Risk Disclaimer: There is no guarantee that these strategies will have the same performance in the future. We use backtests to compare historical strategy performance, but there are no guarantees that this performance will continue in the future.
Backtest Results based on 1 year of trades
Strategy #1 Description:
Futures Contract: NQ
Strategy #1 uses the Linear Regression Indicator (LinReg) and the Volume Weighted Moving Average (VWMA).
Enter Long - When LinReg crosses above VWMA.
Enter Short - When LinReg crosses below VWMA.
Use 14 as the period for both indicators.
Unlimited Stop Loss: Unlimited; 1,00000000
*You can test the strategy by duplicating backtest results.
An example of how the strategy works is below.
Optimizing Strategy #1
We optimized strategy #1 based on varying parameters and data series type. We were able to achieve an annual profit of $241,190 on one futures contract with an average of 18.38 trades per day, a daily profit of $659, and a profit per trade of $36. Keep in mind, the number of trades is only a consideration for traders without a flat rate commission plan.
Perhaps the best improvement for this strategy is the annual draw-down, which improved from -17.10% to -12.90%. So, not only did we double the profit per trade, but we decreased the risk level while doing so.
To optimize Strategy #1 change the following parameters:
Data Series: Range, 72
Stop Loss: Unlimited or 1,00000000
No change on all other parameters.
Download Strategy #1 for NinjaTrader 7: Click Here
Note: Download links are changed monthly.
***Strategies are available for download in Ninjatrader 7 only, but you can duplicate the strategy on all platforms based on the strategy description above***
Ninjatrader 7 Download Instructions
Ninjatrader download instructions are listed below and on their website.
Click on the link above to download file from GoogleDrive.
Download the Strategy to your desktop, keep them in the compressed .zip file.
From the Control Center window in Ninjatrader 7, select the menu: File> Utilities> Import Strategy.
Select the downloaded .zip file.
NinjaTrader will then confirm if the import has been successful.
All of our strategies have the following attributes:
Only work with a certain data series type and value (Range, 36)
Are based on trading the most recent NQ futures contract
Are based on trading 1 contract, but you can use as many contracts as you want by changing the parameters in the strategy. Please contact me directly for help with this.
See below for instructions on how to run a strategy once downloaded.
If you've never used/run a strategy in NinjaTrader 7, NinjaTrader provides instructions here or you can contact me directly at: celanbryant @ gmail.com. I’m here to help.
How to compare strategies
I like to look at two sets of metrics when comparing strategies:
1) Backtested results for the first 1,000 trades
2) Backtested results for 1 year
Both perspectives provide a way to confirm the performance of the strategy.
And, keep in mind, March was a wild ride in 2020.
Within each perspective, it's important to look at the # of days the strategy was employed, the max drawdown throughout the life of the backtest, the profitability of the strategy over the given time frame and the average profit per day (see below for performance metrics). The right strategy depends on your risk profile. Those with a lower risk profile should focus on strategies with a lower drawdown.
I will continue to provide analysis for strategy comparison for all subscribers.
Backtest Results based on ~1,000 trades
Backtest Results based on 1 year of trades
Strategy Performance is updated on a monthly basis. New strategies will be added every month.
Strategy - The name of the strategy.
Trades - The number of trades used in the backtest to analyze performance. Our goal is ~1,000 trades for comparison.
Start date- The beginning date of the backtest.
End date - The ending date of the backtest.
# of days - The number of days in the strategy.
Drawdown - This refers to the maximum drawdown statistic, which provides you with information regarding the biggest decrease (drawdown) in account size experienced by the strategy. Drawdown is often used as an indicator of risk.
Drawdown = single largest Drawdown
As an example, your account rises from $25,000 to $50,000. It then subsequently drops to $40,000 but rises again to $60,000. The drawdown in this case would be $10,000 or -20%. Take note that drawdown does not necessarily have to correspond with a loss in your original account principal.
Profit - The net profit made on the strategy for the backtest.
#trades per day - The average number of trades made per day using the strategy.
Profit / Day - The average profit made per day.
Profit / Trade - The average profit made per trade.
Lowest daily new profit - The worst performing day of the strategy in the backtest.
Highest daily net profit - The best performing day of the strategy in the backtest.
If you have any issues, please contact me at celanbryant @ gmail.com.