First the good news: welcome to C2! Now the bad news.
HFT systems like yours have a hard time replicating their stellar results from other environments. I refer you to this thread regarding McProtrader (a system which just blew up by the way).
And in particular Matthew’s explanation why results flatten as soon as a system takes on abundant autotraders:
“For strategies without AutoTraders, Collective2 assumes that – in the case of limit orders – you will get filled at a bid (for Sells) or at an ask (for Buys). In real life, this doesn’t always happen, because orders that do not “trade through” the limit (i.e. go above or below them) may not have sufficient volume in the marketplace to fill all bids or asks that are posted. Yes, some orders will get filled, but it is not guaranteed that all will be filled, nor (more importantly) that all C2 Members’ orders will be filled.”
So once autotraders appear, the final price of a fill in the C2 record is the average of what all those subscribers realized in their actual accounts. Here are a couple examples of systems that experienced “the autotrader performance hit” (I’ve indicated the date when autotraders appeared – you can look at the before and after).
If your system is trading 200-250 times a month, I would predict that with autotraders piling on you will either be flat or slightly positive in a typical year, as compared to the 400%-500% annual gain you claim.
