Does a Robot Really Beat the Market?

Dec. 18, 2023

Because I’d love to see any research that was better. That way, we all make more money.

But this person probably saw some graph from internet whatever and blindly believed that over the clear math I presented in my post.

And that’s unfortunate.

Because nobody wins if there’s no evidence.

So, today we’re going to break down one of the robots I may recommend for the new year: the 5M RSI Futures Breakout.

(You can see all the details on that system on my website and by clicking that link.)

Our analysis will consist of the period between 2007-2023. Many people who’ve been trading a long time say that we only need to test Futures going back to 2007. I’m not 100% sure why. I think it has something to do with the switch from the pits to fully electronic trading. Regardless, that’s still 17 years of data, which is quite substantial.

Here’s the precious benchmark, the SPY.

From 1/1/2007 to 12/17/23, the SPY turned a hypothetical $10k into $45k  if you re-invested dividends:

Nice.

But if you didn’t reinvest dividends every time, the picture is less rosy. In this case, $10k only turns into $37k:

Not quite as nice. And there was a 55% drawdown thrown in for good measure.

Now let’s compare that to the 5M RSI E-Mini Robot. For the same period using only 1 lot each time, here’s the Report (with trading costs included):

Hmm. Over the exact same period, the robot hypothetically turned $10k into $62,913. That’s a lot more than the market.

Here’s the Equity Curve from Tradestation:

And here’s the % gain via Portfolio Architect:

The market, IF we reinvested dividends, made 356% over seventeen years, at best.

The robot hypothetically made over 500%.

And if we doubled our contracts every time we doubled our account, we could have hypothetically made a lot more.

Well, there’s the research.

The question is: Does a robot beat the market?

We’ll look at another one in the next Newsletter.

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Disclaimer:
It should not be assumed that the methods, techniques, or indicators presented in these products will be profitable or that they will not result in losses. Past results are not necessarily indicative of future results. Examples presented on these sites are for educational purposes only. These set-ups are not solicitations of any order to buy or sell. The authors, the publisher, and all affiliates assume no responsibility for your trading results. There is a high degree of risk in trading.

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.