Five systematic futures strategies. One portfolio.
Sine²guaL Core 5 is a diversified systematic futures portfolio — five independently rules-based strategies, combined for the sake of the portfolio, not for the sake of any one of them.
A five-strategy portfolio across three markets.
Core 5 combines five independent, fully systematic strategies trading three micro futures markets — gold, S&P 500, and Nasdaq. Every entry, exit, and position size is defined by a formal ruleset before trading begins. No discretionary judgement is applied during live trading.
This page is informational and educational. It does not constitute investment advice, a solicitation to invest, or a guarantee of any kind. It exists so anyone evaluating Core 5 understands what it is, what it is not, and what its historical evidence actually shows.
Strategy logic, parameters, and execution details are not published here. What follows is a transparent view of the portfolio's construction philosophy, its verified historical metrics, and its risks.
Correlation matters more than any single strategy.
A strategy that looks excellent in isolation can still make a portfolio worse — if its losses land at the same time as everyone else's. A strategy with modest standalone numbers can make a portfolio meaningfully better — if its losses land at different times.
Every strategy in Core 5 was retained because of its contribution to the combined portfolio: whether it lowered overall drawdown, reduced correlation to the other four, or improved capital efficiency. Not because it looked good on its own.
This is why Core 5 is presented, evaluated, and reported as one portfolio — never as five separate track records.
The verified historical numbers.
| Metric | Value |
|---|---|
| Strategies | 5 |
| Markets | 3 — Micro Gold, Micro S&P 500, Micro Nasdaq |
| Profit Factor | 1.65 (historical) |
| Recovery Factor | 22.6 (historical) |
| Max Drawdown | 27.5% of allocated capital (historical) |
| Average Pairwise Correlation | 0.02 (near-zero) |
| Observed CAGR | 21.99% (historical, backtested) |
All figures are historical and derived from backtesting. Historical and backtested performance does not guarantee or predict future results. Live results may differ materially.
Three principles govern every decision.
Evidence before confidence
No strategy is trusted because it feels right. Every strategy must demonstrate measurable, statistically defensible performance before it earns a place in the portfolio.
Portfolio before strategy
The unit of evaluation is the combined portfolio, not any individual strategy. A strategy is judged on what it contributes to the whole — not on how it looks alone.
Reality before backtest
Planning is grounded in conservative execution assumptions, not best-case history. Backtested results are treated as evidence of the past — never a promise about the future.
Read this before anything else.
Futures trading involves substantial risk of loss and is not suitable for all investors. The use of leverage can amplify both gains and losses.
All performance figures on this page are derived from historical backtesting. Historical and backtested results do not guarantee or predict future performance. Live results may differ materially from backtested results due to execution differences, slippage, commissions, liquidity constraints, and changing market conditions.
This page is provided for informational and educational purposes only. Nothing here constitutes investment advice or a solicitation to invest. Capital at risk. Past performance is not indicative of future results.