The Last Mudder Report of 2024
Strategy 83 has been outflanked. In total, the portfolio made $188K in Q4.
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 me (Celan) directly at AutomatedTradingStrategies@protonmail.com.
Let’s get into it…
The 2024 Q4 Forward Test Portfolio
The results of the Q4 2024 Forward Tests are in!
The Q4 Forward Test tracked ~60 strategy variations built from ~20 core strategies. It was started on September 19, 2024 and ended December 19, 2024.
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. In general, the more profitable variations you can run of a strategy, the more robust it is.
I want to clarify what these results are. These are not backtests. They are run on live (Ninjatrader data) using NT8’s simulated accounts. Over 90% of the strategies in the forward test are run on 15 minute (or higher) charts, which means forward tests results are more reliable. This does not mean that the strategy’s performance is likely to continue into the future; that is entirely dependent on the market, but it does increase our odds.
Click here for a list of all strategies. Note: not all strategies have been forward tested.
Before getting into the details, I want to provide an update on several sub-portfolios I started tracking from The Last Mudder Report of 2023.
Portfolio 3: top performing strategies (from 2023 forward test). These are the top performing strategies from the 2023 forward test.
There are only three strategies from this list that are also in the Q4 Forward Test: Strategies 44, 4 and AIStrategy6.
Strategy 44 suffers from mixed results. I ran four versions of the strategy in Q4, but only one version of the strategy did well. And it did, very well.
Strategy 4 also did well, but I only ran one version of it on HG. I will be running both the high performing Strategy 44 variation and Strategy 4 on HG in the Q1 2025 Portfolio. Subscribers can access the Q4 2024 Portfolio and the Q1 2025 Portfolio by clicking on the link at the bottom of this post.
Portfolio 4: worst performing strategies after being flipped. Unfortunately, the only strategy that was flipped in the Q4 portfolio was Strategy 40_rev. I ran five different variations of this strategy and the only one that did well was run on MNQ, not NQ.
Portfolio 5: AI Generated strategy variations. In total, there are 9 AI generated strategies in the Q4 portfolio. These strategies all start with “AI” on the spreadsheet. AIStrategies 6 & 9 both did well in Q3, but they had only a long leg, so I created a variation that added a short leg to both strategies and ran that in Q4. As you will see, only the long and short version of the strategy did well. AI Strategy 1 also performed poorly. I will not be running any AI generated strategies in the forward test, however, I will be adding Strategy 90 to the Q1 incubator.
Portfolio 6: HWR strategies or scalping strategies. The only HWR strategies in the portfolio are variations on Strategy 44 as described above. This particular strategy (44b) came in 6th place overall, up $16K on 175 trades over the quarter.
Now let’s dive into the performance of the Q4 Forward test.
I think the best way to analyze the Q4 portfolio is by scenario. The first scenario is the total portfolio. In total, the portfolio made $188K in Q4, with a profit factor of 1.32 on 1765 trades. Strategy 83 was in the lead for most of the quarter, but then got outflanked by Strategy 15 in the final stretch.
Scenario 2 is the same as Scenario 1, but it does not include the new variations that were added in Q4. In total, Scenario 2 made less profit, but had a slightly higher profit factor.
Scenario 3 is also Scenario 1, but does not include Strategy 32, which performed poorly across the board this quarter. It also performed poorly in 2023, so I’m not sure why it’s in the forward test at all, but I think it’s safe to say that Strategy 32 will be officially sent out to pasture. In total, Scenario 3 made $100K more profit and had a higher profit factor.
Scenario 4 is Scenario 2 (no new variations) and Scenario 3 (no Strategy 32). This scenario did not make as much as Scenario 3 in net profit, but had the highest profit factor.
Here’s a quick overview of each scenario:
Scroll to the bottom for a link to the full Q4 Forward Test, which includes this chart as well as a comparison against Q3.
For Q1 of 2025, I want to focus on those strategies that performed well in Q3 and Q4. I’ll be giving more weight in position sizing to those strategies with the highest profit factor. The first draft of the Q1 2025 Forward Test consists of 7 strategies and 19 variations. All strategies are run on a 30 minute chart or higher. The instruments run in the portfolio are: ES, NQ, HG, MNQ, ZB, YM, and RTY.
Key Takeaway
The biggest difference between 2023 and 2024 is that we are tracking the performance of each variation rather than only the strategy. This allows for more granular decision making about which variations to select for the next round. In Q1 2025 we’ll have chance to really see if this methodology for creating a viable portfolio works or not. Very excited!
What’s Coming In 2025
I haven’t made this announcement yet, but I’ll be removing all strategies in the Q1 2025 portfolio from the subscription. These are our best strategies and I’d like to limit distribution. To be clear, as of January 30th, 2025 the strategies in the Q1 2025 Forward Test will no longer be accessible through this subscription. If you’re a subscriber, that means you need to download all strategies in the Q1 2025 Forward Test before this date. I will provide more details about this transition in January.
What else is coming in 2025?
Based on likes and general feedback, your favorite posts centered around a few subjects, so in 2025 we’re also going to do a deep dive on:
trading psychology hacks
agentic workflows/frameworks for traders
machine learning strategies
funded trader evaluation strategies
hybrids of top performing strategies, ie Strategy 83
high win rate/scalping development
advanced risk management structures
bar frequency optimization
portfolio optimization
If anyone has any insights in these areas, I would love to hear them. Thanks so much for your help.
As always, if you have any questions, please send me an email or leave a comment below.
Cheers! See you in 2025.
