I am re-launching a “Collective2 friendly” VERY simplified version of my original E-Micro Swing Scalper strategy. The original strategy had three strategies running in parallel. Due to multiple limitations with how Collective2 captures and broadcasts orders via BrokerTransmit detailed in my original thread, I could not run that.
The new version is simply an “all in or all out” version of my core strategy that I have been running quite profitably since May 2022.
What I have been running since May 2022 is actually four instances of the same core strategy that tune position exits differently, so while all four enter a 25% position at the same time, they potentially exit at different times. I can’t do that here on C2, because if three of those four instances have exited a position and try to open a reverse position while the fourth instance is still in the opposite position, C2 breaks.
For example, if I’m trading a total of 20 E-Micro futures contracts (5 per strategy instance), and all four instances are in a long, but three of the four instances close and flip short while the fourth instance is still long, C2 breaks because it only sees that I went from +20 to -10 without sending a “sell to close” signal first. Basically, C2 breaks if you go from long to short (or vice-versa) without going to zero (all cash) first. Neither Multicharts (what I use to run my strategies) nor Interactive Brokers cares if you sell 30 contracts while in a long position of 20 contracts, but C2 does.
So, the only way for any variation of my strategy to currently work within C2’s limitations is to run a single instance of my core strategy. As I have a live track record of all four variations of my core strategy, I am simply going to use the best of the four instances and ONLY trade that instance for C2:
- Instrument Traded: S&P 500 E-Micro futures contracts
- Position Direction: Long and Short
- Intended Position Size: 20 contracts per $50K balance
- Order types: Market orders to enter a position, Limit/Stop orders to exit
- Average # of trades per month: 25
- Average # of one minute bars in an open position: 359
- % Time in the Market: 33.6%
- % Profitable Trades: 87%
- LIVE ROI since May 2022: 93.5% (11.7%/month average)
- Max Portfolio Drawdown since May 2022: 26%
- Max Portfolio Close To Close Drawdown since May 2022: 21.2%
The intended position size of 20 contracts (which actually only requires about a $25K cash balance to cover margin requirements) per $50K balance intentionally leaves margin for weathering the occasional drawdown without reducing the trade size. This strategy DOES have the occasional double-digit drawdown (usually being on the wrong side of a news-driven knee-jerk market move), briefly touching -25% three times since May 2022 before recovering.
And there’s this: for ANY month this strategy does not return positive ROI (as reported by C2), I WILL REFUND 50% OF YOUR SUBSCRIPTION FEE FOR THAT MONTH. Collective2 keeps 50% of any monthly subscription fees you pay, but I will refund 100% OF WHAT I RECEIVE. If you don’t make money, I don’t make money.
(I’ve just asked C2 Support if there’s a mechanism for me to refund subscribers in this scenario. If for some reason C2 doesn’t support customer refunds, I will discount your following month by 50%.)
Live trading should start next week. Let me know if you have any questions!