Automated Trading Strategies: 2024 Backtest Portfolio

10 min readDec 31, 2023

The 2024 ATS backtested portfolio made $3.5m in 2023 and has a profit factor of 2.10 on 6k trades. That’s 23 trades per day or $577 per trade.

Important: There is no guarantee that these strategies will have the same performance in the future. I 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. I recommend using these strategies in simulated trading until you/we find the holy grail of trade strategy.

We’re on the hunt for the holy grail of automated trade strategy. We’ve been on the hunt for almost three years now and it feels like something is starting to happen, insights have emerged — what we are hunting for is finally starting to take shape.

There are over 75 strategies on ATS. Each one provides a technique or a tactic for a market set up that can be (and has been) automated.

There are many different types of strategies. Some include a risk management plan; some only make long trades; some should only be traded with metal futures; while others should only be traded with equities. We’ve got scalping strategies, high win rate strategies, gap strategies, momentum strategies and even AI generated strategies.

Every few months I like to climb the highest tree in search of a broader view of the HUNT. In particular, I like to review:

where we’ve came from,
where we are now; and,
where we’re going from here.

The goal of this review is to update you on any progress made since the last update. You can view past updates below:

We accomplished a lot in Q4 of 2023. ATS introduced the following strategies:

Each strategy has its own universe of variation as well. You can either download the strategy or recreate it based on the steps provided in the strategy description. If you’re new to the hunt, you can try Strategies 1 and 5 for free.

For links to all strategies click here

I also updated the tutorial on setting up your own forward test.

How To Set Up Your Own Forward Test

And took a slight detour away from automated trading to focus on manual trading in the post:

5 Tips For Getting a Funded Account

Where do we go from here…

When we first started, I often asked the question: is the holy grail static or a moving target. It is this question that inspired the first Mudder Report. I’ve come to believe that the answer is both, which is a good thing for our hunt. A static holy grail exists, but generally offers few trades throughout the year — I’ve seen this animal. A “truer” static holy grail would make 1 to 2 trades a day — that beast I have never laid eyes on.

A moving target is a much easier hunt; you can use a portfolio of automated trading strategies that only make rare trades or you can use a strategy that is currently outperforming others. The question is, how do you know when it’s outperforming? That’s where the forward test and your PM skills come into play. The process is: Create Backtest, Run Simulated-Live Forward test, Run Live Test.

Let’s work backwards…

Framework For Strategy Selection In The Live Test

As I’ve said in the past, I’ve grown accustomed to playing the fool so why not have a live test? I still have many questions, but after running some of our strategies on live data for a year, I think we’re ready for the next step. I’m not talking about a simulated-live test or a test using a funded trading account (highly restrictive) — I’m referring to a true live test on a $10K account. The test starts on January 21 (instead of the 14th as previously stated) to avoid any issues with the holiday. I will update all subscribers with test performance on a weekly basis.

How will I select the strategies to use for the live test?

In a nutshell, I’m using the backtest to create the forward test and the forward test to select strategies for the live test. I will select the strategy based on past and current ATS Forward Test performance. ATS Research will help with validation.

For the full year results of the 2023 ATS Forward test, please see this Mudder Report. It provides an overview of performance, start date and trade count for each strategy in the forward test. Certain strategies stood out last year and I’m going to take this into consideration when selecting strategies to trade in the live test. I’m also going to use the results of the current forward test, which is based on the most recent backtest.

How did I create the most recent backtest?

I looked at which strategies I thought might perform well in the forward test as a portfolio of strategies. To be clear, the backtest does NOT include all strategies. The strategies in the backtest were chosen for various reasons and in various ways. Just because a strategy is not on the backtest does not mean it is unprofitable.

Why don’t I use the backtest to select strategies for the live test?

Unfortunately, not all strategies perform the same as the backtest. I actually compared backtest results to the full year forward test results for the best performing strategy for 2023 and the difference was around 12%, which is due to a minor difference in the number of days traded and an allowance for slippage.

So the backtest is used as a first step. I’ll use the strategies that make it to the backtest to create a forward test, and then I’ll monitor the forward test to see which strategies to trade in the live test.

Where can I find the Q1 2024 backtest?

The current Q1 2024 Backtest is based on optimizations from December 2022 to December 2023. Subscribers of the ATS Newsletter, scroll to the bottom of this page or the Strategy Links page to view the full version, which includes the instrument and data series to use along with any updated parameter notes.

What’s happening to the portfolio?

Last quarter the backtest portfolio made ~$2.5 million, had a profit factor of 2.19 and a return on minimum starting value of 421%. Minimum starting value is calculated by adding 25% (as a cushion of protection) to the maximum draw-down. By comparison, the Q1 2024 Backtest portfolio made ~$3.5 million, has a profit factor of 2.10 and a return on minimum starting value of 466%. In total, this backtested portfolio made:

~6k trades (~23 trades per day and ~$577 per trade); compared to
~9k trades (~34 trades per day and ~$290 per trade) in Q3 of 2023;
~8k trades (~32 trades per day and ~$257 per trade) in Q2 of 2023; and,
~24k trades (~94 trades per day and ~$219 per trade) in Q1 of 2023.

