Happy Anniversary ATS: It's Time For Your First Real Live Test
Starting Account Value: $10K
Important: There is no guarantee that these strategies will have the same performance in the future. I use backtests to compare historical strategy performance. Backtests are based on historical data, not real-time data so the results shared are hypothetical, not real. Even with forward tests, there is no guarantee that 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 these strategies in simulated trading until you/we find the holy grail of trade strategy.
Three years ago today I published our first post. It was the product of pent-up energy due to Covid lockdowns and a desire to document the process of hunting for the holy grail of automated trading strategies.
As a trader with no coding skills, I found Ninjatrader offered the best tool-set for me. I got together with some friends and we hammered out a few strategies over Negronis. That was the beginning of ATS.
Three years and many iterations later, here we are, about to start our first live test. We’ve conducted extensive backtests, optimizations and even a 1-year forward test that subscribers can view here.
Now it’s time for the live test. A real live test.
We tried doing a live test last year, but it failed—quite miserably. We tried one a few months ago and the same thing happened. Why?
Two reasons I think:
I used a funded trader account, which used intra-day trailing stop restrictions that made an already difficult task even more difficult. In other words, we were unable to see how the strategy really worked.
Even though we hadn’t found the holy grail of automated trading strategies, the goal was to test the performance of a single strategy, not a portfolio.
This time we’re entering the hunt with a slightly different agenda: we haven't been able to find any one strategy that defines the holy grail, but we might be able to define a holy grail selection process for strategies. In other words, we’re testing the ‘moving target’ theory. So instead of trading one strategy, I'm going to trade the best strategy for that day. I’m also funding a $10K live account. In other words, I’ll be trading multiple strategies on a live account with no restrictions except for those that I impose.
It is my belief that automated trading strategies have a tendency to ebb and flow, just like prices. This became evident in the 1-year forward test. I have many theories on the cause, but whatever it is, the ebb and flow of certain strategies appears to be more predictable than price. Each strategy is a kind of substrate that exposes an underlying pattern or path. I think we can take advantage of this.
Opening Moves
I love chess. I try to play a game every day. The first thing I do is castle. In case you don’t play, castling is the only time that two pieces can move at once, and the only time a piece other than the knight can move over another piece. I know castling is considered child’s play in the world of chess and maybe that’s why I can’t seem to break higher than 1750, but it works for me. That’s the mentality I’m going to take with this live test. Opening moves will be all about protecting the King using multiple strategies and tight risk management. In this case, King is the principal or starting account value.
Starting Account Value: $10K
Start Date: January 24, 2024. There's a positive bias in the portfolio, so I'll start running a strategy on a day when the technicals are aligned. I will decide on the 23rd if I'm going to run a strategy on the 24th.
End Date: June 24, 2024 or when ‘End game” threshold has been reached. Whichever one comes sooner.
'No Trade' Dates: I may not run a strategy on some days.
No trades taken during triple witching. Weeks containing Mar. 15, June 21, Sept. 20, Dec. 20 - NYSE Trading Calendar.
No trades taken on FOMC rate action days: Jan. 31, Mar 20, May 1, June 12.
I may run strategies on other days with big econ announcements, but only 30 minutes after the number.
Risk Management: Strategy specific. Tighter in the beginning, looser when we hit $20K (middle game). End game threshold is currently $60K.
Is it possible to reach the end game? I don’t know. I’m currently forward testing a strategy that made $25K over the last two weeks so it just might be.
I'll start with one strategy per day on one instrument. The decision of which strategy to trade will be based solely on forward testing.
The entire process will be documented within ATS Research and shared with subscribers at the conclusion of the test. I'll share live test performance with subscribers at the end of the week, but it will not include which strategies were traded. I will share which strategies were used in the live test at the end of the test.
These are truly exciting times!
Please let me know if you have any questions/comments/suggestions.
Celan
Contact: AutomatedTradingStrategies@protonmail.com
Congratulations on 3 years. ATS has come a long way in three years! Thanks for all of your hard work.
Congrats on the 3 years! Your work, your passion, and your spirit, are all inspiring and worth emulating. For me personally, wherever I go from here with Automated Trading, ATS would have paved the way for me. Thanks for doing what you do!