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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. 

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System Description​
 

DifferenceEngineBF (beta testing - not available yet) is the DifferenceEngine system, but with an additional built-in sub system that trades symbols in the financial sector (interest rates) which includes the following 4 new symbols: UB,ZB,ZN,TN (Ultra US T bond, US t bond, 10 year notes, Ultra 10 year notes). DifferenceEngineBF also includes the secondary exit strategy found in DifferenceEngineB.

 

The addition of these 4 new symbols adds approximately 10% more trades, and profit to the standard DifferenceEngine system. The average holding period for positions generated by the financials sub system is 3 to 4 times longer, so to avoid exceeding minimum margin requirements, DifferenceEngineBF is appropriate for larger capital accounts of at least $100,000.

 

Real time performance metrics for the DifferenceEngineBF system is not yet available in the Performance Viewer backtesting web app.

Using $100,000 of capital and the lowest risk level of .075, the average annual hypothetical return according to backtesting is about 101% with an average annual maximum drawdown of 16%.

The minimum recommended amount of capital to trade DifferenceEngineBF using the entire symbol set is $100,000. With the risk set to the lowest level of .075, the maximum theoretical drawdown is $33,000 which might be expected to happen at least once every 9 years or so. This would imply that there is a 1 in 9 chance that the first year of trading DEF could see a 33% drawdown with a $100,000 account. If that drawdown does not occur in the first year, and you don't increase the capital after the first year, then profit generated from the first year should cover any serious drawdown loss from subsequent years.

Run the AlgoLab Performance Viewer web application to review various backtesting result scenarios with your capital, risk settings, futures markets, and filters selections.

Real trading is never nearly as profitable as backtesting, so these values are just rough estimates on the optimistic side.