Automated Trading Strategy #32 (ATS Mini)
Strategy 32 was originally published on ATS in September of 2021. At the time, it made $84K annually, $466 per trade and had a Profit Factor of 1.93.
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 32 was originally published on ATS in September 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.
Strategy 32 was originally published on ATS in September of 2021. At the time, it made $84K annually, $466 per trade and had a Profit Factor of 1.93.
I like this strategy because of its high profitability and low drawdown. At the time, it had one of the highest profit factors, but only made 181 trades in the year so we were skeptical of the results. The good news is that we still use this strategy today. Instead of 36 range, we use various minute based charts. You can view the most recent performance results here to see which instruments to use in order to duplicate results. I’ll be updating Q2 performance results within the next two weeks.
This was the original cumulative profit of Strategy 32 over a 1 year period.
This is how the strategy broke down on a day-of-week basis at the time.
Now let’s get into how to recreate the strategy for yourself.
Strategy 32 Description, Command Structure & Download (C#)
We started researching the impact of time with the post: Can We Maximize The Profit Factor By Focusing On Timing?