Steve LeCompte from CXO Advisory Group LLC has posted a very interesting analysis of aggregate statistics for all Collective2 trading systems. I’m a big fan of CXO Advisory’s Web site, and encourage you to take a look.
Analysis of Collective2:
http://www.cxoadvisory.com/blog/internal/blog2-07-06/
There is a lot of other interesting stuff at the CXO Web site, too. Take a look when you have a chance.
Matthew
Interesting site, indeed. But he weighs all systems equally on basis of the assumption that bad systems will soon disappear. I’m not so sure of that. So I would like to know what the average return would be if systems are weighted by the number of subscribers, or the number of subscribers multiplied by the time that they were subscribed.
The other conclusions are interesting too, especially about overtrading, institutions vs. individuals, and persistance of individual performance.
Each systems number of subscribers is not public information so I don’t think they could calculate that but I agree that their methodology makes some assumptions that may or may not be true.
