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.
Where the returns come from
Same $100,000. Three markets. 3× the capital efficiency. Nikkei, DAX and Nasdaq futures trade in three sessions that never overlap — so one pot of margin capital can back all three strategies across a trading day, instead of being split three ways and sitting idle two-thirds of the time.
If the three sessions are roughly independent, return scales close to 3×, volatility rises by only about 1.7× (√3), and return per unit of risk improves by about 1.7×. This is a diversification and capital-efficiency effect — not a higher-conviction signal, and not free risk.
Three sessions each take on real risk; the improvement comes from not leaving capital idle between them. Actual measured correlation across sessions is shown on the Live Account and Allocations tabs.
The inefficiency itself was human-spotted — the same three-session intraday trend structure behind the 2003 Princeton thesis on the Research tab. AI took it from there: breaking the idea down into 9 granular signal streams, adapting and optimizing the parameters per market and session, writing the production trading code, and now running all three markets automatically, live, with no manual intervention.
Where the strategy comes from
Fable Fund's founder co-authored a 2003 Princeton MFin thesis, Dynamic Trend Optimization, finding statistically significant trend alpha in Nasdaq futures at a time when prevailing academic opinion leaned toward market efficiency. Later independent research has documented related intraday momentum patterns in equity index markets — cited below as supporting context, not as verification of this strategy's specific results.
Same capital deployed sequentially across three time zones — Asia (Nikkei) → Europe (DAX) → US (NQ). Capital recycles intraday. No overnight positions. Binding margin = worst single session only, not the sum of all three.
The same capital trades Nikkei at night (Tokyo), DAX at dawn (Frankfurt), Nasdaq through the day (New York) — never simultaneously. Same capital unit passes through up to 9 signals per day — 3 per market — with zero idle time between sessions.
9 streams across 3 uncorrelated geographies + 2 strategy types (mean-reversion daily + trend-following 2hr). Portfolio vol 6.3% unlevered vs best single stream at 4.2% — but CAGR lifts from 4–10% to 18.9%.
Because sessions do not overlap, required margin is max(NQ, Nikkei, DAX) — not the sum. At $14,435 NAV with Smooth Curve, Nikkei is the binding session at $8,759 (63% of NAV), leaving $5,676 free.
The inefficiency was human-spotted. AI granulated it into 9 discrete signal streams, adapted and optimized each one per market and session, wrote the production trading code, and now runs all three markets automatically, live.
Each stream run independently at unit weight (1×). Sep 2021–Sep 2026. Designed SL = mode of loss distribution (what the stop is set to). Max Lev = 7.5% daily 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 |
|---|
Same 9 underlying streams, three different capital deployment assumptions. Model B is the most realistic and deployable.
| Model | Total Ret | CAGR | Sharpe | Max DD | Calmar | Ann Vol | Win Rate |
|---|---|---|---|---|---|---|---|
| A · EW 9 Streams | +33.5% | 6.0% | 2.61 | −2.2% | 2.70 | 2.1% | 51% |
| B · EW 3 Markets ✦ | +137.5% | 18.9% | 2.62 | −6.5% | 2.92 | 6.3% | 52% |
| C · Sequential | +1,161% | 66.2% | 2.63 | −18.3% | 3.62 | 19.0% | 51% |
| Smooth Curve 30× Opt | +2,676% | 98.2% | 2.69 | −32.3% | 10.5 | — | — |
12 distinct risk profiles. Same 9 streams, per-stream SL-based leverage bounds, 7.5% max designed daily loss budget. Select any allocation to see its equity curve, drawdown, annual returns, and per-stream risk contribution.
| Stream | Worst Day | Max Solo Lev | Alloc Lev | Max Loss | % Budget | Risk Bar |
|---|---|---|---|---|---|---|
| PORTFOLIO TOTAL | — | — | ||||
| # | Allocation | Max Loss | Leverage | CAGR | Total Ret | Max DD | Sharpe | Calmar | Vol | Min Annual |
|---|
Gap events in NQ 3 are intraday flash crashes — the position was entered at the correct signal, then the market moved 2–4% in a single 10-minute candle. The −0.25% stop filled at −3.43% due to pure slippage. Cannot be managed away — only sized for.
| Year | Return | Max DD | NAV Start | NAV End |
|---|
Your live leverage ratios (NDX 1+1+2 MNQ, NIKKEI 16+7+20 N225MC, DAX 4+2+3 FDXS at ~$15k) scaled back through time. Historical prices were lower → same margin% meant lower dollar margin per contract → more contracts per $15k. Binding margin = max session only (sequential).
| Year | NAV Start | NQ L | NQ S | NQ SUP | NK L | NK S | NK SUP | DAX L | DAX S | DAX SUP | Return | Max DD |
|---|
| Stream | Leverage | Contracts | Type | Notional | SL Contrib |
|---|
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. Futures trading involves substantial risk of loss and is not suitable for all investors. Reusing capital across sessions increases the trading activity — and the risk exposure — run through that capital; it does not eliminate risk.
Fable Fund is not currently registered as a Commodity Trading Advisor (CTA) or Commodity Pool Operator (CPO). Any advisory or investment activity is limited to family, friends, and existing personal relationships, consistent with applicable exemptions. This site is not an offer or solicitation to any member of the public to invest, and nothing here should be construed as investment advice.
Research cited above documents general intraday momentum patterns in index and ETF markets; it does not constitute independent verification of Fable Fund's strategy or results.
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