Beware 'Found It' (and other fast traders)

So today I watched live trading of Found It as Aziz attempted to squeeze a profit out of the MNQ futures. Here’s the problem. His trades are so fast that your portfolio will never track the leader’s. There were several times where his portfolio was e.g. short 20 contracts while my portfolio was still long 10 contracts, as C2 was delaying trades by 3-5 minutes, presumably to space out trades among all the subscribers. This is worse than slippage; Aziz was trend following on such a short time frame that the C2 system could never issue the API commands to IBKR in a fashion that meaningfully followed the leader’s trades. Sorry but the trading style and this platform are not compatible.

I don’t mean to pick on Aziz but today’s live trading action was a real eye opener. I’m sure there are many more strategies with beautiful equity curves that can not be realized on C2 due to inherent limitations in copy-trade execution.

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The issue is that the CME forces C2 to throttle the executions for market orders. This can be a big problem for systems with a lot of subscribers that trade a large number of contracts at once. See this past forum thread for more details:

Yes, I’ve read this thread before. I want to highlight that the trading delay issue is further compounded by trading frequency. ‘Found It’ traded 16 times today with some trades lasting only a few minutes. This meant the model portfolio was often holding positions that were diametrically opposite to the copy-traded portfolios for several minutes at a time. Hilariously, ‘Found It’ lost $7029 today while my ‘copy-traded’ subscription lost only $3050. Luckily, I got out of this strategy with a narrow loss overall.

I recognize that there is not much C2 can do to improve the trading delay situation. However, it is important for C2 to inform futures trading leaders about system limitations, i.e. that when they make a trade lasting less than the typical C2/IBKR/CME trading delay time, the results in subscribers’ accounts will be meaningless. C2 can also use the trading history of existing strategies to identify high frequency / short duration trading patterns and warn would-be subscribers (and the leaders!) of the dangers.


Do you know if this applies to broker transmit orders?

For me, the maximum leverage of “Found It” would be a no-go!
Filters once in the grid with the following parameters:
Max. Leverage >= 25, Strategy Age >= 730 (2 years).

Lots of strategies that exploded…

Doesn’t C2 always convert to a market order no matter what the manager sets? The aim of C2 is to represent the portfolio as best as possible. If the manager comes in with a limit order and the market then turns and no trade is entered into for the subscribers, that is even worse than if there is slippage (excluding CME restrictions).

According to this page, all orders are executed as Market orders:

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Yes: when using BrokerTransmit, we track your live order executions, and wait for orders to be fully filled before we publish a market signal in your strategy. This happens very quickly because we’re connected directly to your broker, as long as you do not trade large orders that result in partial fills.

Aziz can use the NQ and solve the problem using 10 time less contracts, but he is not even responding, maybe no reading the messages.

“the delay of the signal executing” is a big problem now. It will make some improvement on system " Found it", avoid trading on fast moving market time, avoid trading " last of few minutes"

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There is a similar issue with widely followed strategies that focus on rather illiquid small-cap stocks. As I posted in the “Community Social” area of (Quant small cap winners):

“A word of caution to those considering this strategy: a review of the reported results for many trades will reflect an ofttimes extraordinarily wide discrepancy between the entry and exit points realized by the strategy manager and those realized by strategy followers. See for example the BTO entry for Electromed on 12/18/23, where the strategy manager entered at 10.43 and his followers at prices ranging from 10.60 (best case) to 11.05 (!) – levels at which the strategy manager would presumably have been glad to exit with a more than handsome momentary gain. Similarly, the strategy manager exited the trade at a loss weeks later at 10.32, while followers exited a prices ranging from 10.30 (best case) to 9.88 (!). I attribute this to the wide bid/ask spreads and poor liquidity typical of the small-cap stocks upon which this strategy is focused.”

See also the additional example cited by @GaryLynn2 at the same location.

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These are all great points and should be issues to consider whether trading alone or trading for others.

Here’s a more nuanced point that highlights the real problem for C2. As noted before, many strategy managers are executing trades that last only a few minutes, which is less than or comparable to the copy-trading delay time of the C2 platform (particularly for futures). This can put the strategy manager’s model portfolio in opposing positions to his or her subscribers for some minutes at a time. If the strategy manager executes opposing trades just after the C2 trading delay time, he or she will capture the market effect of clients’ delayed trades, effectively front running the subscribers and potentially leading to harmful results for them.

I don’t see any way around this except for trading discipline (i.e. reducing trading frequency to minimize the market front running effect). I don’t think it’s fair to label this effect as mere ‘slippage’ when the strategy manager is trading in a manner that can harvest the market action of the subscribers’ delayed trades, whether intentional or not.

Does not look good:

“I’m shocked, shocked! to find that gambling’s going on in here.”
On the other hand it could be worse with this much leverage.

I wrote a blog post last year warning about this one


Perhaps he lost it…Awww.


As someone that has been trading since the early 1990’s fast trading is something I tried to conquer for many years. I have had periods of doing really, really well and other periods where I “shit the proverbial bed”!

What caused me to stop was stress. Don’t get me wrong, I know people that thrive in that environment. The key is to know yourself, I believe.


Well, nowadays you can let your robot does it without the need to look at the market yourself. Stress free. :grin:

Of course it takes significant effort to develop such a robot.

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