Important: There is no guarantee that ATS strategies will have the same performance in the future. I use backtests and forward tests to compare historical strategy performance. Backtests are based on historical data, not real-time data so the results shared are hypothetical, not real. Forward tests are based on live data, however, they use a simulated account. Any success I have with live trading is untypical. Trading futures is extremely risky. You should only use risk capital to fund live futures accounts and if you do trade live, be prepared to lose your entire account. There are no guarantees that any performance you see here will continue in the future. I recommend using ATS strategies in simulated trading until you/we find the holy grail of trading strategy. This is strictly for learning purposes.
Subscribers, look for a special gift (Strategy 77 and 83c) from me on Christmas Day!
I’m on a quest for the holy grail of automated trading. Questions? Check the FAQs or feel free to reach out directly: AutomatedTradingStrategies@protonmail.com.
The holidays are here! But the best part of the holidays isn’t the gifts. It’s the table. Not a desk. Not a screen. A proper table. Set with intention and surrounded by people you don’t see often enough. A table weighted with dishes that only appear once a year and food that takes longer to prepare than it takes to eat.
There’s something about a shared meal that resists optimization. You don’t rank the courses by caloric efficiency. You don’t A/B test the wine pairings. A great meal isn’t a collection of great dishes—it’s magicical. Acid responds to fat. Salt awakens sweet. Wine does the rest. And when it works, frowns ease into smiles, shoulders drop, and the table becomes the reason everyone came.
I’ve been thinking about this as I build the Q1 2026 Forward Test portfolio.
200+ strategies in the Incubator. Our pantry is overflowing, but a pantry isn’t a feast until someone decides what belongs on the table.
Welcome to À La ATS.
This post is about composition. What belongs on the table together? What gets left in the kitchen?
The Pantry Problem
200+ strategies. Data from September 19th to present—a full quarter of forward testing through one of the choppier Q4s in recent memory. Trend systems and mean reversion. Tick-based microstructure plays and multi-hour session trades on NQ, ES and GC. HMM regime detection layered onto classical setups. Time-based edges that ignore price entirely.
I have an abundance of strategies to choose from, but which ones will make it to the Q1 2026 Forward Test? The temptation is to sort by net profit, pick the top ten, size up, and be out. It’s the temptation I’ve had for the last 8 quarters and I’ve followed it, but here’s what else I’ve learned: a leaderboard of profitable strategies isn’t a portfolio. Seven versions of the best potato salad isn’t a feast.
I’ve been asking: Which strategies made the most money and/or had the highest profit factor.
Perhaps a better question would be: Which strategies can I trust with capital together?
Suddenly we’re looking at structure, not rankings. I’m focusing on the whole, not the part. I should be looking for strategies that grind, explode, fail at different times—which means they protect each other. Perhaps, instead of a buffet—pile your plate, hope for the best—I should approach this as a five-course meal.
Mise en Place: The Table Setting
In professional kitchens, mise en place means everything in its place. Onions diced. Stocks reduced. Proteins tempered. Before a single pan heats up, the work is done.
At a formal dinner, place settings serve the same function. The oyster fork sits outside the salad fork because you’ll need it first. Wine glasses descend in size from water to white to red—the order they’ll be filled. Every element has a reason. Nothing is arbitrary.
Portfolio construction requires its own mise en place:
Max contracts — No single position dominates the plate
Max daily loss — Remove the dish before it spoils the meal
Max consecutive losses — Pause between courses; reassess the pace
Session filter — Some ingredients only arrive fresh at specific hours
This is a Portfolio Constitution. The rules that hold even when the kitchen gets hot.
The Main Course: Boeuf Bourguignon
Boeuf Bourguignon doesn’t impress with flash. It impresses with depth. Beef braised for hours in red wine, onions, mushrooms, bacon. The kind of dish that feeds a table and leaves everyone quiet with satisfaction.
The main course of a portfolio works the same way. These are strategies that grind, preserve capital, absorb noise. They don’t make headlines. They make money.
What qualifies for the center plate?
Trade count high enough to trust (100+ minimum)
Moderate profit factor but consistent (>1.5)
Average MAE controlled relative to the instrument
Max MAE not wildly larger than average (no hidden gristle)
From the Incubator:
Strategy3 (NQ) - The beef itself. Reliable, flavorful, does the work.
Net profit: $89,555
Trades: 307
PF: 1.53
Avg MAE: $933 / Max MAE: $7,620
Textbook core-engine behavior. Smooth participation, reasonable drawdowns, no heroics.
SimAccount3 (ES) — The potatoes. Nobody talks about them, everyone eats them.
Trades: 324
PF: 1.52
Avg MAE: $460
Instrument diversification plus lower MAE equals portfolio ballast.
Strategy 104 _ DualHMM (NQ) — The wine reduction. Concentrated, elevated, transforms everything it touches.
PF: 2.31
Avg MAE: $659 / Max MAE: $1,770
High profit factor plus low MAE. Rare. This is the best risk-adjusted performer in the Incubator.
SOCBasedIntraday (NQ) —The pearl onions. Small, precise, essential texture.
Trades: 115
PF: 1.83
Shorter-term structure-based edge. Shines when the slower systems stall.
These four form the center; the main course. They sustain.
What about dessert (aka: the convex sleeve). These are some of my favorites:
Supportresistancetrend (NQ) — The soufflé. Rises spectacularly when conditions are right. Sits flat otherwise.
PF: 3.5–4.0
Trade count: Low
Timey_67 (NQ) — Crème brûlée. Crack the surface, find the gold underneath.
PF: 3.08
Avg MAE: $478
ChannelMeanReversion (NQ) — Baked Alaska. Fire and ice. Works precisely because it shouldn’t. Mean reversion at the microstructure level. When trend systems chop, this one hunts different prey.
The Shape of Edge: What To Put On The Table
As much as I like to use stats, when it comes to selecting the best strategies for this new portfolio design, I want to start placing more focus on the shape of the curve. I’ll be sharing the equity curve for 30 profitable strategies from the Incubator with you in a moment. The curves serve as a bird’s-eye view of the strategy’s payoff structure.
As you will see, the shape of each curve tends to fit three profiles: linear, convex and concave.
Linear Payoff:
What it is: Profit and loss move proportionally with the market. Risk $1, make $1. Lose $1, down $1. No leverage, no asymmetry.
Strategy examples: Buy and hold. Simple trend-following without stops. Delta-one positions.
Character: Balanced exposure. You participate equally in ups and downs.
Convex Payoff (Lose Small, Win Big)
What it is: The curve bends upward. Upside is larger than the downside. Risk a little to potentially make a lot. The payoff accelerates as you get more ‘right’.
Strategy examples: Buying options. Trend strategies with tight stops and runners. Breakout systems. High profit factor / low trade count strategies.
Character: Most trades lose or scratch. But winners are multiples of losers. You’re paying a small premium repeatedly for occasional big wins.
The Tarte Tatin was invented by accident at the Hotel Tatin in 1880s France. Stéphanie Tatin overcooked apples in butter and sugar, panicked, threw pastry on top, flipped it, and served it anyway. It became one of the most celebrated desserts in French cuisine.
Convex strategies work the same way. They’re not about expected value. They’re about payoff shape—small losses most of the time, then a regime arrives and they deliver something memorable.
You don’t build a meal around dessert. But a feast without one is…forgettable.