For my latest ATS update, frankly, I am pretty satisfied. Below were the highlight:
1. It was a 52 weekly back-test for year of 2016. It was long enough that covered all cycles-weekly, monthly, quarterly, and yearly.
2. During the process of selecting of trade strategies, it covered 10 most active major futures contracts, but only three strategies were traded weekly. It meant that it was diversified but it was not trading too many.
3. The average monthlized yield was 17.60% for capital of $200,000. It was excellent in my own view.
4. The performance was consistent that win/loss ratio was 38:14 and the maximum loss were only 2 days in a roll while the maximum win were 6 in a roll. And that the maximum draw-down was -9.06% for $200,000 fund. The initial margin requirement + inter-week draw-down was kept less than $100,000 but capital was kept at $200.000 to lessen leverage and to keep maximum draw-down to more tolerable level.