Aeromir Futures Forums

I've been analyzing Goldilocks performance and noticed that days with multiple consecutive losses were significantly impacting overall drawdowns. After extensive research and backtesting, I've added two new risk management controls to help address this:

New Controls:

• Max Trades Per Day - Limits total number of trades taken in a single session
• Max Losing Trades Per Day - Stops trading after reaching a specified number of losing trades

The Rationale:
Mean reversion strategies like Goldilocks can struggle during strong directional moves or market reversals. A perfect example happened this past Friday during the CPI report - the market loved the numbers and MGC shot higher while Goldilocks was attempting a short entry on a pullback. In these conditions, the mean reversion premise breaks down because the market isn't reverting - it's trending hard.

Without loss limits, the strategy keeps taking trades based on its pullback logic, potentially racking up multiple full losses in a single session. By limiting the number of losing trades per day, we can step aside when the market clearly isn't cooperating with our strategy's assumptions.

Backtesting Results:
The Max Losing Trades Per Day control showed impressive results:

• Drawdown Reduction: 26% decrease
• Profit Impact: 10% reduction in overall profit
• Risk/Reward: The significant drawdown reduction makes this a favorable trade-off

The goal was specifically to eliminate (or greatly reduce) those brutal three-loss days that can really set you back. The new controls effectively prevent the strategy from "fighting the market" on bad days.

What's Changed:
I've regenerated all the backtest data using these new settings, and the updated version of Goldilocks is now available for download at futures.aeromir.com/downloads.

If you're currently running Goldilocks, download the latest version and review the new settings to see if they fit your risk tolerance. As always, I'm happy to answer any questions about the changes or the testing methodology.