HOW TO USE ALGOLAB
Algorithmic trade entry and exit strategies have been developed by optimizing system rules, and parameters on historical data. This does not guarantee that past performance will be as profitable, or will exhibit similar characteristics to real-time trading results. Given enough variables, it is possible to curve fit a system to historical data, and any relationship between those rules and future, unseen data may be random. AlgoLab has taken steps to reduce the number of variables and system rules to reduce the degrees of freedom which will reduce the chance of curve fitting. Current market regimes can and do change, and rules that previously predicted future prices may no longer work.
AlgoLab is Trade Execution Assistant Software
AlgoLab is not an automated trading system (ATS). AlgoLab does not recommend securities for you to buy or sell. AlgoLab will assist you with where (optimal price) and when (optimal time) to enter a long or short position for any or all of 20 different futures markets. You must choose the futures symbol(s) and bias (long and/or short) and quantity of contracts that you want to trade, as well as the algorithmic entry and exit strategy that you want to use.
About the AlgoLab Dashboard
Use the AlgoLab dashboard page to set or change your trading settings like specify a built-in algorithmic trade entry and exit strategy, start and stop trading anytime, specify the symbols and biases (long or short) that you would like to trade, set the number of contracts to trade, and view performance and account balances. You can even manually exit positions using your AlgoLab dashboard. Access AlgoLab dashboard from any html 5 compatible browser on your mobile device, laptop or desktop computer.
From the dashboard page, you can link to the AlgoLab Performance Viewer by selecting the "Performance Viewer" link on the right hand side of your dashboard (desktop browser only). Learn more about the profit and loss characteristics of any AlgoLab trade entry/exit strategy, symbol selections, and leverage setting before you start trading it. The Performance Viewer is a html 5 web application that runs in your browser window. You can view historical backtesting results from 2009 to the most recent update. With APV, you can specify the amount of capital you have to trade with, how much leverage you are willing to use, which symbols you want to trade, biases (long, short or both), and then preview an estimate of returns and drawdowns (hypothetical based on historical backtesting results). Note that a higher leverage setting will usually increase your return, but will also increase your drawdown (losses). You can inspect performance results over different periods of time by changing the back-test date range.
LOG INTO YOUR ALGOLAB DASHBOARD BY ENTERING YOUR EMAIL ADDRESS AND PASSWORD HERE:
How to use AlgoLab
1. Settings for your AlgoLab dashboard can be changed by opening the "Settings" tray on your AlgoLab dashboard web page:
2. Establish a connection between AlgoLab and your Interactive Brokers account by entering your Interactive Brokers account user name and password, then press "Submit". Wait for 2 minutes and the "connection light" at the top of our dashboard should turn green.
3. Specify the number of contracts that you want to trade in the "Leverage" field. The maximum number is set by your AlgoLab subscription level. Use the Performance Viewer backtesting application to preview an estimate of potential returns and drawdowns using different leverage levels for various combinations of symbols.
4. Specify an algorithmic trade entry/exit strategy to use. You can preview the performance of any AlgoLab system by using the Performance Viewer backtesting app. Two model accounts are provided in the "accounts" tray in your dashboard. These 2 model accounts are actual funded trading accounts that trade both of our algorithmic strategies and can also be used as reference.
DifferenceEngine (AlgoLab House Account 1): DE is a trade entry strategy that enters trades when markets break away from consolidated trading ranges. Exits are trailing stops that have been optimized based on recent volatility.
SuperSystem (AlgoLab House Account 2): SS is a trend following trade entry strategy that enters a trade is it is making new highs or lows. Trade exits are trailing stops that have been optimized based on recent volatility.
AlgoLab maintains two funded trading accounts that use the "SuperSystem" and "DifferenceEngine" trade entry/exit strategies. AlgoLabHouse uses the "SuperSystem" strategy, and AlgoLabHouse2 uses the DifferenceEngine strategy. These two trading accounts are set to trade all symbols, both long and short, and are never stopped. They have been trading these settings non-stop without interruption since they started trading many years ago. The dashboards for both of these 'house' accounts are available in the "accounts" tray of your dashboard.
