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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. 

August 22, 2019

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Low capital vs. high capital account performance continued. Trade by trade analysis

January 14, 2019

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Performance Viewer update

October 28, 2017

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

 

 


 

 

 


 



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