Anyone follow 8 systems or more?

C2
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The systems I’ve been trying were mostly reviewed by GuillaumeDebauchez above.
I’ve left: StrategicTrading (discretionary system that stopped performing), Mr Money Tree (in a downtrend and dev announced a change), QuanTimer Gold (dev stopped it).

I’m still in VIX DayTrader1 (in a drawdown), Bob Dylan SP500 (the market is in a period where it doesn’t trade much), Simple Swing (in a drawdown), XLN Swingtrading (just picked this up as it looks nice and boring), QuanTimer VIX (I’m in this as dev replaced QuanTimer Gold with this). And I’m in Drunk Uncle of course.

I like Carma Stocks but have never tried it.

I wish I had access to subscription data on systems. I suspect systems with a modest number of long-term subscribers–not flashy but performing–are probably good systems to look into.

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Interesting seeing the Scout Alpha performance. Not great so far compared to the S&P 500, but it’s still early. Then again, if you’re picking a basket of systems in a zero-sum market with management fees and comparing it to the S&P 500 (an index of stocks in prosperous companies which pay dividends and make up the backbone of America), you better have a very good method for picking that basket.

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Hello, everyone.

Would anyone be able to share the present systems they have… that they have been on for a while. And are happy with.

I’m going to bring down my ambitions a little, conscious that I’ve veen taking on too much risk. For this I need a few solid systems with say 20/30% return that are here to stay.

Dunk Uncle :slight_smile: especially after being kind enough to participate in this thread

Bon Dylan ?

How about Roption, YZ income fund… a large drawdown a long time ago. Good track record. And they stuck with it trough tough times…

ZeroT ?

Any other suggestions ?

Thanks guys. It’s nice to have a bit of a mastermind here. I lost money since I joined and it’s a shame because I found some great strategies. But all the money they made me got cancelled by the hard losses of others.

C2 is great but eventually it won’t survive if subscribers don’t make money. And the only way we as subscribers make money is if we weed out the strategies that will bite us and if we stick together with the winners.

Thanks Leslie for your model. It’s brilliant.

I’m interested in any post anyone may have of the experience of their strategies. For instance Leslie posted about taking our MrMoneyTree. A surprise to me as he’s changing his model but I didn’t see it as a threat. Now thanks to this comment I’m going to think twice about keeping it. Thanks again and please let us know what your specific experience is.

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R Option is one that I have been looking at as well. I would be grateful for any ones input on this as well. Leslie are you in this one or have you reviewed it?

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I have 14 system, I scale each system differently. I monitor it as a full
time job, risky systems I scale down. As you know, some systems only make
1-2 trades a month and some systems are daytrading. I pretty much have
every popular system, no stocks system because it takes too much buying
power. I’m up 3% Ytd.

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This is an awesome post.

Thanks for starting it Transworld and thank you Les (LeslieGray), David (DavidStephens), and David (VerticalTraders) for adding such relevant content to the thread. The concepts for system selection outlined above make sense to me and definitely helped to redefine the way I think about whether to enter or exit a system.

I think the survivorship bias is the main issue with investing profitably at C2. Too many young systems with good returns that look good until they’re really not good. However, David’s point about waiting 9 months feels like an eternity when a system starts to look good (the “Hot system” problem David referenced). I like the Drawdown multiplication technique that Les mentioned to partially solve for this problem.

I’ve always found it difficult to determine whether to exit a system when it’s going through a drawdown. I think the idea of constantly measuring the drawdown and to reduce the position size and/or exit the system if the Return % / Drawdown % goes below a certain threshold (e.g. 3). One challenge is that the ride down from a really high ratio down to 3.0 could be an expensive one. For example, VolatilityTrader still has a ratio of 10+ but his recent losses have been very high.

Given what i said in the above paragraph I’m curious to see what people think about a way to statistically measure the difference between the most recent trades and the overall sample (a concept VerticalTraders brought up). Does anyone have a good method for doing this in Excel?

Something I also think about when I go into a system is whether I can stomach the same drawdown the system went through in the past (especially when scaled up per Les’ comment if the system is newer, which is a genius idea).

I’m trying to think about the best way to run a correlation on systems. One way would be to correlate daily P&L and another would be to correlate drawdowns. Having a low correlation makes sense in many cases, but if most systems are making money, then they might be fairly correlated. For example, by looking at daily P&L data it looks like SniperFutures and ES ST IT have a 57% correlation, but that feels strange to me given the relative range of futures that Bill trades on SniperFutures compared to what ES ST IT trades. Maybe we just don’t have enough data on Bill’s system yet to make a comparison.

Has anyone found an easy way to look for correlation of drawdown using Explorer in C2? DavidStephens shared a way to get a correlation of returns (the query didn’t work for me in Explorer and therefore I have a support request out to C2 to find out why). I’ve found that I can pull the daily equity curve using Explorer and from there calculate the drawdown of each system in Excel. Then I can pull perform a correlation to compare the systems’ drawdown against each other.

