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i tried to follow it for last couple weeks. even tho it doesn’t allow subscription. I tried to follow it after he closes a trade. I realize the price he got doesn’t match the bid/ask on LIVE vix futures trades. What i meant is i saw him open or close a trade at a current price. But live VIX futures didnt actually trade at that price or not during the time that was posted by c2. How does c2 actually get the bid/ask on futures? mid pt or waits until a REAL trade is striked ?
Has anybody actually traded VIX futures on C2. or is this c2 slippage vs real life slippage issue im seeing ?
Chocho - I will investigate the quotes used to fill these hypothetical trades, and where they are coming from.
On a very general level, I suggest that in cases where a strategy owner does not allow real-life fills to happen on C2, C2 can’t take into account real-life slippage in its calculations. So, one should probably discount these hypothetical results substantially – and all hypothetical results without real-trading data incorporated as part of the analysis.
I subscribed to a similar strategy some time ago with terrible results. You’re correct: it all comes down to the fills. My conclusion? High frequency trading strategies such as these are unlikely to ever work on the C2 platform.
Let’s assume that this scalping strategy is profitable because it executes only limit orders and never trades at the market price. That’s not an unreasonable assumption - it’s how most HFT strategies work. When it comes to trade execution, those limit orders will either fill or not. The algo will then deal with the outcome and continue to place limit orders in line with the rules. What the algo won’t do, however, is cross the spread and trade at market. If it did that, the slippage costs may ultimately make the strategy a loser.
So it all comes down to how those limit orders are filled. If price trades through the order price you can be assured that the algo and all subscriber accounts will fill as planned with no slippage. But what happens if the developer’s infrastructure can get higher on the order book than the subscriber’s broker account, and fills an order before price adversely moves? There will be a mismatch between the algo and the broker accounts. C2’s AutoTrade has to make a decision - and quickly - to ensure that the subscriber’s broker account is aligned with the algo. So it places a market order to get back in sync.
There lies the problem. The performance of the algo may not be reflective of the performance that the subscribers achieve. The positions and trade times match, but the fills will be different. We can’t blame this on C2’s AutoTrade infrastructure - it has to sync the positions somehow, filling at whatever the current price is (and my understanding is that is does this within 2 seconds).
My own experience of subscribing to a similar strategy was that my broker fills were often ‘synced’ market orders, a tick or two away from the limit order price. Those slippage costs overwhelmed any edge the strategy had. (Note that the tick size on VIX futures is $50.)
We don’t know the infrastructure that the developer is using. Perhaps it is microseconds away from the CBOE and orders get to the top of the VIX futures order book every time! Perhaps it fills off-exchange and we can’t see it (although I don’t think that can happen with VIX futures). Perhaps the algo being used assumes orders fill whenever the limit order price is the bid/offer, regardless of whether the security actually traded at that price.
Put simply, unless a high-frequency strategy has a consistent AutoTrade record - it can’t be trusted to be achievable by subscribers.
It’s obvious he’s using C2 as marketing ploy for his other services hence the link to his webisite…how can a system close to new investors after just a few months?! The strange thing is he continues to promote the ‘closed’ system on his website and marketing e-mails…which will only service to further incite the recipients who can’t invest…
The system’s orders are filled as market orders. Most of his hypothetical results make .05 cents profit (50$ per trade). In reality, due to being filled at market, each trade was bought at the ask and sold at the bid. Therefore his hypothetical gain of 50$ per trade was in actuality a 50$ loss.
I glance at the trading history. Realize c2 allow the system to buy at bid, let him sell at ask. But in real life no trade actually happen. Real life spread between the 2 remained at .05 spread.
And when the spread shifted higher or lower. C2 keep allowing him to buy at old bid and sell at new ask. Or if trade go against the trade, Instead of in real life would have taken a .10 loss. C2 allow the trade at no loss.
We all know c2 can cause slippage for subs, but he’s take advantage of that instead. Smart guy
@MatthewKlein hi Matt, have you had the chance to look into the trades? Just saw another trade seeing him long vix futures at $0 and closed for $15.50.
I realize this system is not open to subscribers, what if he is just building a track record to reopen in the later date. Don’t want to see fellow subs getting burn if these return are unachievable in real life. Because i been keeping a close eye to this system so i can subscribe when open. Now the performance is at a pt which its too good to be true.
There is one of his strategies - Volatility ETF Trader - you can subscribe to, so far not very good. If you try to get some information from him you get an email from his secretary who tries to coax you into one of his hedge funds.
I see the system is available again for general view…) And what the site of this smart kid says - Our high frequency VIX scalping strategy is now the #1 top performing strategy on Collective2, with returns of over 2000% since April 2016 …
I’ve been watching this for a while too, and it looks like whenever he has a limit order, and that price is touched, C2 counts it as a trade. If there are no subscribers, then there are no real trades to check it against. It’s easy to say “the returns of strategies like this should be discounted substantially”, but that doesn’t sound fair to subscribers who aren’t aware of what returns should be discounted and what shouldn’t. I would suggest that C2 make an adjustment so that of any trades on any strategy that can’t be backed up by auto-trade data, the trade would only be logged if the market actually trades THROUGH the limit price. That seems to be fair to all.
Im pretty sure all he want is to re-direct traffic and subs to his website. And invest into his 250k+ minimum hedge fund. I tried to inquired about the fund. All i got from his wife was a prefect looking hypo on growth of avg 160% per yr gain and an impressive 9% max drawdown in performance data. I tried to ask about what instrument or what asset class is the fund buying. All i got from her was a “proprietary algo system” as most of her answers.
Maybe some of his new subscriber can chime in. Just saw someone sub to it last week. Did he really pay $2k a month for the new sub fee?
OK probably this new sub will shed some light on this. My question is - how comes the page says “This strategy has placed 262 trades in real-life brokerage accounts…” when no real trades are displayed?
Any kind of BuyBid-SellOffer system for the contract with expensive enough tick size (no wonder he uses VIX with $50 ticksize) to override C2 transaction costs will demonstrate same results on C2 simulator datafeed.
I would suggest any system with track-record based solely on C2 sim fills has red warning that it’s sim trading results.
Interesting to see that the system is now unavailable.
And i realize he only subscribed to one system since his been on c2. I wonder if he is cloning it and use it on his “hedge fund” and start claiming those return on his new fund. His assistant send me a summary sheet of a hedge fund from his website with similar return YTD.
I unfortunately was one of those who used auto trade on his system. Every time his system showed a profit on a trade, I lost on average 100$ per trade- selling on the bid and buying on the ask. His system’s hypothetical results showed 100$ gain per trade-
How is that possible? If you autotraded it, the C2 results are adjusted to the weighted average price that the aututrading subscribers received. Were you manually trading it?
No it was all done via autotrade. The simulated price he claimed for his system was off $100 per trade in my account- purely his hypothetical winning results vs my account losing every trade
I haven’t studied the specifics of the trades, but probably what happened here is that the system was scalping, and autotrade could only follow by using position synchronization. This is one of the reasons why the results for this particular system seem unachievable to me.
I’m actually subscribe to his SeekingAlpha articles. He seems like he knew what he is talking about in most of his writings. Very complex and deep understanding of investment instruments.
But a great scholar doesn’t mean You will be a great trader.
