The Mudder Report: Weekly Update 11/28/2021 - 12/03/2021
Our selection process made $9,060 last week. In total, we’ve made $34,895.
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 6th 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 two fold:
to compare against annual statistics
to develop a rubric 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.
Weekly update analysis
Last week was a good week for our strategies — 14% had no trades, 23% were unprofitable, and 55% were profitable. Keep in mind that we’re only running strategies with more than 300 trades annually for the weekly analysis (22 strategies).
Based on the table below from the 11/21/2021 update, we ran Strategy 7 last week because it was the only strategy that fit the selection criteria:
2+ weeks of positive profitability
High profit factor
2+ trades for the week
We also traded the reverse of Strategy 8 because it had:
2+ weeks of negative profitability
Low profit factor
2+ trades for the week
What happened?
Together, our selection made $9,060 last week.
Where does this leave us?
In total, we’ve made $34,895 based on our selection process. We started this series in the week beginning 10/24/2021. So far we’ve been profitable every week except for Thanksgiving week, which is traditionally a bad week to trade due to low volume/thin markets, but we wanted to see how our selection process played out. Going forward, we will not be trading any strategies on major holiday weeks. Here’s a quick overview of where we are so far:
The table below provides an updated weekly chart for 11/28/2021 - 12/03/2021 and an overview of our actions for next week.