Q4 Automated Strategy Performance: Key Insights On Strategy Development & Portfolio Management

Plus, a trading plan for next week based on historical data and upcoming events.

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. This is for educational purposes only. I recommend using ATS strategies in simulated trading until you/we find the holy grail of trade strategy.

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If you have any questions, please contact Celan at AutomatedTradingStrategies@protonmail.com

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This is a comprehensive analysis of ATS strategy performance across Q4 2024 and early Q1 2025. It reveals insights that challenge my own conventional trading wisdom and I hope you find these insights as fascinating as I did.

Through examination of over 50 strategies across multiple instruments and time-frames, I’ve discovered clear patterns in market behavior. Key findings include optimal trading windows, strategy clustering effects, and several negatively correlated strategy pairs that can be traded together for optimal performance. You’ll also find a chart with key performance statistics including recommended starting account value for each strategy and Q4 returns.

• Executive Summary

  • Analysis covers Q4 2024 and early Q1 2025 performance

  • Reveals unexpected risk-return relationships

  • Identifies clear temporal and regime-based patterns

  • Provides specific strategy recommendations for January 2025

• Key Findings

  • Risk-Return Relationships

  • Temporal Patterns

  • Market Regimes

  • Notable Events

    • FOMC meeting (December 18, 2024): $101,932 profit

    • Q3 Earnings Season (October 14, 2024): $78,031 profit

    • Black Friday (November 29, 2024): $30,168 profit

• Q1 2025 Validation

  • Portfolio Optimization Framework

  • Which strategies to trade next week — January 19-24, 2025

  • Future Directions

Let’s get into it…

The Risk-Return Paradigm: Challenging Traditional Assumptions

Based on the data from Q4 Forward Test, the relationship between Maximum Adverse Excursion (MAE) and profitability reveals some surprising patterns that challenge conventional wisdom: