SUMMARY
This article presents a detailed comparative analysis of the top 10 futures trading strategies over the past 12 months. Our findings reveal a mix of both day and swing trading strategies that have demonstrated impressive results. Notably, strategies based on 5-minute bars have consistently outperformed those set on higher timeframes.
Key Observations:
Strategies utilizing 5-minute bars have maintained steady returns over the last year, despite incurring higher commissions due to an increased number of trades
Long-short strategies have outshined long-only strategies, particularly in light of the NQ's sideways correction in the past four months
While swing trading strategies have yielded robust results, some of them tend to experience more significant drawdowns
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Below, we delve into the most effective trading strategies, encompassing both day and swing systems, over the past year. In a market characterized by several regime shifts during this period, understanding the performance of various strategies is key to identifying current market efficacy.
Prior to exploring the comparative results, it is crucial to outline the parameters of our analysis. Each strategy's backtest includes a $1.5 commission per contract and accounts for 4 ticks of slippage, ensuring a realistic and practical evaluation of each strategy's performance under real-world trading conditions.
Jupiter, 5min
System: Day trading, long-short
Total Net Profit: $82.7K
Max Drawdown: $8.7K
Win Rate: 50%
Mercury, 5min
System: Day trading, long-short
Total Net Profit: $79K
Max Drawdown: $11.4K
Win Rate: 35%
Rigel, 45min
System: Swing trading, long-short
Total Net Profit: $75.8K
Max Drawdown: $33.6K
Win Rate: 56%
Altair, 5min
System: Day trading, long-short
Total Net Profit: $74.7K
Max Drawdown: $11K
Win Rate: 37%
Sagitta, 2hr
System: Swing trading, long-only
Total Net Profit: $73.7K
Max Drawdown: $7.9K
Win Rate: 53%
Taurus, 3min
System: Day-swing trading, long-only
Total Net Profit: $71.2K
Max Drawdown: $15.1K
Win Rate: 43%
Neptune, 15min
System: Swing trading, long-short
Total Net Profit: $67K
Max Drawdown: $9.7K
Win Rate: 33%
Saturn, 2hr
System: Swing trading, long-short
Total Net Profit: $62.5K
Max Drawdown: $31.7K
Win Rate: 45%
Jupiter, 30min
System: Day trading, long-short
Total Net Profit: $60.9K
Max Drawdown: $11.4K
Win Rate: 39%
Mercury, 1hr
System: Day trading, long-short
Total Net Profit: $45.6K
Max Drawdown: $10.7K
Win Rate: 47%
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