E-Micro Swing Scalper - New Strategy

This is a fully automated strategy I have been running live in my personal Interactive Brokers account since May 2022, returning about 74% in that time:

For the above results I have been trading a single strategy. However, E-Micro Swing Scalper is actually a combination of three strategies running in parallel:

Strategy #1 Live Stats (which returned results in screenshot above)

  • Instrument Traded: S&P 500 E-Micro futures contracts
  • Position Direction: Long and Short
  • Order types: Market orders to enter a position, Limit/Stop orders to exit
  • Average trades per month: 20
  • Average # of one minute bars in an open position: 359
  • % Time in the Market: 30.6%
  • % Profitable Trades: 87%

Strategy #2 Backtest/Paper Trade Stats

  • Instrument Traded: S&P 500 E-Micro futures contracts
  • Position Direction: Long Only
  • Order types: Market orders to enter a position, Limit/Stop orders to exit
  • Average trades per month: 10
  • Average # of one minute bars in an open position: 352
  • % Time in the Market: 12%
  • % Profitable Trades: 93%

Strategy #3 Backtest/Paper Trade Stats

  • Instrument Traded: S&P 500 E-Micro futures contracts
  • Position Direction: Short Only
  • Order types: Limit orders to enter a position, tight Limit/Stop orders to exit
  • Average trades per month: 483
  • Average # of one minute bars in an open position: 9
  • % Time in the Market: 13.2%
  • % Profitable Trades: 88%

All Three Strategies Combined (Live + Backtest/Paper results Jan-Oct 2022)

  • Instrument Traded: S&P 500 E-Micro futures contracts
  • Average trades per month: 518
  • % Time in the Market: 44.2%
  • % Profitable Trades: 88%
  • Maximum Drawdown: 14.7%
  • Average monthly ROI: 16% ($8K/month on a $50K trade capital)
  • Total ROI: 160.6%

Starting November 30, I am running E-Micro Swing Scalper live in my personal account, and using BrokerTransmit to broadcast my live trades to Collective2. What you trade, I’m trading.

A big issue on Collective2 (I know from personal experience as a subscriber) is slippage. Specifically, the strategy you subscribe to uses market orders, and by the time the market order is sent to C2 and then executed in YOUR account, your results can look VERY different than the posted strategy results.

To avoid slippage in subscriber accounts, only 6% of orders for E-Micro Swing Scalper (entry signals for strategies 1 and 2) are market orders. EVERY other signal executed is a resting limit/stop order, which should mean MY fill price is YOUR fill price.

Other things to know:

  • E-Micro Swing Scalper is scaled for a maximum open position of 15 contracts (roughly $27K margin balance required by Interactive Brokers) per $50K trade capital. I don’t use leverage!
  • This CAN be run in a margin IRA account, but be aware that margin requirements by your exchange are typically double for IRA accounts (i.e. you’d need close to a $60K balance to trade 15 E-Micro contracts)
  • All three strategies are AI generated and tuned weekly (over the weekend obviously).
  • All three strategies are 100% automated. I NEVER place a manual order, or override an automated order.
  • My tuning and trading servers are beefy dedicated physical servers (NOT virtual machines) sitting in a data center in New Jersey with <2ms latency to Interactive Brokers. I’m not running this out of my basement or off of my laptop.
  • I have AI discovery processes running constantly, looking for new strategies with EXTREMELY rigorous criteria. When/if I add or subtract strategies, I’ll let you know.
  • Collective2 is not my full-time gig, but automated algorithmic trading has been my full-time gig for the last five years.

December is going to be an experiment, seeing how strategies #2 and #3 run forward live (vs paper). I invite you to simulate E-Micro Swing Scalper this month and see how it does, but NOT to subscribe. If December is a great month, then you’ll see the strategy (and the price) are worth it. If not, then you haven’t lost anything, and it may be back to just running Strategy #1.

All paperwork is submitted, hopefully BrokerTransmit is up and running here and posting trades in the next couple of days!

1 Like

Kind of hard to believe that 15 contracts on 50k means no leverage.

Here is the per-contract margin balance required by Interactive Brokers:

Multiply that by a maximum of 15 contracts and you need about a $27K cash balance. As I size a maximum of 15 contracts per $50K balance (which you could technically trade with $30K as long as you never had a drawdown), that is plenty of margin on top of the margin balance required.

I guess technically EVERY futures contract uses a type of leverage, as the required initial margin amount is typically set between 3-10% of the underlying contract value. Which of course is the what gives you the potential to generate larger returns relative to the amount of money invested.

I was referring to never even coming close to placing trade orders whose total position would require a margin balance in excess of your cash balance.

