systems trader. sharing few things i find interesting. not financial advice.
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Systematic Portfolio Performance: Nov 07, 2025 - May 30, 2026
portfolio: 21.88%
spy: 12.74%
btc: -28.71%
total2: -28.51%
others: -23.49%
Not the end of the month yet but I have time to kill at the airport and tomorrow I wont.
It’s been a weird 2 months, April through early May, was a bit hard because the crypto market was in this weird limbo where it was emerging from flat to a bit directionally positive, and the short leg took a hit.
The longs were there to smooth it a bit but if I had to point a finger at what happened just from eye balling it, since everything was so weak, I was short higher “quality” stuff and as the market became more favorable, those coins jumped harder off the lows and I took the hit before it shifted out of some of those shorts into a long.
Now the market has been declining a bit and then up, but it seems that the “right” assets to be long and short are clearer, and the portfolio is reflecting that. But this is just my observation I dont have data at hand to show that.
The systems I trade are absolutely having a grand time as of late, and I dont know how long its going to last. In the stuff that I do, most of the time it isnt this good. So I am already bracing for the next sucky period.
But I am happy that I've been able to perform regardless of conditions, and conditions in crypto have been absolutely horrendous.
I am also running all these trades through various new perp dexes farming their points. Not something I started now, but something I’ve done ever since hype tge’d so I have a decent stack of unrealized gains in each by now that should yield a decent return later this year if their base valuations are realized.
Systematic Portfolio Performance: Nov 07, 2025 - Mar 31, 2026
portfolio: 12.56%
spy: -3.07%
btc: -33.92%
total2: -30.29%
others: -31.76%
overall decent performance so far, I'm protecting capital in this terrible market environment (crypto) and that's the goal.
still looking to add new strategies, didn't add much this past month as I've been working on a few failed ones that took my entire time, but overall making progress towards that goal.
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This is Kristjan Qullamaggie.
He's a swing trader, who turned $9,100 into over $80,000,000 from 2013 to 2021.
In 2021, he was featured as the 15th highest income earner in Sweden.
Here’s Kristjan's story:
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This is Richard Dennis.
In 18-years, he turned $400 into $200,000,000.
He wanted to prove that trading could be taught to anyone.
So he started the Turtle Traders program.
Over the next 4 years, the Turtles earned a combined profit of over $100,000,000.
The Turtles story:
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This is Chris Camillo.
In 2021, Chris was featured in Business Insider for turning $20,000 into $42,000,000, during his 15-year trading career.
His trading style, is one of the most interesting I've ever read about:
- Social Arbitrage
Here’s Chris's story:
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ChatGPT now helps you backtest Simple Trading Strategies.
No more wasting 100's of hours building code from scratch for bad ideas.
Here’s how to do it for free, in less than 10-minutes:
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This is the Daniel Negreanu.
6x poker world champion and 7th richest poker player in the world.
He said: "If you focus on the result, you're focusing in the wrong place."
Here's my favorite 7 poker concepts that made me a better trader:
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This is Jesse Livermore.
At 30 years old, he made $33,000,000, in a single day.
In 1929, at the peak of his career, he was worth $1,400,000,000, in today's money.
Despite all of his successes, his life was a roller coaster that ended in tragedy.
Here's his story:
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This is Jim Simons.
He is the founder of the most secretive and successful hedge fund in the world.
As of 2024, Renaissance Technologies has $106,000,000,000 under management.
His net worth is around $31,000,000,000.
Here’s Jim's story:
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This is Stanley Druckenmiller.
He's a billionaire investor and former hedge fund manager.
In 30 years, his fund had an average annual return of 30%, with no money-losing years, and $12,000,000,000 under management.
His investment philosophy:
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This is Bill Perkins.
He made $100,000,000 in a single year, trading natural gas and oil.
He's an American hedge fund manager and high-stakes poker player, whose fund had $500,000,000 in assets under management, as of 2023.
Here’s Bill's story:
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Charles Harris is a swing trader who turned $35,000 into over $10,000,000 from 2019-2021.
By 2022, despite having almost 3 decades of trading experience, he lost most of it.
Here's short summary of his story:
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It took me 7 years to realize, and I will tell you in 2 minutes.
1. Most things that make money in markets are already discovered
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This is David Tepper.
In 2012 he received the largest single paycheck in the world for a hedge fund manager:
$2,200,000,000.
