NEW TOS Strategy: 95% Win Rate 10% ROI in first week on C2

[ChrisPage]

SP500/NASDAQ Scalper

I figured I better start trading this live here privately and start a trade record that backs up my claims of its historic performance before announcing it. 23 out of 24 winning trades and 10% ROI in since starting it here last week. And these are REAL trades in my Interactive Brokers account.

ANY CALENDAR MONTH THIS STRATEGY DOES NOT RETURN POSITIVE ROI (as reported by C2) CURRENT SUBSCRIBERS FOR THAT FULL CALENDAR MONTH WILL GET THEIR NEXT MONTH FREE.

Use Coupon Code UGOD38533 for a $250/month discount for your first three billing cycles, good through the end of March. This strategy will be $749/month normally (as soon as C2 approves the price). As you can see, this pays for itself MANY times over, usually in 1-2 trades.

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SP500/NASDAQ Scalper is a combination of two existing strategies, SP 500 Futures Scalper and NASDAQ Futures Scalper, but offered at a significant discount together rather than subscribing to each of those strategies separately.

Combined, these two strategies have offered extraordinary historical performance, DRAMATICALLY increasing ROI while only marginally increasing historical Max Drawdown.

SP 500 Futures Scalper opens long and short positions in futures markets trading S&P 500 E-Mini and Micro E-Mini futures contracts. I have been running this strategy live since May 2022.

NASDAQ Futures Scalper opens long only positions in futures markets trading Nasdaq 100 E-Mini futures contracts. It is the same core strategy as my SP 500 Futures Scalper, but significantly re-tuned for NASDAQ 100 E-Mini futures.

In blind run-forward backtesting from January 2022, these strategies combined have an open position about 48% of the time, place about 50 trades a month on average, and have an astonishing 91.6% win rate generating a 320% ROI, a $320K return with a maximum historical drawdown of $30K.

This strategy is designed for account balances of at least USD$100,000. Position size is a maximum of two S&P 500 E-Mini contracts and one NASDAQ 100 E-Mini contract per USD$100,000 in your account balance. While you CAN trade this strategy in an account with much less (current overnight margin requirements at Interactive Brokers for a maximum position is about $44K currently), your account balance needs to be able to absorb both a) increases in margin requirements by your broker, and b) periodic drawdowns.

While run-forward backtesting from January 2022 reports an astronomical 300%+ gain in the worst year for the market since 2008, it also reflects regular drawdowns of 5%-10%, six drawdowns touching 15%, and one drawdown touching 30% in early November. YOU NEED TO BE OK RIDING OUT DOUBLE DIGIT DRAWDOWNS, OR THIS STRATEGY IS NOT FOR YOU. I know that’s easy to say but a lot harder to do when you’re in it. I’m right there with you, as I’m trading this with my own funds as well, so your drawdowns are my drawdowns.

• I trade this strategy live in my own Interactive Brokers account. Every trade is posted using C2 BrokerTransmit, and is a trade I have executed. What you trade, I trade.

• This strategy is AI generated and tuned weekly (over the weekend).

• This strategy is 100% automated and run 24x5. 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.

• Collective2 is not my full-time gig, but automated algorithmic trading has been my full-time gig for the last five years.

This strategy was generated using genetic algorithm AI to discover correlation between NASDAQ 100 price movement and the CBOE Volatility Index (VIX). It utilizes fuzzy logic and opens a position only when a convergence of technical indicator values result in an acceptable trade setup, and then calculates aggressive take profit exits, ideal for volatile markets with frequent sentiment-driven intraday reversals that destroy most day-trading strategies.

• Instrument Traded: S&P 500 and NASDAQ 100 E-Mini futures contracts
• Position Direction: S&P 500 long and short, NASDAQ 100 long only
• Intended Position Size: Up to two S&P 500 and one NASDAQ E-Mini contracts per $100K portfolio balance
• Order types: Market orders to enter a position, Limit/Stop orders to exit
• Average # of trades per month: 50
• Average # of one minute bars in an open position: 418
• Longest flat period: 5 days
• % Time in the Market: 47.7%
• % Profitable Trades: 91.6%
• Run-Forward Backtest ROI since Jan 2022 ($100K starting balance): 320% (24.6%/month average)
• Max Portfolio Open Position Drawdown since January 2022: $30,102 (30.1%)
• Max Portfolio Close To Close Drawdown since January 2022: $10,730 (10.7%)

ALL RECORDED TRADES IN TRADE RECORD ARE LIVE TRADES IN THE MANAGER’S OWN ACCOUNT. In other words, I’m trading MY money with this strategy, not just yours. C2 trade signals are generated by mirroring the trades in my live Interactive Brokers account.

[InteractiveAssets]

When I go to SP500/NASDAQ Scalper it it says private:

SP500/NASDAQ Scalper

[ChrisPage]

HA interesting, your link was to a strategy I started playing with about a year ago when I was seeing what it was like to be set up as a strat manager here on C2. The strategy this post refers to (with same name, I’ll have to see about changing the old one to avoid confusion) is: SP500/NASDAQ Scalper

[InteractiveAssets]

Ah gotcha I just went to your profile page and clicked the first one I noticed. My eyes naturally jumped to the highest return.

[ChrisPage]

A busy last few days for this strategy! It usually averages 1-3 trades a day, not five, but increased market volatility often results (for me anyways) in increased trade activity…

[TraderBen1]

Great job so far!
Just a quick question, how do you autotrade in IBKR as they don’t have that functionality as far as I know?
Some sort of bridge?

[ChrisPage]

Hi Ben, Interactive Brokers allows third party software to place trades through its API. You have to be running either their full-blown TWS client, or at a minimum their IB Gateway client. Either can be configured to listen on a certain port for API commands:

There are a number of third party trading platforms that you can configure to trade through IB’s API, or write your own.

[TraderBen1]

Thanks, I’ll look into it

[InteractiveAssets]

Interactive Brokers does allow clients to AutoTrade C2 strategies last I knew. I am not currently doing it but have before without the need to run TWS or IB gateway. I just had to subscribe to a C2 system, pay C2 for an AutoTrade plan then do the paperwork they give you to approve it. Maybe it has changed though.

[MatthewKlein]

Just find a strategy on C2 and subscribe to it. then select “AutoTrade.” You’ll be guided through the process.

[ChrisPage]

@InteractiveAssets

Interactive Brokers does allow clients to AutoTrade C2 strategies last I knew. I am not currently doing it but have before without the need to run TWS or IB gateway. I just had to subscribe to a C2 system, pay C2 for an AutoTrade plan then do the paperwork they give you to approve it. Maybe it has changed though.

This is 100% correct. I thought @TraderBen1 meant automating his own strategy through IB. C2 handles auto-trading in your IB account seamlessly when subscribing to a strategy.

[newt]

Hi Chris

I like the fact that you have already TOS from the beginning for both your strategies…
But the 90-95% win rate is not an astonishing number for us investors, for most of us it’s quite the opposite.
I’ve simulated more than 500 strategies on C2 in the last few years, and all the +90% winning strategies unfortunately crashed at one point because those traders prefered to keep a high winning rate instead of taking more losses.
But as I wrote in the beginning… I like your TOS-badge.

Any chance that your SP500/NASDAQ Scalper strategy runs on Micro-contracts?
You will find way more interested subscribers that are willing to take a 3K-5K DD instead of a 30K DD.

[ChrisPage]

Hi Newt, thanks for your comments and question. Looking at the Leader Board, I would have thought a 80-90% win rate would have been very attractive, assuming of course you have the ROI (and ideally not horrific drawdowns) to go with it. But it sounds like you’re saying that their failings are usually they do well until they don’t (which I imagine is most strategies here over time).

