The Mudder Report 3.0: 1/29/23 - 02/03/23 (Week 5)
9 out of 17 strategies in the forward test are in the black; Strategies 44 and 49 are both up over $20K, more lessons learned from the Apex Interim Test...
Important: There is no guarantee that our strategies will have the same performance in the future. We use backtests to compare historical strategy performance. Backtests are based on historical data, not real-time data so the results we share are hypothetical, not real. 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.
As a quick review, the goal of the original Mudder Report was to provide a weekly tracking report of our best strategies (click here for links to all 60+ strategies) based on historical or backtest data.
The goal of the revised Mudder Report is to provide weekly tracking of our best strategies based on real-time trade data. In other words, these are the results of our forward test. The trades are being made on a simulated account, so the results are still hypothetical, but the data driving the simulation is live.
These are the real-time results for the time period January 1, 2023 to February 3, 2023:
Note, the SimAccount is connected to the Strategy #, so SimAccount13 is Strategy 13; SimAccount15 is Strategy 15, and so on.
Last week was a big week, up $31K, and $63K YTD. Strategies 13, 2, 26, 44, 49, 53, 56c, 59 and SimPortfolioBQ12 have all posted gains. As a quick reminder, SimPortfolioBQ12 is a test for a portfolio strategy based on the strategy variations from the master equity futures portfolio with the highest percentage of profitable trades. The strategy behind Portfolio BQ123 was also successful in our Q4 real-time test. Note, all strategies are run on only 1 contract, except SimPortfolioBQ123, which is a series of strategies.
Strategy 29 is performing poorly across instruments so we’ll be removing it from the portfolio going forward.
Apex Interim Forward-test
In addition to tracking the forward-test above, we’re also tracking a few strategies on Apex. In this way, we’re using Apex in a dual capacity; it is both sandbox and potential funding partner. It also provides another way to gain and share trade performance from a different data source. The biggest difference between the Apex test and the real-time test above, is the trailing stop, which makes the Apex test more rigorous/rules based.
If one of the strategies passes the evaluation, we’ll continue to run it through to the live test, however, it will continue to serve as a learning experience for the test in April. In other words, the live test in April will be conducted under a specific framework that will be developed using information gathered with these interim tests.
Where are we this week and what have we learned?
Here’s an overview of where we stand with all strategies in the current interim test. Last week we ran the strategies on the left. This week we’ll be running the strategies on the right: