Could someone give a review on this strategy.
Please link strategies with the URL.
It is unclear if you are talking about this one:
This one:
Or this one:
I am mostly kidding because you must clearly be interested in the second one. However, I would recommend going to the second one, click on the name of manager, then click on strategy activity details, then click through the links to previous strategies. This new strategy of his looks amazing but I am curious what the break through from the others was. I am 100% not suggesting holding the previous strategies against the leader, but with 12 times leverage to the S&P on this strategy I would want to have a better understanding of the previous ones and the key differences that make this time different.
4 Likes
@Snow2020 good job finding the others. He seemed to have started this new system immediately after the old one. Could be the exact same thing, just happened to get lucky.
7 points seems to be his magic profit target. Seeing his prior history and based on the leverage I would want him to be TOS or I wouldnât invest.
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Yes, I agree with @DogZebra_Investing about being cautious with this strategy since it has a 95% win/loss ratio which is highly suspect and usually indicates some kind of averaging down. Also, the number of contracts vary which also suggests possible averaging down
Since there is no detail on the trade entries and exits as of yet this can only be assumed.
2 Likes
Before Feb 2018 crash mean reversion idea was widely used on the US stock and related futures markets. Looking on the results of B&B - high winner %, average loss larger when average win - it seems to me that mean reversion is coming back again.
Looks like he uses mean reversion approach, buying dips and waiting for bounce back.
If this strategy does buy dips its similar to a strategy called âsimplicity tradingâ I believe which crashed during the february flash crash and I think started over.
1 Like
Algosystems,
I donât think heâs averaging down ( you can see that by clicking on auto trade data), but he either has very long stops or no stops ( 16% DD per trade in April, before recovering to win ).
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@Biks, you are correctâŚI didnât look at the auto trade data. YesâŚdefinitely a possiblity of large drawdowns
Yep, but if the market will be in the mean reversion mode (like 2016 - 2017) he will get his profit. And since he is over-leveraged the annual profits in %s will be awesome. Until next crash.
It looks like the strategy ran into a tough day the start of this week. Unfortunately, the subscribers who were following it had a total of 92 ES contracts trading live and lost over $150k in the single days trade.
Hopefully, this was an aberration and not a sign of things to come.
Why is it a surprise? It had over 95% win ratio coupled with huge drawdown per trades. It is not an aberration at all.
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Well we did give it a cautious review so those subs that didnât listen will have paid the price. Its so unfortunate that systems that paper trade like this have no clue of the dangers they pose to their subs.
WowâŚI am actually surprised at 92 contracts though! lolâŚguess a big move against him finally caught up to him.
Agreed. Based on past results I would have expected the same from this system. Now letâs see if heâll stick with his same strategy. Wonder if there were actual stops.
The fact that this guy is scaling up the system as he makes trades makes these losses look even worse on the chart.
Bread and Butter has both of the predictors for collapse or serious problems: a win % over 79% and a ratio of Av $ Gain to Av $ Loss of under 1.2. Indeed, it has values way beyond the threshold for concern: a 92.6% win rate and a Gain/Loss ratio of .19.
I analyzed these risk factors for strategies during the Feb. 2018 10% stock market drop. The troublesome strategies fell 20%-100+% in late Jan. or early Feb. Indeed, 4 of the top 5 rated C2 strategies experienced such troublesome issues.
Most of the troublesome strategies (60%) have win rates above 79%, while only 12% of the recently adequate strategies [those performing better than a 10% drop] have win rates above that level.
Among the 41 top rated strategies on C2 on Feb. 5, those with a win rate above 79% had a 75% chance of failure or serious trouble in the last week, while those with a win rate of 79% or less had only a 21% chance of serious trouble.
Further, half of the troubled group had ratios of av. Gains to av. Losses of less than 1.2, and 36% (5 of 14) had ratios of less than .76. This compares with only 15% of the adequate group having ratios of less than 1.2 and only 1 of the 26 strategies in the adequate group having a Av Gain / Av Loss ratio below .76.
