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from what i can tell is he does add to losing positions. Its not martingale, because he only add to losing position at max 3 to 4 times in a row, but he didnt add double the current holding. b/c thats a true martingale strategy. I mean it seem like he starts each position around 30-40% of the max margin, then if the market goes down he adds another 20%, and adds another 20% the next day. so technically he can add up to 8 times before max margin. thats the beauty of index futures, the margin req is so so so low. I really dont know how long he can keep adding to a bad position. it seems like he did that once started with 3 contacts and added 4 more times and finish with 8 contracts total, then the market got a bounce back and he got out just breaking even. so there is some risk management. But so many of these strategy never tested a bear market or even a pull back last more than 2 days. So i would say we dont know how these strategy will do since none of them have been tested. 2 of the 3 never been thru brexit or any 3-5% pull back.
The best thing to do is put in only risk money in this strategy. Limit the contract size in the scaling factor. I for one am willing to wait till we see a correction and how the strategy responds to it.
I started to follow this strategy 1 month ago with 123K at 100% C2-scaling.
After 1 week I received a friendly email from InteractiveBrokers.
Charges to Accounts with Very High Worst-Case Loss Exposure
As part of its risk management policy, IB routinely stress tests client portfolios to evaluate their exposure to various market scenarios. These scenarios typically consider events such as price changes and option implied volatility shifts that are more extreme than those covered by regulatory margin requirements and may therefore project âworst-caseâ losses in excess of margin deposits.
These stress tests not only serve as a monitoring tool but also form the basis for assessing a daily âExposure Feeâ to those accounts reporting worst-case loss exposure in excess of equity on hand. This is intended to protect IB and its other customers from accounts maintaining portfolios which, while currently margin compliant, would not have sufficient equity to satisfy losses were the worst-case loss to occur. The âExposure Feeâ will be calculated for all calendar days and charged to accounts the following trading day. Example, Exposure will be calculated for accounts based upon open positions at the end of business on Friday, Saturday, Sunday and the Fee will be charged to accounts on Monday (Next Trading Day).
While your account is currently not subject to this fee, your exposure is now at a level that, were the fee to be charged, it would total 2.57 USD per day. Details regarding this fee are provided in the table below.
Of course followers can adapt the risk with the C2-scaling.
After the warning from the brokerage, I changed the C2-scaling to 50%.
The strategy still works, now I have max. 3-4 contracts.
But because there is no Stop-Loss, itâs still very risky.
Obviously IB is doing a calculation on downside risk. Agree or disagree on the usefulness of the number, it is an indicator. This type of indicator might be a good one for C2 to give subs in order to provide a more apples-to-apples comparison of risk. C2 shouldnât be in the business of policing risk, but it should present as many risk measures as possible.
I guess there is a simple reason for that big drawdown.
The suggested minimum capital by C2 is $100â000 for any of these Future-strategies.
The strategy provider started the model account of the strategy â3 Foldâ with $15â000 instead.
Thatâs way too low for 6-8 YM-contracts.
In the first month the model account felt down to $9â000, which caused the drawdown of 58%.
If the model account would have started with $100â000, the drawdown would have been much lower.
With 50%-C2-scaling, (3-4 YM-contracts) the drawdown would have been below 10% so far.
Still, itâs risky.
But there is a third strategy for IRA accounts, it uses ETFâs instead of Futures.
The performance has been about 80% in the first 6 months, with only 7% DD,
You canât judge a system based on data from only the last year. Last year didnât even have a -5% correction. So many systems right now that have made huge returns last year might not even be able to take a correction without big drawdowns, you just donât know.
This is true, I agree with you on that David.
I just was trying to explain why one system had a 58% DD.
There is a âHypothetical Track Recordâ of 2016 available. https://ymtradingsignals.com/
Itâs also not a long enough period to judge this strategy.
But it seems that the system developer has much confidence in the strategy.
The two strategies have a 300% TOS & 500% TOS badge.
I havenât seen that on Collective2 before.
Let says, he is only use TOS 100% for YM strategy (right now is 500% TOS) and what it shows at C2 is approximately $110K . How do we know if the current fund from this developer is the exact same $110k. He can also have $300K at his account , therefore, the the volatility in percentage is not same from the fund that shows at C2. Can anyone give enlightenment ? Thx
I am new to C2, and I would appreciate if you can clarify some basic question for me. 1) How do you mean by saying a strategy is 500% or 300%? 2) When you close contract on friday and reopen it on sunday, do you do it manually? Do you use market order or limit order? 3) By saying â800% combined systemâ, do you mean add up YM and 3 Fold? Can total return be added in this way?
Jinchaol when you see the TOS badge that means that the developer trades his own money. If you click on that it will show the % that he does. If you click on YM TOS badge you will see it says 500% and 3 fold 300% so combined that is 800%. So if he opens 1 contract and you are at 100% it will open 1 however for him it will be 5 on YM and 3 on 3 fold. When I close all but one contract on Friday at the close I do that through the manage positions on your C2 dashboard. Once the market is closed on Friday i then go back into the same manage positions and click to add the proper amount. Late Sunday when futures open it will automatically fill to bring the amount back up. For me this has really worked out.
click on the badge and you will see break down. If i remember right C2 support said in order to be TOS the developer must reach 90% of signals followed. When you click on the badge it will open and show you the scale at 500% and the % followed.
