Automated Trading Strategy #12
Over the last 12 months, Strategy 12 made $127K on 677 trades for the 56 minute based NQ contract. It has a profit factor of 1.23.
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.
The following is list of all published strategies.
Backtest Results based on 1 year of trades
*See below for Column Definitions
This strategy was originally published on May 23, 2021. It uses two of my favorite indicators. At the time, we were happy to get 1.06 profit factor. Today our goals are much higher. 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.
For a link to all ATS strategies and the most recent chart, click here.
For a link to all ATS Mini strategies, click here.
Today, we’re publishing our 57th strategy on ATS, but we’re still tracking Strategy 12 on our performance chart. That’s a testament to the strength of this strategy over time. As you can see from the chart below, we’re tracking Strategy 12 (60 minute) on the ZB (30-Year Treasury-Bond) futures contract. Over the time period 9/1/21 to 9/1/22, this strategy made $35K on 617 contracts with a profit factor of 1.26.
One of the most remarkable things about this strategy, at least for this particular backtest period and contract, is that it never falls below $0. The lowest net profit ever goes is $125, which means that even though the strategy has a cumulative max drawdown of $10K, it never drops below a net profit of $125. To be clear, the cumulative max drawdown is the most a strategy falls from its highest net profit, while the absolute drawdown is the most the strategy falls below $0. So this strategy fell $10K from its high, but never ended the day below a net profit of $125. To be fair, this is based more so on when we started the strategy than anything else, but it shows what’s possible with the right timing on entry.
I also ran this strategy over the time period 11/01/2021 to 11/01/2022. During that time period, it made $127K on 677 trades for the 56 minute based NQ contract.
Strategy 12 is definitely worthy of additional study.
Now let’s get into how to create Strategy 12.