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.
Volatility Returns (https://www.collective2.com/details/101429306) has performed well over the past couple of years on C2. In 2016, the strategy returned 112.6% and, in 2017, 166.4%. And it’s off to a good start in 2018.
Despite the positive returns, a track record of almost 2 years and the strategy being 100% TOS, it’s been difficult to attract new subscribers. We think this is due to most C2 subscribers wanting both instant outsized returns AND low Max Drawdowns, a theoretical model that we think is very difficult, if not impossible, to achieve consistently over time.
Our goal has been and will remain that our large returns significantly outweigh our large drawdowns over several years. In order to provide an incentive for subscribers to stay with the strategy and hopefully be rewarded with large returns over a considerable period of time, we are offering a lower subscription price of $49 per month.
All trading decisions of the strategy are 100% based on an algorithm and are not subject to opinions, thoughts, emotions, etc. We believe it is this objective nature of the strategy that has allowed it to perform extremely well to date.
Although C2 states that the “Suggested Minimum Capital” is $15,000, you can trade with less than $1,500 with 1% scaling.
We realize that our strategy is not for everyone but if you are looking for a strategy attempting to achieve considerable returns, over a long time horizon and at a fair price, we hope you’ll have a look at Volatility Returns.
Congrats. It is only 8 systems in your group and you’re on the 2-3rd place by returns, sharpe and calmar, also price is one of the lowest. As a part of diversified portfolio it can work. But drawdown is quite high, it scares potential subs.
I think VIX strategies are also very saturated right now. There are a lot of them to choose from. So it might be much harder to compete for subs in that space.
Yes, I agree that it’s C2’s statistic of “Max Drawdown” that scares potential subs. My own personal thoughts on “Max Drawdown” are twofold: (1) I think the statistic is not particularly useful. It’s defined as “The largest peak-to-valley historical drawdown” which means the amount you’d lose if you join on the day the strategy is at its peak and you exit the strategy on the day it hits its low. Could that happen? Yes. But it would be extremely unlucky and unlikely. I think a much more useful statistic would be the maximum loss per any individual trade. And my max loss would be much less than the “Max Drawdown”. (2) I’m hopeful that my strategy being 100% TOS gives potential subscribers at least a minimal amount of confidence that the strategy is not “fly-by-night”.
Perhaps more importantly, back to investment basics 101, no strategy is going to have high reward without high risk. The strategies that mask and/or manipulate this in the short-run (martingale or otherwise), will not be around in the long-run.
Congratulations for your strategy. From my point of view, the difficulty with the subscribers can be in the Max DD. Most of the investors analyze the strategies individually. What they should do is analyze the risk, max DD, return and correlation with the market, based on their complete portfolio. The strategies must be complemented so that the combined result is the best possible.
I have a lot of respect for your strategy. I remember a while back looking to trade yours and when analyzing it, it seemed to me that at times you use 200% of the strategy capital. I am not sure if I got that right or not. I would be following in an IRA or cash account and if I were to follow at a 100% scaling factor I would need about twice the amount of money in the strategy. Is that correct? Do you know about how often you used 100% vs 200% etc of the account capital.
its better to look at max dradown in relation to annual return. given a large sample size, i like to look at the ratio of annual return/max dradown. if a system shows 200% p.a. and 50% max drawdown , you as a subscriber can possibly achieve a very respectable 100% with ~ 25 % by maintaining 50% cash. ( or 50 p.a. and 12.5 drawdown or in whatever way you like by maintaining appropriate cash )
I believe there is a martingale type of logic for this strategy since the the size is never constant in the trade history.
What would happen if an investor bought at the exact time before the max drawdown took place? That investor would have a tough time to recover their balance let alone make a profit.
Limited scaling on this strategy would be advised. You might strike it rich or lose all…lol
Maybe you think wrong about what subscribers want.
Personally I look for strategies with a constant smooth performance (& low to medium DD),
like “Vixtrader Professional”, “Redcrest SP500” or “Don’t Worry”.
I still can adapt the strategy with my own C2-scaling.
My goal is to subscribe to 10 or more stable strategies,
and try to achieve a positive performance in my portfolio every month.
I was following your strategy when it was at a $29 fee.
Since I knew that the strategy was very aggressive I adapted the C2-scaling to only 2%.
But after the huge DD i switched to other more stable volatility strategies.
You could attract more subscribers if you had a second strategy,
with no leverage but proper money- & risk-management.
I think your system is a very good one and if I were autotrading here, I would consider your system. I am very aggressive in my personal trading of XIV, but here at C2 the emphasis on DDs has made me a bit cautious in my vol strategy. Unlike you, however, both here at C2 and in my own accounts, I buy out-of-the-money VIX / VXX / UVXY calls to hedge against a black swan spike in volatility, which somewhat reduces my returns.
On balance, you have been very successful. The only thing that hasn’t worked well for you with VOLATILITY RETURNS is going long volatility (buying UVXY), not for hedging but as a primary directional move. With UVXY, I think you have 2 small gains, one small loss, and one very big loss. I know that going long volatility increases returns in backtesting, but I wonder whether it’s just too difficult to do going forward (with the daily slippage in UVXY working against you), at least until a bear market arrives. You might consider suspending UVXY buying until there is at least a 5-10% DD in the S&P500.
Just a suggestion; you obviously know what you are doing.
60% drawdown is catastrophic, and in a market that has been nothing but great for volatility systems. What happens when the market for volatility isn’t so forgiving?
