Mudder Report Q2 2024: ATS Forward Test Update
Forward Test Review: Out of the Loop, Back in the Maze
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. There are no guarantees that this 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.
We haven’t found the holy grail of automated trade strategy yet, but we get closer with every strategy. Click here for links to all strategy descriptions.
Well it’s been an eventful six months. In addition to completing the Live Test (up 196%), we’ve also got six more months of additional forward test data.
What I would normally do at this point is create a new forward test based on a backtest of strategies over the last 12 months. That’s what I’ve done every quarter for the last ~24 months. This quarter, however, instead of running a backtest over the last 12 months (6/15/2023 to 6/21/2024), we have enough data to create a forward test based almost entirely on forward test data.
To be honest, I feel like I’ve been stuck in a bit of loop. I was collecting forward test data and then returning to backtest data, over and over. Like a kind of Groundhog Day, any progress made was tossed out at the end of the quarter and a new forward test was created without the consult of actual performance. Why use simulated data when you have access to base data?
The bad news is that the hunt will always be a maze and sometimes you can get stuck in an analysis loop. The good news is that I think we’re out of the loop.
The Mudder Report I’m sharing with you today includes an analysis of forward test performance by strategy, instrument, and net profit. It also compares the performance of the best ATS strategies YTD to the first two weeks of June. This is the focus-list I’m using to design the Q3 forward test and if I were to trade any strategies this week, I’d start with the list on Page 9.