Trying Steady II now, it, like CoinCollector, likes to buy at the bid and sell at the ask which we all know is impossible. This may not be a big deal though since the system is not always in the market. I believe you could do MIT orders and get close. Forget the $250 stop concept, today a trade went 8pts underwater and that is more than $250 however you look at it. There are no firm stops in place all the time. I’ll keep watching and update further.
Steve,
I’ve had a couple of weeks with this system and am doing OK (although the one recent loss wiped out most of my gains from the very short period I’ve been autotrading it). As you say, the C2 results won’t be matched, but this is the first system I’ve traded out of about a dozen that has actually been in the green for any length of time besides Bris (which was too wild for me). The only problem I’ve had is a few missed orders to throw C2 out of synch but that seems unavoidable with limit order systems.
I’m in Costa Rica and can’t do any trading for the next couple of weeks, so watch for Steady-II and Russell 2K Emini Intraday Aggressive to take off and perform spectacularly!
Randy
Steve,
Your statements are absolutely correct. During the last week (Wednesday&Friday) the market has been at least 8 points against Steady II positions with the system showing no reaction to that. The systems risks unfortunately seem to be much higher than supposed to be. The 5 point stop loss does n’t apply consequently enough.
Peter
Actually, there is a reasons why we don’t submit all orders at once.
Here’s why:
Whether you are using Strategy Runner, J-Trader or TradeBullet;
the underlying trading platform is PATS. PATS operates in a very special way:
It requires the full margin for each ORDER that you place.
So if you are placing an order for the entry, one for the profit target and one for the stop loss, you are required to have at least $12,000 in your account. Brokers are aware of these strange requirements from PATS, and they set your trading limits accordingly: If you want to trade 1 lot, they allow you to place three orders. But they are limited, too, and if you have a $10,000 account they can’t allow you to place 10 orders (=$40,000 margin requirement).
For this reason you won’t see a stop order immediately once you receive a fill. Especially during the first hour of trading we delay the placement of stop orders.
Steady II was tested and designed over more than 3,000 trades, and by applying this special handling of stop order placement the max loss is only slightly higher: $262.50 instead of $250.
We decided to sacrifice these $12.50 for the advantages we gain by NOT putting all stops in the market immediately.
In the past 3,250 trades it occurred only TWICE that the loss was $262.50 instead of $250.
Take a look at the results posted on C2: The max loss per trade never exceeded $250.
Markus
"Take a look at the results posted on C2: The max loss per trade never exceeded $250. "
The results posted on C2 only show the gain or loss when the trade was exited. What is the max intra-trade loss?
Markus
What would have been if the market had gone another 5-8 points against Steady IIs initial position? Would Steady II still wait and hope to close with an 5-5.5 point loss and at the end become a 16 point loss? This would be a new kind of stop loss called hope to close with a 5-5.5 point loss otherwise infinitely. If this is the way it works then you should declare it in your system description. Anyway the system description is wrong in regard to the stop loss risks. Please try to either change the system design by applying a fixed stop loss or change the system’s description and be fair to subscribers in declaring the real risks.
Peter
System trading can be profitable if you not too greedy. Check out Omnitrader for the pass few weeks, Since Jan.15 , I notice that it’s been doing very well.
You Wrote: The results posted on C2 only show the gain or loss when the trade was exited. What is the max intra-trade loss?
Pete, to be honest: I even don’t know, because I don’t care. Here’s why:
Until you close a trade, the open equity is … open. You can’t celebrate when you have a positive open equity and you shouldn’t mourne when your open equity is negative.
I know traders who are watching the screen all day long, and it’s driving them insane.
Example: Last Tuesday (Fed meeting) the e-mini S&P moved up 6 points and then it plunged more than 13 points within less than 2 hours. If you had been in a trade during this time and watched the market, you probably experienced an emotional rollercoaster.
Trading a system has many advantages; one being NOT having to sit in front of the screen all day long and therefore avoiding emotional rollercoaster rides. 
Hope that helps,
Markus
I wrote "The results posted on C2 only show the gain or loss when the trade was exited. What is the max intra-trade loss?"
You wrote: "Pete, to be honest: I even don’t know, because I don’t care. Here’s why:
Until you close a trade, the open equity is … open. You can’t celebrate when you have a positive open equity and you shouldn’t mourne when your open equity is negative. "
That being the case then I must say that you have a different definition of “Stop Loss” than I do and I would guess 99.9% of the rest of the world. You have to care about intra-day losses if you are using a stop loss otherwise you aren’t using a stop loss. What you are doing is just trying really hard not to lose more than a certain amount.
I agree with what Peter Smith wrote, you need to update your system description as it is out and out false for you to claim that you use a $250 stop loss when in fact you don’t.
You wrote: What would have been if the market had gone another 5-8 points against Steady IIs initial position?
There are hundreds of possibilities that can happen to a position once you are in a trade:
- What if another jacka is flying a plane into another building?
- What if the exchange has a problem and shuts down trading?
- What if YOUR connection goes down shortly before the stop is in the market?
- …
Dozens of scenarios would leave you unprotected, even if you HAD a stop in the market.
Just TWO examples: If the exchange server has a problem or there is a terror attack, the exchanges might simply close and cancel all open orders.
Trading is all about probabilities: IMO there’s no way that you can protect yourself completely.
Is it likely that we’ll have another terror attack like we experienced on 9/11? - No, but it doesn’t mean it is impossible.
Is it likely that a position might move against us another 5-8 points if it hadn’t done so in the past 3000+ trades? - No, but it doesn’t mean it is impossible.
