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System Description​
 

DifferenceEngineF (beta testing - not available yet) is the DifferenceEngine system, but with an additional built-in sub system that trades symbols in the financial sector (interest rates) which includes the following 4 new symbols: UB,ZB,ZN,TN (Ultra US T bond, US t bond, 10 year notes, Ultra 10 year notes).

 

The addition of these 4 new symbols adds approximately 10% more trades, and profit to the standard DifferenceEngine system. The average holding period for positions generated by the financials sub system is 3 to 4 times longer, so to avoid exceeding minimum margin requirements, DifferenceEnginF is appropriate for larger capital accounts of at least $100,000.

 

Real time performance metrics for the DifferenceEngineF system is not yet available in the Performance Viewer backtesting web app.

Using $100,000 of capital and the lowest risk level of .075, the average annual hypothetical return according to backtesting is about 96% with an average annual maximum drawdown of 17%.

The minimum recommended amount of capital to trade DifferenceEngine using the entire symbol set is $100,000. With the risk set to the lowest level of .075, the maximum theoretical drawdown is $38,000 which might be expected to happen at least once every 9 years or so. This would imply that there is a 1 in 9 chance that the first year of trading DEF could see a 38% drawdown with a $100,000 account. If that drawdown does not occur in the first year, and you don't increase the capital after the first year, then profit generated from the first year should cover any serious drawdown loss from subsequent years.

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

Real trading is never nearly as profitable as backtesting, so these values are just rough estimates on the optimistic side.

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