In the 1970's, he paid his college tuition trading an options arbitrage strategy, and today his fund manages over $6B.
His strategy? Buying bad debt:
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This is Dan Zanger.
He's famously known as a swing trader, who turned $10,000 into over $18,000,000 in just 2 years.
Unlike many similar stories, his returns were audited and later verified via his IRS records.
Here’s Dan's story:
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This is Larry Hite.
Despite being dyslexic and partially blind, he became one of the most famous hedge fund managers of all time.
His fund was the first ever to hit $1,000,000,000 under management.
His message? Become the best at taking losses:
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interviewer: "you're a hedge fund, how do you manage your risk, what's the counter that you put on just in case?"
Tepper: "you know what, I am sitting here in a suit, my counter bet is I don't care."
one of us.
Squawk Box
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This is Ed Seykota.
He's a trend-follower that from 1972 to 1988, turned a $5,000 account into $15,000,000.
One of the first traders to develop, and implement, mechanical trading systems.
He's one of the most successful self-taught traders alive today.
Here's his story:
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This is Paul Mulvaney.
In 2024, The Mulvaney Global Markets Fund is up 124%.
Their AUM increased from $299,000,000 to $465,000,000 just in the last 3-months.
Their strategy?
100% systematic trend-following:
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Over the past 6 years, I've watched and read 1000's of hours of trading content.
And the truth is, >98% of them are complete waste of time.
Here's a logical concept that completely changed how I think: 🧵
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This is Ray Dalio.
He went from nothing, to being the 42nd richest man in America.
As of 2024, his net worth sits at $15,400,000,000 .
He is the founder of Bridgewater Associates, with $124,000,000,000 under management.
The "Holy Grail of Investing"?
Diversification:
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Statistical Arbitrage is a quantitative trading strategy used by hedge funds.
Its aim is to exploit statistical mispricing's between assets.
Here’s a brief explanation:
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This is Jerry Parker
At 25 years old he was given $1,000,000 to trade.
He had never traded in his life.
But in the next 5 years, he and the remaining group, made over $175,000,000 trading.
9 lessons from 36 years of trading experience:
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The best way to reduce your portfolio volatility:
Volatility Targeting.
Here's 8 steps to understand volatility targeting (and save time):
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4) The Breakout Trade
Let's systematize his strategy:
1) Initial driver move of >30% in the last 12 weeks
2) Sideways consolidation of 2-8 weeks
3) Consolidation average > 10/20/50 SMA
4) Enter trade on the breakout
5) Stop loss at low of breakout day
6) Stop loss < 1*ATR
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Linear regression is one of the best tools in quantitative trading research.
But 99% of traders and investors don't understand it. ❗️
Every trader needs to understand how it works: 💡
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It took me 7 years to realize what it takes to become a great trader, and I will tell you in 2 minutes.
1. Even a bad or mediocre trader can make a profit over many years. That is not the definition of a great trader.
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3) Position Size & Risk
Kristjan says that one shouldn't hold more than 30% of account size in a single position overnight.
And the risk per position should be 0.25%-1.5%
On a $10,000 account, a single position shouldn't exceed $30,000, and the risk per trade would be $150.
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Every industry has a few books that will teach you 90% of what you need to know about it.
Here are the 24 books in systematic trading:
(ranging from learning basic python to advanced quantitative analysis)
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2) Characteristics of a Social Arb Trade?
a) Finding a new narrative
b) Is this information important to move revenue of a publicly traded company?
c) Is this information important to move the investors perspective of the company?
d) Is the public aware of this information?
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This is George Soros.
He's a hedge fund manager with a net worth of $6.7B.
In 1992, he famously bet against the British pound, making a total profit of over $1B.
He has donated more than 64% of his original fortune, $32B to charitable causes.
Here's his investment philosophy:
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By 2021, Kristjan Kullamägi had made millions trading Episodic Pivots.
3 years later, he claims that the edge is still there.
Everyone seems to agree with that.
It's one of his most known strategies and everyone needs to know if it still works: 🧵
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Covariance Matrix is often mentioned in quantitative trading research and papers.
But 99% of traders and investors don't understand it.
Here's how it works in a simplified format:
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3) $20,000 into $2,000,000 from 2007 to 2010
Chris looks for game-changing events in real life, that have an impact in publicly traded companies.
