Introduction
2025 marked another strong year for systematic futures trading. The FUTALGO portfolio—comprising ten algorithmic trading systems across NQ, ES, and Gold futures—generated a 210% return with a maximum drawdown of just 8%.
This translates to over $1 million in net profit on $500,000 allocated capital, with a Calmar ratio of 26.4—indicating exceptional risk-adjusted performance.
The year also saw the development and launch of two new systems: Jade (NQ 60min day trading) went live on December 1, and Kyanite (GC 30min day trading) launched on December 5—our first Gold futures system, adding valuable instrument diversification to the portfolio.
Important note on methodology: Five systems (Ruby, Coral, Emerald, Amber, and Lapis) were fine-tuned in the second half of 2025. While these optimizations improved performance, prior parameters still generated positive returns—albeit more modest ones. See the Methodology Note section for details.
In this analysis, we examine each system's contribution, identify what drove the results, and explore the portfolio dynamics that kept drawdowns contained despite significant individual system volatility.
Portfolio Overview
Before diving into individual systems, here's the aggregate portfolio performance for 2025:
The Calmar ratio of 26.4 (annual return divided by maximum drawdown) represents exceptional risk-adjusted performance. For context, a Calmar ratio above 3.0 is generally considered strong for systematic strategies.
System Performance
All ten systems were profitable in 2025, though performance varied significantly. The chart below shows each system's net profit, sorted from highest to lowest:
The top three systems (Peridot, Kyanite, Amber) generated over $522,881 combined, accounting for roughly half of total portfolio profits. However, even the lowest performer (Ruby) contributed positively with $33,141 in net profit.
A notable observation: two of the top five performers—Peridot and Lapis—are swing trading systems. While day trading systems dominate our portfolio, this year demonstrated the value of capturing multi-day moves through longer timeframe strategies.
Top Performers
Peridot led in absolute profit with a 372% return. As a swing trading system on NQ 120-minute bars, it captured multi-day moves effectively. The 30.1% max drawdown is higher than average but acceptable given the returns.
Kyanite, our Gold futures system, launched on December 5, 2025—generating these returns in less than one month of live trading. The $100/point contract value and gold's momentum contributed to the 346% return. Notably achieved the highest Sharpe ratio (5.42) in the portfolio.
Amber continued its consistent performance on NQ 30-minute bars. Achieved the highest profit factor (2.20) and best Calmar ratio (27.8) among all systems, demonstrating superior risk-adjusted returns.
Underperformers
While all systems finished profitable, two underperformed relative to the rest:
Ruby had the lowest profit factor at 1.13, operating near break-even after costs. Sapphire struggled with a lower win rate but still contributed positively. Both warrant monitoring in 2026, though their role in diversification remains valuable.
Historical Context
How does 2025 compare to previous years? The chart below shows portfolio returns since 2018:
2025's 210% return matches 2024 and ranks as the second-highest year on record. Only 2022 (270%) outperformed, benefiting from exceptional volatility during the bear market.
The consistency across years is notable: every year since 2018 has been profitable, with returns ranging from 18% (2019) to 270% (2022). This demonstrates the robustness of momentum-based strategies across different market regimes.
The Power of Diversification
Perhaps the most important insight from 2025 is the dramatic difference between individual system drawdowns and portfolio drawdown. The chart below shows each system's maximum drawdown compared to the portfolio's 8% drawdown (green dashed line):
While individual systems experienced drawdowns ranging from 8% to 39%, the combined portfolio never exceeded 8%. This 4-5x reduction in drawdown happens because:
- Systems trade different timeframes (5min to 120min)
- Three different instruments provide non-correlated returns (NQ, ES, Gold)
- Day trading and swing trading approaches respond differently to market conditions
- Entry logic varies across systems, reducing simultaneous drawdowns
Key Insights
Gold Added Significant Value
Kyanite, trading Gold futures, achieved the highest Sharpe ratio (5.42) while providing low correlation to equity index systems. The $100/point contract value created meaningful profit potential even with conservative position sizing.
Consistency Outperformed Volatility
Amber led in Calmar ratio (27.8) despite ranking third in absolute profit. Its high profit factor (2.20) and controlled drawdowns (11.8%) demonstrate that steady performance compounds better than volatile home runs.
Market Conditions Favored Momentum
The 2025 market environment—characterized by adequate volatility and trending moves—suited momentum-based strategies. The Intraday Momentum Index averaged 0.79%, above the historical average, providing sufficient price movement for profitable trades.
Methodology Note
Transparency on parameter updates: Five systems underwent parameter fine-tuning in the second half of 2025:
- November 1: Ruby, Coral, Emerald
- December 15: Amber
- December 23: Lapis
These optimizations were applied to adapt to evolving market conditions. The reported 2025 returns reflect the updated parameters from their respective implementation dates forward.
Important: Prior parameters remained profitable throughout 2025—the fine-tuning improved performance but was not required to maintain positive returns. We believe in periodic optimization while preserving core strategy logic, and we document all changes on our Updates page.
Conclusion
2025 demonstrated the effectiveness of diversified algorithmic futures trading. The portfolio's 210% return with 8% max drawdown produced a Calmar ratio of 26.4—exceptional risk-adjusted performance by any measure.
Key takeaways for 2026:
- Diversification works. Ten systems with individual drawdowns of 8-39% combined to produce just 8% portfolio drawdown.
- Instrument diversification adds value. Gold's non-correlation enhanced overall portfolio stability.
- Monitor underperformers. Ruby and Sapphire warrant attention, though their diversification value justifies continued allocation.
- Prepare for regime changes. If volatility contracts significantly (as in 2017), momentum strategies will face headwinds.
Past performance does not guarantee future results, but the systematic approach and diversification principles that drove 2025's success remain sound foundations for the year ahead.
Explore detailed performance data:
All performance figures are net of $4 per round-trip commission and 0.01% slippage per side. Capital allocation assumes $50,000 per system ($500,000 total). Past performance does not guarantee future results. Futures trading involves substantial risk of loss.
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Developing and trading algorithmic futures systems since 2022. Follow our journey and insights on systematic trading.
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