C2 strategies comments

You are welcome.

I just try to say things as they are.

While you are glad I said good things about your strategy, some developers may hate me since I
said bad things about their strategies.

But I still want to speak out truth.

We need a place to discuss good and bad things about strategies. That is in the interest of all developers and subscribers.
 
bbpp said:
I have more findings on "Simplicity Trading"

1.It always long。This is quite different than a traditional martingale such as Alpha and Omega.
In a bull market, always longing is actually going with general market trend.Although it still trades against short time trend, the risk is much lower than a traditional martingale.As current market has been shallow on pullback, his buying in dip incurred lower risk.

2. He bought after market had already been down a couple of days.So the downward momentum had be released certain amount before his longing.

3. He usually long at market close. This let him avoid big down day like 5/17/2017.

So he was actually aware some of martingale's shortcomings and took some measures to improve it. These measures enabled him to perform well in current market situation.I would call his strategy"Improved martingale".
If current market situation doesn't change,he could continue his current performance.

But his strategy could not survive market situation like in 10/25/2016--11/4/2016， much less to say market situation in 2014 and 2015.
More...

I was interested to come across your comments, as I am the developer of this strategy. It is not a martingale strategy as such, and I don't want to get into a long right/wrong discussion about that but did feel I should reply to your particular comment:

"But his strategy could not survive market situation like in 10/25/2016--11/4/2016， much less to say market situation in 2014 and 2015."

Based on current staking levels aiming for max drawdown of 30% this is what actually happened in my real trading account:

25th Oct 2016 - 4th Nov 2016
- we saw a max drop/exposure of 12% during that period, lowest on the 4th Nov
- we ended up making 3% overall during the period, regaining the 12% and more on the 5th Nov

2014-2015
- 2014 we made 6.9% per month
- 2015 we made 3.6% per month (taking into account the drawdown below)
- but 2015 did see out biggest ever biggest exposure/drop of 30% on 6th November
- we had fully recovered losses by the 8th March 2016

Key points to support the above:
- we have been LONG since May 2016 and will only trade in that direction as a result
- before that we were SHORT from August 2015
- we are long 60% of the time and short 40%
- we look to make 5-6% per month on average and know that we have seen drawdown in extreme cases to 30%
 
Simplicity said:
It is not a martingale strategy as such,
More...

Well, you are averaging into long positions in an uptrend market. It is as good a Martin Gale as any. If you are not, how do you pick if it is 2 contracts or 20?

Also, will you ever take short positions?
 
Pekelo said:
Well, you are averaging into long positions in an uptrend market. It is as good a Martin Gale as any. If you are not, how do you pick if it is 2 contracts or 20?

Also, will you ever take short positions?
More...

As mentioned we take long or short based on the long term trend (as we calculate it), so we have been long since May 2016 but short before that from August 2015.

I don't trade CFDs personally, see little point as being based in the UK spread betting has too many advantages in the tax and margin areas. As a result the number of contracts on C2 has changed as a) I realised the difference in margin requirements of CFDs and b) I set the staking to reflect a level of risk that the subscribers felt reasonable (as per previous post). You'll note that the number of contracts has smoothed out in more recent trades.

It's worth pointing out that we have a number of rules in the strategy that means we don't just "open another position" if we're losing.... but sometimes we do if the algorithm still triggers it. That's why we do see largish drawdowns at time (worst I have seen in 15 years is 30%)... no surprises there... but the average return (5%/month) is the benefit you get for that acceptance in my book.
 
Simplicity said:
1. we have been long since May 2016 but short before that from August 2015.

2. I don't trade CFDs
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1.What was the performance between 2015 Sept and 2016 May? (Being short when two 10% rallies...)

2. There was no question regarding CFDs.

3. What is the point of using both ES and DJ Euro Stoxx 50, when they are closely correlated and sometimes you open positions at the same time in both?
 
Pekelo said:
1.What was the performance between 2015 Sept and 2016 May? (Being short when two 10% rallies...)

2. There was no question regarding CFDs.

3. What is the point of using both ES and DJ Euro Stoxx 50, when they are closely correlated and sometimes you open positions at the same time in both?
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To try and help, the results for the period you mention were:

Sep 2015 : 8.8%
Oct 2015 : -19.7%
Nov 2015 : -2.7%
Dec 2015 : 9.6%
Jan 2016 : -3.3%
Feb 2016 : 8.4%
Mar 2016 : 7.8%
Apr 2016 : 1.3%
May 2016 : 4.1%

October 2015 was the largest end of month drawdown that we have seen in 15 years as it happens, but to that point every month in that year had seen a positive return and so we still made 36% (flat, no compounding) and then 50% (with only January as a losing month) in 2016.

I mentioned CFDs simply to explain that when first using Collective2 we had little experience of their use as we have always used spread betting as our trading vehicle.

Not sure what you mean on the ES and DJ Euro Stoxx 50 question because as far as I know we have always used DJ. We do trade the E-MINI S&P 500 as well if that's what you mean.
 
Thanks for the performance record.

Simplicity said:
Not sure what you mean on the ES and DJ Euro Stoxx 50 question because as far as I know we have always used DJ. We do trade the E-MINI S&P 500 as well if that's what you mean
More...

Since they move in rather similar ways, why use both instead of just one of them? That is what I meant..
 
1.Use only C2 performance record to discuss your performance.
Claimed past performance without C2 record is not convincing.

2.As I said previously in this thread, since Nov,2016, market has been in an extremely low volatility and high growth period. Any one to buy&hold VIX stocks or index could achieve high return and low drawdown performance during this period.Therefore for those strategies starting from Nov,2016 with good performance, their good performance are not tested by bad market condition.
 
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I think the market topped and Simplicity has an open position 2K DD right now, we shall see if they can get out of it with a profit.

In the main time I have found another nice system Antares SP500:

https://collective2.com/details/98858556

Very laid back system, averaging 3 trades per month, with 18 months track record, only 2 losing ones. It might averages in a few times, hard to tell without seeing the 3-4 contract trades, but it also takes short positions.
 
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