Automated Trading Strategy #15 (ATS Mini)
When we ran Strategy 15 on a 48 minute BTC futures chart, it made $46K on only 48 trades (for the year), but has a profit factor of 2.84, which is the second highest profit factor on our the chart.
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. See below for the most recent performance chart, 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.
The performance chart below is based on backtest results from December 1, 2021 to December 1, 2022.
The following strategies are backtested on 1 futures contract unless otherwise noted.
All strategies are automated and available for download in Ninjatrader 8 (C#).
Click here for the pdf.
New strategies published on the 1st and 15th of the month for subscribers, however, the performance chart is only updated on a quarterly basis. The next update will be in April. Links to all ATS Mini strategies are listed here. Links to all ATS strategies are listed here.
Strategy 15
When Strategy 15 was first published on June 7, 2021, this was the performance chart we published along with it:
*See below for Column Definitions
At the time, it had the second highest profit factor and the lowest max drawdown. It’s no wonder that we’re still using Strategy 15 today.
If you scroll up to the green performance chart, you will find two strategy variations that use Strategy 15. One uses NQ, and the other ES. Both use a 17 minute data series. The NQ contract has a profit factor of 1.48, while the ES contract has a profit factor of 1.64.
You will also find Strategy 15 on our BTC chart:
When we ran Strategy 15 on a 48 minute data series it made $46K on only 48 trades, but has a profit factor of 2.84, which is the second highest profit factor on our the chart.
Based on the 1 year annual backtest below (1/1/2022 - 1/1/2023), Strategy 15 may suffer from a low trade count, but when traded as a portfolio of instruments, the trades add up.
Based on the instruments listed here, CL, ZS and ZW may also work well with this strategy. This means that other instruments in energy and/or agriculture may perform well too.
Let’s get into the strategy description.