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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​
 

TwentySomething is a limited-functionality multisystem designed for ease-of-use but still delivering impressive returns with a capital requirement as little as US $20,000, hence it's name. It is restricted to trading 2 markets: Gold, and Crude Oil. Backtesting TwentySomething over a 7 year period demonstrates it would deliver annual returns ranging from a minimum of $9000 in 2012 to above $34,000 in 2016.

 

However, there is a maximum theoretical drawdown (single year high to low) of $12,000. The maximum theoretical drawdown could occur at least once every 7 years - probably more often than that. However, this would mean that there is a 1 in 10 chance that the first year of trading TwentySomething with $20,000 of capital could see a 50% drawdown - or more.

Insufficient capital options:

For accounts that may be having difficulty due to insufficient capital, I have found an alternative to TwentySomething that may be a better option than continuing with a full system including all 20 symbols which often results in orders being rejected by IB due to insufficient margin available.

 

This is also a viable option over the default TwentySomething system.

 

TwentySomething is a reduced symbol version of DifferenceEngine. DE does go through periods of inferior performance, so I took a look at creating a version of TS which is based on SuperSystem instead of DifferenceEngine. To use this option, change your system (using the dashboard) from TwentySomething to SuperSystem, and select both long and short for 3 symbols: GC, YM, and RB. You could substitute CL for RB. Experiment with the PerformanceViewer yourself. The objective is to find a combination of symbols that results in a maximum drawdown that won't ruin you which provides a return that is significantly better than the stock market, and an average annual drawdown that should be 'more recoverable' than running a full 20 symbol system with reduced capital.

 

http://backtest.thealgolab.com/

 

For the following test, I shortened the date range from 2012 to 2018 to  eliminate a couple of very large equity spikes.

 

Symbols:

 

GC

YM

RB

 

capital = $30,000

risk = .005

Max dd = $11,323

PG = 6.3%

Av rtn = 82%

ave DD = 16%

TwentySomething multisystem customization includes pausing the system whenever you want, changing to another system and selecting a maximum of 3 symbols. You cannot change the default .05 risk level.

 

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

 

Trading with real capital is never as profitable as hypothetical backtesting, so these values should be considered estimates on the optimistic side.