A Top Short Selling Algorithm for Nasdaq Futures

Keeping track of over 300 algorithms requires good software tools. I am able to open about 27 workspaces in Tradestation with multiple charts in each and see how the strategies are performing over the last 7 months. A 7 month window is not always very insightful so we need a tool that can efficiently give us the most updated analytics on all strategies going back 7-10 years.

Portfolio Metrics is the web app that I have developed and have almost half my strategies listed in this new tool going back to 1/1/2017. As I went over the strategies this weekend and at the end of January, the most important questions were:

1.) Which strategies are working best?

2.) Which strategies should we be trading?

3.) How do we integrate these into the portfolio?

The top strategy that we are not trading is the NQ SR Breakout. We go over the performance in the video and show the signals in Tradestation as well as NinjaTrader along with the historical performance in Portfolio Metrics and NinjaTrader.

In the last 7 months, this strategy has done better on the short side than it has done on the long side.

We answer questions 2 and 3 next. This is a strategy that we want to trade but adding a strategy to a portfolio has to be done with caution. You don't want to make too many changes too quickly so that you switch from a strategy that is in a drawdown to one that is at an equity peak, right before the new strategy goes through a drawdown cycle and the existing strategy bounces back.

We will look for a way to integrate the SR Breakout strategy into the portfolios as we move through the month so that it would effectively help us reduce risk instead of increase risk.