My 2,041 Breakout Strategies: What a Decade of Building Actually Looks Like

As of the last count, we had created 2,041 breakout trading strategies across nine futures market categories and 34 markets. Of those, 1,706 qualified as tradable in our hedge fund (some markets, like Lumber or Orange Juice, fail on liquidity for our size).

The rough breakdown: Indexes 530, Energies 259, European markets 216, Metals 200, Grains 191, Softs 137, Currencies 108, Bonds 50, Meats 15.

Why so many? Three honest reasons:

1. Because we can. A repeatable formula makes strategy creation systematic instead of heroic. The bottleneck stops being ideas and becomes validation.
2. Portfolio luxury. To build one “perfect” portfolio of 10–15 low-correlated strategies, you realistically need ~100 candidates to choose from. A big database is not vanity — it’s selection pressure.
3. We think big. Our largest single portfolio ran 120 strategies simultaneously.

Every strategy follows the same anatomy — Point of Initiation, Space, Filter, Time condition, Exit — and every one was stress-tested across sibling markets before earning a place in the database.

The full story (with example equity curves from each market category, all after execution costs, with true out-of-sample periods marked) is in the book. The workflow that makes this scale possible today is BreakoutOS — it’s the productized version of exactly this process.

Tomas