Systematic futures.
AI-optimized. AI-coded.
Sequentially deployed.
Nine momentum signal streams. Nikkei 225 · DAX 40 · Nasdaq 100.
One session at a time. The same capital recycled across all three markets.
No overlap. No overnight positions. Capital efficiency built in.
The Idea
How one capital base trades three markets
One capital base. Three trading sessions. Nikkei, DAX and Nasdaq trade in different windows. After one session's positions close, available margin can support trades in the next. One brokerage account can therefore trade all three markets without reserving a separate capital pool for each.
What drives the result
The main advantage is using the same capital across three trading windows. In this illustration, roughly the same dollar opportunity requires $100,000 of reserved capital instead of $300,000. Reinvesting gains between sessions adds $30; capital reuse accounts for most of the difference.
Illustrative example. Actual session returns vary; position sizing updates between sessions in the live strategy.
Why three markets improve risk-adjusted returns
Nikkei, DAX and Nasdaq are largely uncorrelated — when one session loses, the others frequently win. This diversification reduces overall equity volatility relative to trading any single market. In the backtest, the combined three-market portfolio produced a higher Sharpe and Calmar ratio than any individual market alone. Reusing capital across sessions adds to this advantage.
The idea came from a person: the trend in Nasdaq futures found in the 2003 Princeton thesis (see the Research tab). AI took it from there — extending it to Nikkei and DAX, splitting it into 9 signal streams, tuning each one per market, and writing the code that now trades all three markets automatically.
Background & Research
The academic foundation behind the strategy — intraday momentum is one of the most replicated anomalies in finance. Here is why it exists, why it persists, and how Fable Capital captures it.
The Princeton Anomaly
In 2003, a Princeton thesis found a repeatable trend in Nasdaq futures.
Fable Capital trades that pattern today — in Nasdaq, and in two more markets: Nikkei and DAX.
One account trades all three, one after another, every day. Nothing is held overnight.
Because the sessions don't overlap, the same money trades all three markets. Each session starts where the last one finished, so a good morning in Tokyo means a slightly bigger position in Frankfurt.
Only one market is open at a time, so margin is needed for the largest session only — not all three added together. The largest of the three sets the requirement.
Tokyo, Frankfurt and New York often move in different directions, so a bad day in one is often offset by another. Together they run smoother than any single market.
The original research covered Nasdaq only. AI extended it to Nikkei and DAX, split it into 9 streams, tuned each one per market, and wrote the code that trades it every day.
9 Streams
Each stream run on its own at unit weight (1×).
Designed SL = the most common loss size — what the stop is set to.
Max Lev = 7.5% daily loss budget ÷ designed SL.
| Stream | Total Ret | CAGR | Sharpe | Calmar | Max DD | Worst Day | Des. SL | Max Lev | Win Rate | Trades | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|
| Year | NAV Start | NQ Long | NQ Short | NQ Super | NK Long | NK Short | NK Super | DAX Long | DAX Short | DAX Super | Ann Ret |
|---|
Portfolio Models
Same 9 streams, three ways to fund them.
Model C (sequential, compounding) is the live model — this is what runs on IBKR.
Vol 2.1% · Calmar 2.70
1/9th weight per stream, independently
Vol 6.3% · Calmar 2.92
Daily+Super combined per market, equal weight
Vol 19.0% · Calmar 3.62
Capital compounded across all 3 markets daily
Sequential compound · all 9 streams active
Verification tab → full statement data
| Model | $10k → | CAGR | Sharpe | Max DD | Calmar | Ann Vol | Win Rate |
|---|---|---|---|---|---|---|---|
| A · EW 9 Streams | $13,350 | 6.0% | 2.61 | −2.2% | 2.70 | 2.1% | 51% |
| B · EW 3 Markets | $23,750 | 18.9% | 2.62 | −6.5% | 2.92 | 6.3% | 52% |
| C · Sequential ✦ Live | $126,100 | 66.2% | 2.63 | −18.3% | 3.62 | 19.0% | 51% |
Optimal Allocations
8 risk tiers. Same 9 streams, same strategy — only the position size changes.
Preservation to Performance: choose the daily loss limit that fits your risk appetite.
Backtested Sep 2021–Sep 2026. 2026 is a partial year.
| Stream | Worst Day | Max Solo Lev | Alloc Lev | Max Loss | % Budget | Risk Bar |
|---|---|---|---|---|---|---|
| PORTFOLIO TOTAL | — | — | ||||
| # | Allocation | Max Daily Loss | Max Leverage | CAGR | $10k → | Max DD | Sharpe | Calmar | Vol | Min Annual |
|---|---|---|---|---|---|---|---|---|---|---|
| 1 | Preservation | -0.68% | 0.9× | 14.4% | $20k | -3.5% | 2.83 | 4.06 | 4.8% | +6.4% |
| 2 | Conservative | -1.5% | 1.9× | 34.0% | $48k | -7.7% | 2.83 | 4.44 | 10.6% | +14.5% |
| 3 | Moderate | -2.5% | 3.1× | 62.0% | $131k | -12.5% | 2.83 | 4.95 | 17.6% | +24.8% |
| 4 | Balanced | -3.25% | 4.1× | 86.0% | $273k | -16.0% | 2.83 | 5.37 | 22.9% | +32.9% |
| 5 | Growth | -4.5% | 5.7× | 133.0% | $907k | -21.6% | 2.83 | 6.16 | 31.7% | +46.9% |
| 6 | Dynamic | -6.0% | 7.5× | 202.2% | $3.6M | -27.9% | 2.83 | 7.25 | 42.2% | +64.5% |
| 7 | Aggressive | -7.75% | 9.7× | 304.1% | $17.1M | -34.7% | 2.83 | 8.77 | 54.6% | +86.2% |
| 8 | Performance | -9.3% | 11.7× | 416.8% | $63.3M | -40.3% | 2.83 | 10.35 | 65.5% | +106.2% |
Risk & Drawdown
19 years of backtested data. 19 positive years.
