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 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.
Strategy 13 was originally published in May of 2021 in the Newsletter ATS, and now I’m publishing it here, in ATS Mini. ATS Mini is the lower cost version of ATS.
The following is a list of all published strategies at the time we originally published Strategy 13 in May of 2021:
*See below for Column Definitions
At the time, we were still using Range 36 as the universal data series. We no longer use Range as a data series because it is difficult for the backtest to handle and generally results in large discrepancies between real-time and backtest results.
Strategy 13 had a profit factor of only 1.06, but made $108K. I can’t tell you what the basis for that profit was because we didn’t start adding gross profit and gross loss to the performance chart until later on in the year. What I CAN tell you is that we’re still using Strategy #13 today.
In live simulated trading (real-time market data using a simulated account), Strategy 13 made $5,730 on one CL contract over the last 10 weeks (9/18/2022 - 12/3/2022), but it had a max cumulative drawdown of $10,780, which is high given the overall net profit. Today, we’re focused on strategies with a drawdown of no more than 3%.
Here’s the performance chart:
And, here’s a look at the weekly cumulative net profit:
Again, these are real-time results, not a backtest.
Now let’s get into how to recreate the strategy.