The opinions expressed in these forums do not represent those of C2, and any discussion of profit/loss is not indicative of future performance or success. There is a substantial risk of loss in trading. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. You should read, understand, and consider the Risk Disclosure Statement that is provided by your broker before you consider trading. Most people who trade lose money.

Theoretically, the best strategy in the world :)

Theoretically, the best strategy in the world :slight_smile:

I started a new strategy which basically run live on my computer in the last 4 years in a simulation mode.

The strategy tries to mimic Warren Buffet’s investment way by riding on the long waves of the stock, making relatively few trades and turning the transaction direction from Long to Short and vice versa, so basically we are all the time in the market.

Warren Buffet buys a stock and holds it for long-term until the company starts showing unhealthy signs and then he sells it.

We will do the same here, however, with one difference:

We will trade long-term volatility.
Whenever the volatility declines we will expected to be in Short and when it is raised we are expected to be in Long.

We will not use Take Profit or Stop Loss orders because we want to ride the long and the natural waves of optimism and pessimism so that we do not interfere with their move by this kind of orders.

In this C2 account we will always use 80% of the account value and we will never use leverage.

The theoretical results are:
An investment of $10,000 since January 2009 to date would make a profit of $15M before reducing tax and trading costs. Really interesting!
Even if we will achieved only 10% of it, this will be great.

Anyway, I expect to see a max DD of 25% and around 12 trades per year in average.

An interesting experiment that I started also in my children’s live investment accounts in TD Ameritrade.

Join me in a demo or live mode for one of the most amazing adventures I’ve ever started my financial life :slight_smile:

See below the performance graph and all the trades. All the trades until trade #68 were in back tesing.
All the trades since trade #69 until today were in demo live mode.
From now on, no more demo…Only live and a real money mode :slight_smile:

TradeStation Trades List

Type Signal % Profit

1 Buy Buy 0.96% $10,000 $77
Sell Short $10,077 $0
2 Sell Short Short -7.55% $10,077 -$609
Buy to Cover Buy $9,468 $0
3 Buy Buy -10.30% $9,468 -$780
Sell Short $8,688 $0
4 Sell Short Short 0.31% $8,688 $22
Buy to Cover Buy $8,710 $0
5 Buy Buy 3.43% $8,710 $239
Sell Short $8,949 $0
6 Sell Short Short 0.58% $8,949 $42
Buy to Cover Buy $8,990 $0
7 Buy Buy 6.14% $8,990 $442
Sell Short $9,432 $0
8 Sell Short Short 4.93% $9,432 $372
Buy to Cover Buy $9,804 $0
9 Buy Buy 6.57% $9,804 $515
Sell Short $10,319 $0
10 Sell Short Short 57.84% $10,319 $4,775
Buy to Cover Buy $15,094 $0
11 Buy Buy -2.32% $15,094 -$280
Sell Short $14,814 $0
12 Sell Short Short 31.63% $14,814 $3,748
Buy to Cover Buy $18,562 $0
13 Buy Buy -3.97% $18,562 -$590
Sell Short $17,972 $0
14 Sell Short Short -9.89% $17,972 -$1,422
Buy to Cover Buy $16,550 $0
15 Buy Buy -5.60% $16,550 -$741
Sell Short $15,809 $0
16 Sell Short Short 15.77% $15,809 $1,994
Buy to Cover Buy $17,803 $0
17 Buy Buy -4.65% $17,803 -$662
Sell Short $17,141 $0
18 Sell Short Short -5.00% $17,141 -$686
Buy to Cover Buy $16,455 $0
19 Buy Buy 20.75% $16,455 $2,732
Sell Short $19,187 $0
20 Sell Short Short -3.14% $19,187 -$482
Buy to Cover Buy $18,705 $0
21 Buy Buy -3.55% $18,705 -$531
Sell Short $18,174 $0
22 Sell Short Short -2.79% $18,174 -$406
Buy to Cover Buy $17,768 $0
23 Buy Buy 1.87% $17,768 $266
Sell Short $18,034 $0
24 Sell Short Short 13.22% $18,034 $1,907
Buy to Cover Buy $19,941 $0
25 Buy Buy 5.79% $19,941 $924
Sell Short $20,865 $0
26 Sell Short Short -4.51% $20,865 -$753
Buy to Cover Buy $20,112 $0
27 Buy Buy -14.55% $20,112 -$2,341
Sell Short $17,771 $0
28 Sell Short Short 58.52% $17,771 $8,320
Buy to Cover Buy $26,091 $0
29 Buy Buy -14.61% $26,091 -$3,050
Sell Short $23,041 $0
30 Sell Short Short 10.18% $23,041 $1,876
Buy to Cover Buy $24,918 $0
31 Buy Buy -6.06% $24,918 -$1,208
Sell Short $23,710 $0
32 Sell Short Short 20.45% $23,710 $3,879
Buy to Cover Buy $27,589 $0
33 Buy Buy -7.13% $27,589 -$1,574
Sell Short $26,015 $0
34 Sell Short Short 4.29% $26,015 $893
Buy to Cover Buy $26,908 $0
35 Buy Buy 81.40% $26,908 $17,522
Sell Short $44,430 $0
36 Sell Short Short 1.34% $44,430 $476
Buy to Cover Buy $44,907 $0
37 Buy Buy -2.41% $44,907 -$866
Sell Short $44,041 $0
38 Sell Short Short -1.10% $44,041 -$388
Buy to Cover Buy $43,653 $0
39 Buy Buy 11.38% $43,653 $3,974
Sell Short $47,628 $0
40 Sell Short Short 5.44% $47,628 $2,073
Buy to Cover Buy $49,700 $0
41 Buy Buy 14.15% $49,700 $5,626
Sell Short $55,326 $0
42 Sell Short Short 8.60% $55,326 $3,806
Buy to Cover Buy $59,133 $0
43 Buy Buy -6.99% $59,133 -$3,307
Sell Short $55,826 $0
44 Sell Short Short -12.13% $55,826 -$5,417
Buy to Cover Buy $50,409 $0
45 Buy Buy -2.87% $50,409 -$1,157
Sell Short $49,251 $0
46 Sell Short Short 80.24% $49,251 $31,615
Buy to Cover Buy $80,867 $0
47 Buy Buy -8.91% $80,867 -$5,764
Sell Short $75,103 $0
48 Sell Short Short 28.42% $75,103 $17,075
Buy to Cover Buy $92,178 $0
49 Buy Buy 6.99% $92,178 $5,155
Sell Short $97,333 $0
50 Sell Short Short 14.96% $97,333 $11,649
Buy to Cover Buy $108,981 $0
51 Buy Buy -1.21% $108,981 -$1,055
Sell Short $107,926 $0
52 Sell Short Short 23.90% $107,926 $20,636
Buy to Cover Buy $128,562 $0
53 Buy Buy -13.67% $128,562 -$14,060
Sell Short $114,502 $0
54 Sell Short Short 21.18% $114,502 $19,401
Buy to Cover Buy $133,904 $0
55 Buy Buy 1.26% $133,904 $1,350
Sell Short $135,254 $0
56 Sell Short Short -0.72% $135,254 -$779
Buy to Cover Buy $134,474 $0
57 Buy Buy -9.70% $134,474 -$10,435
Sell Short $124,039 $0
58 Sell Short Short 26.45% $124,039 $26,247
Buy to Cover Buy $150,286 $0
59 Buy Buy 6.24% $150,286 $7,502
Sell Short $157,788 $0
60 Sell Short Short -6.45% $157,788 -$8,142
Buy to Cover Buy $149,646 $0
61 Buy Buy 18.81% $149,646 $22,519
Sell Short $172,165 $0
62 Sell Short Short 6.32% $172,165 $8,705
Buy to Cover Buy $180,870 $0
63 Buy Buy -1.83% $180,870 -$2,648
Sell Short $178,222 $0
64 Sell Short Short 5.13% $178,222 $7,314
Buy to Cover Buy $185,536 $0
65 Buy Buy -5.87% $185,536 -$8,713
Sell Short $176,823 $0
66 Sell Short Short -9.17% $176,823 -$12,972
Buy to Cover Buy $163,852 $0
67 Buy Buy -0.39% $163,852 -$511
Sell Short $163,340 $0
68 Sell Short Short 44.81% $163,340 $58,554
Buy to Cover Buy $221,895 $0
69 Buy Buy 2.31% $221,895 $4,101
Sell Short $225,995 $0
70 Sell Short Short 7.24% $225,995 $13,090
Buy to Cover Buy $239,085 $0
71 Buy Buy 37.88% $239,085 $72,452
Sell Short $311,537 $0
72 Sell Short Short 7.05% $311,537 $17,571
Buy to Cover Buy $329,108 $0
73 Buy Buy 5.97% $329,108 $15,718
Sell Short $344,826 $0
74 Sell Short Short 11.50% $344,826 $31,724
Buy to Cover Buy $376,550 $0
75 Buy Buy -9.29% $376,550 -$27,985
Sell Short $348,565 $0
76 Sell Short Short -12.09% $348,565 -$33,713
Buy to Cover Buy $314,852 $0
77 Buy Buy 11.82% $314,852 $29,772
Sell Short $344,624 $0
78 Sell Short Short 36.04% $344,624 $99,362
Buy to Cover Buy $443,986 $0
79 Buy Buy 3.52% $443,986 $12,503
Sell Short $456,489 $0
80 Sell Short Short 46.83% $456,489 $171,019
Buy to Cover Buy $627,508 $0
81 Buy Buy -6.63% $627,508 -$33,283
Sell Short $594,225 $0
82 Sell Short Short 2.11% $594,225 $10,031
Buy to Cover Buy $604,255 $0
83 Buy Buy -3.88% $604,255 -$18,756
Sell Short $585,499 $0
84 Sell Short Short 43.23% $585,499 $202,489
Buy to Cover Buy $787,988 $0
85 Buy Buy -2.91% $787,988 -$18,344
Sell Short $769,644 $0
86 Sell Short Short 50.66% $769,644 $311,921
Buy to Cover Buy $1,081,565 $0
87 Buy Buy 39.47% $1,081,565 $341,515
Sell Short $1,423,080 $0
88 Sell Short Short 12.37% $1,423,080 $140,828
Buy to Cover Buy $1,563,908 $0
89 Buy Buy -3.00% $1,563,908 -$37,534
Sell Short $1,526,374 $0
90 Sell Short Short -6.95% $1,526,374 -$84,866
Buy to Cover Buy $1,441,507 $0
91 Buy Buy -2.46% $1,441,507 -$28,369
Sell Short $1,413,139 $0
92 Sell Short Short -3.60% $1,413,139 -$40,698
Buy to Cover Buy $1,372,440 $0
93 Buy Buy 4.51% $1,372,440 $49,518
Sell Short $1,421,958 $0
94 Sell Short Short -0.76% $1,421,958 -$8,646
Buy to Cover Buy $1,413,312 $0
95 Buy Buy 0.96% $1,413,312 $10,854
Sell Short $1,424,167 $0
96 Sell Short Short 18.12% $1,424,167 $206,447
Buy to Cover Buy $1,630,614 $0
97 Buy Buy -5.10% $1,630,614 -$66,529
Sell Short $1,564,085 $0
98 Sell Short Short 12.72% $1,564,085 $159,161
Buy to Cover Buy $1,723,246 $0
99 Buy Buy 1.47% $1,723,246 $20,265
Sell Short $1,743,511 $0
100 Sell Short Short -8.66% $1,743,511 -$120,790
Buy to Cover Buy $1,622,721 $0
101 Buy Buy 12.60% $1,622,721 $163,570
Sell Short $1,786,291 $0
102 Sell Short Short 8.59% $1,786,291 $122,754
Buy to Cover Buy $1,909,045 $0
103 Buy Buy 1.98% $1,909,045 $30,239
Sell Short $1,939,284 $0
104 Sell Short Short -7.59% $1,939,284 -$117,753
Buy to Cover Buy $1,821,531 $0
105 Buy Buy -6.53% $1,821,531 -$95,157
Sell Short $1,726,374 $0
106 Sell Short Short 1.40% $1,726,374 $19,335
Buy to Cover Buy $1,745,710 $0
107 Buy Buy 9.89% $1,745,710 $138,121
Sell Short $1,883,830 $0
108 Sell Short Short 0.62% $1,883,830 $9,344
Buy to Cover Buy $1,893,174 $0
109 Buy Buy 0.52% $1,893,174 $7,876
Sell Short $1,901,050 $0
110 Sell Short Short -3.85% $1,901,050 -$58,552
Buy to Cover Buy $1,842,497 $0
111 Buy Buy 14.65% $1,842,497 $215,941
Sell Short $2,058,438 $0
112 Sell Short Short 36.86% $2,058,438 $606,992
Buy to Cover Buy $2,665,430 $0
113 Buy Buy -2.97% $2,665,430 -$63,331
Sell Short $2,602,099 $0
114 Sell Short Short 12.25% $2,602,099 $255,006
Buy to Cover Buy $2,857,105 $0
115 Buy Buy 8.81% $2,857,105 $201,369
Sell Short $3,058,474 $0
116 Sell Short Short -1.28% $3,058,474 -$31,319
Buy to Cover Buy $3,027,155 $0
117 Buy Buy 0.04% $3,027,155 $969
Sell Short $3,028,124 $0
118 Sell Short Short 38.99% $3,028,124 $944,532
Buy to Cover Buy $3,972,656 $0
119 Buy Buy 268.40% $3,972,656 ########
Sell Short $12,502,744 $0
120 Sell Short Short 24.84% $12,502,744 ########
Buy to Cover Buy $14,987,289 $0
121 Buy Buy -4.25% $14,987,289 -$509,568
Sell Short $14,477,721 $0
122 Sell Short Short -7.24% $14,477,721 -$838,550
Buy to Cover Buy $13,639,172 $0
123 Buy Buy -2.52% $13,639,172 -$274,966
Sell Short $13,364,206 $0
124 Sell Short Short 10.94% $13,364,206 ########
Buy to Cover Buy $14,533,841 $0
125 Buy Buy -1.87% $14,533,841 -$217,426
Sell Short $14,316,415 $0
126 Sell Short Short 4.86% $14,316,415 $556,622
Buy to Cover Buy $14,873,037 $0
127 Buy Buy 7.38% $14,873,037 $878,104
Sell Short $15,751,141 $0
128 Sell Short Short n/a $15,751,141 #VALUE!
Buy to Cover n/a

1 Like

I guess the question is - what instruments are you using?

Shorting VXX comes with significant carry costs, and can be very dangerous if an overnight event spikes it with 80% of your account invested.

1 Like

The strategy trades VXX only, Long and Short.
Any strategy which trade volatility has a higher risk compare to the market but if you invest only small part of your funds in the strategy and take out your initial investment when you see profits, then this is a win win game… Basically even 2000$ will do the work if you stick to it for years…

The VXX is by far the largest and most liquid financial instrument in the volatility ETF universe. Perfect for day-trading purposes too.
Best wishes.

Robert, does your strategy work on vix futures as well ?

Basically yes with 2 downsides:

  1. You will need to roll over every month.
  2. You will not enjoy from the contango effect.

Important to understand that the max DD is calculated by Trade Close to Trade Close.

This means that the DD according to C2 will higher then the actual DD :slight_smile:

You mean higher than the intra-day drawdown?

According to C2, Max DD is:

This is the worst peak-to-valley drawdown % experienced by the hypothetical Model Account for this trading strategy.

I really don’t care about the peak-to-valley drawdown :slightly_smiling_face:

I know what you mean, but unfortunately C2 does not calculate the maximum drawdown from the starting capital.

If a system goes from $10k (starting capital) to $100k and then back to, say, $40k, C2 will still show a 60% drawdown on the track record, even though the trader quadrupled his money!

and subscriber joined the system at 100k lost 60%.

2 Likes

No doubt, that’s why the maximum drawdown is calculated from the highest high and low, regardless of the profits the system was able to accumulate.

If you invest a relatively low amount of money and add the rest of the funds after the signal then you will not see high DD… :+1:

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Since you are shorting VXX, couldn’t a black swan event potentially create an uncomfortable and significant drawdown? And/or a margin call?

Considering etfs fall faster and more severe than they do climbing of course it can. Plus unlimited losses and margin etc.

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might work for short term trades, but if your next signal will be in a half a year from now, i will lose income.

anyway, i totally support C2 in their way of DD calculation. if smarter subscriber wants to get deeper and get more from the system, he will get deeper. general public should use general approaches.

10k to 15kk in 11 years gives approx 95% annually. I don’t think it will be a lot of candidates for 10% annually with 25% dd. You may want to set higher goals. :slight_smile:

Personally, I took the “if we achieved… only 10% of it…” as a figure of speech.

But even with that said, turning $10k into $1.5M from 2009 to 2020 would be impressive IMO

This type of system is not too practical on C2 as any sim can just watch the direction your system price is moving and follow for free.
I have a system for this too but it just wouldn’t work.
Not to mention they can take someone’s home and cars if it spikes hard.

Yes of course, adding to winning positions on a scale up/down basis can greatly reduce the drawdown, assuming the trader is also using a trailing stop (thus turning the trade into a “risk-free” trade).

However, this technique also reduces the profit potential in most cases.

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