This morning we opened a live short position of 2 @ES contracts at 04:17:02 AM, and then exited that position in two buy-to-close orders at 05:04:00 AM and 06:49:27 AM for about $1200 profit. However, none of those trades were sent out to C2 subscribers or are reflected in our strategy trades. I’ve contacted C2 Support to see what’s up.
In other news, I’ve spent most of the last 20 hours or so breaking up our live strategies into smaller backtest segments and retuning all strats on more compressed timeframes to more heavily weight recent (2024) market behavior. We’ll see if that helps our performance any in these increasingly frequent duldrum periods… they are live for all portfolios/accounts as of this morning.
Some of the strats adjusted their position entry criteria to be a bit more selective while other strats primarily adjusted their take profit and/or stop loss calculations.
Looks pretty good in backtesting (of course they always do!), we’ll see what running forward looks like over the coming weeks…
We’re currently up almost 3% today on winning short trades while the market gets slapped, so the updated config seems to at least be off to a good start…
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Heard back from C2 earlier:
We had a great day with three big short trades, clearing over 7% ROI while the market is on track for its worst day since January, but unfortunately C2 only got to see two of them (for around 5% ROI) thanks to the aforementioned C2 glitch.
Going absolutely nowhere today and currently at -0.01% for the day, a dead market doesn’t do us any favors. And today is a textbook example of why.
I would love to figure out how to NOT trade on these dead sideways days… we’ve tried a dozen ideas that DO avoid some of these sideways trades/losses, but as our strategies are primarily momentum-based, those results are always worse over time than just eating small losses on days like this.
So, we suck it up on days like these and (hopefully) more than make up for it when the market finally goes somewhere.
So many periods like this in the last month or more, I may be going back to the drawing board to try to figure out how to identify dead/sideways channels like this, and if there’s a way to block long entries at the top and short entries at the bottom, but not at the expense of longer term returns…
Chris,
No, just no. I don’t think there’s a reliable method to tell in advance that a market day will be flat with X% success (where X is meaningful) that will satisfy you on the (1-X)% days when it is wrong and you miss out on the big moves.
That said, there may be alternatives to simple acceptance of slow day losses.
(1) You could adjust your allocation based on the expected volatility. Your strategy DISLIKES less volatile days, so reduce your sizing on expected X% slow days.
(2) You could hedge a bit on the X% days. For example, if your method says “Slow day”, you don’t sit out of the market, you go in with a reduced allocation to your main strategy and add a small allocation to a strategy that goes up when the S&P trades in a narrow range. Not enough to hurt badly when the market does go up, but at least enough to reduce your losses on the slow days.
Example: I don’t trade futures, just ETFs for my IRA account. But I recently added a small vol/inv-vol strategy alongside my main SPY 3x strategy. Today as SPY sits right where it opened, my inverse vol fund portion has gone up 2% as vol drops. It’s a small allocation, not enough to take over, just enough uncorrelated exposure to help decrease my correlation to S&P 500 and raise my Sharpe ratio a bit in the long run.
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Great ideas to take a look at, thanks.
We just got burned by a feature that saves us 90+% of the time, resulting in a catastrophic trade, our worst single trade ever.
During Fed Reserve Rate releases, if we are in an open position, stop losses are temporarily WIDELY expanded, as the VAST majority of the time, the market will kneejerk one direction immediately, and then spasm the opposite direction, usually with minutes if not seconds.
There was no spasm today. The market shot straight up 2%, never looking down. And we were short, with only a catastrophic stop loss in place. Which was finally hit.
And here it comes flying back down right on queue, right after we stop out of our worst single trade ever. This may be the nail in my coffin. I know it’s not personal of course, but it sure feels like it. You just can’t make this up.
@ChrisPage has it ever occurred to you that you are just curve fitting? Your c2 live results are a textbook example of a curve fitted strategy. Especially with weekly (!!) tuning. It’s really painful to watch…
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I do not think any system that plays with large stop losses will work. the good thing is that system is still flat. Many systems would have blown up the account by now
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Is this strategy still alive?
Last trade was almost 4 months ago so I’d say this system is retired.
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It seems like he abandoned the system. No system can survive with large loss and small profits. system developer makes up for it with explanations how market/Fed/bad luck/multichart etc etc are conspiring against the system for each single loss