The purpose of these 2 "house" trading accounts are:
To provide our software customers with a real-time, non-hypothetical performance reference for each of our trading strategies.
To provide us with a means to verify that our trade entry and exit systems are continuing to function as they were designed. We do this by comparing performance of our real-time funded trading accounts to our hypothetical models.
There are many reason why your trading account may not exhibit the same performance results as our model house account shown above.
To avoid excessive slippage due to too many orders for the same symbol at the same price at the same time, AlgoLab distributes entry and exit orders for a trade over a period of time and range of prices. This will result in different fill prices between accounts.
AlgoLab uses limit orders to enter new positions. A limit order does not guarantee a position. The result is that some AlgoLab trading accounts are filled on some new positions and some are not.
Through the AlgoLab dashboard, users can change trading settings like adjusting the number of contracts traded for each symbol, turn specific symbols on or off, restrict the bias (long or short) for specific symbols, pause trading, increase or decrease leverage, circumvent trading system rules by manually exiting positions, change trading systems, and other custom settings. Since our model "house accounts" trade all symbols, long and short, never change trading systems, and have never stopped or paused trading, this has resulted in differences between customer trading results and the results published by our model house accounts.
For an estimate of trading performance using different capital levels, leverage, and other trading settings please use the "Performance Viewer" backtesting web application which is available in your free demo dashboard, or your funded account dashboard.
5. Specify the symbol(s) and biases that you want to trade. Turn "long" trades on by selecting the green "UP" arrow. Turn "short" trades on by selecting the red "DOWN" arrow. You can independently specify the leverage used for each symbol by clicking the "+" or "-" buttons beside each symbol (AlgoLab PRO only). "a" means the number of contracts traded will default to your default leverage level. Symbols that are greyed-out are not available for the trading system selected.
6. Specify the days of the week that you would like to restrict trading to. AlgoLab will not transmit trade entry orders for selected symbols on days that are not checked, however, AlgoLab will still continue to manage any positions on un-checked days.
7. When you are ready to start trading, turn trading "on". When trading is "on", AlgoLab will start pulling new trade signals from our server based on the trading system, and symbols that you specified. When a trade signal is triggered, AlgoLab will initiate a position based on the number of contracts (leverage level) that you specified, and then manage the trade based on the trading system that you selected.
When you turn trading "off", AlgoLab will stop pulling new trade signals from our server, but AlgoLab will continue to manage existing positions until their normal exits are triggered.
8. If you want to circumvent the exit strategy specified (trading system selected), you can exit any position by pushing the red "close" button shown beside your position in the "positions" tray. THE MANUAL CLOSE FUNCTION WILL NOT CLOSE A POSITION UNDER THESE 2 CIRCUMSTANCES:
a). The exchange is closed. Please refer to the "?" button in the top right hand corner of the "Positions" tray for exchange open times.
b). If your position is within 25% of the trailing stop distance to the stop price, manual close will not work.
After closing a trade, confirm that the trade close was successful by waiting at least 1 minute and watching your dashboard for an "Alert" message which may indicate that the exchange was either closed, or your position was too close to it's stop.
AlgoLab Circuit Breaker Auto Pause
On Feb 14, 2020 we added an algorithm called "Circuit Breaker Auto Pause" to AlgoLab. You can turn Circuit Breaker "ON", or "OFF" through your dashboard. The default setting for Circuit Breaker Auto Pause is "OFF". If you have Circuit Breaker Auto Pause set to "ON" (GREEN button), then it will automatically pause trading during a drawdown. If you have Circuit Breaker Auto Pause set to "OFF" (RED button) then AlgoLab will continue to place trades.
IMPORTANT!! If you have Circuit Breaker Auto Pause set to "ON", you are relying on Circuit Breaker to pause and unpause your account. If you have CB turned "ON", and if you manually pause, or unpause, Circuit Breaker will override your pause state at the end of each trading day. If you want to use your "Trading is ON / Trading is OFF" button to manually pause and unpause trading, then make sure to turn Circuit Breaker OFF.
