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New Strategies with High Sharpe Ratios


#1

Hello C2 Investors,

After some consideration I have decided to code up two strategies on C2. I am seeing if there is any demand for these algorithms first. I deploy statistical arbitrage in US equity and ETF markets. I am happy to discuss specifics on here or DM me. I am also looking to increase my trading capital (DM me on this please).

The recent correction in the markets caught many C2 strategies off-guard. In my opinion there is too much left tail risk, confirmed by high kurtosis in my VaR models, on most of these C2 strategies. My long term Sharpe ratios from 2007 and 2011 are 5.8 and 3.2 respectively using leverage at x1. My strategies can be scaled up given ones risk tolerance. Max drawdowns of 4% and 9% over 10 and 7 years respectively.


#2

Well the greatest verified trading performance I’ve ever heard about was Larry Williams turning $10000 into $1.1 million in 12 months. Do you remember what his max drawdown was during that stretch? 85%. So when I see your theoretical charts here, 435% return over 10 years with a 4.24% max drawdown - that my friend is impossible. The other one is even more impossible, and of course you do show that most of that is a backtest. I could on Monday sprinkle $50 dollars each into 35-40 cheap biotech stocks, or penny stocks, one of which would likely take off like the parabolic red line you’ve drawn for us (while all the others failed, but who cares about those?); and then I could draw up a backtest for that trade and attach its tail to your “live” performance. And then I could give that “system” a name and try to sell this “approach” in the C2 forum and ask if anybody would be interested 

I’ve been here a long time, and what people are interested in here are traders who don’t talk or brag, but simply start a system in silence and prove themselves by their performance. We all know you can’t achieve what you’ve shown us here, because if you’re that good you wouldn’t be sharing it with others, thereby diluting your performance. And in 10 more years with these results thus far, you will own the market.

My suggestion is to start your systems and let us observe for at least 6 months to a year. If you can do even a fraction of what you show, you’ll have many subscribers in no time. Talk is cheap on C2.


#3

Thank you for your advice and a little humility never killed anyone. I was just shocked by the amount of losses investors seem to take. I am aiming to rectify this! To show you that I am not talking BS see below for why my returns went parabolic. I built this system (strategy 2) last year in the autumn so I obviously could not live trade it before. I was long VXX on the 2nd Feb, see the below fill for confirmation. :wink: @MarkAmspoker


#4

Why are you even wasting our time showing us one fill? Just do it Frank! Start up your holy grail and show us through the C2-audited platform. As Kevin Costner said, “Build it and they will come.” In 7-10 years I may even take back my words :slight_smile:


#5

Strategy 1 has 15-16% annual return with 4-5% drawdown, am I right?


#6

Yes, very close. If you are beginning in January 2008 and counting January and February of 2018 as well, you would have about a 15.56% annual return, compounded monthly, with the drawdown as stated.


#7

if it is not scalable up, then I don’t think it will take off.
What position size in %s to capital size is used to achieve 16% annually on capital?


#8

@JITF @CoreyR correct. Thank you for this, it is very helpful. This system trades a maximum of 1% of the trading capital in any one position. This has been done to reduce the specific risk in the system. I will include leverage then I think. What are your max yearly drawdowns limits? Could you absorb 10%, 15% or 20% drawdown per year? What annual return would I need to achieve to get your attention? I see some of these strategies have 1000% + per year returns forecasts, however how much risk are they taking and are they preying on get rich quick subs?

Cheers, Frank


#9

Hi Frank.

Few questions. Is that real money or is it just data from Quantopian?
Please correct me if I am wrong but with that results you can get much more funding over there?


#10

@FrankWilson,

A strategy with an annual return of perhaps 4 times annual Max DD would be nice to see. Or, in other words, a Max DD which is only about 25 percent of the strategy’s annual return, i.e. a 60% annual return with a Max DD of about 15% would seem acceptable to many here. If your strategies could be levered up you could roughly be in that range.

What are the win rates, profit factors, S&P correlations, and Max DD durations for the examples you show?

Do your strategies use stops?


#11

How many positions (max) can be open at the same time?

I would not recommend any dd or returns, just check out the Grid and you will see what are the strategies around. Also subscribers can adjust position sizes by scaling making their own return level.


#12

@JITF,

With all due respect, scaling is not the same as leveraging.

A $10K drawdown on $100K equity is 10%. If you scale at 50%, your drawdown is $5k on $50K equity or, 10%.

There is no difference in percentage of DD.


#13

If I trade same 100k as trade leader and scale down to 50% then my dd will be 5k and 5% of my capital. Why do you apply it for 50k if I assign 100k to the system?


#14

@JITF,

True. Scaling can be used several ways and I mostly use it it as a percentage multiplier of the developer’s equity, up or down, while it appears you use it to adjust for returns and drawdowns. Obviously each can be utilized but I mostly prefer to trade strategies as presented by developers. Each to his own!