July 2026
Return: -0.82% | Max DD: -9.19% | Trades: 52
July was the first live month for the systematic book, running 2 of 4 planned legs and gold-session fired no trades this month.
The dormant pair is excluded for now, its risk profile is too large for the current account size.
Per instrument breakdown of the Equity breakout strategy:
| Leg | Trades | WR | Return |
|---|---|---|---|
| GER40 | 19 | 42.1% | +1.07% |
| JPN225 | 13 | 23.1% | -1.51% |
| NDX100 | 14 | 42.9% | +5.33% |
| US30 | 6 | 33.3% | -5.50% |
So far, live execution is tracking the backtest: matched fills within 0.03-0.06%.
Root Cause of Drawdown
Max DD (-9.19%, mid-July) was driven by two factors:
- US30: position sizing was too aggressive relative to account size, this wasn’t identified until after the fact. The leg was paused as soon as it was identified (July 13th).
- JPN225: structural down-month, the index fell ~13% and the leg is LONG-only, every trade got stopped.
Book recovered to -0.82% by month-end.
Outlook
GER40 and JPN225 are performing within the anticipated range.
NDX100 is promising but its return this month was carried almost entirely by a single ~3% winner. Sample size is too small to treat the 42.9% WR or +5.33% return as representative.
Adjustments were made to the system, focusing on filtering out choppy days (gates) and reducing left-tail exposure (stops).