If you are currently paused due to Circuit Breaker activation, and you set Circuit Breaker Auto Pause to "OFF", you must unpause your account if you want to resume trading.
Use of Circuit Breaker Auto Pause tends to reduce major drawdowns in historical backtests and results in an approximate 10% reduction in the number of trades. Below is a profit graph generated by a historical backtest from 2014 to Feb 10, 2020 using all symbols available. Note the significant drawdowns in early 2019, early 2015, and Oct 2015.
Below is the same profit graph, but with Circuit Breaker Auto Pause deployed. Note that the drawdowns have been flattened out to some extent. The overall profit is slightly lower with Circuit Breaker, but the reward/risk as measure by the gain/pain ratio is improved. Also, the maximum drawdown is reduced.
Please keep in mind that these results are based on a historical backtest, and there is no guarantee that this performance improvement will continue into the future. However, during periods in the backtest when Circuit Breaker has not been effective in reducing drawdown, it wasn't seriously detrimental to the performance. Circuit Breaker may not protect you from a loss. It is possible that circuit breaker automatically pauses your trading prior to what would have been a profitable day, then automatically unpauses your trading prior to an unprofitable day. If this general "unlucky" trend repeats, then your account will be in drawdown.
Because our model accounts House1 and House2 are provided to you as a reference, Circuit Breaker will NOT be activated for these accounts. Circuit Breaker is currently NOT available for "SuperSystem" trading system. Circuit Breaker will NOT be activated for the daily backtesting run which you can follow in the Performance Viewer.
Overview of The AlgoLab Dashboard
SYSTEM This is your currently selected trading system. Change this in the "Settings" drawer.
RISK This is the number of contracts to trade. Change this in the "settings" drawer.
CAPITAL This field shows original "starting" amount of capital in your interactive Brokers account. Your % return is based on this value.
ACCT VAL The "Account Value" field shows your current account value INCLUDING any open profits or losses and your starting capital. This value comes directly from your account at Interactive Brokers and is always correct.
PROFIT/LOSS This is your total profit or loss since starting trading and does not include your starting capital.
SIDE PANEL ON RIGHT (mot shown here)
PERFORMANCE VIEWER LINK This link will launch the Performance Viewer web application
CHARTS & NEWS This link will navigate to a page showing price charts, and useful links to other web sites.
MARGIN USED This field shows how much margin you have used for all current positions. Futures exchanges require a minimum amount of capital in your account for every contract that you currently own. If the "margin used" amount is above 95% of your account value, AlgoLab will automatically pause placing any new orders for new positions until your "margin used" amount is below 95% of your account value.
OPEN PROFIT This field shows your current open profit, and includes the cost of trading commissions and fees.
PROFIT/WEEK This is your total profit to date divided by the number of weeks since you started your AlgoLab.
LAST UPDATE This is the time of the most recent dashboard page update in Mountain Standard Time (MST). Hit the refresh button on your browser to see the most recent update. Dashboard pages are updated every 1 minute unless you change your AlgoLab settings in which case the update is done immediately after your edit.
ALERT This field shows various status messages from your Interactive Brokers account.
VOLATILITY This number represents the average maximum loss per contract per trade. That is, if a trade were to immediately go against you right from the start, this is the current average maximum loss that you can expect (some symbols more, some symbols less). Normally it is around $500 which is the green area. When volatility is high (yellow or red zone), then both gains and losses are magnified.
ACCOUNTS This index shows the 2 AlgoLab "House Accounts": AlgoLab House 1 which trades the system "SuperSystem", and AlgoLab House 2 which trades the system "DifferenceEngine".
PROFIT GRAPH The graph shows the total accumulated profit (sum) only, and does NOT include your original capital amount. Your account value, therefore, is the final value in the graph plus your starting capital amount.
You can change the date range for the chart by clicking and dragging the blue dots to the right and left below the chart. The "Date", "Profit/loss" and "Return" fields at the top of the chart are automatically recalculated to reflect values for the date range specified.
TRADING IS ON/OFF This indicates if your AlgoLab is currently "ON" (transmitting orders to your IB account), or "PAUSED" (no longer transmitting new orders to your IB account).
