Strategy Links & Most Recent Performance Chart

An updated list of links to all strategies

There is no guarantee that these strategies will have the same performance in the future. Some may perform worse and some may perform better. We use backtests to compare historical strategy performance, but 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. We recommend using our strategies in simulated trading until you/we find the holy grail of trade strategy.

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The following strategies are backtested on 1 E-Mini NASDAQ 100 (NQ) futures contract unless otherwise noted in Column 2. Strategy 45 and 48 variations are based on 1 to 5 contracts. Strategy 46 is based on a 5 year backtest rather than a 1 year backtest like all other strategies.

All strategies are automated and available for download in Ninjatrader 8 (C#). To read the most recent update, click here. All strategies marked in yellow have been optimized.

Scroll to the bottom for column definitions.

Strategy Links

Automated Trading Strategies: Strategy #1 (unlocked)

Automated Trading Strategies: Strategy #2

Automated Trading Strategies: Strategy #3

Automated Trading Strategies: Strategy #4

Automated Trading Strategies: Strategy #5 (unlocked)

Automated Trading Strategies: Strategy #6

Automated Trading Strategies: Strategy #7

Automated Trading Strategies: Strategy #8

Automated Trading Strategies: Strategy #9

Automated Trading Strategies: Strategy #10

Automated Trading Strategies: Strategy #11

Automated Trading Strategies: Strategy #12

Automated Trading Strategies: Strategy #13

Automated Trading Strategies: Strategy #14

Automated Trading Strategies: Strategy #15

Automated Trading Strategies: Strategy #16 - 22

Automated Trading Strategies: Strategy #23

Automated Trading Strategies: Strategy #24

Automated Trading Strategies: Strategy #25

Automated Trading Strategies: Strategy #26

Automated Trading Strategies: Strategy #27 (unpublished)*

Automated Trading Strategies: Strategy #28

Automated Trading Strategies: Strategy #29

Automated Trading Strategies: Strategy #30

Automated Trading Strategies: Strategy #30 (Public version)

Automated Trading Strategies: Strategy #31

Automated Trading Strategies: Strategy #31 (Public version)

Automated Trading Strategies: Strategy #32

Automated Trading Strategies: Strategy #32 (Public version)

Automated Trading Strategies: Strategy #33

Automated Trading Strategies: Strategy #33 (Public version)

Automated Trading Strategies: Strategy #34

Automated Trading Strategies: Strategy #34 (Public version)

Automated Trading Strategies: Strategy #35

Automated Trading Strategies: Strategy #35 (Public version)

Automated Trading Strategies: Strategy #36

Automated Trading Strategies: Strategy #37

Automated Trading Strategies: Strategy #38

Automated Trading Strategies: Strategy #39

Automated Trading Strategies: Strategy #40

Automated Trading Strategies: Strategy #41 and 41a

Automated Trading Strategies: Strategy #42

Automated Trading Strategies: Strategy #43

Automated Trading Strategies: Strategy #44

Automated Trading Strategies: Strategy #45

Automated Trading Strategies: Strategy #46

Automated Trading Strategies: Strategy #47

Automated Trading Strategies: Strategy #48

*We will not be publishing Strategy 27. The preliminary live test we performed was not consistent with backtest results.

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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 on max drawdown greater than 500%

• Maximum cumulative daily low of -$1,000

• Avg Daily profit greater than $1,000

• Less than 5,000 trades annually

• More than 253 trades annually

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

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*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

• Backtest Risk Score - The backtest risk score is a score we give each strategy as an assessment of backtest risk. Backtest risk is a function of negative slippage. Slippage is any deviation from the backtest results. Ideally, we want a backtest score of 1, but certain factors like volatility, net income per trade and the amount of time the trade stays in the market can increase the score. Strategies with a high backtest score may need additional help to work in live simulated trading. For example, adding a limit order or increasing the frequency on the data series can help.

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  There is no guarantee that these strategies will have the same performance in the future. Some may perform worse and some may perform better. We use backtests to compare historical strategy performance. Backtests are based on historical data, not live data. 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. We recommend using our strategies in simulated trading until you/we find the holy grail of trade strategy.