Attached is C2's grid. -Track record > 1 year. -Annual return > 15% -Max DD < 30% -Realism > 85% I think those parameters qualify a decent system.... I see 39 and your pairs system is not in there... Oh, that's right... you have a 33% DD. I don't know of a single investor/trader that would consider a 33% DD to be a statistic to be proud of, let alone brag about.
I wonder why, at 4:1 leverage it's not bad. The backtest is what gives me confidence, and it gave my backers confidence, too. After all, C2 is hypothetical, and what little amount of overriding I did added substantial value to my trades, which is why subscriptions are different than real returns. I'm 50th on another site for brokerage accounts betwen 50k and 250k. There's a big difference between what people do with fake money, and what they do with real money. Real money is what they based their decision on, and the proper use of leverage on C2 served as a demonstration of what's possible. I do use margin, but it's just to be able to trade before the securities settle.
I would also add that the APR is understated significantly. Matt has never fixed it to count dividends in the grid. With that the APR is 25%.
Sure, understandable, but, the data doesn't support your ego at this point. Claiming mastery is one thing - claiming to be the best is another. Both claims can do damage to your reputation and detract from your hard work in the long run.
You say you added value to your trades, yet your backtested return was double that of your C2 return. You don't see a contradiction? You state 4:1 but then say you only use leverage to trade inside T+3. So, you're unleveraged and still had a 33% DD and haven't earned a dollar in 18 months? You can't keep your BS straight.
I've been backtesting and strategizing for years. The rule of thumb is if you were to cut the apr in half and double the drawdown of the backtest, would you still trade it? If the answer from the first page of this thread isn't yes then you'd be lying to yourself. Mostly it's the backtest that matters and it's on me to implelement it with minimal slippage. There's a big difference when going from hundreds of thousands to millions. At that point, all that really matters is the backtest. You're welcome to post better backtests with a trades list if you think you can beat it.
My Euro partner did 800% on exotic options, effectively shutting down a dealer, from Feb to mid May 2009 in DNT options on index components. 20% DD. You can't honestly believe your QID system is worth a shit. 33% peak to trough risk and zero gain in 18 months on a long/short system with the index dropping 50% during that time?
Another fallacy is a system that relies on a constant like 20,000... as if the trading volume in ES is set in stone and not subject to change. Why not something more adaptable?
Your invitation is interesting. I see that Atticus also has some important trading strategist's concerns. And he is commenting from that viewpoint. For those who trade ATS's as traders, there must be a range of annual trades that surface as a consequence of optimizing trader strategies. I see here that 6 and 7 digit money is being considered as well. Perhaps the market's capacity is a concern for trading strategists as well. As I see it a trader would want to take advantage of the market's offer as and when it is made. How do trading stragegists make that possible for the trader who has the capital mentioned (6 to 7 digit money or maybe compounding past profits) I looked at the 29th and 30th of June as examples. I also considered that a beginner level person trading but 4 to 7 times a day with the capital mentioned, would have done 5 and 4 trades, respectively using 500 contracts. The summer kind of trading coming from an ATS would have had performance %'s of 80% and 25%, respectively. I use the term performance to mean the winning trades divided by the total trades expressed as a %. This translates to the expected 4 to 7 trades a day at a coarse level of trading (channels to me). This is 1,000 to 2000 trades a year as compared to the 40 trades the trading strategist is recommending in his thread. Gross on the two days would have been 243K amd 200k, respectiverly. Most of the trading on the first day was hold on the right side of the market but on the second day the trades were mostly efforts to stay on the right side of the market. By looking at the graphics on the trading that does 40 trades a year (as posted in this thread), the dark green portion of the charts is "sideline time" which is nearly all the time. For example, since the thread began only one trade was attempted but it didn't work because of communication difficulties that had not been checked out or realized that they existed. This is a typical beginner level problem. It seems to me that passing on a couple hundred thousand in profits daily is erring on the side of a strategic underlying misconception of something. On the other hand my data shows that the majority of commissions were spent on turns in the ES that did not make money (5 out of 9 in two days) but that, strategically speaking, being in the market did add capital at a rate of over 200K day where the trading capital was a million maximum. Would a trading strategist plan on the increasing capital getting to a value somewhere in the vicinity of the market capacity. As Atticus said in referring to his example, the trader did exhaust the dealer's capability to serve theat trader after 800% profit during a portion of the year. I figure the ES capacity is 10,000 contracts and using 6 or 7 digit money does make that possible while being leveraged. The 10,000 contracts is based upon trading strategies that involve using partial fills on turns and being in the market all of the time (A requirement to take the market's offer all the time during RTH's.) I guess this thread looks more like "position trading" or investing more than it looks like trading to get the market's offer using an ATS.