Autopsy: what the 2025 chop did to my 4-strategy portfolio

@macro_mikejoined May 8, 2025Aug 3, 2026444 views3 replies

End-of-year portfolio review, sharing because the per-strategy breakdown surprised me. Four EAs, equal risk allocation, live all of 2025:

Trend basket (8 pairs, H4): -11%. Death by a thousand whipsaws. 2024's star, 2025's anchor.
Mean reversion (EURUSD, M15): +9%. The chop was its habitat.
Breakout (gold, H1): -4% overall, but +14% in the two volatility spikes and negative everywhere else. Convexity works, but you pay rent while waiting.
Grid (ranging minors): +6% when I killed it in October after the regime filter fired. It would have given it all back in November's repricing.

Portfolio total: roughly flat (-1.5%). The lesson I keep relearning: single-regime strategies are fragile by design, and "diversification" only worked because the strategies genuinely disagree about what market they are in. 2026 plan: same four, but the trend sleeve now runs only when ADX percentile says so.

3 Replies

@risk_firstjoined May 23, 2025#1 · 2 days ago
+1
Flat is a win in a transition year — most single-strategy accounts I track were down 20-40%. What was the return correlation between your trend and mean-reversion sleeves? My similar pair ran about -0.3 in 2025, which is the only reason my year looked like yours.
@macro_mikejoined May 8, 2025#2 · 2 days ago
0
Monthly returns correlated -0.41 between trend and mean reversion. The dangerous one was the grid: +0.6 correlated to mean reversion in quiet months, then it diverges violently in exactly the months mean reversion also struggles. Correlation when you need it least, in both directions.
@chai_quantjoined Sep 18, 2025#3 · 2 days ago
0
The grid kill-timing is the most valuable part of this post for me. My own grid survived 2025 only because October's ADX spike tripped my kill switch too. What threshold does your regime filter use — percentile of ADX, or an absolute level?