The Mudder Report 2.0: 8/28/22 - 9/3/22

Real-time simulated testing for 23 of our best strategies

We are in a constant state of iteration, testing and refining and this is the third publication of the new and revised Mudder Report. The goal is to have a weekly report that can be used to monitor the simulated live results of our best strategies. I then hope to use this list to select the best strategy for live testing starting in January 2023.

Like the original Mudder Report, we’re hoping to gain better insight into how each strategy performs in real-time and on a weekly basis. Once we establish a baseline for those strategies that perform like the backtest, we’ll restart some of the tests we started with the original Mudder Report, i.e., looking for weekly trends.

First Pass

The chart below was our first pass at providing real-time results. In other words, these are actual results from a live, simulated account. Like the original Mudder Report, it focuses on one week of data, but that data is from trades made in real-time, not on a backtest engine. This is as close as we can get to knowing if our strategies are viable without running them live with real dollars, which should greatly improve the credibility of the backtest.

The chart below is from last week, but let’s talk about what it’s telling us.

for links to all strategies click here

• The chart date is highlighted in yellow. It starts on 8/21 and ends on 8/26. This week’s Mudder Report will start on 8/28 and end on 9/2. Next week’s Mudder Report will start on 9/4 and end on 9/9. Each Mudder Report will show a week of real-time data.

• We started this process by looking at Strategy 49 in the Mudder Report from two weeks ago. It was determined that as long as we backtest on high-resolution at the tick-level, the backtest is the same as the simulated live test. We’ve found the same to be true for other strategies as well.

• Last week we added Strategies 11, 14, 15 and 32. All strategies except for Strategy 14 were the same as the backtest. That is, only Strategy 14 had different results in the simulated live test than in the backtest, which is why it’s marked in red. These are much better results than we had with our first real-time test back in March. I believe the bulk of the improvement can be attributed to the switch from Range to minute-based data series.

While this is only one week of real-time data, it helps to confirm that Strategies 11, 15, 32 and 49 perform like the backtest, which gives the backtest for these strategies greater credibility. So, let’s take a look at how these strategies performed in the annual backtest from July 2021 to July 2022 in the chart below.

for links to all strategies click here

Based on net profit and profit factor, Strategies 11, 15, 32 and 49 look to be the most profitable based on backtest results.

This week we added 17 more strategies to the real-time simulated test and this is a chart of their performance: