The Mudder Report: Weekly Update 01/16/2022 - 01/21/2022 (NT8 Week 4)
Based on our new favorite theory, our selection process made $66K last week. In total, we’ve made $59K.
Risk Disclaimer: There is no guarantee that our 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.
This is the 10th post in a weekly series dedicated to tracking our automated strategies at the weekly level. You can read the first post here. You can also click here for links to all weekly reports. The original post provides an overview of our approach and why we’re doing this. It also provides an explanation of the reporting structure as well as why we decided to give it the name: The Mudder Report.
Just like our annual backtest updates that happen every two months (click here for the January update), we’re looking for consistency, but at a more granular level. The goal of the series is two fold:
to compare weekly stats against annual stats
to develop a rubric/framework for a strategy selection process
The latter is based on the premise that the holy grail of automated trade strategy may not be static, but more fluid like a chameleon or rather made up of multiple strategies. We are currently testing several theories concurrently to see which one performs better over time.
Weekly update analysis
At the end of 2021 we looked at the first 8 weeks of the Mudder Report’s weekly analysis. The observations that came from that analysis can be read in the post: Mudder Report Analysis. The most salient observation made was that our original selection criteria was flawed for the following reasons:
the positive trend appears to start with an unprofitable week or a low in profit factor
the best week to start a strategy might be after a profit factor low rather than a high
We also determined that the selection criteria was not one size fits all and that our new selection process could be based on any one, or all, of the following:
trends in net income from the previous week
the strength of the trend as measured by profit factor
the individual profile of the strategy
weekly historical comps
certain economic announcements from central banks
Last week, we ruled out weekly historical comps. In other words, looking at strategies based solely on how all strategies performed in the same week a year ago, was not a profitable strategy. And, instead of coming up with reasons to prioritize one theory over another, we decided to run tests on all other theories concurrently. These were the tests:
Test 1: There are a large number of economic announcements last week (NT8 Week 4), which suggests it was going to be a ‘more profitable’ week. Test: Compare total net profit of the total portfolio for NT8 Week 3 vs total net profit of the portfolio for NT8 Week 4.
Test 2: We’re going to run all strategies that were negative last week with a low profit factor. Test: Run Strategies 1, 3, 9, 10 (GC), 12, 13, 14, 23, 30, 32, 37, 38, 39, 41a (G), 41a (H).
Test 3: We’re going to run all strategies with one positive week last week. Test: Run Strategies 2, 7, 8, 16, 17, 20, 41, 41a, 41a (D), 41a (E), 41a (F).
Test 4: We’re going to run all strategies with at least 2 weeks of positive trending weeks and a high profit factor last week. This was our original selection criteria. Test: Run Strategies 10, 15, 31 & 40
Test 5: We’re going to run Strategies 10 and 40 for their individual performance as explained above. Test: Run Strategies 10 and 40
We ran all five tests, and this is how they performed: