We have been researching the performance variation between those accounts with <$80k capital at any point and those with >$80k and have discovered that the larger capital accounts can average about 25% greater profit per trade than the lower capital accounts. The reason for this is that at times of high trading activity, the smaller accounts miss a significant number of trades due to insufficient margin. Margin is consumed BOTH by Open Positions (you can see this on the dashboard) AND by Open Orders (orders that are not yet filled, not visible on the dashboard). In addition, there is an order priority constraint used by CME and/or IB when accounts have low capital thereby reducing the number of orders that actually get placed. Following is the anal...
Most AlgoLab users are trading with the DifferenceEngine (DE) system or subscribed to AutoSystemSwitcher, which has been set to trade the DE system for over 6 months so AlgoLabHouse2 is the reference house system for this analysis.
If you've ever noticed that the AlgoLabHouse2 account seems to outperform your own AlgoLab account, there are a few reasons why this might happen, and none of them are due to an unfair advantage that the house accounts may have over other AlgoLab accounts. The possible causes for this discrepancy could be any or all of the following 3 reasons:
You are circumventing AlgoLab's built in automation by pausing your account, changing your leverage (risk value, or # of contracts traded), or manually exiting your trades (Al...
AlgoLab automated trading software is now connected to and live-trading for just under 100 clients. Over 132,000 futures trades have been executed, algorithmically and automatically. The longest-running account, AlgoLabHouse as been live for almost 28 months. Most importantly, live trading data has been consistent with the Performance Viewer modeling estimates thereby reaffirming that AlgoLab software has and will continue to perform as designed.
Based on the results to date, it becomes increasingly apparent that AlgoLab has the potential to play a bigger role for those with larger investment capital. AlgoLab, combined with the new “fixed number of contracts risk setting” allows a client to easily select a risk profile that matches or exceeds the per...
DOUBLE TRIPLE IMPORTANT CHANGE. AGAIN. yes again. As of June 26, 2018 I am REMOVING BOTH THE 1000 PERIOD LOOKBACK TREND FILTER AND THE STDEV 1.1 FILTER. After careful consideration, I feel that stdev was being calculated in real time on the actual entry bar, and may be the reason why so many backtest trades were not duplicated in the real world. After I removed lookahead bias (including the current entry bar in lookback trend calculation), the advantage of the 1000 bar lookback was gone - however... the max drawdown is still lower, so it may be worth offering this as an option.
IMPORTANT CHANGE: As of June 25, 2018, I ADDED TRIANGLESMA back into DifferenceEngine. As well, I changed the symbol set to:
I wanted to compare our current drawdown to the worst drawdown in the backtesting data, just to get an idea of what could happen... not to say that this WILL happen, but it's prudent to be aware and prepared.
This drawdown so far, as of April 3, 2018, according the the AlgoLabHouse account:
.05 risk, $100,000 of capital, SuperSystem -17%
So far has lasted 1 month
The current drawdown of $-16,907 equity reduction based on the original investment capital of $100,000 (The original capital was $55,700, but we are using $100,000 as the current capital setting) is -17%
STUDY 1: Percent winning trades triggering INCREASE / DECREASE IN LEVERAGE (RISK)
A week ago, I published a study that found a weak link between increased AlgoLab performance (decrease in risk/reward ratio (G/P)) and a recent string of both winning trades, and losing trades. if there is a good % of winning trades recently, then GP improves if risk is increased. If there is a large % of losing trades over a much longer period of time, then GP also improves if risk is ALSO increased. This is logical, and basically says that when the % of profitable trades starts to increase, that it will continue. This also says that if we have been going through a long drawdown period, it can make some sense to increase risk to catch the equity "bounce back" when marke...