I have no doubt that my strategy will evolve over time, and likely be replaced completely eventually, as I’m not a believer that there is “one strategy to rule them all” and always make money until the end of the world. Part of my real job is always looking for and evaluating the next suite of strategies to either trade in parallel with what’s already making money, or to have on deck if (when) the performance of my core strategies starts to falter.

It seems like the most successful investor strategy on C2 would be to have a good blend of non-correlated strats and ride them while they run well, being willing to ride out drawdowns within the historical data that you signed up for, and reducing or discontinuing them when out-of-bounds lows or drawdowns occur.

Having simmed over 500 strats on C2, how do YOU best leverage C2 for positive returns over time? Are you looking for one strategy to make money forever, or do you have a process for managing your C2 portfolio that involves adding (or removing) strats based on their performance or some other metrics?

I have considered seeing if this would run well on micros (I think it would as the trade price of course run pretty close to minis). The trick is I plan to ONLY run TOS strats, for two reasons. One, I believe it lends credibility (anyone can throw out a dozen strats they never trade one penny on themselves), and two, I run my strategies through MultiCharts connected to IB, and there is currently no way (that I know of) for C2 to capture trades directly from MultiCharts, as it is unsupported by C2.

Therefore, until I decide to convert all of my strats over to another platform (like TradeStation) that C2 can watch simulated accounts for, I need to open new REAL accounts and deploy my own additional capital for any strategy I publish. I haven’t bothered doing that for micros (yet), as I’m just now getting started as a strat manager, but I may. Requiring $10K to trade this strat in micros is no big deal of course (this strat has made that much in the last week ).

Regarding your $3K DD versus a $30K DD, rightly or not, I always tend to think in percents. I assume that a 30% worst case (so far) DD would require the same risk tolerance (and be just as gut-wrenching) to a subscriber regardless of whether it was $3K of their $10K starting balance, or $30K of their $100K starting balance.

My other reservation about Micros is that, in my professional life, I have always preferred to have a smaller number of higher paying clients than a larger number of lower paying clients. Just less people/relationships/customers to manage. On C2, I’d rather have 15-20 subscribers paying $500-$750 a month trading large balances than 50-60 subscribers paying $200 a month. BUT, if it turns out that higher trade balance demographic doesn’t live on C2, then I would need to consider adapting my strats for lower balance subscribers (or abandon C2).

Thanks for your suggestion, I will do some testing/tuning over the coming weeks to see if Micros are as profitable as Minis, to see if that’s even an option.

[ChrisPage]

Today’s episode of “5% Strategy Drawdown Jeopardy” is brought to you by, as usual, the Fed…

[ChrisPage]

An open letter to the Fed: “Dear individual Fed presidents, stop publicly pontificating about an uncertain future when you have no unilateral authority to decide ANYTHING the Fed will or won’t do 30-60 days from now. Sincerely, The Market”

[QuantTiger]

Nice graphic, so close, off by 50 cents! Days like this happen, and nothing wrong with drawdown if overall it’s expected to occasionally happen and still have a profitable system. One question, are the stops set wide to give things a chance to turn around? Nice open letter btw, haha! I’d sign it!

[ChrisPage]

Great question about the stop loss exits, the answer is yes, they are set pretty wide. They are not static, however, as the strat can adjust them (and the take profit exits) every minute based on a number of factors including volatility, volume, etc.

The way these strategies are profitable over time is a combination of tight take profit targets and wide (but still present) stop loss exits. When 8-9 out of every ten trades are smaller profits, as long as the sum of those smaller profits exceed your one larger drawdown, you still make money.

I’ve tried every combination of tighter stop losses, because no one (including me) likes riding a drawdown down, but the reality is, for this strategy at least, any tighter stop losses dramatically negatively impact the overall profitability of the strategy. Hence my often-repeated disclaimers of regular 5-10%+ drawdowns. But, I believe in it enough that I have been running this strategy (on S&P500 E-Minis) since May of last year, on way more money than is reflected here on C2, and it has been profitable every month but one. THAT is what allows me to ride out drawdowns I’m not crazy about, having built up 9+ months of “faith” that the strategy more than recovers every time.

