A few questions about C2


I just started to work with your website. Like it very much - you did a great job.

But still have a few questions without answers. They are:

1)How often you examine acccount for statistics?

Then I go website on my system I see an up-to-second calculation of balance, but then I’m offline how often you get data for a statistics (you just can’t possible make calculations at 10k+ systems with all their positions up-to-second). Is it once a day (on a basis of max drawdown period that is in days) or once an hour or once a minute? I need this to know what maximum time you DO NOT monitor the system if I logged out (so the drawdowns happened at that time would be unseen by me and my subscribers).

2)What formula do you use to calculate Sharpe Ratio?

I have seen a few different formulas on the internet - which one do you use and do you use different Rate-Free rates for a different periods or constant one?

And Thanks for this great website!!!

  1. System stats are recalculated whether or not you are on the website. First, they are recalculated on a very general “periodic” basis (every couple hours, usually). They are also recalculated as trades occur (for example if your limit or stop is hit – regardless of whether you are online at C2 or not). Then there’s a whole bunch of “secret sauce” recalculations, which happen more frequently or less frequently depending on a set of user patterns. The goal is to make it feel to the C2 user that marked-to-market results are always “fresh.” They generally are.

    2) Two important values when calculating the Sharpe ratio are the risk-free rate you choose as your baseline, and the period you use to evaluate system returns. (For people unfamiliar with this statistic: both the Sharpe and Sortino ratios are attempts to describe the variance of your returns – in other words, whether your returns are consistent or inconsistent. So necessarily the question becomes: When we talk about your returns as a series of numbers, what kind of series do we look at? – monthly? daily? quarterly?) At C2, the period we use depends on the age of the system. A system with less than 90 days history uses daily returns, while older systems use monthly returns. The risk free rate varies but is currently 1%.


Thanks for the answers.

2)As far as I know it’s recomended to use minimum of 25 point for Sharpe ratio calculation. But if you switch to months after 90 days you use only 3 points. Is this enough? And why don’t you use days for all systems (more points - more precise Sharpe)?

3)Do you count swaps for forex systems?


I agree with Mark: using monthly returns for sharpe ratio calculations when you have the daily returns available makes no sense. You are just discarding information.

The use of monthy data for sharpe ratio is an excellent way to cover up what goes on during the month. This is why the big firms use it.

In this case we need to follow the herd. Why? The public compares sharpe ratios. They do not dig into how we calculate it. They assume that there is an industry standard. If we deviate from the norm then we risk being called liars. Or worse…we risk having worse numbers.

Lets focus upon the customer. What is best for them? The method that they can easily compare with.


This will teach me not to open my mouth and pontificate about things without first double-checking the facts.

Mea culpa. My memory failed me. It turns out that we use daily equity values for all Sharpe calculations – not monthly. I apologize for my misstatement. I have no idea why the heck I thought we used monthlies.



What about switching to whatever the industry standard is so that people can easily compare.

That’s makes more sense to me.

But wtat’s on question #3?

Do you use and calculate overnight swaps for forex systems?


No, we do not simulate overnight swap rates.