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.
Our primary goal is to find the holy grail of automated trading strategies. Our secondary goal is to demystify the skill of trading and in particular, the creation of automated trading strategies.
We’ve defined the holy grail of trade strategy to be the following (based on annual performance):
Profit factor greater than 3
Annual drawdown less than 3%
Annual return on max drawdown greater than 500%
Maximum daily loss is -$1,000
Avg Daily profit greater than $1,000
Less than 5,000 trades annually
More than 253 trades annually
We have yet to find this elusive automated trade strategy, but we’re on the hunt!
Click here for the most recent update to all strategy links.
Backtest Results based on 1 year of trades
Strategy 5
This strategy was originally published by ATS on January 14, 2021. It is one of two strategies (the other is Strategy 1) that we give away for free so you can get a feel for how this works.
You can use the description below to duplicate results. You can also download the strategy for use with the Ninjatrader platform (C#).
Now let’s get into how to create Strategy 5.
Strategy #5 Description:
Strategy #5 uses the MACD Indicator (MACD), Double Stochastics (DS) and the Relative Spread Strength (RSS).
Enter Long - When MACD (MACD plot) crosses above MACD (Avg plot), with a look back period of 2, AND, when DS with an RSS input series, is greater than 90.
Exit Long - When MACD (MACD plot) crosses below MACD (Avg plot).
Enter Short - When MACD (MACD plot) crosses below MACD (Avg plot), with a look back period of 2, AND, when DS with an RSS input series, is less than 10.
Exit Short - When MACD (MACD plot) crosses above MACD (Avg plot).
For MACD, use 26 as the Slow parameter, 9 for Smooth, and 12 for fast.
For RSS, use 10 for EMA1, 40 for EMA2, and 5 for Length.
You can test the strategy by duplicating backtest results.
Data Series: Range 36
An example of how the strategy works is below.
Download Strategy #5 for NinjaTrader 8: Click Here
***Strategies are available for download in Ninjatrader 8 only, but you can duplicate the strategy on all platforms based on the strategy description above***
Ninjatrader 8 Download Instructions
Click on the link above to download the file.
Download the Strategy to your desktop, keep them in the compressed .zip file.
From the NinjaTrader Control Center window, select the menu Tools > Import > NinjaScript Add-On
Select the downloaded file from your desktop
NinjaTrader will then confirm if the import has been successful.
If you've never used/run a strategy in NinjaTrader 8, NinjaTrader provides instructions here.
Click here for links to all ATS strategies.
Click here for links to all ATSMini strategies.