E-Micro Swing Scalper
- hypothetical · Annual Return (Compounded)
- 13.9%
- Max Drawdown
- 1.0%
- Trades
- 6
- Win Trades
- 83.3%
- Profit Factor
- 112.60
- Win Months
- 2.1%
About this strategy
2022-12-09 UPDATE: This strategy is NOT placing trades until further notice. While QUITE profitable in my live Interactive Brokers account, I have learned that this strategy style can not be supported on C2 with reliable results for subscribers:
* I run three strategies in parallel. One strat may open a quick scalp short while another strat is in a longer timeframe long. This breaks C2 BrokerTransmit (not closing the long before opening the short).
* When using BrokerTransmit C2 only sends market orders to subscribers. One of my three strats scalps for tight take profits using limit/stop orders (to avoid slippage). Market ordering scalp trades would likely perform poorly for subscribers.
Strategy details, discussion and updates are here: https://forums.collective2.com/t/e-micro-swing-scalper-new-strategy/15898
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The E-Micro Swing Sniper strategy is actually three non-correlated strategies running in parallel that open long or short positions in futures markets trading S&P 500 e-micro futures contracts. It is designed for account balances of at least USD$50,000. Position sizing is a maximum of three S&P 500 e-micro contracts per USD$10,000 in your account balance.
* I trade this strategy live in my own Interactive Brokers account. Every trade is posted using C2 BrokerTransmit, and is a trade I have executed. What you trade, I trade.
* To avoid slippage in subscriber accounts (a common problem when you're subscribing to market orders), only about 6% of orders are market orders. EVERY other signal executed is a resting limit/stop order, which should mean MY fill price is YOUR fill price.
* All three strategies are AI generated and tuned weekly (over the weekend).
* All three 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.
* I have AI discovery processes running constantly, looking for new strategies with EXTREMELY rigorous criteria. When/if I add or subtract strategies, I’ll post an update to subscribers.
* Collective2 is not my full-time gig, but automated algorithmic trading has been my full-time gig for the last five years.
This strategy was generated using genetic algorithm AI to discover correlation between S&P 500 price movement and the CBOE Volatility Index (VIX). It utilizes fuzzy logic and opens a position only when a convergence of technical indicator values result in an acceptable trade setup, and then calculates aggressive take profit exits, ideal for volatile markets with frequent sentiment-driven intraday reversals that destroy most day-trading strategies. The manager has traded this strategy live since May 2022 with their own funds through their broker.
ALL RECORDED TRADES IN TRADE RECORD ARE LIVE TRADES IN THE MANAGER'S OWN ACCOUNT. In other words, I'm trading MY money with this strategy, not just yours. C2 trade signals are generated by mirroring the trades in my live Interactive Brokers account.
* I run three strategies in parallel. One strat may open a quick scalp short while another strat is in a longer timeframe long. This breaks C2 BrokerTransmit (not closing the long before opening the short).
* When using BrokerTransmit C2 only sends market orders to subscribers. One of my three strats scalps for tight take profits using limit/stop orders (to avoid slippage). Market ordering scalp trades would likely perform poorly for subscribers.
Strategy details, discussion and updates are here: https://forums.collective2.com/t/e-micro-swing-scalper-new-strategy/15898
-----------------------------------
The E-Micro Swing Sniper strategy is actually three non-correlated strategies running in parallel that open long or short positions in futures markets trading S&P 500 e-micro futures contracts. It is designed for account balances of at least USD$50,000. Position sizing is a maximum of three S&P 500 e-micro contracts per USD$10,000 in your account balance.
* I trade this strategy live in my own Interactive Brokers account. Every trade is posted using C2 BrokerTransmit, and is a trade I have executed. What you trade, I trade.
* To avoid slippage in subscriber accounts (a common problem when you're subscribing to market orders), only about 6% of orders are market orders. EVERY other signal executed is a resting limit/stop order, which should mean MY fill price is YOUR fill price.
* All three strategies are AI generated and tuned weekly (over the weekend).
