How valid are the best systems lists? Looks to me that some systems get unfair exposure in favor of others.
For example, look at the Best Systems for Futures and click on Long Term. The list is empty. How can that be? There are SOME long term future systems on C2, so one have to be the best of them. But yet, C2 say none is the best. If you have 10 people, one of them is going to run the fastest. This is because arbitrary cutt-off criteria is pulled out of the air to disqualify certain systems.
I think the Best System List should be redesigned and the flawed Sharpe Ratio should not be used anymore in any of the criteria to rank systems.
C2 is biased to daytrading systems and make it very difficult for potential subscribers to find good long term systems. Based on flawed criteria like Sharpe Ratio, short term systems are getting featured all over the place, but if you are looking for a long term systems, you are left to yourself to search for them.
Chris
Chris
I was about to agree with you, then I looked at Futures Medium Term, and to my amazement found two systems. But only one of them is an EOD system, which I believe should be a criterium for checking out and finding systems. I for one am not the person to sit in front of the computer for 7 hours non-stop, not to mention the seemingly 24 hours one would need to spend with some of the systems trading 24 hours a day…
I also do not understand why I do not find another EOD futures system in the selection, one that I am actually subscribing to.
I believe there should not only be ‘Long Term’, ‘Medium term’, because those criteria do not guarantee that the entries are not taken any time during the session, even if the trades last for a few days, but there also should be a choice for 'End of Day’
Peter
Here is another reason which make me question these lists.
Looking at Bender’s Crossover system for the trade on 3/22, the Drawdown/Risk Column show the drawdown as -2950, but yet the trade was closed for a loss of 5875. So the loss is almost twice as what C2 say the drawdown for the trade was. And this statistic, which is clearly being calculated incorrectly, is also used in the Best Systems Lists.
As a potential subscriber I find these flawed rankings very annoying. I can just imagine how vendors with good systems which are getting disqualified based on these flawed calculations, must feel.
I would not be suprised if in a year’s time, almost no long and medium term systems will be on C2 anymore.
Chris
I would not be suprised if in a year’s time, almost no long and medium term systems will be on C2 anymore.
As a system vendor of primarily longer-term systems, I agree. Not only that, there would be no current subscribers left either, as the majority of current subscribers who are primarily trading short-term systems realize that short-term profits leads to long-term ruin, they too would leave, but there will always be a new batch of unwary subscribers and system vendors replacing them, seduced by the lure of fly-by-night quick rich schemes, leaving C2 not quite alone to continue to wage its war on reality.
ps Evil, means the wilful ignorance or defiance of reality. This has to mean: that which cannot deal with reality, that which is whim-ridden, context-dropping, self-contradictory, irresponsible, and short-range. It is consistent with only one regard: its essence is consistently at war with all the values and virtues, life requires.
The antilife is barren. It achieves only the antilife.
This problem has been fixed.
Intraday drawdown calcs were done on a periodic basis, and it was possible for a position to get closed after the last intraday drawdown calc, which is why you could possibly see a trade P/L be worse than an intraday drawdown.
I have taken care of this. Thanks for the feedback.
Has it really been fixed? Right now the drawdown value for that specific trade = the P/L for that trade.
Since this is a multi-leg trade that tells me that the last leg must have been closed at its worst price (max drawdown) up until that point in time. However just looking at the last two closing trades (copied below) its clear that is not the case (price improved slightly before the last leg was closed)
Meaning that anyone who was in this trade did have a combined realized and unrealized loss overall greater than the value shown ($5,875) at 15:43 (when ES was at 1315.25), because they later closed the last short leg at a better price @ 1314.25 they did end up down only $5875.
BTC 10 @ESM6 @ MKT DAY 3/22/06 15:43 3/22/06 15:43 1315.25
BTC 10 @ESM6 @ LMT 1314.25 DAY 3/22/06 16:08 3/22/06 16:09 1314.25
Ah, you’re right. I’ll take a look and get this fixed.
Ahh… a great opportunity for me to promote my snail-paced system. (Of course!) I agree there needs to be a better way of promoting systems which limit the churn of an account in terms of commissions, time needed to watch the market, utilize more cautious risk management etc. I would like to think there are subscribers out there who are looking for a ‘low maintence’ system which provides occasional trades, so these individuals do not need to regularly watch the market (for that is my job to do!). These systems tend to get swamped in the high return world of the Forex/Futures/Options based systems and/or day trade systems. I did manage to make a brief appearance on the Best of Long Term systems; but it was very much a fleeting appearance.
