Mathew when you go to the Best Stock System list. It shows the criteria. The signals are listed by return, drawdown and sharpe ratio. When you look at the statistics on that page you don’t have drawdown or sharpe listed? Can you redesign that page to show these statistics? It would make it easier to see or understand. Thanks Rick Haines
While we’re at it, Monte Carlo estimations of the probability of loss should not be in that criteria.
Hmmm… let me guess, if that wasn’t one of the criteria you would be in the ‘best of’ list? Am I right?
Beau, sincerely you already have one of the top 5 systems on C2 which should be obvious to anyone who does a bit of research on here. It is a great system. ‘Best system’ lists are always subjective and you will never be able to come up with a set of criteria upon which everyone agrees, we all have different views as to what represents a best system, the criteria listed for that list just happens to be C2’s view of what a best system should have. Accept it.
If you want to find the best systems according to your own preferred criteria you already have such a tool at your disposal, it’s called The Grid.
The randomness of it is what I don’t think has validity here. I know you can take my curves data and plot random points on it, but this doesn’t help.
And, yes, it would be up there. There are a few systems here that have lost more on DD’s than I have that have less probability of a 20% loss. This says that the underlying monte carlo simulation is not consistent in its output.
"This says that the underlying monte carlo simulation is not consistent in its output."
No it doesn’t, all paths are equally likely so if the other systems have larger drawdown than you but less risk of a 20% loss it just means the drawdown they suffered is less likely to be repeated than yours.
Systems with larger DD’s are absolutely more likely to lose 20% than my own.
Just look at "Best systems" > "Futures" > "Long Term"
The page is nearly always empty. So either out of hundreds of long term candidates none are worthy, or else the criteria is too tight.
Check out the trading records of noted long term traders such as Ed Seykota or John Henry. The best in the industry. But neither would qualify for the C2 list. Is it the fault of the system, or the fault of the ranking criteria?
Maybe…I’m more for saying the criteria may be too tight. Expected loss of 20% at 5% equates to a 1% expected loss which is to be expected for every single system on the site. The statistic makes little sense at all.
Well I don’t how you can possibly prove that but the MCS would suggest otherwise. (And it suggesting you’re mistaken doesn’t make it wrong!)
Just look at why. Every system would have an expected loss of 20% of 5%, making the expected loss 1%. Likely for 100% of the systems on this site, and any system ever made.
Sorry, I was responding to your previous comment.
"Systems with larger DD’s are absolutely more likely to lose 20% than my own."
Well I don’t how you can possibly prove that but the MCS would suggest otherwise.
Percentages can be confusing sometimes! in this case you can’t just multiply a 20% DD by the 5% probability to get an equivalent of a 1% DD.
The 20% DD is simply 1/5th of the account balance, while the 5% figure is the probability of it happening. In some cases it’s valid to multiply two probabilities together (if they’re independent events), but not a probability and a portion (or fraction).
You’re quite right, the chances of a 1% DD would be 100% over any reasonable timeframe (say 6 mths or more) - in fact I suspect 100% is hit near the 3% DD level.
Compared to the average C2 system, a 5% chance of a 20% DD is probably very good, since it looks like 80% or more of the systems experience a DD of 50% or more before the vendor gives up. This isn’t surprising since C2 systems most likely represent a cross-section of investors generally.
It’s a bit of a “guesstimate”, but based on what I’ve seen, across all of C2 here’s my take. Over any 12 month period:
* Chance of a DD of 50% or more = 80%+
* Chance of a DD of 20% or more = 90%
* Chance of a DD of 3% or more = 100%
If my guesses are close to the mark (& I’d be surprised if they’re not) then any system with a 5% chance of a 20% drawdown is still doing very well. Yes, others are doing better, but as a proportion of the 5000 systems on C2, they’re a very small group.