BTR’s AlgoEX web app displays various types of performance data produced by futures trading systems. Below is a guide as to how this data is compiled and rendered so you can understand exactly what you see. If you have any questions, please email us and we will be happy to answer them.

Each data type has specific limitations of which you should be aware when reviewing them. Please read the disclaimers at the bottom of this page regarding the limitations of these data types, as well as the risks inherent in trading futures.  Past performance is not necessarily indicative of future results.  There is always a risk of loss in futures trading.

How We Track Trading Systems

BTR offers hosted execution services to developers of trading systems. We run these developers’ algorithmic trading system code on trading platforms in server environments specifically designed to facilitate execution of the trading signals generated by their code at the appropriate futures exchange. BTR runs several ‘live’ execution environments in which signals are being executed for clients in real time, as well as several ‘simulated’ or hypothetical execution environments, in which we are tracking trading signals and no one is actually receiving any trades.

We establish a model tracking account for each trading system.  If the trading system is based on actual performance data, the model account receives the average fill price which was executed for each trade.  If the trading system is based on hypothetical performance data, the model tracking account receives simulated average price fills based on our simulation engine, accounting for slippage.

These fills from the trading signals are converted to US dollar profit and loss data (“P&L”).  That data is displayed throughout this app. We also import that data into an accounting engine to produce various performance summaries, statistics and visualizations to assist app users in consuming this data.  Each P&L data type is labeled and color coded throughout the app so you can see which type you are examining in a given chart.

A Note on Accounting

Regardless of the data type, our accounting engine imports each system’s raw gross P&L data, applies commissions, amortizes the developer’s subscription fees (taking the monthly fee and spreading it throughout the trading days for each month) and produces a net daily P&L. That net daily P&L is then used to generate a net daily rate of return (“ROR”).  That rate of return is ‘simple’, meaning it is not compounded as profits are not reinvested.  This simple return is expressed using the Recommended Account Size for each trading system as the divisor.

Net Daily P&L / Recommended Account Size = Net Daily ROR

So a trading system with a $10,000 recommended account size per trading unit which loses $2,000 today and then makes $2,000 tomorrow would show a -20% simple return on the first day and a +20% simple return on the second day. A compounded ROR method would show -20% and  +25% RORs for those respective days.  This simple rate of return then generates all of the performance statistics on the app. We use simple rates of return to eliminate tracking error (between customer accounts and the system returns as a benchmark) and in order to show statistics which better represent risk to initial investment.

Data Types

There are two types of data displayed throughout the app:  Hypothetical Performance Data and Actual Performance Data.  It is important to understand the difference between them.

Hypothetical Performance

Charts displaying tracked hypothetical performance results are shaded in purple throughout the app.

 
This chart is hypothetical P&L net of a $12.00 round turn commission and a $50 per month subscription fee. Performance generated from a tracking account with a recommended account size of $12,500, profits are not reinvested and all returns are ‘simple’ or non-compounded.  Click HERE for comprehensive performance statistics net of fees for this system. Please be aware of the following disclaimer regarding the use of hypothetical performance:

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

This performance is generated by running trading systems live in our server environments and simulating fills using real-time market data. Our simulation engines account for price slippage–the difference between the price of a given commodity when the signal was issued and the price at which the trading system order would be executed if the order was live–but it is impossible to completely account for this.  Many factors impact slippage including order size, market liquidity and volatility–and of course, the ultimate unknowable, how the market would have reacted if your order was actually placed. Since this never happens in simulation, we can only make an estimate of the fill price and reflect what we think is meaningful slippage.

The amount of commission that has been deducted from the results, as well as any other fees deducted from the performance, will be indicated on the page displaying the chart.  Hypothetical performance results are displayed on the app in intraday, daily and monthly time frames in area and bar charts.

Actual Performance

Charts displaying actual performance results are shaded as blue area charts throughout the app.

Intraday P&L on this chart is actual P&L net of a $14.32 round turn commission and net of a $150 monthly subscription fee. Performance generated from a tracking account with a recommended account size of $50,000, profits are not reinvested and all returns are ‘simple’ or non-compounded.  Click HERE for comprehensive performance statistics net of fees for this system.

This performance is generated by executing a trading system live in the market and reporting real fills to generate P&L statistics. Not every account will receive the exact P&L displayed, as there may be differences in execution prices at various brokers, incidents of split or partial fills and different commission rates between brokers. BTR displays the average P&L from all execution accounts.

The amount of commission and additional fees that has been deducted from the results will be indicated on the page displaying the chart. Actual performance results are displayed on the app in intraday, daily and cumulative daily time frames in area and bar charts.

Chart Types

Intraday P&L Area Charts

These charts are shaded as purple or blue area charts throughout the app, reflect whether they are derived from hypothetical or actual performance.

This chart is hypothetical P&L was produced on 4/8/2016 and is net of a $12.00 round turn commission, gross of subscription fees. Performance generated from a tracking account with a recommended account size of $12,500, profits are not reinvested and all returns are ‘simple’ or non-compounded. Click HERE for comprehensive performance statistics net of fees for this system.

Intraday P&L charts provide an indication of the daily P&L generated by a trading system throughout the trading day. Data from these charts is delayed between 5 and 15 minutes from live market data. These results are referred to as an indication because the data produced in near real time and may be subject to errors which we cannot immediately correct.  For example, if one of our trading platforms processing this data receives a bad price, the app will reflect P&L derived from a bad price. Since this is difficult to detect and fix in a near real time environment, we caution app users that this data is only an indication of intraday P&L and you should review your statement for actual intraday results.

Intraday P&L charts derived from live market data are displayed net of the indicated all-in round turn commission, but gross of the developer’s subscription fee.   These charts are typically in one and five minute time frames.

Cumulative P&L Area Charts

This data type is displayed as an area chart, shaded in either blue or purple to reflect whether the P&L is derived from hypothetical or actual performance.

These charts display the cumulative P&L for the one trading unit of the system, net of all fees since tracking began.

Daily P&L Gross Bar Charts for the Last 30 Days

This data type is displayed as a daily bar chart, shaded in either blue or purple to reflect live or hypothetical tracked P&L.

Daily Gross P&L on this chart is actual P&L gross of subscription and commissions. This performance generated from a tracking account with a recommended account size of $50,000, profits are not reinvested and all returns are ‘simple’ or non-compounded.  Click HERE for comprehensive performance statistics net of fees for this system.

These charts display the daily gross results of one trading unit of a system for a rolling 30 day period. These charts are always presented GROSS OF ALL TRANSACTION FEES.  This raw performance data is intended to assist developers in matching their expected performance with our results, as well as to help customers match trading results to their account statements.

Data Tables

In addition to charts, you will also find data displayed in various tables throughout the app.  These are typically displayed in a sliding tab like the one below.  The tables below are from SIF Trading System’s P15c program, which has its cumulative chart displayed above.  Please review these tables along with the discussion below.

Current Position Table, Located on the NOW Tab
This table represents the current status of one trading unit of the trading system marked to the market each minute. Unless otherwise noted above, all closed P&L on the Current Position table is presented inclusive of the commission on the History Tab, but gross of the system developer’s monthly subscription fee.  The table listing for ‘Open P&L’, or P&L only for the open position, is listed gross of commissions and fees. Data may be delayed by up to 10 minutes from real time.

Recent Trades Table, Located on the NOW Tab
This table represents the most recent daily trades experienced by one trading unit of this system.  Trades are delayed by up to one hour from execution in order to prevent non-subscribers from using this information to follow the system.

Performance Summary Table, Located on the HISTORY Tab
This table represents the most recent daily trades experienced by one trading unit of this system.  Trades are delayed by up to one hour from execution in order to prevent non-subscribers from using this information to follow the system.

Monthly P&L Table, Located on the HISTORY Tab
This table represents the monthly actual profit and loss for one trading unit of the trading system. Unless otherwise noted above, this table is presented inclusive of the commission listed on the History tab and net of the system developer’s monthly subscription fee.  The subscription fee is amortized on a daily basis for each day in a given month in which the system trades.