Note that when set to "OFF", your AlgoLab will stop transmitting new orders for new positions, but will continue to manage any existing positions until they have been closed.
Change this in the "Settings" drawer.
RETURN This is your percent return based on your starting capital (profit / starting capital).
POSITIONS The positions table shows all of your current open positions entry price, entry date and time, open profit/loss for that position and quantity of contracts purchased. A negative qty (-1) indicates a short position. Holding your mouse over the symbol will show the name of the symbol.
AlgoLab Pro users will see a red "CLOSE" button beside each position. Pushing this button will close that position at the market assuming that the exchange is currently open. For a listing of exchange times, select the "Resources" tab at the top of the dashboard.
CLOSED TRADES The closed trades table shows all of your closed trades descending by the date and time the trade was closed. Each line in the table includes the symbol, the contract, entry price, date, commissions paid, and realized profit/loss for that position. Negative qty column (-1) indicates a short position. Resting your mouse over the symbol will show the name of that symbol.
NOTE: Profit and loss shown in the Closed Trades field are estimated values. In some cases where AlgoLab has exited positions due to an expiring contract, the exact exit price will be unknown, so an estimate is used.
For accurate ledger of all closed trades, please log into your interactive Brokers account at the IB web site, and generate an "Account Statement" or "Trade report".
SYMBOLS This indicates the symbols that you are currently trading, along with the bias setting for each symbol. The bias indication up and down arrows mean that AlgoLab is currently placing LONG and SHORT trades for that symbol.
You can change your symbol portfolio and biases (long/short) in the "Settings" drawer.
DAY OF WEEK FILTERS This shows the days of the week that AlgoLab is set to autotrade.
You can set the days of week filter in the "Settings" drawer.
ON OFF This shows the current trading status of your account.
Setting your account to "Trading is on" means that AlgoLab will start autotrading.
Setting your account to "Trading is off" will cancel all open orders in your interactive Brokers account, and will stop transmitting new orders for any new trades, but will continue to manage all existing positions.
Setting to "Trading is off" will NOT exit any of your current positions.
SYMBOLS Clicking the green and red arrows beside each symbol will turn that symbol OFF or ON meaning that you can trade any symbol only long, only short, both long and short, or not at all.
You can also specify a custom leverage amount for each symbol by clicking on the leverage value counter beside the symbol. "a" means that symbol is set to use the global leverage value.
SYSTEM AlgoLab has a number of trading systems that can be used which will determine entry and exit prices.
If you change your trading system, AlgoLab will cancel any existing orders for new positions, and start transmitting new orders for any signals that the new trading system generates. Once a system has been changed, AlgoLab will continue to manage any positions that you own as per normal.
Note: When you change trading systems, you won't necessarily 'pick-up' any existing positions that other users who are trading the same system own.
CONNECT TO IB ACCOUNT Use this form to make a connection between your AlgoLab and your interactive Brokers account. For new users, once your AlgoLab has been connected, you won't have to reconnect again unless there has been a disconnection in which case, we will notify you and request that you reconnect using this form.
Enter your Interactive Brokers ACCOUNT LOGIN NAME, and your Interactive Brokers ACCOUNT PASSWORD and push "Submit"
Please contact us when connecting and we will watch to ensure that your account is properly connected.
CAPITAL AND RISK SETTINGS IMPORTANT: BEFORE TRADING, USE THE ALGOLAB PERFORMANCE VIEWER TO ESTIMATE PROFITS AND LOSSES (DRAWDOWNS) USING YOUR CAPITAL AMOUNT AND RISK VALUE. WE DO NOT RECOMMEND SETTING A RISK VALUE THAT MAY RESULT IN DRAWDOWNS THAT ARE OUTSIDE OF YOUR PERSONAL RISK TOLERANCE.
LEVERAGE (RISK) This is your current leverage value setting. You can set this to a maximum of your AlgoLab subscription leverage value, and you can change it at any time. When you change this value, AlgoLab will cancel any existing orders for new positions, and replace them with new orders with quantities calculated using your new leverage value. Leverage value simply refers to the number of contracts that AlgoLab will trade for you.