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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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Trading Systems Performance Expectations

 

Algorithmic trading systems 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.

 

 

Autotrading the multisystem "GoldenNasdaq"

 

The GoldenNasdaq MultiSystem, is included in AlgoLab. This is a single trading system that trades the Gold and Nasdaq stock index contracts. This system could be traded with an account as small as $20,000 using a risk setting of .1. Back testing shows a maximum drawdown of $8096 and an average annual average drawdown of 19% with an annual average return of 57%.

Below is the backtesting system performance report for GoldenNasdaq multisystem. Launch the AlgoLab Performance Viewer application (download here) and open the "GoldenNasdaq" multisystem.

 

 

Autotrading the multisystem "SuperSystem" with a reduced symbol set using Secondary Processing Filters

 

To preview the performance metrics of this filtered multisystem, launch the AlgoLab Performance Viewer and open the "SuperSystem" MultiSystem.

1. Reduce the trading symbols to:

Wheat (ZW)

SP500 (ES)

Gold (GC)

Nasdaq Index (NQ)

Gasoline (RB)

Corn (ZC)

Swiss Franc (CHF)

SoyMeal (ZC)

2. Click "Filters" menu button opening the Secondary Processing Filters panel

3. Check "DOW and TOD filters"

4. Check "Tuesday", "Wednesday", and "Thursday"

Note that with a $25,000 account set with .005 risk, the maximum drawdown recorded over the 10 year backtest was $10,780 with an average annual return of 101%

CAUTION: Since we are not testing for curve fitting by conducting an out of sample or walk forward test, we cannot be sure that specifying these symbols and days of the week isn't just curve fitting these new settings to the historical data. If you wanted to have more confidence in this, I suggest setting the best days of week for 1/2 of the historical data, then "walk forward" test those DOW's on the 2nd half. If the results are still good, then this could be a valid approach.

​To autotrade this multisystem,​ in the Trader module,

 

 ​To autotrade this in AlgoLab Trader, open your AlgoLab Virtual Machine instance, and in AlgoLab:

 

1. Select the "SuperSystem" multisystem

 

2. Reduce the trading symbols to (buy and sell bias make sure both green and red bias check boxes are selected) for:

Wheat (ZW)

SP500 (ES)

Gold (GC)

Nasdaq Index (NQ)

Gasoline (RB)

Natural Gas (NG)

Corn (ZC)

Swiss Franc (CHF)

SoyMeal (ZC)

3. Select "FILTERS" tab beside "FUTURES" field

4. Check the check box "DOW filters"

5. Check "Tuesday", "Wednesday", and "Thursday"

Your secondary filters will be effective when autotrading. (note: at this time the time period filters do not work).

 

 

 

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