A Note on Understanding Fees

Trading systems are charged a variety of fees.  You will be charged fees for the execution of trades in your account.  These include, but are not limited to, commissions, exchange fees, give-up fees, NFA fees, technology fees and additional transaction fees. Trading systems may also incurr lease or subscription fees, paid to the developer for using the system. It is important to consider the impact that these fees will have on your account when you are considering subscribing to a system.

IMPORTANT RISK FACTORS AND PERFORMANCE DISCLOSURES

THE RISK OF LOSS IN TRADING COMMODITY FUTURES AND OPTIONS CAN BE SUBSTANTIAL AND MAY NOT BE SUITABLE FOR ALL INVESTORS. Prior to purchasing or leasing a trading system from this or any other system vendor or investing in a trading system with a registered commodity trading representative, investors need to carefully consider whether such trading is suitable for them in light of their own specific financial condition. In some cases, futures accounts are subject to substantial charges for commission, management, incentive or advisory fees. It may be necessary for accounts subject to these charges to make substantial trading profits to avoid depletion or exhaustion of their assets. In addition, one should carefully study the accompanying prospectus, account forms, disclosure documents and/or risk disclosure statements required by the CFTC or NFA, which are provided directly by the system vendor, CTAs and/or the broker carrying your account. Past performance is not necessarily indicative of future results.

The information contained in this report is provided with the objective of “standardizing” trading systems performance measurements, and it is intended for educational /informational purposes only. All information is offered with the understanding that an investor considering purchasing or leasing a system must carry out his/her own research and due diligence in deciding whether to purchase or lease any trading system noted within or without this report. This report does not constitute a solicitation to purchase or invest in any trading system which may be mentioned herein.

NO FINANCIAL ADVICE PROVIDED: BTR TRADING GROUP MAKES NO REPRESENTATIONS AS TO WHETHER AN ALGORITHMIC STRATEGY IS APPROPRIATE FOR YOU. FURTHER, BTR TRADING GROUP MAKES NO REPRESENTATIONS OR GUARANTEES AS TO THE PERFORMANCE OF ANY ALGORITHMIC TRADING SYSTEM OR STRATEGY. THROUGH YOUR OWN SELECTION, IT IS UP TO YOU TO DECIDE WHETHER A STRATEGY IN WHICH YOU PARTICIPATE IS APPROPRIATE FOR YOU. YOU ACKNOWLEDGE THAT YOU ARE CAPABLE OF INDEPENDENTLY ANALYZING SUCH CONTENT USING YOUR OWN EXPERTISE, DUE DILIGENCE AND DECISION MAKING AND THAT YOU ARE NOT RELYING ON THIS SITE AS A BASIS FOR ANY DECISIONS YOU MAY MAKE CONCERNING INVESTMENTS.

YOU SHOULD NOT CONSIDER ANY CONTENT ON THIS SITE TO BE PROFESSIONAL INVESTMENT, TAX, TRADING OR OTHER FINANCIAL ADVICE. NOTHING ON THE SITE SHOULD BE CONSTRUED AS A RECOMMENDATION OF ANY SECURITY, FUTURES CONTRACT, COMMODITY, TRANSACTION, INVESTMENT STRATEGY, OR EXCHANGE OR MARKET BY BTR TRADING GROUP, ITS AFFILIATES OR ANY THIRD PARTY. ALL CONTENT ON THIS SITE IS IMPERSONAL AND NOT TAILORED TO THE INVESTMENT NEEDS OF ANY SPECIFIC PERSON.

General Risk Disclosure for Futures Trading: Transactions in securities futures, commodity and index futures and options on futures carry a high degree of risk. The amount of initial margin is small relative to the value of the futures contract, meaning that transactions are heavily “leveraged”. A relatively small market movement will have a proportionately larger impact on the funds you have deposited or will have to deposit: this may work against you as well as for you. You may sustain a total loss of initial margin funds and any additional funds deposited with the clearing firm to maintain your position. If the market moves against your position or margin levels are increased, you may be called upon to pay substantial additional funds on short notice to maintain your position. If you fail to comply with a request for additional funds within the time prescribed, your position may be liquidated at a loss and you will be liable for any resulting deficit.