Risk Disclosure

1. Hypothetical performance disclaimer

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.

The two paragraphs above are adapted from disclosures commonly used in the U.S. futures and securities industries to characterize the limits of backtested performance. They apply in full to every performance figure shown on this site.

2. You are buying software, not advice

The Algo Catalog is not a registered investment adviser, broker-dealer, futures commission merchant, commodity trading advisor, or any other licensed financial professional. Nothing on this site, in the strategy file you purchase, or in any communication from us constitutes investment advice, a personalized recommendation, an offer to buy or sell any security, or the establishment of an advisory relationship. You are purchasing impersonal software. You are solely responsible for all trading and investment decisions made using that software, including the decision whether to act on any signal it generates.

3. Past performance does not guarantee future results

Backtested results reflect the application of the strategy to historical price data. Future market conditions may differ in ways that materially affect performance. A strategy that has produced positive results in the past may produce flat, negative, or catastrophic results in the future. You should never assume that future returns will resemble past returns, whether hypothetical or live.

4. Strategy degradation

All quantitative trading strategies can stop working. Reasons include: changes in market microstructure (tick size, order types, market-maker behavior), regulatory changes, increased adoption of similar strategies by other market participants ("alpha decay"), changes in the composition or character of the universe being traded, broader macroeconomic shifts, and the simple statistical possibility that the historical edge was less robust than it appeared. You should not invest capital you cannot afford to lose entirely if the strategy stops working.

5. Strategy-specific risks

The strategies sold on this site share these structural characteristics. The published Product page lists which apply to the specific Product you are considering.

• Long-only U.S. equities exposure: the strategies hold long positions in U.S.-listed common stocks. Any market-wide equity decline will produce losses; there is no built-in hedge.
• Mean-reversion logic: mean-reversion strategies enter positions during periods of recent weakness on the expectation of a bounce. When weakness becomes trend, mean-reversion strategies absorb larger-than-normal losses on individual positions and can underperform for extended periods.
• Single-name idiosyncratic risk: individual stocks can lose 100% of their value (e.g. via fraud, fast bankruptcy, regulatory action) within a holding period. Position sizing is designed to limit but not eliminate this risk.
• Universe concentration: strategies that trade a narrow universe (e.g. the Nasdaq-100) carry sector- and factor-concentration risk relative to the broad market.
• Active management required: strategies generate end-of-day signals that must be acted on at the next session's open. Missed or delayed orders will produce results that diverge from the backtest.

6. Drawdowns and psychological preparedness

Every backtest published on this site has a maximum-drawdown figure. That figure is a historical observation, not a ceiling. Future drawdowns may be larger, deeper, and longer than anything observed in the backtest. Before you begin trading, you should mentally and financially prepare for a drawdown of at least 1.5x the historical maximum. If a drawdown of that magnitude would force you to abandon the strategy, exit positions, or use the capital for other purposes, this strategy is not appropriate for you.

Drawdowns also persist longer than most buyers expect. A strategy that has historically recovered new highs within six months may take eighteen months on the next occurrence. Plan accordingly.

7. Backtest vs. live divergence

Your live, realized returns will not exactly match the published backtest. Sources of divergence include: real-world slippage that differs from modeled slippage, partial fills or no fills at modeled prices, broker commission and fee schedules that differ from the modeled assumptions, the practical impossibility of executing every signal at the modeled bar, broker-specific order-handling behavior, the bid-ask spread at execution, intraday liquidity events, dividends and corporate actions, and inevitable human error in implementation. Expect your live return to fall within a band around the backtest, not on it exactly.

8. Capital sufficiency

These strategies are designed for portfolios with sufficient capital to support diversified position counts. Running the strategies with less capital than the published minimum may produce results that diverge materially from the backtest because position sizes cannot be matched and the cost of commissions becomes a larger share of small trades. You should only trade with capital you can afford to lose entirely.

9. Pattern Day Trader rule (U.S. retail)

If you trade these strategies in a U.S. margin brokerage account with less than $25,000 of equity, the FINRA Pattern Day Trader rule may restrict your trading activity. Some strategies (including short-holding-period mean-reversion strategies) can generate enough round-trip trades within a five-business-day window to trigger this designation. You are responsible for understanding and complying with this rule.

10. Tax considerations

Trades generated by these strategies typically have short holding periods. In the United States, gains on positions held one year or less are taxed at short-term capital-gain rates, which are higher than long-term rates. You should consult a qualified tax adviser about the after-tax consequences of using these strategies. Nothing on this site is tax advice.

11. Data dependency and resolution

The strategies depend on third-party historical data (e.g. Norgate Premium Data) for both backtesting and live signal generation. Errors, omissions, or methodology changes in that data can affect both the validity of historical results and the correctness of live signals. We do not control third-party data providers and are not responsible for their accuracy.

The historical data used in our backtests is daily-resolution OHLC (open, high, low, close) — one bar per symbol per session. Norgate Premium Data does not include intraday (minute or tick) data, and our backtests do not attempt to model intraday price paths. This has concrete modeling consequences you should understand before purchase:

• Stop and limit orders are checked against the day's High and Low. If the day's range touches your stop or limit price, the backtest assumes that order filled at that price. In live trading, the exact fill depends on intraday liquidity, the bid/ask spread at the moment of the print, and your broker's order routing — your live fill may differ from the modeled fill.
• The intraday sequence of events cannot be known from daily data. If both a stop and a profit target would have been hit on the same day, the backtest cannot determine which was hit first. We apply pessimistic assumptions in that case, but it is still an approximation.
• Market-on-open and market-on-close exits are modeled at the session's open or close print. Live fills at MOO or MOC are typically close to the print but not guaranteed.
• Gaps through stops fill at the open, not the stop price. If a stock gaps below your stop, the backtest fills at the next available print — there is no protection at the stop level. This is realistic, but it means stop-based risk control is not a guarantee.

In short: daily-resolution backtests are the industry standard for the holding periods these strategies use (one day to roughly two weeks), but they are not tick-accurate simulations. Expect some divergence between modeled and live fills, especially on volatile sessions.

12. Consult professionals

You should consult with a qualified financial professional (registered investment adviser, tax adviser, attorney) before making any trading or investment decision, particularly regarding the suitability of any specific strategy for your personal financial situation, risk tolerance, investment time horizon, and tax circumstances. This document is a general risk disclosure, not personalized advice.

13. Acknowledgment

By purchasing the Product, you acknowledge that you have read this Risk Disclosure in full, understand each item, and accept all the risks described. If any of the risks above are unacceptable to you, do not purchase.