Putting this together for all 41 strategies, for the 7 strategies having both risk factors (win rate over 79% and ratio of less than 1.20), 5 of them (71%) either failed or had serious recent problems. For the 9 strategies with only one risk factor, 6 of them (67%) either failed or had serious recent problems. For the 25 top-ranked strategies that had neither risk factor, only 16% had serious problems in recent days.
RISK FACTORS: (1) High Win Rate & (2) Low Ratio of Av. Gain to Av. Loss
- 2 Risk Factors: 71% Trouble Rate
- 1 Risk Factor: 67% Trouble Rate
- Neither Risk Factor: 16% Trouble Rate
CONCLUSIONS:
This small study tested two of the common hypotheses offered on this discussion list for system failure or serious trouble: high Win % and low Av. Gain v. Av. Loss. It examined the 41 strategies with the highest C2 scores on Feb. 5 and defined system trouble as ranging from a drawdown of at least 20% in recent days to complete failure (down over 100%).
Both hypotheses were supported by the data.
Further, Bread and Butter shows extreme values for both worrisome predictors: a 92.6% win rate and a Gain/Loss ratio of .19. Among the top 41 strategies examined in Feb, all but one of the 6 strategies with Gain/Loss ratios below .80 failed or dropped 20-90% in early Feb. And all but one of the 5 strategies with a Win % above 87% failed or dropped 20-90% in early Feb.
Past performance is no guarantee of future performance, but the odds are against Bread and Butter.
5 Likes
A good strategy here, with a positive expectation. It does not average down, based on the trade records. He increases bet size when he is winning and therefore the equity curve is more volatile. Subscribers have the option of lowering the autotrade scaling accordingly . No problem at all.
Nonsense
The trader is holding several contracts overnight.
One small overnight-gap and the strategy is gone.
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Value maximization is perhaps the most important goal of the investors. The primary job of the trade leaders is to keep the strategy aligned with the objectives and constraints of the investors by making all of the investment decisions. In general, Bread and Butter is fairly doing well, with YTD return rate +59.0% and MAX DD only 18.5%. Actually, his performance is better than most C2 trade leaders. I donât think Bread and Butter is a troublesome strategy.
We all knew that futures trading is extremely risky. Yes, he had two big losses, ($15,195) and ($7,586), which causes his Gain/Loss ratio of .19. The subscribers who joined Bread and Butter later in September have a big loss, while the subscribers joined him earlier than August 8, 2018 still made some good money. Because the subscribers pick the time to join in or out the strategies at their own selections, just like the developer selects entry and exit points under different market conditions, there is an inherent risk in selecting a right strategy and right time.
Regarding high win rate, as you mentioned, the research population you did is â41 top rated strategies on C2â. From a view of experimental design, if you want to draw a conclusion for system failure or serious trouble, you need to focus on a well-defined collection of strategies known to have similar characteristics of âsystem failure or serious troubleâ (e.g., annual return rate below zero or negative), instead of these âtop rated strategiesâ. You need answer a question by yourself, if there is any significant difference between âhighâ and âlowâ win rates in these âtrueâ system failure or serious trouble strategies by using your own definition of âhigh win rateâ with a cutoff â79â.
I would agree with you that the high win rate could accompany with a high DD due to a loose risk control (personally tried this kind of strategy in C2 before). But the high win rate itself is not bad as you said, just like the low win rate doesnât have to be bad if the low win rate has a high win-loss ratio. Bread and Butter has 92% winners (25 trades) and only 8% losers (2 trades). There is no comparability (or no significance) between average win and average loss due to the different sample sizes.
It needs to be a little bit more careful with your conclusion that has no solid statistic data before you disseminate it on the public forum.
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The developer was nice enough to send me the back test for the last 10 years, the average yearly return is pretty good albeit one very large draw down. There were some reasons for me not to subscribe, others might come to a different decision.
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Exact thoughts of the traders which traded similar systems before Feb 2018. And than 100% drawdown in the single day. I think that such systems (mean reversion) are appropriate for trading with ETF or stocks. But futureâs leverage kills them in a single black swan event. But before it the returns will be attractive. 
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