So, $499 out of the gate. You state you have a long history of managing/automated trading, but you have several posts complaining about steep subscription pricing, and significant concerns about drawdowns in the past 1-2 years. Kind of odd you are now promoting a very expensive strategy and not too long ago you were actually one of us losing a lot of money following blindly strategies that just lose. How are you different? Really, there are really no strategies that survive making what you are luring customers into potentially promising–$8000 monthly. Seems your strategy will end just like the ones you subscribed to prior. $499 is kind of a red flag don’t you think? I would love to think you have an amazing strategy, but, seriously, the reality is how are you any different than any other Collective2 ‘strategy’ developer that the odds are greatly against.

@DavidAlbrecht2 I hope you read the above sentence as well. I HAVE been burned by blindly following strategies, and I did indeed get fleeced by one in particular. I am NOT soliciting ANY subscribers currently, but rather, just to pay attention, and follow along via simulation if you want. If December is a bust, then I’ll make an adjustment (like going back to just strategy #1) and see how January plays out.

Also, ANYONE that tells you they have a strategy that will forever and ever make money is obviously full of crap, which is precisely what I did NOT say. My strategies may very well end in flames, just like almost EVERY strategy will eventually. The question is not will a strategy make money until the sun explodes, the question is will you make a profit from it while it DOES do well?

As I can not see into the future, I have NO way to know if next month will be a record breaker or a complete bust. What I am inviting you to do is follow a strategy that HAS indisputably returned 74% since May, live trading in my Interactive Brokers account, along with two other strategies I’m adding to the mix. If it continues to average even 7-10%/month ROI on $50K, it is up to you to decide if making $5000 a month is worth $499/month. To me, that math is not rocket science.

Again, DO NOT SUBSCRIBE NOW. Anyone. Let’s see how December and January play out. If it crashes, then no harm, if it doesn’t, then it’s something to consider. Seem reasonable?

1 Like

Thanks for your response, reasonable. I will be following with interest. Yes, I would pay $499 a month for a strategy that is stable and making 7-10%/month ROI on $50K.

1 Like

Turned on E-Micro Swing Scalper last night in my Interactive Brokers account, and woke up this morning to see that Strategy #3 (short positions only with tight take profit targets) has already more than covered the proposed $499/month subscription cost for the month, so off to a good start for December… Now just hoping BrokerTransmit gets activated soon so these trades are captured here!

2022-12-05_08-46-20

16 trades, 16 wins:

As a side note, just to let you know how much I have staked on testing/running this strategy, I also run the identical strategy in a second account trading E-Mini futures contracts rather than E-Micro contracts. I am actually running this strategy in two accounts, one $50K account trading E-Micro contracts (the one BrokerTransmit is connected to), and one $250K account trading E-Mini contracts.

I have no plans to publish or create an E-Mini strategy here on Collective2 any time soon, I just wanted to let you know that, unlike many strategy publishers here, I am very much putting my money where my mouth is. Like I said earlier, what your trading, I’m trading. And then some.

2022-12-05_09-15-16

Now 17 trades, 17 wins since last night:

Then go TOS. I would expect that would get you subscribers far sooner than all this posting, FYI.

(That and stable consistent returns that is!)

Thanks, I already did exactly that. Just waiting for IB to approve BrokerTransmit to start posting trades to C2, and for C2 to eventually update/approve strategy description, etc… Again, my goal this month is just to start a live track record on C2 and generate some interest if it does well (and it’s killing it today, 26 trades, 26 wins), not have people start subscribing yet.

(I know it says “BrokerTransmit approved” but it’s not, I just chatted with C2 and they’re supposed to follow up with IB…)

WOW do I wish C2 and IB would get their ducks in a row and get BrokerTransmit working. What a great first day, and NONE of it recorded by C2 under the strat. 34 trades, 34 wins, 3% ROI since turning it on last night. Enough in one day to pay the proposed monthly subscription price three times over.

Obviously that kind of performance in one day is NOT going to be the norm (I wish!). We just happened to have a nice red day in the market (S&P -1.82%) and the new “short only” strategy feasted.

2022-12-05_16-07-40

34 trades, 34 wins:

Well it looks like BrokerTransmit is finally posting trades to E-Micro Swing Scalper, but the trades being posted to the strategy don’t seem to match what my live account is doing:

Actual trades:

My live trading is MUCH better than what’s being reported, so if you’re simulating this strategy, hang tight while I try to figure out what’s up. I’ve emailed C2 support.

I have paused BrokerTransmit until I get some questions answered from C2 support on its limitations, and if it can support my strategies, and if not, if they have any mechanism that can. I’ll post an update when I have some answers and direction, hopefully in the next day or so.

