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AlgoLab by theAlgoLab.com is trade execution assistance software. theAlgoLab.com company, software, or it's principals do not provide trading advice or recommendations. If you require personalized professional trading / investing advice, please consult with a licensed broker/CTM. Actual past performance, or simulated past performance does not guarantee future results. Trading futures assumes a high level of risk. theALgoLab.com and it's principals are not registered as investment advisors. Consult with a CPA or financial advisor, or broker to ensure that your strategy utilized is suitable for your investment profile before trading in an actual funded live brokerage account.

 

Some trading performance results posted at this web site are from back-testing systems during the dates indicated, using specific settings, from a basket of different futures contracts. Some performance results shown here benefit from hind-sight. Some results shown result not from actual funded trading accounts, but from simulated accounts which have certain limitations. Actual results will differ given that simulated results could under, or over compensate the impact of certain market conditions. Actual draw downs could exceed back-testing draw downs when traded on actual trading accounts.  While back-tested results might show profitable returns, once commission, slippage, and fees are considered, actual returns will vary. 


Futures trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this website or on any reports. The past performance of any trading system or methodology is not necessarily indicative of future results. 

October 10, 2019

We at AlgoLab continually monitor the performance of our software, taking note of results as compared to a number of metrics including order execution (entry and exits), run-ups and drawdowns, etc. At this moment, AlgoLab House (SuperSystem) is currently going through a significant drawdown. The potential for a drawdown was first reported in a blog post (and email) on August 22. This post was even placed on your AlgoLab dashboard as a link at the top as it seemed like an important warning to all users that we may see a drawdown soon. I do hope that communications like these blog posts, and making the real-time performance of both house accounts available to you (AlgoLabHouse (SS) and AlgolabHouse2 (Difference Engine - DE), does provide valuable infor...

August 22, 2019

The above chart is House Account 2 trading DifferenceEngine. One big advantage of my golden rule about never pausing or changing the house accounts in any way, is that it provides a consistent track record that allows for the observation of trends or patterns that would be difficult to see if not for that consistency.

A trend that I am seeing right now, are these 2 channel lines consisting of a lower trend line and an upper channel line. The lower and upper lines seemed to accurately predict both our recent equity top and the bottom of the drawdown that started Jan 2019. Another pattern is the average time duration of drawdowns which seems to be around 3 months or so.

Using both the trend line, and the average drawdown duration seems to predict that th...

January 14, 2019


We have been researching the performance variation between those accounts with <$80k capital at any point and those with >$80k and have discovered that the larger capital accounts can average about 25% greater profit per trade than the lower capital accounts. The reason for this is that at times of high trading activity, the smaller accounts miss a significant number of trades due to insufficient margin.  Margin is consumed BOTH by Open Positions (you can see this on the dashboard) AND by Open Orders (orders that are not yet filled, not visible on the dashboard). In addition, there is an order priority constraint used by CME and/or IB when accounts have low capital thereby reducing the number of orders that actually get placed. Following is the anal...

January 2, 2019

Most AlgoLab users are trading with the DifferenceEngine (DE) system or subscribed to AutoSystemSwitcher, which has been set to trade the DE system for over 6 months so AlgoLabHouse2 is the reference house system for this analysis.

If you've ever noticed that the AlgoLabHouse2 account seems to outperform your own AlgoLab account, there are a few reasons why this might happen, and none of them are due to an unfair advantage that the house accounts may have over other AlgoLab accounts. The possible causes for this discrepancy could be any or all of the following 3 reasons:

  1. You are circumventing AlgoLab's built in automation by pausing your account, changing your leverage (risk value, or # of contracts traded), or manually exiting your trades (Al...

November 29, 2018

AlgoLab automated trading software is now connected to and live-trading for just under 100 clients. Over 132,000 futures trades have been executed, algorithmically and automatically. The longest-running account, AlgoLabHouse as been live for almost 28 months.  Most importantly, live trading data has been consistent with the Performance Viewer modeling estimates thereby reaffirming that AlgoLab software has and will continue to perform as designed.

Based on the results to date, it becomes increasingly apparent that AlgoLab has the potential to play a bigger role for those with larger investment capital. AlgoLab, combined with the new “fixed number of contracts risk setting” allows a client to easily select a risk profile that matches or exceeds the per...

August 14, 2018

As I prepare for my 3rd ultra marathon this year; a 100 km race in Kananaskis this Saturday, I'm getting into my "ultra" mind set required to complete these 20 to 35 hour endurance efforts.

  1. Slow, but steady pace will get me to the finish line. 

  2. I don't get too upset about the small set-backs along the way because it's a long day, and full of ups and downs.

  3. I don't get too excited about the small gains along the way because, again, it's a long day and I know there will be plenty of ups and downs along the way.

  4. I will have confidence in my plan, and I will stick to it with discipline. My slow but steady pace will get me to the finish line.

Successful trading is like running an ultramarathon. I do realize some accounts are in a bit o...

April 8, 2018

DOUBLE TRIPLE IMPORTANT CHANGE. AGAIN. yes again. As of June 26, 2018 I am REMOVING BOTH THE 1000 PERIOD LOOKBACK TREND FILTER AND THE STDEV 1.1 FILTER. After careful consideration, I feel that stdev was being calculated in real time on the actual entry bar, and may be the reason why so many backtest trades were not duplicated in the real world. After I removed lookahead bias (including the current entry bar in lookback trend calculation), the advantage of the 1000 bar lookback was gone - however... the max drawdown is still lower, so it may be worth offering this as an option.

IMPORTANT CHANGE: As of June 25, 2018, I ADDED TRIANGLESMA back into DifferenceEngine. As well, I changed the symbol set to:

TrianglesMA: ZS,ZM,YM,NQ,GC,PL,EUR,GBP,JPY,CL,RB,HO,...

April 3, 2018

I wanted to compare our current drawdown to the worst drawdown in the backtesting data, just to get an idea of what could happen... not to say that this WILL happen, but it's prudent to be aware and prepared.

  1. This drawdown so far, as of April 3, 2018, according the the AlgoLabHouse account:
    .05 risk, $100,000 of capital, SuperSystem
    -17%
    So far has lasted 1 month
     

  2. 2009 drawdown according to Performance Viewer backtesting app
    .05 risk, $100,000 of capital, DifferenceEngine
    -29%
    Lasted approximately 2 months

The current drawdown of $-16,907 equity reduction based on the original investment capital of $100,000 (The original capital was $55,700, but we are using $100,000 as the current capital setting) is -17%

The historical maximum draw...

March 25, 2018

STUDY 1: Percent winning trades triggering INCREASE / DECREASE IN LEVERAGE (RISK)

A week ago, I published a study that found a weak link between increased AlgoLab performance (decrease in risk/reward ratio (G/P)) and a recent string of both winning trades, and losing trades. if there is a good % of winning trades recently, then GP improves if risk is increased. If there is a large % of losing trades over a much longer period of time, then GP also improves if risk is ALSO increased. This is logical, and basically says that when the % of profitable trades starts to increase, that it will continue. This also says that if we have been going through a long drawdown period, it can make some sense to increase risk to catch the equity "bounce back" when marke...