Strategy Links

Our goal is to find the holy grail of automated trading strategies. We’ve defined the holy grail of trade strategy to be the following (based on annual performance):

Profit factor greater than 3
Annual drawdown less than 3%
Annual return greater than 500%
Minimum daily net profit of -$1,000
Avg Daily profit greater than $1,000
Less than 5,000 trades annually
Greater than 500 trades annually

We have yet to find this elusive automated trade strategy, but we’re on the hunt!

*Column Definitions:

Strategy - The name of the strategy.
Trades - The number of trades used in the backtest to analyze performance. Our goal is ~1,000 trades for comparison.
Start date- The beginning date of the backtest.
End date - The ending date of the backtest.
# of days - The number of days in the strategy.
Drawdown - This refers to the maximum drawdown statistic, which provides you with information regarding the biggest decrease (drawdown) in account size experienced by the strategy. Drawdown is often used as an indicator of risk.
Drawdown = single largest Drawdown
As an example, your account rises from $25,000 to $50,000. It then subsequently drops to $40,000 but rises again to $60,000. The drawdown in this case would be $10,000 or -20%. Take note that drawdown does not necessarily have to correspond with a loss in your original account principal.
Return on Max Drawdown - We’ve added a dollar value for max drawdown along with a measure of return (return on max drawdown), which is calculated by dividing net profit by the max drawdown. In this way, max drawdown is considered the max capital investment. You can use the dollar value of max drawdown as a proxy for how much capital you need to trade the strategy. And, the higher the return on max drawdown, the better the strategy is in terms of risk/reward.
Percent Profitable - This is a metric that shows the number of winning trades divided by the number total trades.
Profit - The net profit made on the strategy for the backtest.
#trades per day - The average number of trades made per day using the strategy.
Profit / Day - The average profit made per day.
Profit / Trade - The average profit made per trade.
Lowest daily new profit - The worst performing day of the strategy in the backtest.
Highest daily net profit - The best performing day of the strategy in the backtest.
Profit Factor - Gross Profit divided by Gross Loss

Strategy Links

An updated list of links to all strategies

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