One of the risks involved in deploying an algorithmic trading system on the real world, is the chance that the system rules don't accurately reflect reality. For example, a common mistake that trading systems designers make is to include the close of the very last price bar in the calculation of an indicator - say a moving average. This is called "look ahead bias", and for obvious reasons, it would be impossible to do in real time, because the close of this time period's price bar is in the future. Look ahead biases give the historical back test a distinct advantage and falsely inflate the trading system's performance.
Another cause of inaccuracy in real-time is trades missed due to fast moving markets, that would have been recorded as trades in the historical back test. In the back test, there is no way to know for sure if every single trade would have been filled in the real world, so you make an assumption that 80 to 100% of them will be filled, and adjust your backtesting results accordingly.
It's always important to compare how our theoretical system rules perform on FUTURE data - that is, data that became available AFTER the system was developed, and then compare that performance to actual trading accounts. I'm happy to see that AlgoLab has been very accurate since we started trading the house account in August of 2016.
I just updated the Performance Viewer backtesting data for SuperSystem and DifferenceEngine, and they now provide results from 2007 to Oct 28th, 2017 (yesterday). Below is a screen shot of the AlgoLab house 13 month period from both the Performance Viewer, and the actual profit graph from the trading account. The real money house account is actually outperforming the backtesting data by a few thousand dollars because the current profitable open trades are not included in the backtest.
And for comparison purposes, below is a screen shot of the new system DifferenceEngine covering the same time period. It earned $72,000 in profit compared to SuperSystems $49,000 profit over the same period.
While most of us with accounts less than $100,000 are enjoying a very profitable year, I'm sure you have noticed that there is a higher dollar account "Galway" that is not showing the kinds of profits that we are showing. The reason for this is due to Galways higher risk level resulting from $200,000 of capital. This means that Galway is more evenly balanced as far as risk goes between all symbols, whereas those of us with less capital and lower risk are trading a single contract for all symbols meaning that we are heavily weighted in the energy sector, which, as you know, has been performing very well as of late.
Galway may have his day of reckoning as markets will inevitably revert back to 'normal' with much more trending movement in other sectors such as currencies and agriculture. The 2 performance Viewer charts below were generated by DifferenceEngine using $200,000 of capital and .175 risk. Note the close up chart showing Galways lack luster performance for the last few months, and notice the stellar performance in the years prior.
The Performance Viewer can be found at backtest.thealgolab.com