I’m wondering what level of drawdown or P&L correlation among systems would warrant inspection. Any thoughts here? Certainly an outlier pair would be a good starting point.

What do people think about a system like R Option? It seems to fail many of the quality metrics that were discussed in here (higher than normal risk of Ruin, Return/Drawdown% closer to 2 instead of 4, highly left skew, etc. On the flip side, unlike many systems on C2 that are fairly new or have failed to survive, the developer has been trading this system since 2013 and is TOS certified on a rather large account (he has made a lot of money for himself).

Thanks,
Ryan

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Well said Ryan on R Option and that is why I was asking for any ones feedback or experience with R Option. You have brought up a lot of good thoughts. Thank you Gregg

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I am not a subscriber to R Option but glancing at the trade history it looks like he has a pretty solid method for option selling so far. Option selling can be a very profitable trading method but the main question involves risk management and how to deal with the occasional trades that go against you or the nasty black swans that can ruin you. The true stress test for these types of systems would be an extremely volatile 2008 or 2011 type market or an intraday flash crash or even a 1987 type crash. We will see those types of market again, but no one knows exactly when and it could be a while.

I think it’s very difficult to analyze a trading system by looking at “risk” metrics which are based on past performance. I mean, obviously you want the past performance to be good, but there are many other factors to consider which probably deserve more weighting, especially the type of instrument being traded, the holding period for certain trades (overnight vs. intraday), allocation, stops, etc. No system is 100% perfect, but if it can survive the most extreme conditions and special situations and still deliver alpha, it’s a very good system.

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I also have R options, scaling at 15%, this system is long term.

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Great discussion. I do think when constructing a fund of strategies that you find a group of funds you are comfortable with and which fit your personality and investment horizon. If you’re only comfortable with 5% of your account in strategies prone to large draw downs, then if those riskier strategies have had a great run, you should trim them back. Conversely, if you are comfortable with the manager and their track record, and their strategy takes a big draw-down, you might even want to shift your allocation back up. I think the VIX strategies are a great example…they have had a big run, and you might want to rebalance “against” them for now. When they drop, you can move the balance back up.

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there’s a reason most individual investors lose money in mutual funds, it’s because they get in and out at the wrong times. Don’t be that guy.

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I like when the provider is using TOS, especially 100%. I totally understand, those strategies do not guarantee winning all the time but I like when developers use real money and definitely avoid martingale system. I was lucky enough left martingale system with handsome profit such as Zip4x and never recommend to anyone join similar system. 1%-5% scale

I had use CKNN algo only for 1 month. The developer is nice and always give what is entry level, stop loss before the market open. What I do not like, he always make improvement every time. I am not saying this bad but It seems, he wants to try his improvement system to the real subscriber with using real money, and also let the profit run becomes great loss. Those reasons make me nervous and uncomfortable, I lost around $7k for 1st month after 7-10 trades. But hey, right now the system makes money. I started Sept 2016. 100% scale

I also use trading volatility 1. He is also nice and good communication. In my observation, he change his TOS from 10% when everything is profitable and 3 % when big losses. but hey, right now the model is making a lot of profit. It took me only 1 trade and make me leave because I lost big money. 100% scale

Volatility Trader
I love this developer. Great great communication, and also he always sharing his methodology and make me understood what he is doing. He teach me how Vix works, naked and cover options, contango etc. But, I have not finished until this sections. he has wide spread for stop loss, therefore when your positions at wrong direction, you either loss a lot of money until you realize this is wrong, or from loss position becomes BEP or gain. His writing options can help to to improve your profit. No doubt, he is expert in this field.

The biggest thing that he did not disclosure before this system down to at least 33%, this model is only small part from his total investment that he did not bring to here. He has another strategies that can hedge from different asset, therefor, he is only down 6% and I am in a big mess from this strategy. I lost 1 new Mercedes Benz S class 2017. To be clear, I and the developer are not in the same boat. So, I do not know if this model can come back to the position back on Dec 2016 or keep loosing money until… Capital preservation is very important and always spread eggs into different baskets. I will say, this strategy is good to booster your portfolio’s performance and put small scale! If I am a new subscriber, I will keep an eyes on to this model because VIX is already low , (one of lowest level between 1990 - 2017) and I am still expecting drawn a little bit, I may join with Small scaling.

Please give your thought especially for anyone who are expert in VIX area for current VIX and SVXY condition
But for current subscribers, I will cut or lower my positions because we do not know until when we are losing our money and also other stock positions. We are in bullish sentiments now. For current subscribers, please share what will you do with this current environment?

Hopefully he can bring all his strategies in C2 since he is advance trader n off course will give benefit to C2 community.

