The Mudder Report: Weekly Update 11/14/2021 - 11/19/2021

In total, our selection process made $4,740 last week.

Risk Disclaimer: 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.

This is the fourth post in a new 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 along with an explanation of the reporting structure.

Just like our annual updates that happen every two months, we’re looking for consistency at a more granular level. The goal of the series is to track strategies on a weekly basis to see if we can discover how to select the holy grail of trade strategy. It is based on the premise that the holy grail of automated trade strategy may not be static magic, but more fluid like a chameleon or rather made up of multiple strategies.

Our goal in developing the Mudder Report is to aid in the development of a few working theories for the holy grail of automated trade strategy, which we believe could be any one or more of the following:

• static

• a moving target (uses multiple strategies)

• made up of multiple contracts using a static strategy

• made up of multiple contracts using multiple strategies

Our goal is not to predict or recommend what to trade in the following week. It’s always fun to try out new strategies on a simulated account, but if you use this weekly update to trade live, you will get burned.

Weekly update analysis

Last week was another rough week for our strategies — 40% had no trades, 30% were unprofitable, and only 30% were profitable. Based on the table below from the 11/7/2021 update, we ran Strategies 4 and 7 last week. Both had been profitable for the prior 3 weeks and had a high profit factor. Strategy 4 had a profit factor of 2.55, while Strategy 7 had a profit factor of 7.40. The trend was either going to continue or take an abrupt turn.

What happened?

Strategy 4 and 7 continued to trend profitable.

In total, these two ‘top trending strategies’ made $4,740 last week, down from $7,895 in the prior week. We only ran two strategies last week, not four like the two prior weeks. Why? Because there were only two strategies that fit the profile:

• 2+ weeks of profitability

• High profit factor

• 2+ trades for the week

We already know that making weekly selections based on these factors doesn’t always work. In the 11/7/2021 - 11/12/2021 Mudder Report, Strategies 6 and 8 both had bad weeks. We were only able to make a profit because of Strategies 4 and 7, which also fit the profile.

We started this series in the week beginning 10/24/2021. So far we’ve been profitable every week based on the selection process outlined above. Here’s a quick overview of where we are so far:

What this shows us, at least for now, is that the holy grail of trade strategy could be a moving target that toggles back and forth between several trending strategies.

So which strategies should we select next week?

The table below provides an updated weekly chart for 11/14/2021 - 11/19/2021 and an overview of our actions for next week.