The trick is to find trends, that Wall Street hasn't picked up on yet.
He calls this an information arbitrage investment.
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I'm a systematic trader.
For the past year I've researched 80+ trading strategies, for myself and my clients.
I found that most failed trading strategies all dance around the same problems.
Here's the top 5 mistakes when building trading models and how you can avoid them:
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Numerai is a crowd-sourced AI hedge fund.
They paid $72,002,141 to data scientists to beat the market.
Despite these efforts, since 2019, it has underperformed the S&P500.
Why is trading the hardest problem in the world?
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5) Exit Rules
Let's also systematize his exit rules:
1) Selling 1/3 or 1/5 of the position within 3-5 days after entry
2) Move the stop to breakeven
3) The remaining position has a trailing stop loss using the 10/20 moving average.
4) Exit if price closes below the trail.
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He mentions that he blew his account 3 or 4 times, for 2 years, before becoming profitable.
Despite his early failures, as most aspiring traders experience, he continued to improve.
Gradually he went from a losing trader, to breakeven, and 2013 was his first profitable year.
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Trading psychology is a made up concept.
It won't turn you from unprofitable, to a profitable trader.
Here's what it actually is, and how you should think about it (big thread):
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4) The Hunger Games Movie
Chris had never heard of The Hunger Games book when a co-worker mentioned it to him.
Everyone was reading it, she said.
In the following 6-months, after making this book into a film, Lion Gate, who never had a blockbuster film, doubled in price.
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2) Cutting losses is hard
What makes really good players is recognizing a situation that is very dangerous, and to jump ship.
Even if their hand initially was really good.
Most people won't cut their losses in a desperate attempt to recover.
That's a very dangerous game.
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1) Edge is Subtle
At the highest levels, you're not going to find blatant edges to exploit your adversary.
Most edges will be very subtle.
The same happens in the most liquid markets where there are no obvious or easy edges.
Most edges are subtle and not easy to capitalize.
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1) Audited Returns
Jack Schwager wrote about Chris on his book Unknown Market Wizards, and for that he audited Chris's full track record.
Also Business Insider looked at Chris's returns in 2021.
Over a 16-year period, Chris claims to have had a 60%-70% annualized return.
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I knew a trader, pulling yearly figures that one only dreams of making in a lifetime, that when asked about what his sharpe was, he didn't know what sharpe was.
best traders I've met are practitioners, more skilled in the art of intuition, finding edge in weird places, and not afraid of getting their hands dirty.
Remember, you can run a small algo trading company and have no idea what linear algebra is and still make money. But you will see a lot of linear algebra in paid substack, have you make any money with that IRL 😅?
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6. Abnormal returns are usually derived from taking abnormal amounts of risk (extreme example: drug dealers)
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2. Given that, if you think you discovered something new, I'd bet on two things:
a) Either you don't understand what really is you're extracting from the market
b) You made a mistake somewhere
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7) Mental game
If you focus on the result, you're focusing on the wrong thing.
You should focus on making the best possible decisions.
And that doesn't mean you automatically win, it just means you're doing your best.
The distribution of wins and losses is random.
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2) Who is Kristjan Qullamaggie
Kristjan is a self-funded trader from Sweden.
He's mostly known for making 10's of millions of dollars as a swing trader.
He started as a day trader back in 2011, at the age of 23 years old.
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Mastering Excel with ChatGPT is a must if you can't code.
Most trading strategies can be backtested in Excel.
Here's how to how to do a backtest in Excel with ChatGPT, in less than 15-minutes:
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QUICK INTRO TO SHARPE RATIO
This is a quick guide for anyone interested in Sharpe Ratio or already using it and trying to make sense of some of its nuances.
Bookmark it for your own study.🔖
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Charles claims that trading shouldn't be that hard.
If people followed these 3 rules, they'd make a fortune over time:
- Don't fight the trend
- Cut your losses quickly
- Let your winners run
How hard can that be, he asks.
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7) The Importance of Patience
Trading in general requires patience.
But for Chris's style of trading, even more so.
He mentions that he might go months, without placing a single trade.
Sometimes he has a big trade every 1 to 2 years.
Most people don't have that patience.
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9) Top Lessons
a) It's not about what you think, it's what you notice around you.
b) Most trader/investors don't have patience, one of the most important aspects of good trading.
c) Competing where you have advantage over competition.
d) Accepting that no trade is a sure winner.
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7) Jesse's Strategy
The strategy was fairly straightforward:
a) Enter long positions in breakouts and short positions in breakdowns
b) Trail the position on an opposite signal
c) High volume stocks
The same principles that momentum and trend traders use to this day.
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4) Obvious is Obviously Wrong
Too many investors look at the present for their decisions.
The problem is that, the present is already priced in.
One needs to think out of the box, into the future and bet against the obvious.
If you invest in conventional wisdom, you'll lose.
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Sources:
1) piped.video/watch?v=WswZwmr2…
2) qullamaggie.com/about/
3) nyheter24.se/nyheter/ekonomi…
4) piped.video/watch?v=K0F73Sq9…
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Here's a more systematic way of looking at it:
a) Markets must be trending
b) Breakout + increased volume
c) Buy the breakout and short the breakdown
d) Increase position size on the way up
e) Stop loss
f) Risk a fixed % of capital per trade
Pretty standard stuff.
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Looking forward to get into the weeds of these two books.
I knew Robert Carver book was quite good but never got around to reading it.
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5. Keep risk as apparent as you can, that way you have a better shot at controlling it
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Strategy #15: Pairs Trading/Statistical Arbitrage Between Correlated Coins
The topics we will look into in this thread:
- Historical correlation between BTC and ETH
- Pearson correlation coefficient
- Linear regression within different coefficient "buckets"
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I lost over $20,000 trading in the first 3 years.
Despite spending 8h-12h a day trying to figure it out, It wasn't until my 5th year that I recovered it all.
Now I am operating on a positive margin.
Here's 6 things I'd have done differently to get there faster:
🧵
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6) Trade Examples
Here we have an example of a trade, that fit the parameters of Kristjan's strategy.
It can be summarized to taking positions on breakouts, of strong uptrends.
During a great market regime, this strategy will shine.
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The systematic trader who turned $10,000 into over $1,100,000 in a single year:
Larry Williams.
He won the World Cup Championship of Futures Trading in 1987, with a 11,376% return, through mechanical and discretionary trading strategies.
Here's Larry's story:
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5) Hail Season
During the spring and early summer, there's hail season.
This season, in some years, can cause so much damage, that it has a financial impact in roofing companies.
The key is in finding out if it's a bad hail season, before anyone else, and placing a bet on it.
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1) Returns
There's many stories online, of traders with large returns.
But in most cases, it's hard to find validation for those stories.
I found this article, where Kristjan was listed as the 15th top earner in 2021, in Sweden.
Link in sources at the end of the thread.
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I've made close to 175% net return on my crypto portfolio since 2023.
I didn't use leverage or day-traded.
Just a pure old swing momentum system on a weekly timeframe.
Below is my plan going forward:
🧵
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6) How to Find Trends
There's a lot of ways to find the information that Chris needs for his trading.
No single source is perfect.
It needs to be in aggregate.
Few examples:
- Twitter
- TikTok
- Comments on content
- Facebook
Just places where people talk about stuff.
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13. Compete in places where your skillset is at least slightly above the average competition
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If you think that using a fixed position size on every trade is optimal, you are wrong.
There's a better way to approach position sizing.
Here is a simple explanation of the Kelly Criterion and why it's so important to consider its benefits, but also its risks↓
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4. The naive pursuit of risk elimination, will most likely make it morph into something, that is not as apparent as it could be
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Overfitting is a silent portfolio destroyer.
Your model looks great on paper, but not in real life.
Here are 5 simple ways to ensure your model is not overfitted:
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I hope this is satire.
but if you ever see an equity curve like this, the only assumption is that it's wrong.
also if there's a quote like that on top of it, bragging on social media, it definitely ain't real.
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5) The Trading System
a) Position Sizing
The Turtles used a concept called "N", which represented the volatility of a market.
This "N" was measured using the ATR of the last 20 days.
The idea was to risk a small percentage of equity on each trade, around 1-2%.
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3) Investing Philosophy
Stanley likes to put all his eggs in one basket and watching that basket quite carefully.
An unconventional approach to what its normally taught.
He prefers to allocate to a few ideas that he has high conviction on.
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Today I am writing my 30th article on trading strategies.
Over the the years, I've researched 100's of trading strategies.
One of the most frequent questions in my DM's is:
- Where to find trading strategies in crypto?
Here's my top resources to find strategies:
🧵
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By my 4th year trading, I had lost a cumulative amount of 20,856.28€.
At that time, I had a job where I was making 1,145€ a month.
I had lost ~2 years worth of income. I almost quit.
4 years later:
- Recovered all
- Made multiples of that
What changed?
🧵
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Strategy #16: Pairs Trading/Statistical Arbitrage On Major Cryptocurrency Pairs
Research paper link: papers.ssrn.com/sol3/papers.…
Topics we cover:
- The distance method
- Sum of Squared Distances
- Spread normalization with Z-score
Let's delve into the strategy below:
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7 common backtesting mistakes I made in my 1st year that I’m avoiding 7 years later:
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I've also made an article with the strategy and full code in python.
Despite some of the rules being pretty discretionary, we can still make them systematic.
The results were interesting.
Here's the tweet about it:
Today I've released on my research newsletter an article exploring the system employed by Kristjan Kullamägi (@Qullamaggie) but applied to crypto.
In this article I'll cover:
- His initial journey
- Position sizing and risk
- The strategy and rules he used
- Backtest of his strategy applied to crypto
I also provide the code for the test to the premium subscribers of the newsletter. I aim to release a research article every week, and multiple reports on my own portfolios also every week.
Kristjan is one of the most famous momentum swing-trades in the equities space having turned a low 5 figure account into 82M$ by 2021 according to reports.
It took me around 8 hours to complete the report as the code was somewhat hard to think through but I finished it and it is available on the newsletter. You can go through the trades that the system took and also adjust the different features depending on if you want a faster/slower signal system.
Overall as I expected the system does perform well in crypto due to its momentum properties. It focuses on strong assets, given by the rule criteria, then waits for a solid consolidation and the continuation breakout. This is a pattern often looked at from most traditional swing traders in the equities space.
The performance is decent, for simplicity purposes I kept the allocation the same for every asset and divided the portfolio in an equal allocation for each asset. We can get into MUCH more optimal allocations of course but I need to keep these reports efficient and if I'll code one of these a week I can't go into portfolio optimizations all the time. We test the general idea and let the user then do their own work of their own risk preferences.
You may be wondering why is that spike in performance recently and I do delve into it in the article. I've used a basket of the CURRENT top market cap coins, and some of these coins as for example INJ, have had lately a strong push that dramatically affected the equity curve. When using market capitalization criteria, it's wise to think about survivorship biases and to look through databases of historical market cap or make some assessments based on outstanding shares. But for the purposes of this article, I've just used the top 20 coins to get an initial idea into the strategy performance itself.
These are the simple metrics of the strategy performance:
- Total Closed Win Trades: 24
- Total Closed Lost Trades: 65
- Total Closed Trades Win Rate: 26.97%
- Total Open Trades: 6
- Average Win Trade: 30.90
- Average Loss Trade: -4.36
- Ratio Avg Win to Loss: 7.09
Kristjan often mentions that his win rates are really low for these breakout systems, on average below 30%. Our tests confirm that the same when looked into crypto. The key ingredient of the strategy is in the high average win to loss ratio. Many people can argue the robustness of this idea but one thing is for sure, it does tend to work in markets where momentum is a key property.
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Today I've released on my research newsletter an article exploring the system employed by Kristjan Kullamägi (@Qullamaggie) but applied to crypto.
In this article I'll cover:
- His initial journey
- Position sizing and risk
- The strategy and rules he used
- Backtest of his strategy applied to crypto
I also provide the code for the test to the premium subscribers of the newsletter. I aim to release a research article every week, and multiple reports on my own portfolios also every week.
Kristjan is one of the most famous momentum swing-trades in the equities space having turned a low 5 figure account into 82M$ by 2021 according to reports.
It took me around 8 hours to complete the report as the code was somewhat hard to think through but I finished it and it is available on the newsletter. You can go through the trades that the system took and also adjust the different features depending on if you want a faster/slower signal system.
Overall as I expected the system does perform well in crypto due to its momentum properties. It focuses on strong assets, given by the rule criteria, then waits for a solid consolidation and the continuation breakout. This is a pattern often looked at from most traditional swing traders in the equities space.
