C2 strategies comments

Discussion in 'Automated Trading' started by bbpp, Jan 31, 2017.

  1. bbpp



    In recent months, there were a few strategies that performed very well with high return and low drawdown.Among which most outstanding are VIXTrader, 4QTiming FutNQ:
    The characteristics of both strategies are: good performance and low drawdown since Nov,2016 post election rally, hold position for a few months and long only.

    There were quite a few VIX strategies in the past in C2 that were performing pretty well but they could not time market, which means when market was going up they got good performce, but when market was going down, they got big drawdown.
    Now are VIXTrader and 4QTiming FutNQ doing differently from past VIX strategies?
    Look at how market perform since post election: all induces kept going up, without much of a correction. In this situation, anyone longing XIV for a few months could get the same performance, and small drawdown.
    So we have not seen how these 2 strategies perform during big market down days.
    I am not saying they can not perform well in the future.
    I am saying these strategies have not be tested by big market correction.
    If there is no market correction in near future, they can continue performing well, even for months and years.

    PS, I saw you said it is doing a lot of small trades.
    It doesn't make much of a difference, as in a strong up trend market, it doesn't require good market timing to perform well.
    Last edited: Mar 18, 2017
    #21     Mar 18, 2017
    RobinsonG and shatteredx like this.
  2. That's the bottom line. Once the market shifts gears expect some big blowouts from the over abundance of VIX systems on Collective2 right now.
    #22     Mar 18, 2017
  3. Collagen


    ... and bull only type systems...
    #23     Mar 24, 2017
  4. windwine


    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.

    #24     Mar 28, 2017
  5. bbpp


    Usually XIV goes with the same direction as market.
    That means, when market goes up, XIV goes up. When market goes down, XIV goes down.
    But recently XIV often goes with opposite direction with market, when market goes down, XIV goes up.
    I guess this gave trouble for the developer, as he began to guess whether he should trade XIV or VXX, regardless of how market goes. As a result, his performance goes down.
    I would suggest he don't trade VXX for the time being as we are in a strong up trend and XIV is stronger than market.
    I would suggest if market goes down, he stop trading for the day, rather than trading VXX.
    I mean if market goes up, he trade XIV. If market goes down, he stop trading.
    Last edited: Mar 28, 2017
    #25     Mar 28, 2017
  6. windwine


    Thank you for the explanation. My guess is that at the market open if the SPY dipped he intend to long VXX during the day otherwise long XIV. Is that roughly in the line?
    #26     Mar 31, 2017
  7. bbpp


    Generally speaking, it is.
    But there may be other factors to consider.
    #27     Mar 31, 2017
  8. windwine


    I think his algo is kind of out-of-control now. Ridiculously high # of trade of long VXX recently.
    #28     Apr 5, 2017
  9. bbpp


    Alpha and Omega:

    This is a martingale strategy.
    This strategy made big win in its first month.
    The strategy has no market timing ability.
    For every trade, it keeps adding to losing positions until reaching its intraday maximum leverage.
    When reaching its intraday maximum leverage, there is nothing the strategy can do( or willing to do) to prevent it from going broke, if market goes further down. Because it doesn't cut loss. So at that point it could do nothing except waiting market to come back. What the developer and its subscribers think market SHOULD come back ? Give me a reason why market should come back at that point. Whether market comes back, only depends on luck. You put your money on luck, you better go to casino.
    No matter how much money it makes, it eventually will go broke.
    If you go to a casino and bet 1,3,5,10,20,40,80,160 and so on, you will keep winning for a while, but once you hit a streak of bad luck, you will lose all your money.
    This strategy does the same thing, or I would say it is worse than martingale betting in casino. Because in casino the betting outcomes are random. But market trend occurs much more often than random.
    Once it is caught with a long trend against it, it goes broke.
    Recently market didn't have a long trend, that's why the strategy is still alive. But market long trend is not rare.
    A martingale strategy in trading is a suicide strategy.
    Last edited: Apr 16, 2017
    #29     Apr 16, 2017
    ElectricSavant and RobinsonG like this.
  10. There are a constant stream of these types of systems at Collective2. They get subscribers more often than you would think as they can look good to unsophisticated traders until they fail. They see a 98% win rate with big returns and think it can't fail. Even when it's explained to people why they are bad they sometimes still join thinking they can get out before the collapse.
    #30     Apr 16, 2017