Automated Trading Strategies: November Update

In The Last 12 months Our Strategies Have Made Over $2.7M Based on Backtest Results

We all want to believe there’s a way to measure the forward strength of a model, but as we’ve explained before, market data is not random. It is based on auction mechanics. So, the same tools we use to validate and test the quality of data in a random data set can’t always be applied to the market. This is why we say ‘don’t use the simulated data feed within Ninjatrader’. It’s a random, internally generated market and has no correlation to real market data. So what can you do? The best you can do is make predictions about the future based on strategy performance and then track that performance, as well as the rationale for your predictions, over time.

2022 Could Be One Of The Most Volatile Years In Recent History

Calm Before A Storm, Henry Moore, 1883

Last week we published the results from a backtest of all strategies on the E-Mini Russell 2000 (RTY). We then compared those results with the E-Mini NASDAQ 100 (NQ) backtest. There were some interesting observations that you can read more about here.

In that post we talked about the impact of volatility on trading profits. We also reviewed the definition of volatility:

“A measure of dispersion around the mean.”

…and, discussed what our next steps were in the process: namely to compare our backtest results with other assets. In particular, those assets that may be more volatile than indices, like commodities.