A bit of context for those who are new. As part of the service we offer, each week we upload a new algorithm or bot, as you may call it, with optimized values according to historical behavior and the most recent real-life trading behavior. We will make minor adjustments and publish the new version on Sunday, which members should use.
In this analysis, we explore the performance of various trading strategies (strats) applied to the ES and NQ instruments, covering versions V9 through V16.
Below, we present the results obtained over the past 8 weeks and the last 30 days, along with new additions aimed at enhancing our strategies.
Walk Forward Optimization: Enhancing Trading Strategy Performance
Walk Forward Optimization (WFO) is a method used to optimize trading strategies by validating their performance over different time periods. This technique helps in assessing the robustness and adaptability of a trading strategy in varying market conditions.
This iterative process ensures that the strategy is not overfitted to a specific time period and can adapt to changing market conditions.
Application of Walk Forward Optimization to The Strats
By incorporating Walk Forward Optimization into our strategy development and analysis process, we can enhance the reliability and performance of our trading strategies, as demonstrated in the comprehensive approach outlined in this article.
Evaluating ES and NQ Strategies:
- The performance analysis of ES and NQ strategies over the last 8 weeks and the last 30 days can benefit from WFO by ensuring that the chosen parameters are robust and not overfitted to past data.
- By applying WFO, we can repeatedly optimize and test the strategies over different periods, validating their performance and ensuring they remain effective in various market conditions.
ES Strategy
Last 8 weeks (June 3 - July 26):
- Top-performing strategies: Versions 16 and 15.
- Most stable strategy: Version 15, showing consistent gains.
Performance Dashboard
Last 30 days:
- Winning strategies: Versions 16 and 15.
- Negative performance: Versions 14, 10, 12, and others, showing losses.
These results highlight the importance of maintaining a winning strategy over the long term and avoiding overfitting, which excessively adjusts parameters based on past data to show better results.
Performance Dashboard
NQ Strategy
Last 8 weeks:
- Winning strategies: Versions 10, 11, 9, 16, and 15.
- Worst-performing strategies: Versions 14, 13, and 12.
Performance Dashboard
Last 30 days:
- Winning strategies: Versions 11, 9, and 10.
- Poor performance: Versions 15 and 16.
Performance Dashboard
New Strategy Developments
Inclusion of London ES Version 17:
Although we did not include the London version for ES due to time constraints, the parameters of version 17 incorporate the same detailed analysis.
New YM Strategy:
YM (Dow Jones Futures): This new strategy allows for risk diversification across various instruments that are not 100% correlated. The YM, although related to NX and ES, presents more stable market trends, similar to a less volatile version of the NASDAQ, making trading easier.
MBT Strategy:
MicroBitcoins Futures (MBT): Offers a profile that is less correlated with the traditional market, making it ideal for diversifying risk and achieving better results. Despite our strategy working in both short and long positions for all instruments, diversification is key.
Upcoming Gold Strategy:
Gold Futures: We will be adding a new strategy for Gold futures, further expanding our portfolio and offering another avenue for diversification.
Future Development
Options Bot for SPY and QQQ: We are working on an options bot for these indices, which will provide more tools for our analysis and trading strategies.
Invitation
I invite you to visit the Performance Dashboard, where you can view the latest tab and draw your own conclusions. For Premium members of the server, I will be publishing a repository with the strategies in the coming days. This will help both in individual and collective analysis, providing a more statistical method.
In the Discord server, you will find an exclusive channel for paid members where the strategy parameters will be available. This additional tool will allow you to deepen your analysis and optimization of your own trading strategies.
This comprehensive approach aims to continuously improve our trading strategies, adapting to changing market conditions and ensuring solid and diversified performance.