The opinions expressed in these forums do not represent those of C2, and any discussion of profit/loss
is not indicative of future performance or success.
There is a substantial risk of loss in trading. You should therefore carefully consider
whether such trading is suitable for you in light of your financial condition. You should read,
understand, and consider the Risk Disclosure Statement that is provided by your broker
before you consider trading. Most people who trade lose money.
Strategy Blender lets you act like a hedge fund “fund-of-funds” manager. You can take various trading strategies here on C2, and blend them together to create your own strategy, at whatever proportions you like.
You can also set automatic stop-losses for each component part of your Blended Strategy. So, for example, if one component strategy loses 2% in a day, you can have it removed automatically.
For now, while Strategy Blender is undergoing a public beta test, no one can subscribe to your blended strategy (other than you). But after our shake-down cruise, and after we work out some financial and business-model questions^, we hope to allow you publish your strategy for other people to enjoy.
… Matthew
^ “Business-model questions” - is a nice way of saying:
We need to make sure that strategy developers are paid appropriately when their strategy becomes a “component” of a blended portfolio.
There are a few ways to do this, and we haven’t decided the best one.
Some choices include:
Add together all full costs of all strategies in a portfolio, and charge end-customers that total amount (very expensive)
Pro-rate the blended portfolio’s monthly cost such that each component strategy developer gets a percentage based on his price versus other component monthly prices. Or something like that. (Of course developers would need to opt into such a program.)
Interesting idea, but I have some questions. If you are “blending” five $50,000 futures accounts, would the master account need $250,000 in capital? Scaling down futures accounts is a problem because of one lots. Also, would positions offset if two systems have opposite positions. The majority of futures developers have a system that trades only ES or other correlated indices. Putting five or more of these systems together isn’t going to give much diversification.
This may work better for stock systems, although the correlation would still be a problem.
The margin needed in the Blended Strategy Account (what you call the “master account”) depends on how you set up your Blended trading. You can specify a scaling factor for each constituent strategy and instrument, plus min and max quantities for each strategy and instrument.
Positions are aggregated/offset. So, if you blend strategy A, which goes LONG 4 ES, and strategy B, which goes SHORT 3 ES, your Blended Strategy will automatically be long 1.
Sure, scaling is an issue… if you use non-integer scaling factors.
For what it’s worth, all non-integer quantities will round down to the nearest integer, with a floor of 1 (i.e. 1.6 rounds down to 1, but 0.2 round to 1.)
This rounding up or down happens at an aggregate level, so - for example - if Strategy A wants to go long 1.5 ES future, and System B wants to go long 2.5, your Blended Strategy will go long 1.5+2.5=4.0 contracts.
Trading “reverse” signals - now that’s an interesting idea! I will see about that.
For now, the question of what is made “public” or not public is moot, since we do not allow anyone to view your Blends except for you, at this time. As I wrote in an earlier post, that will change in the future. Hopefully. If I can figure out how to make the economics work.
This is brilliant Matthew. Nice work. I don’t see how it’s anything but option 1 in terms of the business deal issue. I can’t imagine developers giving away their signals for 1/10 the price and still allowing full access to their signals.
There is an option that lets you auto-subscribe to strategies as needed. If you turn this on, then you can simply drag any strategy into your blender, and you’re good to go. Like this:
I’d like to backtest trade histories and blending. Is there a way to api poll strategies for their ability to blend? Also, I want to only use proportional subscriptions (paying 100% for a strat I only use 10% isn’t feasible) so I’d need to poll that as well. Can I programmatically change blends via API?
It’d be great if strat owners could auto signal to subscribers that they are going change their strategy or go to cash for awhile so we know to auto remove them from the blend.
To protect strat owners, one idea would be that only blend resellers who maintain a certain roi in their publicized blend are allowed access to trades on a proportionally paid basis. Those blend components / underlying subscriptions could not be public. That way there is some IP protection and incentive to open up your system to blenders as you will get paid by those subscribing to the blend. Also, you are only giving signals (on a proportionally paid basis) to folks who are serious about reselling blends (as indicated by an impressive equity curve).
This would also encourage folks from blending secretly and reselling their signals (with no compensation to original strat dev) if there is a better, lower risk financial model to use. There is no silver bullet of course.
