@RJV69 That percentage is based on a 7500usd starting capital.
I am not going to argue here with people like you. This post was made on the basis of risk management. I use stoplosses with each position whereas the gambler does not. He also martingales into losing positions. It is ridiculous that I would compare my strategy to such gamblers.
Just because a gambler uses his money it does not make it a professional trader (I also trade my own money via Tradestation with this strategy so there is no need for you to post publicly false info). Ask Jay in this thread who lost 15k in 3 days about what he thinks about that kind of risk management.
Csababiro11 You have said multiple times you trade your own money. I have asked before and you ignore the question. Put a copy of your account trades with the same losses on this thread. Show us where you lost all the money with people who use real money. You really need to stop claiming that unless you can prove it. Lets put the claim to the proof. Lets see it. RJV63 well said. Could not agree with you more.
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Oh SNAP. Mic Drop! 
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I am out of “A Strategy for YM”. I hate this strategy lost 18K in 3 weeks.
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This post is about risk management, anyone with enough intellectual skills would understand this. I don’t feel the need to prove anything to anyone. Thank you.
I think it’s a good idea to contribute to the forum with ideas related to risk management. There are several instruments and mechanisms to manage the risk in a portfolio. In the forum I read almost exclusively about Stop Loss, Stop Loss, Stop Loss or some variant of this mechanism.
However, there are other more efficient mechanisms in risk management, depending on each type of portfolio. There are many studies that show the limited effectiveness of Stop Loss.
Surely in C2 there are many people with very good ideas about risk management. I think this is a very good place to share these ideas.
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@GonzaloLoayza2
This trader did not believe in stoplosses either:
He has many followers here on C2. His loss was 4.9 billion EUR. How is that for a bad trade?
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Words like “gambling” and “Martingale” are loaded and may be judgmental. But the FACT is that the Strategy doesn’t use stoploss orders and the FACT is that it adds to losing trades. Do whatever you like with these FACTS.
I have problems with how C2 reports DD. Both fundamentally and specifically.
The fundamental problem is that they report it as a % for systems that do NOT compound (increase) their position size (like the Strategy.) This means that for the System they report the max DD as it occurred in August, some $13K. Back then the value of the strategy was around $40K. The last peak was around $140K, still trading “max 8” contracts. To lose $13K on [max] 8 contracts is much different than to lose $40K on [max] 8 contracts!
The last closed trade that C2 reports to non-subscribers is on March 13. Since then C2 doesn’t report more (closed) trades but the system seems to be trading, as the equity curve is not flat. It actually dropped another $18K. Let’s not call it gambling but we surely can call it another drop (in addition to the previous $26K.)
By my calculation, based on the C2 published equity curve (my previous comment about fundamentally incorrect DD calculation) the current DD is 33.02%. It is HIGHER than the “official” 32.3%.
I totally ignore TOS. This is yet another cute graphical gimmicks that C2 publishes. [The more cute rules and graphics they publish, the easier for trade leaders to game the system (and the more C2 charges.) This is an old problem of mine. But I digress.] For the record: I am NOT saying that ANY of the trade leaders mentioned or not in this thread play the system. I am just saying that it is real EASY to do so, so I, personally ignore it. YMMV.
Good luck.
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Agreed. TOS doesn’t mean you lose less when the Dow moves 400 points against a position. Some say it provides then a bit if confidence or sort of comfort with subscribing to a strategy. Nonsense! Because a guy believes in his system enough to invest capital doesn’t make the strategy any better. Doesn’t make the trader any better. It may, in some cases make the trader more cautious. Or maybe fearful is the better term. In the market fear is as dangerous as greed. The focus on TOS at C2 by subscribers is comical. Stop looking for guarantees. The markets aren’t familiar with that term.
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There are examples for all cases. I do not say do not use Stop Loss. I just want to contribute to Forum, mentioning that there are many mechanisms to manage risk in a portfolio.
I, personally, calculate the R2 (r square) of the portfolio, before choosing a tool or risk control mechanism. If r2 is high (80% for example), then I will use a tool that is effective against systemic risk. If, on the other hand, r2 is low (less than 20%), then I will look for a mechanism or tool that is effective in controlling non-systemic risk.
Using a tool without solid knowledge can be very dangerous. Personally, I think it’s a mistake to use Stop Loss indiscriminately. There are other mechanisms much more effective.
The most important thing is to always have a mechanism that allows us to control the risk.
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Can you explain how you calculate r^2? I.e. what is the series you calculate the correlation of?
I am also using r^2 to calculate the ‘reliability’ of a strategy’s p/l graph. For 3 Fold (this is in essence the same as the Strategy) before the February disaster this was 95%! I.e. its p/l graph correlated with a linear model with 95% confidence! [This may mean of course that the model is correct and the Strategy will reverse to it, but it also may mean that this model is broken.]
At any rate: I suspect that you mean by r^2 something else??
Thanks.
I think he means the correlation between the strategy and either the other strategies in his portfolio or the overall market.
If that correlation is high, then he wants to hedge against a broad market move that would hurt him (“systemic risk”).
If it’s not, then he’s more concerned with hedging or risk managing the strategy itself.
I believe that the minimum number for the calculation of r2 must be the equivalent of 6 months (126 days). However, the result will be better the more observations you have.
I use this criterion in the main investment fund that I manage. This fund has very good returns, but from time to time it was seriously affected by very large falls.
The r2 of this portfolio is only 11%, that is, almost 90% of the portfolio’s behavior is explained by internal factors and only 10% by the behavior of the market.
Coincidentally I read a paper in Science Direct (I recommend reading these publications). In this paper, the author explained a method to solve a similar problem in a different model. I was able to adapt it in my portfolio successfully.
I could understand that my model was vulnerable to sharp drops at times when the variance was high. To solve this problem I developed an Algorithm whose objective is to keep the variance at a constant level.
For this, the model will maintain more cash during periods of high variances and less cash, during times of lower variances.
In this way, the portfolio has lower volatility than before and is exposed to lower falls in difficult periods. The Kurtosis improved significantly.
Regards,
Gonzalo
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It’s Hilarious reading this way back in the day, relax guys he only had like 7 open contracts at the same time, just recently saw this strategy pop up again, 93, and 77!!! Open contracts!!! lmao
Let that sink in for a second for martingale 93!
Must be nice to be able to gamble with others peoples money at 500% TOS.
Do you really think he had 93 contracts open at the same time? Please be a little bit more careful with your analysis before you disseminate false information on the forum. The system has reached now all time highs again, I commend all those subscribers who stuck with him through thick and thin. The people who complained and lost money are those who gambled with inadequate capital, they only have themselves to blame. How many systems do you know who have a compounded annual return of 307% with “only” (that is in relation to the outsized gain) of 37% and 500% TOS to boot?
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144000, if someone opens a position with 4 contracts, closes three, adds 2, closes 2, etc C2 adds up all the opening trades (6 in this example) - what really matters is the maximum number of open contracts at any point in time (4 in this example), something that C2 doesn’t seem to track, which is a shame really since that is all that really matters.
Edit: Basically until the very last contract is closed, C2 considers it one long trade when really it is a series of separate trades. I understand why C2 does this but the headline number of “93” is terribly misleading.
Strategy linked for those that are curious
Absolutely agree. That’s one thing you have to dig down into when you’re looking at a strategy. It might say 27 contracts but they guy only ever had 3 or 4 open at a time.
Especially for a strategy that only trades one instrument, there should be a “max contract” field that C2 measures. Should be pretty easy.
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Ahh apologies forgot C2 did that
Subscribers of this strategy were very very lucky in Feb. 2018.
The developer did not trade for 10 days due a system recess.
If there were 3-4 open contracts (overnight) at that time,
subscribers would have lost a lot of money. Pure luck.
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If If If … “If my aunt had balls she would be my uncle” (Hemingway from “Whom The Bell Tolls”).
How do you know the system would have been long? Even in this raging bull market the strategy was on occasions short - maybe he would have made a killing in early February. BTW, his newest system is also performing very well.
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