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Wednesday, May 17, 2023

Automated Trading Strategies: Q1 2023 Portfolio Update

The current backtested portfolio made $5.2m from April 2022 to April 2023. The portfolio made $219/trade on 24K trades (94 trades/day), had a max drawdown of $1.3m and profit factor of 1.48.

In case you didn’t know, we’re on the hunt for the holy grail of automated trade strategy. I define the holy grail of trade strategy as having the following attributes:

  • Profit factor (gross profit/gross loss) greater than 3
  • Annual max drawdown less than 3%
  • Annual return greater than 500%
  • Maximum daily low of -$1,000
  • Avg Daily profit greater than $1,000
  • Less than 5,000 trades annually
  • Greater than 253 trades annually

Every few months I like to look at how our top automated trading strategies are performing and update you on key findings, highlights, takeaways and what’s in the pipeline. I’ll be transitioning to quarterly updates going forward. This is the Q1 2023 update.