[ChrisPage]

@QuantTiger Here’s the current chart not truncated so you can see the stop loss value (for ES) as well, currently 4079.25:

[newt]

@ChrisPage

Hi Newt, thanks for your comments and question. Looking at the Leader Board, I would have thought a 80-90% win rate would have been very attractive, assuming of course you have the ROI (and ideally not horrific drawdowns) to go with it. But it sounds like you’re saying that their failings are usually they do well until they don’t (which I imagine is most strategies here over time).

A +90% win rate is useless, when you lose all small profits with one big loss.
Out of thousands of C2 strategies only very very few with +90% win rate are still alive after 1 year.

@ChrisPage

It seems like the most successful investor strategy on C2 would be to have a good blend of non-correlated strats and ride them while they run well, being willing to ride out drawdowns within the historical data that you signed up for, and reducing or discontinuing them when out-of-bounds lows or drawdowns occur.

Most successful C2 strategies (long term +2 years still alive) are those that have less than 70% win rate.

@ChrisPage

Having simmed over 500 strats on C2, how do YOU best leverage C2 for positive returns over time? Are you looking for one strategy to make money forever, or do you have a process for managing your C2 portfolio that involves adding (or removing) strats based on their performance or some other metrics?

The process is to simulate a strategy for a few months …
…but unfortunately +99% of the C2-strategies do not survive the first 6-12 months.
Mostly because they don’t recover after a big DD or they just crash because of bad risk management.
Maybe I might subscribe to a strategy that is still alive and profitable (with low DD) after 1 year of Sim.

@ChrisPage

Regarding your $3K DD versus a $30K DD, rightly or not, I always tend to think in percents. I assume that a 30% worst case (so far) DD would require the same risk tolerance (and be just as gut-wrenching) to a subscriber regardless of whether it was $3K of their $10K starting balance, or $30K of their $100K starting balance.

Since your stretegy has a +90% win rate, it is unclear to us how much DD it is going to take in the future.
Will it still be 30%? or 50%? or even 70% of tolerance? It is not clear in the strategy description.
Also we investors might run 2-3 strategies in our portfolio at the same time… imagine all of them with 30%DD!! And there is no garantee that a strategy will ever recover a 30K loss. (It is only a DD if it will recover again in the future)
Most C2 strategies then just disappear and re-incarnate later again. That’s why 3K loss is preferable.

@ChrisPage

My other reservation about Micros is that, in my professional life, I have always preferred to have a smaller number of higher paying clients than a larger number of lower paying clients. Just less people/relationships/customers to manage. On C2, I’d rather have 15-20 subscribers paying $500-$750 a month trading large balances than 50-60 subscribers paying $200 a month. BUT, if it turns out that higher trade balance demographic doesn’t live on C2, then I would need to consider adapting my strats for lower balance subscribers (or abandon C2).

Only time will tell if you will ever have 20 subscribers willing to pay 750$.
It’s more likely to have 60 subscribers paying 200$…after several months of sim.

[ChrisPage]

Very disappointing, can’t catch a break with the news cycles these last couple of weeks. After a great start, this strategy is stuck holding a long NQ position that it barely missed its exit for two weeks ago, as the market slowly descends into a Fed-fueled 7% decline in the NASDAQ in those same two weeks. That combined with several ES position losses (again, usually doing fine, “and then the Fed”…) means this strategy is currently in the second worst drawdown since the beginning of 2022:

And looking at the NASDAQ daily chart (or ANY chart), it doesn’t look good for holding a long position at the moment.

Each symbol traded in the strategy has a drop dead stop loss maximum of a 30%, which has only been hit once. With the market tanking even more anytime any Fed president anywhere opens their mouth in front of a microphone, this may be the second time.