ATS Mini: #16-22 (Optimized)
Note: Strategies 16-22 were originally published on Automated Trading Strategies on June 17, 2021.
There is no guarantee that these strategies will have the same performance in the future. Some may perform worse and some may perform better. We use backtests to compare historical strategy performance, but there are no guarantees that this performance will continue in the future. Trading futures is extremely risky. If you trade futures live, be prepared to lose your entire account. We recommend using our strategies in simulated trading until you/we find the holy grail of trade strategy.
As a quick note, we no longer use range based data series due to issues with backtest accuracy, but we still use Strategy 16 in our current testing of minute based charts. While it has a low trade count, it has some of the highest profit factors on the master list.
As a quick reminder, our goal is to find the holy grail of automated trade strategy as defined below:
Profit factor greater than 3
Annual drawdown less than 3%
Annual return on max drawdown greater than 500%
Maximum daily net loss of -$1,000
Avg Daily profit greater than $1,000
Less than 5,000 trades annually
More than 253 trades annually
We haven’t found the holy grail yet, but we get closer with every strategy.
Note: You are reading ATS Mini, the lower cost version of the original ATS Newsletter. Click here for the most recent performance chart on the original Automated Trading Strategies newsletter, which provides:
the strategy,
the instrument to use for the strategy and the data series (all of our strategies are backtested on a minute-based data series from 1 - 60)
the parameters,
the trade count, and
the max drawdown.
The max drawdown is the cumulative drawdown, not absolute. In other words, it is the most the account balance has ever fallen from its high (not $0), which is why we use it to calculate return rather than absolute drawdown.
You’ll also find the percentage of profitable trades, net profit (broken down by gross profit and loss), along with a few stats like # of trades per day, profit per day, profit per trade and profit factor.
Strategy 16-22 Description, Command Structure & Download (C#)
Note: Strategies 16-22 were originally published on Automated Trading Strategies on June 17, 2021.
We’re adding 7 strategies to our ATS Mini list. They are all derived from an optimization of Strategy 7 so I’m publishing them together. Each strategy is slightly different. Unlike all other strategies, 6 of these strategies use a time chart. Look at the second column in the table to know how to set the data series. For example, Strategy 16 uses Range 37, while Strategy 17 uses 28 min.
These are our best strategies yet, but they’re also the riskiest because they’ve been optimized. Optimized strategies tend to be more prone to overfitting than all other strategies. To read more about what we’ve done to prevent overfitting click on the article below.
That said, both draw-down and profit factor on these strategies has improved significantly. Together, these strategies made over $280K in the last 12 months and have an average profit factor of 4.00.