Automated Trading Strategy #38 (ATS Mini)
This strategy was originally published on Dec 14, 2021.
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Strategy #38 Description:
Strategy 38 is the same as Strategy 37. It is based on trends using the inverse relationship of two futures contracts. In general, the stronger the trend, the better the profit factor.
Profit factor is calculated by dividing gross profit by gross loss. For our purposes, the holy grail of automated trade strategy has a profit factor of 3x. Strategy 37 has a profit factor of 1.68, which means that the ratio of gross profit to loss is 1.68. In other words, the strategy made 1.68 times more money than it lost during the period. Strategy 38 has a profit factor of 1.76 and made $48K from 11/01/2020 to 11/01/2021.
From a description perspective, Strategy 38 is almost the same as Strategy 37 except for one minor change which I’m going to discuss now.
Instead of using gold futures, we’re using bond futures. Both have an inverse relationship with the Emini NASDAQ futures contract (NQ), but as we suspected, bond futures are cleaner. That is, there’s not as much noise/headwind.