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I run two VIX strategies (XIV Timer and Fast Nickles). Here is my take on the current situation for SVXY, which is an ETF designed to profit from being short volatility. The way this fund accomplishes its objective is by investing in VIX futures contracts. Although the “spot” VIX is at very low levels, the VIX futures are calling for about a 10% jump in the spot VIX in the next 30 days. Every day that goes by, the SVXY fund gets to sell forward VIX futures at a 10% premium and replace them with a like amount of futures contracts at the spot price. So they are buying low and selling high, and this works great until the spot VIX contract starts trading above the futures (which is almost always due to a downdraft in the S&P500). Funds like VXX and UVXY are on the opposite side of this trade right now.

So while the shape of the VIX futures curve continues to favor selling volatility (for example by a long position in SVXY or XIV), on the other hand funds like SVXY have had a big run so from a relative strength standpoint they are probably due for a pullback, and investor sentiment in general seems tilted towards Greed. My strategies, which consider about 12 different variables, continue to signal that it’s OK to continue owning funds like SVXY, but this can change very quickly. If you are in these funds or strategies like mine, you have the opportunity for outsized long term returns, but you have to be able to tolerate the occasional draw-downs of 20% or more. Don’t play VIX strategies with your lunch money. VIX Central is an excellent website for more information on VIX futures. Hope this helps.

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8dae makes a good point with respect to TOS systems. Even if a developer is 100% TOS in a large account, that doesn’t mean he particularly believes in the strategy. For example, even if the account is 500k, if the developer has another account that’s 2.5m which is positioned in completely the opposite way (which the developer truly believes is the correct direction) then that developer doesn’t really want the TOS account to make money… rather, it’s used as a hedge that happens to make money from sub fees to pay for the hedge. Not saying that’s the case here, but it is a reason to still be cautious about large TOS strategies.

As a current subscriber of Volatility Trader, I too had to ultimately cut down my positions at a loss recently – which I completely understand is exactly the wrong thing to do during a deep draw down, but hear out my logic – because I simply don’t know when the positions will turn around and such a deep draw down has changed the risk parameters of the strategy to the point where a rescaling is required at the very least. Several positions have been losing for multiple months and there is no fundamental reason why VIX needs to spike, so apart from the fact that VIX is low (as it has been for several months in past years), there is no fundamental reason for the positions to reverse into a profit apart from the fact that they’re so deep in the red - which isn’t a real reason at all. If anything, the high drawdown indicates a potential flaw in the current strategy since max draw down was supposed to be kept at less than half the current level. Having said all that, I continue to subscribe and am confident in the strategy long term. Just have to rescale and diversify elsewhere.

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Thank you CJZaruba for the explanation about VIX and SVXY. In the technical language, you are saying the current condition for VIX is roll yield and contango. That’s why VIX is still crushing. This is what the developer explained to me. He is a great developer. As you can see, the developer has the same perception like most professional see with current condition but using a different approach in this strategy. Thank you also for the excellent website. Make it clear for regular people to see what professional looking at.

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C2 gives you stats across the whole history of the system, and for a quick sanity check the p value is the one that I would be keeping an eye on, and something you can look at for a recent sample of equity curve data. What confidence interval you are comfortable with is to a degree a matter of personal opinion (C2 recommends <= .05, or 95% confidence level). Excel can do this quite easily, lots of good posts/videos off of a google search for how to do it.

In terms of options selling (a topic near and dear to me), I feel there are two groups of traders:

Those who have yet to see a tail event (and thus might be willing to sell leveraged naked options - been there, did that)
Those who have seen a tail event (and almost to a trader will no longer sell leveraged naked options - now here, doing this)

If someone is selling leveraged naked options, they are really selling catastrophe insurance. It may be a long, long time before they encounter such an event, but it can and will happen and the price convexity that hits can be astonishing. Combine the insane price explosion that can happen due to vega/gamma components of the pricing, along with liquidity completely disappearing, and finally brokers increasing margin requirements at the worst possible time (and someone like IB autoliquidating you to boot at horrendous prices), and one event can put someone out of business who has been doing this for a very long time with a seemingly good equity curve.

My thoughts are either the trading system hedges tail risk when selling leveraged naked options, or the scaling has to be dialed back to compensate for assuming that tail risk. The problem with scaling back on a naked selling strategy is the returns then tend to be very low. I feel the same way about selling volatility, if you aren’t hedged for tail risk then you really have to be careful with the scaling/allocation.

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Agreed. It really is like picking up nickels in front of a steam roller. You can have many years of great returns but one bad day can wipe you out completely.

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Interesting posts . My question is would you subscribe to a mixed system ( options , stocks , futures ) ? In another words a fund of funds . Its clear many subs seems to be looking to subscribe to more than one system and to diversify , so why not subscribe to a mixed system . In my experience single instrument systems will fail or will have mediocre returns .

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Good idea. Which ones do you have in mind ?

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MoneyTree today Martingaled. Checked my emails… No warning… Caused double the usual loss…

Leslie, well done for spotting the change even before it caused a loss

Very pleased with Event Hunter today again. 4 winning trades. Solid. System is new so I’m applying the ratio recommended by Leslie, but I think we may well have a winner here.

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