2021 FY Cumulative Net Profit Charts
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. I recommend using our strategies in simulated trading until you/we find the holy grail of trade strategy.
I wanted to share a tool that I use to quickly analyze strategy performance — thumbnail charts.
The following charts are the cumulative net profit charts for each strategy that we’ve backtested and published since January 2021. Some strategies continued to perform well throughout the year, others did not.
All charts run from January 1, 2021 to January 1, 2022. You can click on the image for a PDF.
Click here for links to all strategy descriptions and the most recent performance chart.
The thumbnail charts above make it possible to quickly see which strategies have potential and which do not. For example, Strategy 3 and 10 have a steady upward momentum, while Strategy 5 is choppy with a significant drawdown.
I provide technical performance metrics for all strategies, but using thumbnail charts allows you to see things that stats have a hard time illustrating unless you understand the nuance behind the stats. For example, I like strategies with a daily cumulative net profit that never falls below $0. You can look at the most recent performance chart to see which strategies fit this profile or you can scan the charts above. Any chart with ‘no red’ passes the test. That said, just because a chart has a little red in the beginning, doesn’t mean it’s a bad strategy — it may simply suffer from a poor start date.
I also like strategies with a low drawdown. As a quick reminder, drawdown is not the amount the account falls below $0; it’s the amount the account falls from its high, so max drawdown is the most the strategy has ever fallen from its high. Max drawdown is also a good proxy for the lower limit on the amount you need to set your simulated account to in order to start a particular strategy. For example, a strategy with a drawdown of $15K should have at least that much in the account at all times. The more profitable the strategy is (a function of profit factor and net profit), the more you can rely on the strategy to fund your drawdown goal. At that point, you can withdraw funds from the account. We use return on max drawdown (net income / max drawdown) as a way to measure a strategy’s potential to “fund itself”.
Based on the charts above, the strategies with a steady trend upward are:
Strategy 3
Strategy 4
Strategy 6
Strategy 7
Strategy 9
Strategy 10
Strategy 12
Strategy 13
Strategy 14
Strategy 24
Strategy 26
Strategy 30
Strategy 31
Strategy 33
Strategy 34
Strategy 35
Strategy 36
Strategy 37
Strategy 38
Strategy 39
Strategy 40
Strategy 41
Strategy 42
Strategy 43
Strategy 44
Between observations made in our last weekly review (the Mudder Report), the January Review and the charts above, I can cross-reference to narrow our focus to a smaller group of strategies. In the following section, I’m going to tell you what those strategies are and how we’ll be tracking them going forward.