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Congrats: first C2Star strat trading Stocks

In the past day or so, a newly minted C2Star strategy appeared on the list called Daily Scalp:

Unusual for C2Star strategies, it trades Stocks, not Futures. There are a near-record number of Star strategies today (7), and all the others trade futures. I have not connection to it, I’m just encouraged that someone trading stocks managed their trades well enough to make it this far.

As far as the strategy itself goes, I find it interesting that although it does do a good bit of “daily scalping”, nearly the entire amount of profit so far (~$4400) comes from a series of swing trades that started back in November, and not so much from the day trading. Most of these are quite liquid equities, but one trade in particular might be problematic if there was a reasonable amount of real money following it: CHAP (Chaparral Energy) has a market cap of only $60M, and it was probably less than $40M when the trade was put on, as it nearly doubled over the course of six weeks. Position size was 1600 shares, and average volume (currently) is 266k shares… so if there was even $1M following Daily Scalp, the market orders would have amounted to 32k, well over 10% of average daily volume; significant slippage could be expected, especially for a low priced ticker such as CHAP (bid-ask range is 8c at the moment, with last transaction around $1.57. I don’t have order book access at the moment to dig further, but it’s sketchy to call CHAP liquid enough for a C2Star strategy.

So, congrats to SuperBowl (developer) for making it, and good luck to all.

As a further note, this melting-upward bull market is so good to C2 equity strategies that there are currently multiple strategies that would meet stringent C2Star requirements if they had launched two months ago today (Nov 9, 2019), or rather had applied for C2Star certification on that date, at least on a performance basis (also need to be ~50k portfolio size and $125 fee).

A further note: the past 60 days have been so good to equities that simply holding SPUU (a 2x leveraged SPY-alike) would have met most C2Star requirements, I believe. Overall drawdown would have been less than 5%, but there may have been trouble with the finer details of Max Open Loss and Max Equity Drawdown in a rolling 24hr period. So one-trick ponies holding large swing trades in leveraged ETFs aren’t ever going to make it in C2Star, but that a 2x levered position could even come close to C2Star requirements over a 60 day period is remarkable. So I’m remarking.

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