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).
designed, tested and live traded with leveraged S&P related instruments (SSO, SDS, ES mini futures or related options )Results:
YearIndexReturnDrawdown2006107.317.31%2.27%2007126.2217.61%3.89%2008145.8415.55%3.64%2009174.2119.45%5.88%2010200.5915.14%12.07%2011226.8413.08%9.31%2012277.8622.49%4.39%2013323.9316.58%3.28%2014391.9220.99%3.33%2015423.368.02%9.66%2016489.9815.73%4.27%2017513.734.85%0.33%
Marathon (swing trading system) – low risk
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
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 licencingprototype trading machine written in Python (uses TWS API)production trading machine written in C# (TWS API or FIX )