C2 strategies comments

[omer486]

Hi bbpp,

Thank you for all the excellent analysis. Would you please expand a little bit on how the VIX daytrader has deviated from his original strategy? I am his subscriber and has been losing money for quite some time. I noticed that many of his recent losses are coming long vxx under this huge contango environment. I just want to hear your opinion on some of the fundamental ideas before I decide whether I would like to unsubscribe from his system. Thank you.

I was also subscribed to VIX Day Trader. I think one of the problems is that he trades almost everyday. It would be better to just trade on the days where the direction is more certain. Also his system is not 100% algorithmic. Usually the algorithmic systems seem to do better in XIV / VXX trading.

The ironic thing is, this is the developer who pushed for autotrade scaling limits as he had too many big subscribers and he was continually increasing his subscription prices from around $65 to the present $189. And now many of the subscribers have left.

 

[Pekelo]

as he had too many big subscribers and he was continually increasing his subscription prices from around $65 to the present $189.

Why was it surprising? If demand is there, it is just obvious to raise prices.

 

[omer486]

Why was it surprising? If demand is there, it is just obvious to raise prices.

Yes, it makes sense to increase prices if there is more demand. At the same time people are more likely to quit a system during a long drawdown period if the fees are higher. So if you want long term subscribers it's better to keep a balanced approach in terms of fees. Also now with the autotrade scaling restrictions in place that this developer pushed for it doesn't make sense for big investors to subscribe as his model account is quite small. And for investor's with a small account the fees are too high!

But this is just a side issue. More relevant is how a system that was performing really well for over year, with a large number of trades through varied market conditions suddenly stopped performing.

 

[shatteredx]

Great thread bbpp.

I'm wondering if you have any knowledge on a strategy known as "HFT VIX Scalper" that was the #1 strategy on c2 until it disappeared earlier this year. It had a Sharpe of over 10.

Here is a screenshot:

It was a futures strategy so I guess that is out of your area, but I thought I'd ask just in case you knew something about it or why it suddenly vanished.

 

[bbpp]

If I remember correctly, this strategy cheated and made false performance.

 

[bbpp]

Simplicity Trading:
https://collective2.com/details/107448037

At first glance,its performance is outstanding， good return on low DD.
But when you check its entries, you will find it is a martingale strategy.
Martingale strategy is always trading against trend,and adding to losing positions,therefore it is doomed. Just when it is hit with a market trend that is long enough to bring its death.
The recent example is Alpha and Omega:
https://collective2.com/details/110267102.

 

[bbpp]

Futures Cat:
https://collective2.com/details/110937470

Good strategy,high return, low DD, follow trend, tight stops.Diversified trading in equities and commodities.
I have not seen any problem with this strategy,except that it has short time history.

 

[JITF]

Futures Cat:
https://collective2.com/details/110937470

Good strategy,high return, low DD, follow trend, tight stops.Diversified trading in equities and commodities.
I have not seen any problem with this strategy,except that it has short time history.

How do you think - will it survive longer than 2-3 months?
His previous strategies lasted couple months only, then he was just stopping trading due to unclear reason.

 

[SoesWasBetter]

If I remember correctly, this strategy cheated and made false performance.

Dont they all?

 

[bbpp]

Most C2 good strategies developers had bad strategies before.
If you did not see their bad strategies, it is because most developers just change their names and trade on new accounts.
If there are strategies that never had bad ones, the bad ones happened before developers came to C2.Does that make a difference?
No one born to trade well.

Did you see any VIX strategies that started before 2016?
It was not that before 2016 there were no VIX strategies. There were as many as now.
It was because VIX strategies before 2016 all had big drawdown and smaller return.
So developers discounted them and trade on new accounts and new names.
As VIX strategies after 2016 have performed much better , due to changing market situation.
Do you believe old VIX strategies developers just discounted their old VIX strategies and left C2? If you believe they still stay at C2, then they must be under new names.
Most C2 current VIX strategies are run by old developers.And so are the other C2 strategies.
If you are worried about this, you may need to unsubscribe from every C2 strategy.

As for Futures Cat, you can see its high return came from low leverage.
High flies that could not survive long time all have common characteristics:
either they use big leverage, or they use martingale strategy.
I see Futures Cat used neither of these methods.
Some strategies could do well during a period of time like a few months, because it fit in certain market situation. When market situation change, their good performances would not last longer.This is especially true for equities.
But Futures Cat trade in many instruments in equities and commodities.
So that factor is unlikely to affect it.

How do you think - will it survive longer than 2-3 months?
His previous strategies lasted couple months only, then he was just stopping trading due to unclear reason.