The opinions expressed in these forums do not represent those of C2, and any discussion of profit/loss
is not indicative of future performance or success.
There is a substantial risk of loss in trading. You should therefore carefully consider
whether such trading is suitable for you in light of your financial condition. You should read,
understand, and consider the Risk Disclosure Statement that is provided by your broker
before you consider trading. Most people who trade lose money.
Allegro Algo X is a new strategy available to those interested. This strategy has been developed to trade futures and is automated. It uses a set of proprietary indicators that predict the price action that is developing for profitable moves. It monitors bid/ask movement performs an analysis of the data within a local data base to determine if a trend is developing. The strategy takes trades on both sides of the market (long / short). The strategy will only open a single contract per future.
I am offering a 7 day free trial as well as a promotional code for early followers. The promotional code is for a 50% discount in the price of the strategy. The discount will expire Jan 1 2017. For those using the discount it is valid for a limited time.
Use coupon code UGOK78876 when subscribing to the Allegro Algo X strategy.
If you have any questions do not hesitate to ask them. You can email me at the following email - AllegroAlgo@mail.com
The foundation of the model has been backtested. I can provide you with the results of the backtests if you private message me an email address. The results of the backtest are exaggerated due to the nature of how backtesting is performed. In a backtest the open, high, low, and close of the bar is all that is captured, this causes the results to be skewed since the intra-bar granularity is not captured. In my model there is an outside algorithm that writes the level 2 bid / ask into a database. An analysis is performed on this data and looks for trends and patterns. This creates a discrepancy in what is being found in the backtested model vs how the live system operates. I have found that this extra step limits the trades the system takes by about 2/3rds but it improves the winning percentage of trades the system takes and limits the draw down.
Through live testing and trading one contract it generally generates around 3-4k a week. I expect the system to continue to perform in this manner in the future, as it does not have a bias towards up or down markets, it generates alpha in flat markets in the same manner as volatile or trending markets. The current live results display entry and exit efficiency of the majority of trades above the 90% range. When trades do not go as planned typical losses (dependent on contract traded) are in the range of $50 - $300.
Hi, You listed 20K required to trade for your strategy. But looks like you trade number of products. Are you saying that your strategy will never hold 2 contracts at the same time?
Paul the strategy is designed to only open one contract at a time for a specific future.
Example of trading allowed by the system:
Long 1 ES futures contract
Long 1 NG futures contract
Short 1 GC futures contract
Example of trading not allowed:
Long 2 ES futures contracts
Yes, I’m looking at it 4 positions now…And I saw u r trading currencies as well. So, the question is how much money is required for safe trading. I saw a lot of activity at night as well.the nightly margins are higher… Listed 20K…
Thanks,
Paul
The strategy models the margin requirements that c2 has listed. Those requirements are based on overnight holding. The strategy is set to not exceed 25k. This will remain the same regardless of growth and will be modeled down if account values decrease.
Hi, This was first day public and how will you explain this trade?
11/30/16 9:37 QCLF7 CRUDE OIL SHORT 1 48.16 11/30 14:36 49.30 ($1,154). If you coded to get out the trade if it went against you with loss no more than 300$ and here we see 1154$ and u r holding… Do u know what “HOPE” feels like. I guess, I saw it this so many times before. Please explain this trade…
Paul, typical losses are the average losses for the strategy. There is no guarantee that a trade will never be worse then that. That is just the average from my experience with the system.The model uses a dynamic model for entering and exiting trades. This model expands when trends are volatile to account for being whipped around in a trade. Here is a screen shot of the systems backtested model for 2015 on commodities - average losing trade was $162 with the largest losing trade of $1786.
Here is a screen shot of the performance this week to include the crude oil trade, average losing trade has been $183 with the largest loser of $1164 (crude trade).
These trades are rare to occur but they do happen, and today with the OPEC production cut this caused a large spike in volatility accounting for this loss.
But the model and average losses still fall inside of the $50-300 range depending on the contract traded and are not wrong.
Thank you for the respond. I want to have an honest conversation and expectations. Can I ask you this question… I have this “bad experience” where it is looks like developer after some record and just don’t care about basics of money management and account protection. I hope and wish this is not the case here… I prefer , you would have hard stop loss around 300 that would be great… Yes there is tail risks and so on… But expose yourself upfront to the risk it is not I would prefer to do ( everyone was waiting for that decision from OPEC and u could of remove this contract knowing that it is very volatile time). Is it too much to ask for?
Thank you for back-test results shown. Looks very prospective! Not sure how the # of trades per day comes to 1.17? Total # of trades - 2474 per year, which will give us approx 10 trades per day.
Andrey,
The # of trades a day are based off an individual futures contract. In this case that screen shot is an overview of a number commodities that were backtested. So that statistic is displaying that it trades 1.17 trades a day per each future tested.
If you would like to verify you can download ninjatrader for free to explore the factuality of the above statement.
Paul, I understand your frustration with this event. If you look at the broader perspective of the strategy with this losing trade for the day it remained flat. In my personal account it lost $75 with most of that coming from an overfill that was experienced at the end of the day (personal error which has been corrected for the future).
I believe in sticking to the model and not running hard stops or going flat into an announcement as this negates the point in following a model for trading. It is important to handle risk and I feel the model represents that appropriately. I have explored using stops in the model in pivotal points and have experienced that stops are run more often than not especially in volatile trading, which is why the algorithm uses a dynamic entry and exit system as this is to account for volatile swings.
I will be happy to send you the backtest files for you to come up with conclusions on the best way to implement stops for contracts, as I am unable to give that advise for the strategy and investing with it.
What is the difference between Total Net Profit term and Cumulative Profit term in ninjatrader? What should be used as an expected system return? I’ve tried to dig in the internet, but found only similar questions without clear answers.
Allegero_Algo,
I guess I am the only one who is using this system on live account. Most automatic system, including this one, missing Trailing Stop Loss. It will be good if you implement it, especially once trade well into profit, and sudden market move turn winning trade into losing one. Thanks.
It displays the percentage of total gain as a currency regardless of what the user sets it as. From what other customer service personnel have stated is that cumulative profit is suppose to display what the returns would be if the user reinvested the returns, however it does not work. The tests I performed were set at single contract trades, so there would be no increasing the contracts traded over time.
The best gauge for expected return would be Total Net Profit. The backtests are misleading for this strategy however as it filters out about 2/3rds of the trades it takes from an outside algorithm. They still provide you a basis for what to expect from the strategy performance on a smaller scale.
regarding trailing stop, i agree, with the creator of this strategy: no one complains when it works for you, say OPEC didn’t reach a deal today and the CL sold off, not likely we would be discussing this. Strategy if works long-term and you take all trades and just let it run hopefully, trades will likely cancel and average each other out around news events: you will at times have over-exagerrated wins, and losses–but hopefully, some news will work against you, some events will work with you. I personally so far love this strategy and few C2 similar to this–love the frequency and the variety of commodity trading/futures it trades. Very unique strategy, we will see over time if consistency remains without the large drawdowns which take out so many traders.