Anyhow, I agree that the description of the system is misleading and we will change it.
Thanks to Pete and Peter for pointing it out.
Markus
"Trading is all about probabilities: IMO there’s no way that you can protect yourself completely."
You are mixing up two different issues, a normal trade that just goes against you and keeps going (common) and a rare event that causes the market to gap against you (infrequent but possible).
Your logic seems to be because you cannot completely protect against the second possibility (since a stop loss doesnt guarantee a certain exit price) that there is no point even trying to protect against the more common first possibility. To me that makes no sense and flies in the face of logic.
"Is it likely that a position might move against us another 5-8 points if it hadn’t done so in the past 3000+ trades? - No, but it doesn’t mean it is impossible. "
I don’t want to wish misfortunate on you and your subscribers but its just a question of when, not if this happens. That you think your trades will never go against you 8 points and then keep going smacks of unwarranted hubris.
Markus
For how long (which years and months) did you test SteadyII ? Your homepage shows the results for only 21-22 months (this makes about 600 trades).
Thank you
Peter
Hi Peter,
We backtested the system for 36 months.
IMO a longer backtesting period doesn’t make sense for a system that’s trading the e-mini S&P. Here’s why:
In 2000 the average daily range was 100-150 ticks per day; in 2004 it was only 40-60 ticks per day. If you backtest any trend-following daytrading system in the e-mini S&P you will see that it worked perfectly until 2002 and then suddenly falls apart. It seems that there are no more intraday trends. That’s not surprising as the daily range of the e-mini S&P decreased by more than 50%.
What happened?
There are a couple of reasons. Probably the most important one is the introduction of the Pattern Day Trading Rule in August and September 2001by the NYSE and NASD: If a trader executes four or more day trades within a five business day period then he must maintain a minimum equity of $25,000 in his margin account at all times. Because of this rule made traders stopped daytrading equities and started trading the e-mini S&P future instead.
Look at the sudden increase in volume in the e-mini S&P in the beginning of 2001.
(I can’t post a graphic here, so please follow this link to see the graphic:
http://www.rockwelltrading.com/images/blogger/e-mini_SP_average_daily_vol.JPG)
Many of these stock daytraders used methods to scalp the market for a few penny. Using the e-mini S&P they suddenly had a much higher leverage, paying less commissions, and their methods were extremely profitable.
Unfortunately these scalping methods kill an intraday trend almost instantly, making almost every trend-following approach fail.
Another reason for the dramatic change of the market was the introduction of the automated strategy execution in TradeStation. In 2002 TradeStation’s customers who were using this feature increased by 268%. Overbought/Oversold strategies became very popular and when the market made an attempt to trend these strategies immediately established a contrary position.
Of course as an experience system developer you know all this. But many traders over-use the functions provided by the different backtesting software packages and think more is better. Especially traders new to trading systems think that the longer you backtest the better and more robust your system will be. That’s not always true. When backtesting you need to know these things. It’s not enough to just run a system on as much data as possible; it’s important to know the underlying market conditions.
In non-trending markets like the e-mini S&P you need to use trend-fading systems, and in trending markets like commodities you should use trend-follwing methods.
And that’s when clever backtesting helps you:
If your backtesting tells you that a trend-following method worked in 2000-2002, but doesn’t work in 2003 and 2004 then you should not use this strategy right now.And vice versa: When you see that a trend-fading method produced nice profits in 2003, 2004 and 2005, then trade it.
Hope that helps
Markus
PS: The 3,000 trades I stated above were “trades”, not roundturns. When talking about COMPLETED trades we “just” had 1,500+ trades.
been trading it for a few weeks now. the post on c2 are not close to reality. today for instance it shows aprofit of 1500 but there was a 2nd trade that wiped most of this out. also, haad amelt down last friday and lost 5k on a five lot. lots of slippage.results not even close to what is posted.
Anyone else have a meltdown like that last friday?
Greg: Are you trading this system via C2? None of the things you mention is visible in the C2 trading record. (No meltdown last Friday – no second trade today that wiped out 1500 in profits).
More important, I don’t see you as a subscriber on the C2 subscriber list.
Am I misunderstanding what you are saying?
no, im going through rockwell to my broker who is running signals
on strat runner.
I am using your site to verify results and am finding that im not even close to what is being posted
Greg … for what it’s worth I’m following Steady-II via a C2 subscription to the system and at least getting the same trades executed in my IB account via Tradebullet that are shown on C2. No extra trades that are not shown on C2, although I have had a couple of situations where autotrading got out of synch briefly (I manually fixed these). My slippage is also roughly 0.25 per side on average, but compared to the dozen or so systems I have subscribed to via C2 since August 2005, Steady-II is one of the better ones so far.
Thanks for the info. So today you didnt have a 2nd trade that wiped out your profit? I use fox for my broker. , they clear through Man.
If you dont mind, who are you using as a broker?
You need to keep in mind that what C2 verifies is the trading signals that are sent to C2 subscribers. It’s a bit unfair for you to come to C2, say you don’t use C2, and then complain that the fills you recieved don’t match C2’s.
You need to use C2 to get the trading signals posted here. I understand that Rockwell (the developer of the Steady II system) makes its signals available on other signal-provider services. But it’s very possible for the signals delivered to and by each service to vary, even though the trading systems have the same name.
Matthew
Many thanks,
Dont mean to sound like im bashing c2. on the contrary, i will be using c2 in the future as it appears to be better than the strategy runner/broker connection im using now.
im only trying to verify actual results. you and your site/subscribers are being a great help to me.
sorry if my intentions did not come across like that
