The Forza Prime 10+ portfolio is a set of eleven algorithmic equity strategies, designed to combine high effectiveness, low correlation, and shallow capital drawdowns.

With moderate capital allocation in the historical test, the portfolio generated an average annual return of ~22%, with a maximum open drawdown at 21.5% and over 21,000 transactions, where the win rate was nearly 70%.

Forza Prime 10+ is crafted as a "prime quality core"—a mature, well-diversified Long Only portfolio that can function as the foundation of an algorithmic investment portfolio.

Before You Begin

If this is your first encounter with strategy portfolios, it's worth starting with Algohubb's introductory materials on:

• building algorithmic portfolios,

• correlation and diversification,

• managing exposure and leverage.

In this article, we focus on a practical description of Forza Prime 10+, its composition, risk parameters, behavior during bear markets, and conclusions from MM$ and MM% tests. Treat it as a reference point when adjusting parameters in Algocloud.

Strategies in the portfolio

Forza Prime 10+ integrates 11 independent long strategies featuring a variety of drivers, including reversal, momentum, trend, and volatility. It operates on indices, ETFs, stocks from the US market, and volatility-related instruments.

• Bollinger Bounce

• GAP Terrorist

• MegaCap Momentum

• Momentum IBS 3 x ETFs

• NQ Snap

• Quantum Trend

• Rocket VB

• SPY Hike

• Victa

• Volta Turbo

• Vix Guard Core

Common denominators of the strategies:

• full automation – systems ready to launch and proven in live trading in Algocloud,

• low (often negative) correlation of losses between strategies for closed trades,

• utilization of different trading styles and asset classes (stocks, ETFs, volatility), which significantly improves diversification despite using only the Long direction on the employed assets.

Here are the details and % shares of the strategy in the portfolio:

Assumptions

Reference settings for the Forza Prime 10+ portfolio test:

• Investment Size: 100,000 USD (MM$ – fixed amount),

• Test Period: 1995–2025,

• Transaction Costs and Slippage: included for the Alpaca broker,

• Backtest Settings - conservative settings ("Limit Over" setting at 0.1% for limit orders), reducing backtest results but increasing the realism of backtest vs. execution in real trading),

• Data: daily interval, test in the StrategyQuant / Algocloud environment,

• Instruments: default (Primary Instruments) for each strategy – mainly US stocks, ETFs, volatility instruments, as indicated in the table,

• Primary backtest performed in MM$ mode (without compound interest) for a reliable assessment of drawdown, exposure, and risk parameters per investment unit "from day one" of use,

• Compound interest according to Portfolio Summary.

Strategy vs Capital Allocation

Forza Prime 10+ assumes an even distribution of capital among strategies to:

• equalize the profit/risk share at the level of individual systems,

• maintain control over the maximum value of a single position,

• provide a healthy balance and the possibility for further development of individual systems without any significant impact on the overall portfolio results.

• an exception is the default allocation of the VIX Guard (hedge) strategy, which is half allocated due to the nature of the instrument used.

In practice, this means that:

• no single strategy dominates the portfolio's outcome,

• part of the capital works in mean-reversion strategies, part in trend/momentum or breakout, and part in systems with a completely different mechanics on indices and volatility,

• the % allocation structure allows scaling the portfolio up or down (e.g., 25k / 500k USD) while maintaining a similar risk profile.

Backtest MM$

Test MM$ – fixed amount $100,000 - without reinvesting profits

In the basic MM$ backtest (fixed position size per strategy according to the table above), we obtain the following results:

The test addresses the following questions:

1. What has been the historical drawdowns in USD for the portfolio?

2. What are the average annual results without reinvesting profits?

3. How does the capital curve and the monthly distribution of results appear?

The Portfolio Summary Sheet enables you to calculate the test results as a percentage of a fixed $100,000 investment.

Please note that the results for December 2025 include the closure of all open positions (end of test).

• Average annual return of approximately 22%,

• In years marked as bear markets/corrections, the average annual return is about 15%, and the median is around 17%.

This means that even in very challenging market periods, the Long Only portfolio, thanks to the diversified mechanics of each strategy, was able to generate positive, double-digit results by the end of the year.

Closed Drawdown

In the MM$ test (fixed amount per strategy), the portfolio achieved:

• maximum drawdown for closed positions was ~11,200 USD, which is ~11.2% in the case of starting trading in the most negative period, always calculated from the reference account value of 100,000 USD,

• Return / DD ratio for closed trades ~60.8,

• Sharpe ratio ~3.3,

• profit factor ~1.91.

The average holding period for a position in the portfolio is 11 days, though this varies across strategies.

Open Drawdown

In version 143 of SQX, which was used in the study, according to our in-depth tests, the Max DD of the Portfolio for closed trades is calculated correctly, and the Portfolio Open Equity (red line) is also presented correctly. However, SQX 143 does not show the Open DD for the entire portfolio of strategies (it is shown only at the level of individual strategies).

We assess the Open DD in the portfolio based on the readings of the highest and lowest points from Open Equity (red line). We analyzed the largest drawdowns from the 30-year period under study; here are the results.

As you can see, despite a Closed DD of 11.2%, the Max Open DD reached 21.5% during the indicated periods.

Historical Exposure

Results from the tool Exposure Master for a 100,000 USD account with applied money management show that:

• Average daily exposure is approximately 76% of the capital,

• For 80% of the time, the exposure was below 105%,

• For 95% of the time, the exposure was below 133%,

• Historically, the maximum daily exposure was using x1.85 leverage on the margin account. Real exposure above x1.5 has occurred about 20 times over 30 years of backtesting.

