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.
Strategy 30 was originally published on ATS in August of 2021.
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. Click here for the most recent performance chart.
When we first published Strategy 30 it made on average .67 trades per day, and had an average net profit of $265 per day or $541 per trade. This was the cumulative profit of Strategy 30 over a 1 year period. It starts off great, but then takes a dip, reaching a cumulative low of $6,625. Max drawdown is therefore much lower than Strategy #29 at 6.57% or $14K, rather than 17.48% or $46K.
This is how the strategy breaks down on a day-of-week basis. It is rare that strategies perform well every day of the week. Average time of each trade in the market is 1.06 days, so you might want to stop all trades after the last trade on Wednesday and start back up on Thursday afternoon at 6pm (EST).
As you can see from the updated performance chart below, over the last year (May 2022 to May 2023), Strategy 30 made $27K on 1 NQ contract and had a profit factor of 2.15 on 33 trades. While the profit factor on this strategy is great, the low trade count is difficult. On the plus side, it also has a relative high win rate.
Now let’s get into how to recreate the strategy for yourself.