ATS stands for Automated Trading Systems. What are they? ATS implies the use of computers for entering trading orders including all details such as size, price, exit, target... They use algorithms which seems to take advantage of a certain aspect of the financial markets.
Some of the systems have been very seriously tested and somehow have fundamental sense. Most of them are just for private operators to buy. It doesn´t make sense that someone buys an ATS: if it´s profitable, nobody sells it.
This kind of trading usually involved the calculation of parameters. This calculation is made using computers to get the most consistent results. When you buy an ATS, often it´s overoptimized, so the history presents a very nice capital gain curve, but, what about the future? This explains why just when you enter in an ATS, the system starts to fail. It´s not bad luck, it´s the way they have built it.