Trading systems

Algo-box created series of mechanical trading systems adopted for trading S&P 500 related instruments. Systems have been in development since 2008 and have been active traded since start of 2010 with 99.9% realism.

 

December 2019 UPDATE,

Unfortunately all our trading systems below got hit badly in 2018, so we had to stop trading with them. They will probably be ok from now on, but as we witnessed certain weakness in them, decision was made to go back to drawing board and incorporate into new one what recent experience has teached  us.

New trading system N – OFFSET  has following historical performance, but 2020 will be year when we’ll se how it performs in action.

Year Index Return Drawdown
2006 105,42 5,42% 0,00%
2007 135,28 28,32% 6,81%
2008 141,09 4,30% 9,56%
2009 164,63 16,68% 10,81%
2010 173,22 5,22% 14,48%
2011 205,80 18,81% 9,85%
2012 231,39 12,44% 5,98%
2013 255,69 10,50% 7,52%
2014 307,46 20,24% 5,06%
2015 322,67 4,95% 11,36%
2016 365,80 13,37% 2,30%
2017 415,07 13,47% 1,33%
2018 472,03 13,72% 6,90%
2019 547,57 16,00% 4,21%

 

Neptun (swing trading system) – new trading algo, based on our classic systems (Marathon and Torpedo).

neptun

  • designed, tested and live traded with leveraged S&P related instruments (SSO, SDS, ES mini futures or related options )
  • Results:
    Year Index Return Drawdown
    2006 107.31 7.31% 2.27%
    2007 126.22 17.61% 3.89%
    2008 145.84 15.55% 3.64%
    2009 174.21 19.45% 5.88%
    2010 200.59 15.14% 12.07%
    2011 226.84 13.08% 9.31%
    2012 277.86 22.49% 4.39%
    2013 323.93 16.58% 3.28%
    2014 391.92 20.99% 3.33%
    2015 423.36 8.02% 9.66%
    2016 489.98 15.73% 4.27%
    2017 513.73 4.85% 0.33%

 

 

Marathon  (swing trading system) – low risk

marathon

 

  • designed, tested and live traded with leveraged S&P related instruments (SSO, SDS, ES mini futures or related options )
  • Backtest results  are here: marathon

Torpedo  (swing trading system) – higher risk

torpedo

 

  • designed, tested and live traded with leveraged S&P related instruments (SSO, SDS, ES mini futures or related options )
  • Backtest results are here: torpedo

 

 

besides  trading systems we have also developed automatic trading software

Brigantine  (intraday trading machine)

  • our trading machine for InteractiveBrokers is available for customization and licencing
  • prototype trading machine written in Python (uses TWS API)
  • production trading machine written in C# (TWS API or FIX )