Mudder Report & ATS Alerts Update
What a week! Week 4 Results: Up $74K. Hidden Markov Model (HMM) approach significantly outperforms day/time-based selection, with Option C delivering $454K in simulated profits and 72% daily win rate.
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.
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.
Housekeeping: I received the most charming email the other day. I was struck by the eloquence of word and insight. I thought, “This person should have their own Substack”. As I’ve said in the past, I’m not only a writer on Substack, but an investor. If you haven’t done so already, consider bringing your experience to Substack. My trading has improved dramatically since starting this newsletter and I’ve met some truly amazing people along the way. If you have any questions about the process, please feel free to reach out to me.
Okay, let’s get into it…
Executive Summary
Four weeks into Q4, the portfolio is up $74K on its own. But when I applied Hidden Markov Model (HMM) state-based selection to the trade data, it dramatically outperforms traditional day-of-week and time-of-day filtering. The most aggressive HMM approach (Option C) delivered $454K in net profits with position sizing, and a 72% daily win rate. I’m transitioning both the Forward Test and Alert System to this HMM-based approach.
Q4 Forward Test: Week 4 Performance Overview
Here’s a look at the daily P&L for the last four weeks: