'SP 500 Futures Scalper' and 'SP500/NASDAQ Scalper' 50% off

Trading and Markets
1

I’ve been trading two strategies here for a few months now, and they are both doing quite well. Both strategies show a red Jan/Feb while I was trying to figure out C2 nuances to get my strats running smoothly here, but all green since C2 BrokerTransmit kinks worked out from the beginning of March.

I haven’t really advertised them or solicited subscribers until now simply because a) I was building a track record, and b) I wanted to see if these simplified versions of what we run in real life for our clients would do well. Turns out they do.

A couple of things to know:

  • I trade these strategies live in my own Interactive Brokers accounts. Every trade is posted using C2 BrokerTransmit, and is a trade I have executed. What you trade, I trade.

  • These strategies are AI generated and tuned weekly (over the weekend).

  • These strategies are 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.

The stats I’m sharing below are from the beginning of March (after getting BrokerTransmit running smoothly).

SP 500 Futures Scalper

  • Instrument Traded: S&P 500 E-Mini and Micro E-Mini futures contracts
  • Position Direction: Long and Short
  • Intended Position Size: Up to one E-Mini and ten Micro E-Mini contracts per $50K balance
  • Suggested Minimum Capital: $50K (no idea why C2 says $70K, as MAXIMUM balance/margin required at the broker, including drawdowns, has actually been just over $30K)
  • Order types: Market orders to enter a position, Limit/Stop orders to exit
  • Win Rate: 88.3%
  • LIVE ROI since March 2023: 50.2% (9.2%/month average)
  • Return since March 2023: $29,582
  • Max Portfolio Drawdown since March 2023: 8.8% (in March)

SP500/NASDAQ Scalper

  • Identical S&P 500 E-Mini and Micro E-Mini trades as above, but also trades NASDAQ E-Mini contracts.
  • Intended Position Size: Up to one S&P E-Mini, ten S&P Micro E-Mini, and one NASDAQ E-Mini contracts per $100K balance
  • Suggested Minimum Capital: $100K
  • Order types: Market orders to enter a position, Limit/Stop orders to exit
  • Win Rate: 91.1%
  • LIVE ROI since March 2023: 49.5% (9.1%/month average)
  • Return since March 2023: $54,957
  • Max Portfolio Drawdown since March 2023: 12.2% (in April)

Both of these strategies are priced significantly higher than most strats here on C2. I’m not interested in a ton of subscribers, I’m interested in the right subscribers. If you wouldn’t (or can’t) spend $500-$750/month to average $9K+ a month ROI, then these aren’t the right strats for you, and candidly, you’re not the right subscriber for me. I have a full time job working with clients trading eight figures on more complex versions of these same strategies, so I’m not going to spend a lot of time here convincing someone to subscribe. Any income generated here at C2 through subscriptions just goes toward my infrastructure expenses.

The following coupons are a 50% discount for new subscribers for your first two billing cycles, and are valid through September 10, 2023:

SP 500 Futures Scalper: UGNV58486

SP500/NASDAQ Scalper: UGJD96622

Lastly, ANY month that a strategy you are subscribed to does not return a positive ROI as reported by C2, you will receive a coupon for your next month free.

Thanks in advance for your consideration, have a great day.

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Also, I’ve been asked if I have any backtesting data. I’m not a big fan of backtesting data to help decide about following a strat, simply because ANYONE can have an epic, highly profitable backtest. But, I’ll share what I think is more relevant and credible.

I could generate a backtest for these strats using their current configs, BUT, as those configs are tweaked weekly when they are tuned, any backtest I post here will not exactly match historical live performance.

As I mentioned, the trades I’m publishing here at C2 are VERY simplified versions of what I trade in my other accounts as well as client accounts. The most significant difference is that trading a larger balance allows a larger trade quantity, which enables scaling into and out of positions. For example, here are yesterday’s trades in a higher balance account of mine that is allowed a maximum open position of 23 E-Mini contracts:

2023-08-14-16-03-37

As you can see, one strategy opened a long of 17 contracts (in two transactions) at 07:01, and another strategy opened up a long of 6 contracts (in three transactions) at 10:02. However, the 6 contracts had three different exit targets, and the 17 contracts had two different exit targets.

The “17 contract” trade is identical to the 10 E-Micro trade entry here on C2, and the “6 contract” trade is identical to the one E-Mini trade entry here on C2:

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The BIG difference is, being constrained to a smaller trade quantity here on C2, C2 trades for these strats will only see one exit (obviously) rather than multiple exits, and it will always be the most conservative exit.