The portfolio in applied MM settings employs moderate capital usage, occasionally utilizing leverage (margin), historically reaching up to approximately 1.5 times the capital. In our view, this approach offers a reasonable balance between capital utilization and safety. The backtests did not consider the costs of borrowing capital or the returns from short-term investments, such as short-term treasury bills like BIL.

Correlation

Although all strategies are LONG, the Loss by Month matrix for Forza Prime 10+ shows:

• dominance of low and negative correlations between strategies – most values range from approximately -0.45 to +0.10,

• very reasonable diversification of risk sources,

• absence of a single pair of strategies that systematically "dragged" the portfolio down during the same periods.

In practice, this means that:

• weaker periods of individual systems are often compensated by the gains of the others,

• the portfolio behaves more stably than most of the individual strategies separately.

The correlation of Profit & Loss on a Weekly and Daily basis is as follows:

Please remember that the correlation matrix considers closed positions.

Pattern Day Trader

Analysis of the Daytrades vs PDT module for Forza Prime 10+:

• total number of transactions: approx. 21,300,

• number of day trades: approx. 1,870,

• number of PDT occurrences: approx. 228 over the entire nearly 30-year period (an average of ~8 per year). The highest "10" number is because of the end of the test.

Practical Conclusions of PDT

• For accounts above $25,000, the portfolio can be used without PDT regulation restrictions.

• For accounts below $25,000, it is essential to understand the PDT rules and accept that occasionally, an excess day trade may only be closed the following day when strategy conditions are met. This is accounted for in the position management logic within Algocloud and on the broker's side at Alpaca.

Backtest Summary

Key statistics of the Forza Prime 10+ portfolio from the MM$ test:

• Win rate: approximately 69%,

• payout ratio (avg win/loss): approximately 0.86,

• average profit per transaction: approximately 97–98 USD,

• average loss: approximately 113–114 USD,

• stagnation: approximately 218 days in the year 2000 (about 1.9% of the time), whereas for the S&P500 index, the real stagnation during this period lasted about 12 years (2000-2012).

The high win rate compensates for the fact that a single loss is statistically larger than a single gain. The strength of the portfolio is primarily determined by the repeatability of setups and a large number of transactions, which statistically "smooths" the result.

Compound Interest

The Strategy Quant method of combining strategies into a portfolio (summing transactions from different strategies) works well with MM$, but it does not realistically address how returns look when using MM%.

This is because each strategy is backtested with its own capital, and the results are summed only afterward. With MM%, this behavior is not realistic: in the future, each strategy will use the percentage of the current account balance allocated to it. To work around this issue and simulate a real-world result, we built the Portfolio Summary sheet (included with the portfolio), which shows this more clearly.

MM% tests in the Portfolio Summary sheet show how compound interest works in the Forza Prime 10+ portfolio month by month:

• starting with an account of 100,000 USD,

• with an average return of about ~20–22% annually,

• in the long term, leading to exponential growth of capital value to over $79,000,000 over the years.

Important notes:

• In actual trading, the percentage is calculated daily, not monthly, which should generally have a positive effect on long-term results.

Summary

Before summarizing the portfolio of combined strategies, I want to share an important note. Based on our three years of experience trading with Algocloud and Alpaca, we applied greater realism to the backtest for Limit orders. We implemented additional features we advocated for, introduced by the Strategy Quant team in SQX 143 (Limit Over 0.1% & Allow better Fill settings).

These features reduce the results of a standard backtest that includes limit orders, but, based on our observations, they make the results much more realistic for order execution and real trading. These settings apply to all Limit order strategies used in this portfolio.

Strengths of the Forza Prime 10 Portfolio

• Wide Diversification – 11 strategies with very different drivers across various trading styles, markets (stocks, indices, volatility), with low correlation of losses, is a significant advantage of this portfolio.

• CAGR and Very Good Risk-Reward Ratio – on average, the portfolio achieved over 22% CAGR, which is 2x more than the S&P500 (11.18%), while ensuring a much smaller Open Drawdown (21.5% vs 55% in the benchmark). Equally important, the portfolio has achieved excellent results in recent years, indicating that the strategies presented contain an edge that works here and now.

• High Winrate - approx. 70% - provides high psychological comfort when working with the portfolio.

• Stable Performance in Difficult Market Periods – historically, during bear markets and corrections, the portfolio has generated positive, double-digit returns.

• Attractive Profile for Accounts 25k+ – we believe the proposed MM represents a sensible use of leverage with controlled exposure. MM settings are an individual matter for each investor as it depends on their goals and risk tolerance. However, we always recommend starting with more conservative MM settings and increasing them as confidence in the portfolio's mechanics grows.

Weaknesses

• The portfolio was not designed for the smallest accounts – due to the level of exposure and the number of transactions, a reasonable starting point is around $25,000 (or proportionally less with conscious scaling and acceptance of PDT limitations).

• Average loss > average gain – requires psychological acceptance of the fact that in Reversal strategies, there may occasionally be larger individual losses, which are compensated by a series of more frequent, smaller gains. The exact opposite mechanism applies to Momentum strategies.

• Strong focus on the American market (stocks/ETFs + volatility instruments).

  
  

Pricing & Package

Strategies included in Forza Prime 10+ are available:

• individually – as separate PRO strategies,

• in the Forza Prime 10+ portfolio package, which simplifies the implementation of a complete set in Algocloud and provides a volume discount.

As part of the portfolio purchase, you receive:

• for each strategy:

  
  

  • an eBook with a detailed description of the rules,

  • SQX files are ready for use in Algocloud / StrategyQuant,

  • strategy pseudocode in a readable, text form.

    
    

• SQX Portfolio/portfolio file with portfolio settings,

Portfolio Summary sheet with ready-made tables of results, and compound percentage with all formulas.