual profit for the day was more.
3. We also have keep in mind that MTM profit in the screen shot are never 100% accurate as these are subjected to adjustment of closing prices as well brokerage and hence actual profits are those which are reflected in broker's financial ledger.
4. Actual profit for the day of 18/11/2013 was 19203 which is 0.96% on a capital employed of 20 lacs.

Thats nice..
what are your rough targets like and stop losses?

The time frame is dependent upon market movement but is generally from 3 days to one month. I put a trailing stop loss once the trade is in profit but the TSL is dependent on chart pattern. My preferred time frame is hourly charts but I also take daily and 15 minutes in my consideration.

Majority of my trading is pro-trend (with the trend) hence I find that pre-determining targets limits my profits and therefore I do not calculate targets. However, I keep a strict watch on smaller time frame chart (15 minutes in this case) in order to raise my TSL and protect my profits. Sometimes, due to this reason, I also get thrown out of a big move but mostly it helps.

My stop losses are based on swings and are generally 2-4% away from entry price.

Thanks for the share.
:thumb:
keep posting. !

Here is the screen shot for 19/11/2013. Not much change.

Any updates ?