* All three 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.
* I have AI discovery processes running constantly, looking for new strategies with EXTREMELY rigorous criteria. When/if I add or subtract strategies, I’ll post an update to subscribers.
* Collective2 is not my full-time gig, but automated algorithmic trading has been my full-time gig for the last five years.
This strategy was generated using genetic algorithm AI to discover correlation between S&P 500 price movement and the CBOE Volatility Index (VIX). It utilizes fuzzy logic and opens a position only when a convergence of technical indicator values result in an acceptable trade setup, and then calculates aggressive take profit exits, ideal for volatile markets with frequent sentiment-driven intraday reversals that destroy most day-trading strategies. The manager has traded this strategy live since May 2022 with their own funds through their broker.
ALL RECORDED TRADES IN TRADE RECORD ARE LIVE TRADES IN THE MANAGER'S OWN ACCOUNT. In other words, I'm trading MY money with this strategy, not just yours. C2 trade signals are generated by mirroring the trades in my live Interactive Brokers account.
Short Term
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | -1.1 | 4.0 | 2.9 | ||||||||||
| 2023 | -1.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -1.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 11/30/2022 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 47 months |
| What it trades | Futures |
| # Trades | 6 |
| # Profitable | 5 |
| % Profitable | 83.3% |
| Avg trade duration | 1.9 hours |
| Max peak-to-valley drawdown | 1.0% |
| drawdown period | Jan 02, 2023 - Jan 03, 2023 |
| Cumul. Return | 1.8% |
| Avg win | $405 |
| Avg loss | $18 |
Ratios
| W:L ratio | 112.61 |
|---|---|
| Sharpe Ratio | -0.63 |
| Sortino Ratio | -1.83 |
| Calmar Ratio | — |
CORRELATION STATISTICS
| Correlation to SP500 | -0.05 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 86.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 3.8% |
Return Statistics
| Ann Return (w trading costs) | 13.9% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 1.0% |
Slump
| Current Slump as Pcnt Equity | 1.0% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 1.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 0.0% |
|---|---|
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 475 |
|---|---|
| Popularity (Last 6 weeks) | 946 |
| Popularity (7 days, Percentile 1000 scale) | 785 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $18 |
|---|---|
| Avg Win | $405 |
| # Winners | 5 |
| Sum Trade PL (losers) | $18 |
| Sum Trade PL (winners) | $2,027 |
| Num Months Winners | 1 |
| # Losers | 1 |
| % Winners | 83.3% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 48 |
|---|
Frequency
| Avg Position Time (mins) | 114.60 |
|---|---|
| Avg Position Time (hrs) | 1.91 |
| Avg Trade Length | 0.10 |
| Last Trade Ago | 1410 |
Leverage
| Daily leverage (average) | 2.84 |
|---|---|
| Daily leverage (max) | 2.84 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -0.01 |
| Treynor Index | 0.64 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 0.44 |
| MAE:PL (avg, all trades) | 0.51 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.43 |
| Avg(MAE) / Avg(PL) - Losing trades | -1 |
| Hold-and-Hope Ratio | 2.26 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.06 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.00 |
DRAW DOWN STATISTICS
| Strat Max DD how much worse than SP500 max DD during strat life? | -324055648 |
|---|---|
| Max Equity Drawdown (num days) | 1 |
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 12 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| @MES Z2 | short | 7 | Dec 6, 2022 | Dec 6, 2022 | $447 |
| @MES Z2 | long | 4 | Dec 6, 2022 | Dec 6, 2022 | $35 |
| @MES Z2 | short | 7 | Dec 6, 2022 | Dec 6, 2022 | $1,357 |
| @MES Z2 | short | 7 | Dec 6, 2022 | Dec 6, 2022 | ($26) |
| @MES Z2 | short | 7 | Dec 6, 2022 | Dec 6, 2022 | $106 |
| @MES Z2 | short | 7 | Dec 6, 2022 | Dec 6, 2022 | $45 |
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.