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: