March 6 Update: Highlights and Key Takeaways

Updated results

Every two months we like to take a look at how our top strategies are performing. We look at updated backtest results for:

  • the last 1,000 trades; and,

  • the last year.

The following update is for backtest results ending on March 6.

Quick note, all strategies are based on the NQ futures contract.

Key takeaways: 1,000 Trades Backtest Update

Jan 6 - 1,000 trades with an end date of 1/6/2021

March 6 update - 1,000 trades with an end date of 3/6/2021

  • All strategies were more profitable in the backtest update except four: Strategy 5, 6, 7 and 8. Strategy 5 and 6 were negative over the last 1,000 trades. So we advise caution with these strategies. Strategies 7 and 8 had a slightly lower profitability, but not enough to make us concerned.

  • All strategies had a lower (better) drawdown in the backtest update except four: Strategy 5, 6, 8 and 9. Remarkably, Strategy 4 went from a drawdown of -21.19% to -10.50%.

  • Perhaps the most notable change in the backtest update is profit per day, which is much higher for Strategy 1, 3 and 9. This is because 1,000 trades were reached in a shorter period of time. In other words, these strategies are making more trade signals in a shorter period of time and those signals are highly profitable.

  • While profit per day is up for Strategy 1, 3 and 9, keep in mind that profit totals do not include commission and all three of these strategies achieved supernormal results based on making 90+ trades per day.

Let’s see if these trends (higher profitability, lower drawdown) persist with the 1 year backtest update, especially for Strategy 1, 3, and 9.

Key takeaways: 1 Year Backtest Update

Jan 6

March 6 update

  • In the 1 year update, only 4 strategies were more profitable: Strategies 1, 2, 3 and 9. All others were less profitable. So strategies 1 and 9 are both more profitable from both a short-term (1,000 trades) and long-term (1 year) basis.

  • In the 1 year backtest update, only 2 strategies had a change in drawdown: Stragegies 4 and 8. Both had an improved drawdown.

  • We don’t see the same fluctuation in profit per day, which makes sense because the backtest is over a longer time so fluctuations caused by volatily have a chance to even out.

Strategies

Automated Trading Strategies: Strategy #1

Automated Trading Strategies: Strategy #2

Automated Trading Strategies: Strategy #3

Automated Trading Strategies: Strategy #4

Automated Trading Strategies: Strategy #5

Automated Trading Strategies: Strategy #6

Automated Trading Strategies: Strategy #7

Automated Trading Strategies: Strategy #8

Automated Trading Strategies: Strategy #9

Conclusion:

Stay away from Strategy 4 & 5. Strategies 1 & 9 are fire, but be ready for 40-50 trades per day on average.

While these are our favorite strategies, we’re still not happy. We’re looking for a much lower annual drawdown (less than 10%), no more than 5 trades per day and a profitability over $500K per year from one NQ contract.

What’s coming:

  • Currently, all strategies automatically close at 4:15pm. We’re going to see what our backtest results look like without an end-of-day close.

  • We will be adding “percent profitable” to future updates. This refers to the number of trades that are profitable compared to unprofitable.

  • We will be introducing 3 new strategies.