We’re getting leaner and more efficient.

In the way of Renaissance Technologies, we’re streamlining. The question has changed from why does something work to what works. It took some time to gather enough data to make the transition, but I think we’re there.

For links to all strategies click here

Celan’s 2024 Predictions: A quick word on the economy

Here’s a look at how I see the current trend continuing into 2024 technically. NQ could be at 18000 by the end of January. Then what? We’ll either have another breakout or some sideways action like we saw in the July to October time-frame of this year, which will play out as a correction to general market participants.

As I predicted last year, the business community is still begging for lower rates, and the Fed is still unrelenting. The only difference is that now there are even more wide-eyed analysts out there pushing the apocryphal belief that the Fed will increase rates by year end. And now they’ve been joined by Janet Yellen — Queen Y (there’s a joke in there somewhere). These are the same analysts that said the Fed was going to raise rates last May. As I told you at the end of 2022, it’s not happening. The reality is that we’re in the middle of what will likely be unprecedented rate inaction.

25 years ago, when I was just starting my career, the Fed raised rates to cool off the economy and lowered rates to grow it — lowering rates literally inflates the money supply. If the goal of the rate increase was to lower inflation and cool off the economy, why would the Fed lower rates at the end of what is historically a boon year for the economy and by extension the market? How are they going to square that circle? I’m just an old trader so what do I know.

Either way, election year spending is incoming and there’s a lot at stake. To read more about that see Strategy 73. What will happen when that spending pushes the economy higher? Will the Fed acquiesce and raise the inflation benchmark or figure out another way to recalculate inflation?

Housekeeping, Thank You & Happy New Year

Three quick updates:

Virtual Server Alternative — If you are interested in an alternative way to set up a forward test without the use of a virtual server, you can use a cell phone data failover like the Netgear 4G LTE (use as a failover solution for always-on WiFi Certified). You can use pay for usage data cards to avoid having to pay for a fixed data plan. If the internet goes down, usage goes up, but no usage otherwise. (Thanks again Stuart) If anyone has other ways to save money on live data and/or virtual servers, please let me know.
Time To Update Contracts — It’s that time of year. Contracts expired and we need to update those contracts to the most recent front month. The fastest way to update an embedded data series (in a strategy) to the most recent front month is to: 1) unlock the strategy, 2) do a quick find and replace (ie. find 12–23 and replace with 03–24), 3) recompile. You won’t be able to open the strategy for edit within the Strategy Builder any longer, but you can always re-download.
New Strategies On Deck — We’ve got several interesting strategies coming up. I’m finalizing a scalping strategy for Strategy 78. I’m also working on the most complex strategy I’ve ever worked on, which I usually try to avoid, but I think it’s worth it. ATS Research is also working on a new way to think about running all strategies. Larry’s still working on a prototype, but I’m really looking forward to testing it out — it’s a game changer.
New Backtest Data — I’m waiting on backtest results from Tick Data’s historical data to compare to backtest results above, which use Ninjatrader’s historical data server. Tick Data uses a cleaning algorithm, Ninjatrader does not. I’m looking forward to seeing if there’s a difference between the two. If there is, I’ll forward test the strategies backtested using Tick Data’s historical data to see which one yields the best simulated-live results. I’ll update all subscribers within the month.

As we end another year, I just wanted to take a few moments to say thank you. I am truly grateful for the people I’ve met through this newsletter. Here’s a look at the ATS footprint all over the world.

And in the United States…

You guys are everywhere! What’s going on in my home state of North Carolina?

Your words of encouragement, comments, and advice inspire me daily and I look forward to another great year with you!

I also want to give an official welcome to Larry Kann, the new project manager of ATS Research. In my short time working with Larry, he’s shown a resourcefulness and clarity of mind that I’ve come to value on the hunt. There’s an efficiency to his communication style that is blunt and exhaustive, yet charming — no doubt reflective of his background. He’s also much more knowledgeable about Ninjascript and the art of programming than I am. I’m excited to see what he can do with ATS Research — I hope you are too. I urge you to add his publication to your reading list.

If you have any questions, comments or recommendations, please reach out by responding to this post or emailing at AutomatedTradingStrategies@protonmail.com

For links to all strategies click here

Click here for a list of FAQs.

Contact: AutomatedTradingStrategies@protonmail.com.

Automated Trading Strategies: 2024 Backtest Portfolio

The 2024 ATS backtested portfolio made $3.5m in 2023 and has a profit factor of 2.10 on 6k trades. That’s 23 trades per day or $577 per trade.

Framework For Strategy Selection In The Live Test

Celan’s 2024 Predictions: A quick word on the economy

Housekeeping, Thank You & Happy New Year

Written by Celan Bryant