The backtest covers every major market crisis from 2008 to 2026 and was positive in every calendar year.
Shown at Balanced tier throughout.
| Year | Event | Annual Return · Balanced | Max DD · Balanced |
|---|---|---|---|
| 2008 | Global Financial Crisis — Lehman collapse | +81.2% | -10.4% |
| 2010 | Flash Crash — May 6 market plunge | +52.0% | -9.3% |
| 2011 | US debt ceiling crisis / European debt crisis | +12.1% | -10.9% |
| 2015 | China devaluation — global selloff | +10.0% | -11.1% |
| 2018 | Vol spike (Feb) + US-China trade war | +69.2% | -6.5% |
| 2020 | COVID-19 crash — fastest bear market in history | +96.6% | -7.4% |
| 2022 | Fed +425bp rate shock · BOJ intervention · Russia-Ukraine | +232.7% | -8.1% |
| 2025 | Trump Liberation Day tariffs — global selloff | +45.6% | -5.6% |
Dynamic Sizing
The live account's position ratios (Nasdaq 1+1+2 MNQ, Nikkei 16+7+20 N225MC, DAX 4+2+3 FDXS at about $15k) applied to each year's starting equity. The three numbers are the long, short and trend streams.
Index prices were lower in earlier years, so margin per contract was lower and the same capital supported more contracts.
Margin is set by the largest single session, because the sessions run one after another.
| Year | NAV Start | NQ L | NQ S | NQ SUP | NK L | NK S | NK SUP | DAX L | DAX S | DAX SUP | Return | Max DD |
|---|
Verification
Trade data, not marketing numbers
The hash confirms a published file hasn't been altered after the fact — it does not by itself confirm the file was complete or accurate when created. That's what the broker source and CPA reconciliation are for. Account numbers and client-identifying details are never included in anything published publicly.
Past performance is not indicative of future results. Trading futures involves substantial risk of loss and is not suitable for all investors. All positions are closed intraday, with no overnight exposure.
Fable Capital Management LLC is not registered with the Commodity Futures Trading Commission as a Commodity Trading Advisor and is not a member of the National Futures Association. It relies on the exemption from CTA registration in CFTC Regulation 4.14(a)(10), which is available to an advisor that has advised 15 or fewer persons in the preceding 12 months and does not hold itself out generally to the public as a commodity trading advisor. Fable Capital operates no pooled investment vehicle: each client holds and controls their own account at Interactive Brokers, in their own name. This site is private and available by invitation only. It is not an offer or solicitation, and nothing on it constitutes investment advice.
Research cited above documents general intraday momentum patterns in index and ETF markets; it does not constitute independent verification of Fable Capital's strategy or results. Results labelled Backtest are hypothetical: they are simulated with the benefit of hindsight, do not reflect actual trading and have inherent limitations. Live results cover a short period, from 15 September 2026. No representation is made that any account will or is likely to achieve results similar to those shown.
Trade Analytics
Return distribution, tail risk, rolling performance and monthly breakdown.
Backtest computed from 1,343 trading days, Sep 2021–Sep 2026.
All figures at the Performance tier (T8) — scale down proportionally for your chosen tier.
| Metric | Value | Interpretation |
|---|---|---|
| VaR 95% | −5.62% | 1-in-20 day loss exceeds this |
| VaR 99% | −7.81% | 1-in-100 day loss exceeds this |
| CVaR 95% | −6.96% | Expected loss on worst 5% of days |
| CVaR 99% | −9.16% | Expected loss on worst 1% of days |
| Worst day | −12.43% | Dec 20 2022 · BOJ shock |
| Best day | +40.64% | Nov 10 2022 · CPI reversal |
| Metric | Win | Loss |
|---|---|---|
| Max streak | 12 days | 11 days |
| Avg streak | 1.9 days | 2.1 days |
| Total days | 648 | 695 |
| Avg return | +5.09% | −2.84% |
Team
Systematic futures, built on academic research and implemented with AI, run with rigorous operating standards.
Upload IBKR Statement
PDF and CSV both supported. PDFs are parsed by Claude AI.
Connect Interactive Brokers
Requires IBKR Client Portal Gateway running locally on your machine.
2. Run it and authenticate at localhost:5000
3. Return here → Test → Sync Trades
Connect Your IBKR Account
Enter your email and we'll send you instructions to grant Fable Capital trading authorization on your IBKR account.