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I have joined C2 one month ago and have published a single strategy future T2ESSwingM1060. It has done well over the first month 9% return on the minimum investment of $10K. As a past professional commodity trader, the system historically and during the validation period along with this real time test period (I’m trading my own capital also), the single strategy tends to be more volatile than a portfolio of strategies. The problem with the portfolio approach is that it requires much larger investments (even notional) to provide enough diversification .
My question is would the community be interested if I did a portfolio of a number of strategies that would have similar performance to a single strategy (in combination) but much less volatility. What I am assuming is a $50K to $100K initial investment that would allow a portfolio (1 contract each) of 5 to 10 different strategies. It takes me at least a month to develop this approach and do the backtesting, walk forward, Monte Carlo and sensitivity analysis (risk of ruin calculations) so before I start, I’m wondering if this approach is better.
The alternative is to trade each strategy separately on C2 and let individuals construct their own portfolios
Just looking for a direction I should concentrate my work on. Thanks in advance
I know that everyone would want to see it. I was really wanting to see if an opening balance of $50K was too high for the C2 community. We would need this much to do a 5 strategy portfolio. I don’t see a lot of programs under C2 with this high of a starting account size.
Like your comment. Try to keep my public questions simple. LOL
And a drawdown on one futures contract with a small 10,000 account will be much larger than on a 50K account, something that will dog the developer and keep Investors away forever, no matter how successful the system becomes. Two edged sword…
Yep. But if 1-2-3 month of +15-20% monthly returns with 10% dd are shown, selling the signals for 200/mo, then who cares about potential 30% dd later. Money is already in the pocket Trading can be stopped and another system can be started.
The 50K strategy would trade a minimum of 5 contracts so the risk would be the same. Actually, the risk would be lower since you would rarely be fully invested in one direction with the portfolio. More likely it would be long 3 contracts, short 1 and flat 1 (as an example) so you would be net long 2 contracts.
Each system should not be that correlated and ideally almost negative correlation would be best.
One other comment. Any developer that tells you his system can reliable gain 20% per month is “smoking something”. If that was possible, I know guys that would give them $1 Billion for the system. Just won’t happen. Sure some systems will show 20% in one month or even three (the largest gain I ever achieved for my clients was 39.4% in one month) but that was pure luck and a few months later there was a -15% return. 2008 was a very interesting trading year along with 2011 and 2012. I have achieved 100%+ return in actual trading but only did that one year. Usually, a good year was between 20 and 25% and there were losing years!
Again, anyone that promises 20% per month is just fooling you and themselves.
20% per month? TSK! That is nothing. We have claimed academics here around that showed us how they are good at trading and how skilled are to perform 1000% in a month! … Of course in private mode and without subscribers… A world of fantasy expectations !
