The fills you see on C2’s hypothetical track record are the exact fills actual subscribers achieve when autotrading. C2 changes hypothetical fill prices so that they equal autotrade fills as soon as the broker execution reports are sent to us. So, for systems that are autotraded, there is no difference in execution prices between reality and C2’s track record.
So, for systems that are autotraded, there is no difference in execution prices between reality and C2’s track record.
I doubt it. The reason is very simple. C2 isn’t able to show exact fills on market order if there is more than one autotrader. So logically speaking C2 shows average fill of all autotraders. It makes difference on personal scale.
I am sorry Matthew, but this is not my experience. On 8/25 and 8/26 I auto traded Defiant and Persistent and in both cases my actual performance (before commissions) at OX deviates from the hypothetical results. For example, I scaled Defiant at 10% and when I use the Overlay function on the hypothetical results the performance for my actual trades (which are the correct OX results) are not 10% of the hypotheticals. I believe everyone, if anyone at all auto trades it besides me, uses OX because they are the only one where you can negotiate a fixed commission per trade.
For example, I scaled Defiant at 10% and when I use the Overlay function on the hypothetical results the performance for my actual trades (which are the correct OX results) are not 10% of the hypotheticals.
It’s irrelevant to C2 stats, but you tested the systems in a little bit wrong way. Native order size or lot is 100 shares on most of exchanges (penny stocks is different story). When you send odd order i.e. scale a system to 10% your order will be split to two parts lots and odds Usually lots are going directly to an exchange and odds are simulated by broker in other words broker can put in an exchange not less that one lot and the broker has to find rest of shares for the lot. Well… the simulation usually gives you bigger slippage than if you trade in lots. What you actually tested is how your broker works with odd lots on market orders in stocks.
What you are saying is correct. However, even where my 10% resulted in even lots there was substantial slippage and the discrepancy in hypothetical and overlay is still there.
For example, Defiant had a transaction of 25,950 shares of Disney. C2 rounded it up to 2,600 (very close to actual 10%) when it sended it to OX. Hypotheticals show a gain of $1,037 whereas my actual result at OX, and also shown in the overlay, is a loss of $86.
I stand by my previous statement. I said that C2 changes the fill prices you see in the hypothetical track record to equal the average fill price received by subscribers who are AutoTrading a system. In fact, C2 does this. But you can’t assume you are the only subscriber to a system (which you seem to assume in your post).
To take the example you mention in your post, the signal where Disney was sold, your particular brokerage fill had $0.07 negative slippage versus the average fill price (meaning your fill was $0.07 per share worse than the average fill received by all autotraders). But the average is the average. There were other subscribers who achieved positive slippage versus the hypothetical fill.
However, even where my 10% resulted in even lots there was substantial slippage and the discrepancy in hypothetical and overlay is still there.
What did you expect? The system trades unrealistic/fantasy sizes at C2, No one in clear mind will put 20K shares in market order on retail account I even don’t speak about multiplying the size to number of subscribers. 7c slippage isn’t too bad if you don’t hunt for few cents and it is in normal range of usual slippage. The trick in C2’s average price is very simple. I assume that C2 doesn’t weigh volume of an autotraders. I.e. 1 lot and 100 lots have the same weigh and fill price is averaged as for two trades for 1 lot
You don’t waste your money. At the moment you have an idea about your average slippage for market orders (it’s one area where you have to pay real money) and about few tricks of C2’s system vendors.
Thanks for your contribution.
I hope Matthew will respond to it.
I have to add something in defense of Defiant: Since 8/25 it had a total of only 5 trades while on average it has 5 trades a day. Furthermore,
on 8/26 it had only 1 trade, 29,340 shares of GE, the hypothetical record shows a loss of $293 whereas my account (10% scaling) had a gain of $29 on this trade. Since this is a counter-trend system there are many cases of positive slippage. In other words, I have to give it a longer testing period in order to come to some sort of conclusion.
I would assume that you have a deal with nearly random system that earns the subscription money on C2’s lack of simulation of market orders in stocks (it’s not C2’s fault) and different brokers executions that gives a subscriber a believe that his/her broker is better than average.
Of course I might be wrong and only real test might show how it works for you.
No, Eu. We use volume-weighted average fill prices.
I know as a system vendor that C2 does show actual fill averages because it can be .25-1.5 from what I actually put in. The issue from my point is I might not find that out till after I’ve closed out of the position if it moves fast, so I might think I’ve gotten a 2 point gain and it ends up being 1 point or less in a bad case. Just something I have to work with.
Okay, okay. Let’s look on presented by C2 stats with your info about fills.
Accordingly you current track record shows averaged by volume fills from autotraders. The system has 1669 recorded autotrades so far.
- What is represented in “Best-case, with commis.”? C2’s fantasy world, sorry hypothetical fills or averaged fills?
- What is represented in “Realism Factor, with commis.” ? Averaged fills?
- What is represented “and real-life slippage” it’s much worse than “Realism Factor, with commis.”
- How you would explain Karl’s research for fill-by-fill
"There were 271 fills with positive slippage, 277 fills with no slippage, and 369 fills with negative slippage. Across the 917 fills, there was $5.82 of negative slippage, about 0.6 of a penny per fill. In and out, about 1.2 cents of slippage per trade. But including that slippage, the system made $126 per trade."
that doesn’t correlated with info above?
Where is correct info and where is fantasy world? Would you care to clarify all the mismatches in C2’s stats?
I agree that % profit per trade would be the only way to compare apples to apples and would let the small guys get some exposure.