The performance is decent, for simplicity purposes I kept the allocation the same for every asset and divided the portfolio in an equal allocation for each asset. We can get into MUCH more optimal allocations of course but I need to keep these reports efficient and if I'll code one of these a week I can't go into portfolio optimizations all the time. We test the general idea and let the user then do their own work of their own risk preferences.
You may be wondering why is that spike in performance recently and I do delve into it in the article. I've used a basket of the CURRENT top market cap coins, and some of these coins as for example INJ, have had lately a strong push that dramatically affected the equity curve. When using market capitalization criteria, it's wise to think about survivorship biases and to look through databases of historical market cap or make some assessments based on outstanding shares. But for the purposes of this article, I've just used the top 20 coins to get an initial idea into the strategy performance itself.
These are the simple metrics of the strategy performance:
- Total Closed Win Trades: 24
- Total Closed Lost Trades: 65
- Total Closed Trades Win Rate: 26.97%
- Total Open Trades: 6
- Average Win Trade: 30.90
- Average Loss Trade: -4.36
- Ratio Avg Win to Loss: 7.09
Kristjan often mentions that his win rates are really low for these breakout systems, on average below 30%. Our tests confirm that the same when looked into crypto. The key ingredient of the strategy is in the high average win to loss ratio. Many people can argue the robustness of this idea but one thing is for sure, it does tend to work in markets where momentum is a key property.
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For this 1 reason, 97%+ of traders lose money.
No, it ain't psychology. It's having no statistical edge.
You don't need fancy coding or expensive platforms to test your edge.
There's a simpler solution... excel.
How to backtest a full trading strategy using only excel:
🧵
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Current state of the crypto market:
ADA:
- Down ~89%
- Recovery to ATH ~832%
SOL:
- Down ~89.58%
- Recovery to ATH ~860%
AVAX:
- Down ~90.22%
- Recovery to ATH ~922%
FTM:
- Down ~94.44%
- Recovery to ATH ~1699%
Plenty of opportunities for next bull cycle.
Be prepared.
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How did I build my "MBS" trading bot 👇
I am not a mathematician or a computer science guy, and yet I've built and deployed multiple profitable models into the market.
In this thread I'll write about how I build bots and also share what to AVOID when building systems ⚠️
(1/x)
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4) Chasing the wins
Beginners luck can be detrimental.
Never confuse luck with skill.
If you continue to chase down past wins, despite not being worthwhile anymore, you will eventually destroy your finances.
In markets, edges decay all the time.
Adapt.
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1) The Benefit of Being the Best
At one point, Renaissance charged the highest fees in the world.
A traditional hedge fund charges 2% flat fee and 20% performance fee.
Renaissance charged 5% flat and 44% performance.
Why did they charge more than double than other funds?
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7) Philosophy
Kristjan sees trading as a numbers game.
The strategy itself is not ground-breaking.
Breakout trading has been documented for decades.
His focus is in being in the largest trends, taking a lot of bets and keeping the losses small.
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Here's Jim Simons talking about finding subtle anomalies and putting them together.
If an edge is really obvious, trust me, everyone knows about it.
Which negates it.
All edges have limited capacity, and in a competition, like trading is, everyone's fighting for their share.
8) Collective of Subtle Anomalies
It's all about finding things that might be predictive, and testing them.
By getting multiple subtle anomalies, they built a model that was more predictive.
The equations for prediction are not that elaborate.
But prediction is not all.
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You are being lied to about your trading strategy's returns.
Traders waste 1000's of hours coming up with strategies to beat benchmarks like the S&P500.
But even when they find them, do they really beat it?
Here's what traders should be looking at instead: 🧵
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I've read and watched 1000's of hours of trading content.
There's 1 thing that guarantees profitability...
1) Real Alpha
But a lot of things get in the way of finding it.
Here's 1 method to increase your odds:
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10) Conclusion
Chris's style of trading is very interesting and outside what's considered the "norm".
His source of "alpha" comes from picking up on new, potentially impactful information, that is not widely available yet, and making a bet on it.
I hope you've enjoyed it!
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I don't want to romanticize trading, but it's Sunday, and here's some thoughts.
The pursuit of becoming good at trading, has brought me so many opportunities, that someone like me, with a below average high school diploma, from an unknown school in Portugal, shouldn't have had..
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7 in 10 traders blow up their portfolio.
That figure is probably even higher.
I had to find out their portfolio-destroying habits.
7 ways these traders think about risk so that you can do the opposite:
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