THAT being said, what I believe is of more value than a backtest, is the LIVE results for our trading since starting these strats in May 2022 for myself and our clients:

2023-08-15_09-53-43

So, while it’s not apples to apples (C2 will not be as profitable due to single conservative exits), you can see that we have a live track record going back 15 months that is pretty solid.

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Lastly, here an Interactive Brokers PortfolioAnalyst screenshot of the above account since the beginning of March when I started trading in that particular account:

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That account is up about 92% since March. That 91.65% ROI is greater than the monthly sum of ROI’s in the above chart because I increase the trade quantity quarterly as the account balance allows. And that’s 100% automated trading.

Anyhow, we’re doing pretty well. Publishing here on C2 is my attempt to make a simplified version of what we’re doing accessible to folks who aren’t trading millions.

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Very nice work! It looks great. I agree with you about backtesting/posting. Do you have a trade record at Interactive Brokers or elsewhere prior to C2? For example, if you have been at Interactive Brokers for a while before C2 the PortfolioAnalyst reports could help. I know I would be interested in them. Even if it wasn’t the same strategy per se but something you managed.

I’m always unsure of who really has an edge but great work so far. Very impressive results, and I love that you are putting your money in the same trades.

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Hi, great question. I can’t publish any client account screenshots/info, just my own personal accounts. I started trading these strats in multiple personal accounts back in January (which is a little bit prior to C2, but not a lot). The account I posted above, while my largest single account of the five or so personal accounts I trade in, is also the closest representation of what we trade in our client accounts from an ROI standpoint.

I have other personal accounts I have our automated trading set more aggressively for (I don’t mind higher risk to my own money, just not others’ money :)), but did not post them since they don’t represent the ROI we’re returning for clients (or would return here). For example, here’s a personal account I’ve been trading in (and withdrawing profits from) since January:

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That’s a legit 205% ROI, 100% automated trading using these strats, since the beginning of the year. However, that is NOT representative of anything I would do with anyone else’s money, so I didn’t post it above. But it is my longest PERSONAL track record account using these strats.

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Impressive results indeed. My question to you is why not offer a system that trades a maximum of 23 micro contracts instead of 23 minis? Wouldn’t that allow for your subscribers to scale in and out of positions like you do for the large accounts, but at 1/10 of the size?

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Great question, and the answer is it breaks C2’s BrokerTransmit system. “SP 500 Futures Scalper” is actually two different strategies running on my end. And in the case of a larger quantity account (like 23 contracts), it’s actually five different strategy instances running on my end (each with its own SL/TP targets).

I found out the hard way (among many other nuances of C2’s BrokerTransmit system) that if, trading the same instrument, one strategy on my end is long, and another strat goes short without the first strat closing it’s long, C2 breaks.

This is why one strat is trading 1 ES, and the second strat is trading 10 MES, rather than just trading 2 ES (or 20 Micros). If strategy A is in one position, and strategy B tried to open a position in the opposite direction (not uncommon) for the same instrument, adios BrokerTransmit connection.

In the case of five strategy instances running at the same time (my 23 contract account for example), it’s not uncommon that an instance with a conservative exit target will close out, and subsequently open a position going the other direction while the other instances are still open in the opposite direction.

Multicharts (which I use for trade/strat execution) and Interactive Brokers handle this seamlessly; they both just subtract from your total open position quantity when you sell (whether it’s closing a long or opening a short, they don’t care) and add to your total quantity when you buy.

C2 however will barf and die if I open a position the opposite direction of an existing position without officially closing the existing position first. That won’t work for even two strats trading the same instrument (hence using ES and MES), much less five instances trading the same instrument.

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That does seem like a significant limitation of BrokerTransmit. Have you looked into using Platform Transmit using the 3rd party app mentioned here?

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This seems very strange to me. I had no idea that would be a problem. I thought broker transmit was just supposed to look at your net positions. Have you spoken with @MatthewKlein about it?

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BrokerTransmit just looks at the net positions inside your brokerage account. How the sausage is made (i.e. whether you use one or ten different “strategies” inside your brokerage account to generate the buys and sells inside that account) is not something BrokerTransmit knows or cares about. So I do not really understand what Chris is suggesting. Maybe he is misunderstanding how BrokerTransmit works? (Or maybe I am misunderstanding Chris.)

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I will reply with details in the next day or so when I have time. But yes, significant issue at the time was unless I sent a specific “to close” order, BrokerTransmit broke. I have lots of screenshots and emails of errors and going back and forth with C2 support. You cannot (at least in Feb) have a situation where for example strat “A” is in a +2 long position, and then strat “B” opens a -4 short position, netting a -2 position on IB. If I did not “close the long” first in C2’s eyes, I could not go straight to a short position. And vice versa.

I don’t think it would be an issue if all strats only went long or only went short. But jumping straight from a net long to a net short (or the reverse) breaks BrokerTransmit.

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Chris -

I just double-checked with Francis, and I was incorrect. BrokerTransmit does in fact replicate your executions – not merely your net positions. So it is possible that you would have to specify whether a trade is “to open” or “to close” a position.

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For only the second time in 15 months of trading these strategies live, and for the first time since trading on C2, we have hit our “catastrophic” stop loss. Our strategies use a dynamic stop loss, and while we have a great win rate, we do periodically stop out, typically for anywhere from a $500-$2000 loss per E-Mini contract. However, we have been aware that there is a perfect storm possibility where the price can continue to move against our position in a “slow fade” that does not actually ever trigger our dynamic stop loss. That is why we put in a “worst case scenario” stop loss of approximately 10%.

The only thing worse than hitting a 10% stop loss for our worst single trade loss in 2023 is to not have that stop loss in place, and the market keep fading away from us and against our position for an even greater loss.

And, the textbook example of worst possible timing ever, this happens within days of me finally deciding to promote my first strategy here on C2. And not that it’s any consolation for anyone subscribing who lost money this week, but across just my personal accounts I stopped out over 40 contracts on this same strategy/trade. So believe me, I am right there with you and then some.

If you have been following the market this week you know that it is the second worst single week (and worst month) so far in 2023. And while this loss puts us in the red for August, we are actually still well ahead of the S&P.

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I’m not going to downplay how I feel at the moment. I am pretty upset. And not just over my personal losses, but for promoting these strategies for the first time and asking people to sign on, only to give back our worst loss of the year.

Whether we finish this month in the green or not, every current subscriber for either of my strategies will get a coupon for the following month for free. I know that will not make up for your losses this week, but it is the best I can do.

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Thanks for checking but I was 99% sure that was the case based on my trying to get my strats semi-working with C2 BT’s requirements.

I have NO idea why BrokerTransmit wasn’t designed to work exactly how you thought it worked, just keeping track of the net position of the account it’s following. Even from a record keeping standpoint, if C2 shows an open long for 2 contracts, and then the brokerage account flips straight to a short position of -2 contracts (which is what breaks BrokerTransmit currently), it seems like C2 could just capture the price of that short/sell order, and on C2’s end, “close” the 2 contract long at that price and “open” a 2 contract short at that price. And just flip back and forth as the brokerage account does.

That would open up a WORLD of possibilities for multiple strats on the back end trading the same instrument, which is exactly how we run.

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Yes, but their website hasn’t been updated in years and they never responded to email, so I dropped that idea and stuck with making BrokerTransmit work the best I could, since I was trading theses strats live in my account anyways.

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Actually, I triple-checked with Francis, Chris. And…

BrokerTransmit does in fact interpret your brokerage account executions (and it uses net positions to make sure all is in sync – so it uses both types of information).

But as you know, for safety reasons, C2 typically requires that Strategy Managers enter their trades in terms of “to open” and “to close” and doesn’t allow “crossing” from long to short, or short to long. Now in the case of automations like BrokerTransmit, it is not possible to require specifying trades as “top open” and “to close”. So we do our best to write software that interprets gracefully what you’re trying to do.

For this reason, it is very possible that there were issues with how we interpreted your trades. I’m not doubting you. But what you really should do, is - instead of complaining on the forums in very general terms - please send me and francis the specific details of cases where BrokerTransmit was unable to interpret your brokerage-account trading. Please include your systemid and the trades in question where C2 rejected a BrokerTransmit signal because it thought you were trying to cross a position from long to short, or vice-versa, and didn’t handle correctly. As I said, these typically should be handled gracefully, but if they weren’t, we want to examine the details and try to understand better what happened and try to improve it.

The email address is: help@collective2.com

Thank you.

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LOL “complaining”… you must mean when I answered a question posted “why don’t I do it this way” and I answered “because it breaks BrokerTransmit”?! Yeah, I can how you’d need to reel that kind of attitude in.

And as far as contacting Support directly (instead of, you know, just complaining), do you mean something like this (one of several):

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And Marc’s polite and thorough answer (if not the response I was hoping for):

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Anyhow, this thread is not about how BrokerTransmit does or does not work, you’re welcome to contact me privately, thank you.

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Hi Chris,

Let me try to help. What is the SystemID of the strategy you are referring to? What I see is the account in your screenshot has not been connected to C2 since February. With the StrategyID I can tell you which brokerage account is connected to it via BrokerTransmit.

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Thanks Francis. Any way we can take this conversation private, or in a new thread. I’m TRYING to keep this thread about the strats. Thanks.

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Sure, I sent you an email.