Mudder Report Update: 2024 Q4 Forward Test (week ending Dec. 5, 2024)
Strategy 83 continues to dominate
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 trade strategy. This is strictly for learning purposes.
As a quick reminder, we’re on the hunt for the holy grail of automated trading strategy. If you have any questions, start with the FAQs and if you still have questions, feel free to reach out to Celan directly at AutomatedTradingStrategies@protonmail.com.
The 2024 Q4 Forward Test Portfolio
Let's dig into how ATS strategies are performing quarter over quarter. I've started including both Q3 and Q4 results side-by-side for better perspective on strategy evolution. I believe this gives clearer signals about which strategies are maintaining their edge. Let me know if you'd like to see additional metrics in future updates.
The Q4 Forward Test is running a diverse mix of strategies. We've got:
Long-only strategies
Metal-specific strategies
Equity-focused strategies
Scalping approaches
High win-rate systems
Time-based entries
Momentum-driven strategies
High-Frequency (scalping) systems
AI-generated systems
With the help of LLMs we’re refining our development framework for both scalping and non-scalping strategies. Currently, there are no scalping strategies in the forward test, but I hope to change that soon.
Click here for a list of all strategies. Note: not all strategies have been forward tested.
For those new to ATS: the key difference between a backtest and a forward test is the data quality. Forward tests run on live data through simulated accounts, which gets us closer to real trading conditions than historical data and the subsequent simulation of that data. For a quick tutorial on how to build your own forward test, click on the title below.
It’s important to understand that all strategies chosen for Q4 (except for new strategies) were selected because of their performance in previous quarters.
The ATS Q4 Forward Test is tracking ~60 strategy variations built from ~20 core strategies. A "strategy" is like the base trading architecture, while "variations" are different configurations of that same architecture. These variations might target different instruments, timeframes, or execution rules. Some calculate on bar close, others on each tick. Some use dynamic position sizing, while others maintain fixed size. Every tweak creates a new variation.
Now, let's zero in on our Q4 (9/19/2024 - 12/05/2024) results so far. Here’s an overview of where all strategies stand as of 12/05/2024. The first column is the strategy, the second column is the number of trades, and the third column is the net profit. Scroll to the bottom of this post for the full Q4 Forward Test update, which includes the performance of each variation (gross profit, gross loss and profit factor) and how it’s performing against Q3.
Highlights
One strategy in particular is dominating the field: Strategy 83, with all three variations making it to the top ten. Strategy 83 is based on the best performing entry and exit stats from the Q1 and Q2 forward test. I plan on using the same process to create a strategy based on the best performing strategies in the Q3 and Q4 forward test as well. Look for that strategy coming out soon.
Strategy 15 variations are also doing well with two in the top ten. Strategies 84 and 77 are also doing well. The only AI generated strategy, AI Strategy 9 (Long and Short), started off the quarter strong, but is struggling towards the end.
From an instrument perspective, ES is the front-runner, followed by YM, though that is primarily due to a $63K loss in NQ from Strategy 32 (65 trades). Without that loss, NQ would be in second place.
We’re coming up on the end of the quarter next week. Look for a year end wrap-up and the Q1 2025 Forward Test Line-up in the first week of January.