I'm using Strategy Quant X which tested 1.234 million strategies yesterday across 7 years of ES data!
Only 169 were accepted by meeting my filters.
Of the 169, 30 passed the cross checks of monte carlo and walk forward Optimization.
Of the 30, two stood out and I ended up selecting one to move to coding in NinjaTrader and forward testing.
These are the strategy quant results
This is the strategy compared to SPY for the same period. Notice I used two in-sample periods, two in sample validation periods and two out of sample periods to test
These are the Strategy Quant trade analysis details
AI helped me translate the code from Strategy Quant X to NinjaScript. The conversation took some work but the NinjaTrader results are excellent. For the same 7-year period,
On a whim, I loaded the same 7-year period with NQ and the results we just as good:
I had claude combine the two strategies into a portfolio and the results are fantastic
At this point, the hard work is done finding and testing the strategy. I have the strategy running on a Bulenox and APEX account to test it to see if the live market results are similar to the back tests. I anticipate 2 or 3 weeks to get 10-15 trades to move to BETA where you'll be invited to try it out.
I think this is a good one.
Strategy Quant X was quite brutal filtering out strategies. My Monte Carlo page confirmed that the strategy has an edge:
I'll keep you updated on how the ALPHA test is going.