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.

Asymmetry and Chaos Program


Institutional accounts typically tolerate 5% to 25% margin/equity ratio. But then again the account sizes are way larger than retail accounts at $30-$40k which are hard to manage for futures trading.
Counter-intuitively, large accounts are much easier to manage and can have internal hedges (cross-commodity, short term options, calendar spreads etc) built in.


Osutai, I finally figured out what you meant by strategy for ym. You subscribed to the mini-DOW strategy that had a melt down? Sorry to hear that.
Trading a single instrument directionally in a bull market tends to have a turkey problem: you keep getting fed until you are slaughtered on Thanksgiving.


Don’t worry about lot size for subscribers. Just trade your system they way you want to with the risk parameters you feel are appropriate.
If it is truly a good system over time you will get many subscribers over time. No worries.


No I’m not invested in a strategy for YM. But I have been burn so many times trading futures on c2. All because of leverage. 50k balance trading on 10-15 YM contracts or 50k buying 5MM forex.

Since 95% of strategy on here trades paper money, so protecting my real money is going to be up to me. So I’m asking the question if you have a max contract or max trading size.

How do I know one day you won’t trade 500k worth of contracts or keep buying lower and lowe until all margin runs out?


Osutai, unfortunately I don’t have a good answer for you other than to watch it like a hawk. Futures are inherently highly leveraged instruments. My long term goal is to increase the leverage-adjusted return and reduce the margin/equity ratio. Futures vs stocks are very different animals. Any fool can goose his return with leverage but incur unreasonably large risk. Trading futures with less than $1 million is a real challenge in terms of risk management.
My program aims for sophistication in risk control but there will be sizeable drawdowns sometimes, especially when the AUM is small. And you are right, there’s nothing stopping any manager from going haywire, even when they have their own money in it.
Finally as I mentioned, contract sizes are a crude measure and borderline irrelevant. Each contract has its volatility characteristics, e.g. $100k worth natgas and $100k of corn are not the same thing. All that is important is loss tolerance at the position and portfolio levels, and execution.
Good luck.


But a lot of manager do say they only do max 1 or 2 contact. So you are saying you dont know or you are not committing to a contract # limit.


A good answer would be to inform us how many contracts each of the 3 most recent trades in SI, VX, and NG you traded in your 1.5MM account. If you had an aggregate of 300 total contracts from 10/8-10/9 then you’d be at the same risk level as shown on C2. I suspect not. Please let us know.


The entire trade sizing and risk management methodology can fill a 50-page book but it is built in an algorithm I refined over the years. As I mentioned several times the # of contracts and contract values are relevant only in theory, but not relevant in practice. Refer back to the crude oil loss tolerance as a percent of portfolio example in my previous post.
When picking position sizes there are numerous factors to consider (figures are current and approximate). For example:

  1. What is the Kelly Criterion (reward/risk ratio)?
  2. What does each 1% move cost? Gold = $1200, VIX = $600 (@20), NG = $300
  3. How volatile is this instrument? VIX can easily travel 10+% in a day, NG 3%, Gold usually 1%
  4. Is it a trended or countertrend position?
  5. Would all positions respond similarly to a single event (rate hike, dollar strength, war…)
    …so on and so forth.
    I built in correlations (change all the time) and volatility factors into sizing decisions. So when I’m short silver it maybe a bad idea to short platinum at the same time.

On October 8 the portfolio equity was around $36k, I was holding 3 NG, 2 SI, 2 VX.
Here’s the rough snapshot:
Contract value = $265k = 7.3 times account
Margin used = $32k = 88% (over time this % needs to come down - it’s already happening)
1% x 3NG = $950 = 3% account
1% x 2SI = $1450 = 4% account
1% x 2VX = $560 = 2% account
If everything moved 1% against me (simplistically) it is a 9% move for the account. Ideally any manager would liquidate or change course when all move against at the same time.
As you can see, contract size is but one very blunt tool. You will go broke long before that comes into play in practice.


So what if it goes 5% against u overnight?

Wait u are gonna promise that will never happen. right?


Watch how I trade, not what I say.


@TheMonk, yes its true…there are too many traders that talk and don’t follow their own rules. It will be interesting to see your results!


Hi e stat, I don’t know where you came up with the figures you cited $1.5mm and 300 contracts. Care to enlighten?


Be glad to let you know as soon as you answer the earlier question of how many contracts each of the 3 most recent trades in SI, VX, and NG you traded in your 1.5MM account.


My mistake-a different trader had cited the $1.5MM account. I would enlighten that you have both traded and written a few days ago that you used 88% margin to a position that had drawdowns that almost certainly would have triggered IB’s secret magic instant liquidation algorithms (you can google this). Trade fewer contracts, keep margin well under 50% and if trades work they will speak for themselves.


When i was looking for money managers, i was always told the most important thing to look for is the max drawdown, and that should never be more than 10%. 10% is the barrier that if broken can go to 40%, 60% etc. So therefore myself i am also trying hard to keep my drawdown under 10%, to attract like minded investory.


I already answered the question in a previous post re: Oct 8 trades.


Just an update of our positions here. The ongoing theme is a resumption of dollar strength and weakness of industrial metals. Wheat is still suffering from some weather hangover and nearing support. If it breaches trendline we’ll be out.
In the future I may limit this type of broadcast to current subscribers only. Cheers!


That’s probably the best way to go. I believe that’s what most developers do. I did it as well.


Update: there was some turbulence since last week. We made some adjustments and the theme of strong dollar and base metals weakness resumes. Current positions short euro, silver, copper, wheat.


Keep up the good work!