So, after several emails with C2 support, it turns out there are a couple of significant limitations automatically capturing and transmitting orders through C2:

  • There is no mechanism to transmit any order type to a subscriber other than market orders, unless the strategy manager enters the orders manually through C2’s “Web Trader” interface. Any automated signal/order tracking available through C2 (Broker Transmit, Platform Transmit) only sends subscribers market orders AFTER my limit/stop order has been filled in my live account. That is less of an issue with strategies that don’t trade quickly, but the most profitable strategy of the three I run currently is #3, my scalping “shorts only” strategy which uses TIGHT limit orders opening and exiting positions. Market ordering those trades after the fact would have wildly unpredictable results.

  • Two strategies running in parallel on my end can’t co-exist with how C2 processes positions. For example, my strategy #2 may be in a longer time-frame long position, but meanwhile, my strategy #3 is scalping short position reversals for profit. If I try to “sell to open” (How C2 sees it) a short with a long already open, it errors out. Interactive Brokers handles this with no issue, just adding or subtracting my total open position size.

So, in a nutshell there is NO way to run fast-trading scalper strategy on C2, which is the strategy of mine (#3) that brings “balance to the force.” The reason I added strategy #3 to the mix (both here and in my personal live trading) is that, with more and more red days and intraday volatility, I was seeing the performance of strategy #1 (which does well with shorts but is still inherently long-biased since it trains on data going back to January 2020) decrease over the last couple of months. Strategy #3 was the answer for that, and the two trading together seem to balance each other out quite nicely.

And I can’t really just run strategies #1 and #2 here, as the only way I can broadcast trades here is by C2 copying ALL of my live Interactive Brokers trades, and I’m definitely not willing to NOT trade my currently most profitable strategy #3 in my live personal account.

So, I’m at a bit of a loss at the moment. I have something that seems to be doing QUITE well, but as C2 can’t publish limit/stop orders (except manually), and can’t handle multiple strategies being in different positions, there does not seem to be a way to run it here.

I would obviously like the opportunity to generate some revenue by sharing trade signals, but that only makes sense if I can do so such that the subscriber is seeing a close approximation to what I’m seeing.

So I’m not sure what the next step is. I’m going to give some thought to how/if I can maybe use PlatformTransmit to solve some of these issues (I use MultiCharts which is not supported directly by C2 which is yet another issue), but it still won’t solve not being able to reasonably trade “scalp” orders.

Chris -

I think what you may be overlooking is that, regardless of whether C2 captures “limit” orders or not via BrokerTransmit, most scalping strategies that work fine in personal accounts are not replicable at any scale in follower accounts – whether you’re using C2 or not.

The top-of-book order quantity just isn’t there. You can get filled personally on onesie-twosie limit orders, picking off local tops, but your followers simply will not get those fills, because their limits will sit there and no quantity will exist for them.

This is a pretty common trope at C2: new strategy manager has strategy that works good (or great) in a personal account, but it is not scalable at any sort of volume.

I’m not trying to to cast shade on your strategy; I’m sure it’s great. But there’s a world of difference running your own $300K account, versus scaling up to a few million dollars (and then it’s another world entirely when you scale up to hundreds of millions of dollars… or billions).

The reason you can even trade a strategy like yours is because none of the large hedge funds bother with it. The opportunity is still around because sophisticated quants running millions of dollars won’t bother with a strategy that relies on trading a few units at the top of the order book.

My suggestion is to try to offer a strategy here at C2 where the moves are larger than a few ticks, and where time frames are longer than a few minutes. In other words, if your strategy works regardless of whether the subscriber pays the bid/ask spread, then that’s a great strategy for C2.

5 Likes

Hey Matthew, thanks for your feedback. I generally agree with you on this, except that the only thing I trade are E-Mini and E-Micro contracts, which are two of the most traded instruments on the planet. There are 10’s of millions of dollars of sitting limit orders on the books at any time at any price point near market price. I have a friend who algo trades $10M-$20M E-Mini limit orders multiple times a day, and I’ve watched while his system placing an order doesn’t move the price one tick. Obviously if market ordering that much that would look a bit different.

So, I definitely do agree that if you’re trading 100’s of millions per trade (i.e. big/hedge funds) OR just blasting huge market orders that you will run into top-of-book quantity issues and need to implement logic to scale in/out of orders without moving the market to your disadvantage, but neither myself nor any amount of subscribers on C2 following a strat are likely going to move the E-Mini/E-Micro needle, especially with limit orders.

Thanks, that’s exactly what I’m looking at (just running my strategy #1 above), but figuring out the best way to set it up where I can still trade other strats in my personal account (i.e. scalping strat #3). It may be just opening a second IB account and only trading strat #1 in that, or figuring out how to get MultiCharts to work with C2 (I’ve seen third party solutions).

Either way, a bummer I can’t share this exact combo of strategies here on C2, as it seems to do quite well.

Thanks for your thoughtful feedback!

2 Likes