Declan
P.S. I make no excuses for this shameless system promotion!
I did a little checking on the System lists and I was left a little baffled by some of the rankings; particularly in the “Most Popular” rankings.
I have taken into consideration the number of reviews posted, and an average of the subscriber ranking (“average ranking”). It should probably be assumed a reviewer will be more likely to complain about a system than they are likely to complement it - so I expect rankings to favor the low end of the scale.
Lets start with the Best Systems - All Systems Tabs
If we are to go by total number of reviews per system, we would have a list as follows
Extreme-OS
Consensus Trading
High-Sharpe FX / Coin Collector
Upbeat Trading
Risk-Averse/Entropia/Andy’s Open Bar
Every body else on the list = 0 reviews
The longest system to go without a review is Fox E-mini at 37 weeks
If we rank by average star ratings, the list would be
Risk-Averse/Andy’s Open Bar
Consensus Trading
Extreme-OS
High-Sharpe FX
Upbeat Trading
Coin Collector
Entropia
Now with only one review (5 stars) a piece for Risk-Averse and Andy’s Open Bar it is easier for them to top the list. Consensus Trading edges Extreme-OS for second place - but its good scores for both systems, if we go on a complainers mentality for review posting. High-Sharpe FX also deserves plaudits.
If we rank by number of views per week, the list goes as
Extreme-OS
Coin-Collector
Risk-Averse
High-Sharpe FX
Work and Trade
Remainder <150 views/week
If we use the Collective2 ranking; Extreme-OS takes the plaudits. MBN-1 is ranked second on the All-System list but has no reviews - so its hard to tell if reviewers are happy (or not) - but no news is probably good news in this regard. Third ranked Coin Collector has been suckered by some disgruntled subscribers. Consenus Trading languishes in 10th place, but probably deserves to be ranked higher, as does 14th placed High-Sharpe FX.
Where things start to get sketchy is in the Collective 2 - Most-Popular list.
First up we will look at total number of reviews
Hawk-FX
Extreme-OS
Bender’s S&P Emini
Consensus Trading
Options in the Green
Steady II
All others 1 review
As for the average score of these reviews (for >1 review)
Steady II (2 reviews = 5 stars)
Consensus Trading (4 reviews = 4.5 stars)
Extreme OS (11 reviews = 3.36 stars)
Benders S&P Emini (5 reviews = 2.8 stars)
Hawk-FX (18 reviews = 2.7 stars)
Options in the Green (3 reviews = 1.67 stars)
If we rank by views per week
Benders S&P Emini/Black Dog/FX-NeuralPower
Hawk-FX
Extreme-OS
Steady II
Goofiz Foliage’s Future ATM
Risk-Averse FX
All other systems <200 views per week
Collective2 ranks; FX-Neural Power as number one system; its single review was 2 stars. Hawk-FX comes in second and for all of its recent publicity it has an average ranking of 2.67 stars. Third is Risk-Averse FX with a single 5-star review. Steady II is ranked 10th, Extreme-OS is fourth, and Consensus Trading fifth. FX-Neural Power has certainly come alive in recent weeks, but I don’t see how it is “Most Popular”. Hawk-FX looks fairly ranked and Extreme-OS and Consensus Trading should probably be bumped up a level or two).
But the biggest confusion is the Long-Term tab of the “Most-Popular”.
Of the Collective 2 list, only two systems have reviews; MB Trading and Sliced Bread. Each of these systems carries one review a piece. Not one system is able to reach a number of views per week higher than 50 (this compares to 660 views per week for the 42 week long Hawk-FX system, 338 per week for Extreme OS, 226 views per week of High-Sharpe FX, or 166 per week for Consensus Trading - none of which are featured on the Long-Term list). Put another way; first ranked Pinnacle Trading as had 1,635 system views while Extreme-OS has had 19,262 views over a shorter time period of the systems existence. There looks to be no rhyme-or-reason as to why these systems are ranked as “Most Popular-Long Term” systems. It also questions the viability of these lists; i.e. if you are top listed you should be getting more system traffic from members => you views per system age should go up. But it looks like this particular list of systems is barely visited by anyone here. So why have it?
Based on this basic analysis of mine it would appear Extreme-OS, Consensus-Trading, and High-Sharpe FX have the highest satisfaction; while Hawk-FX and Extreme OS are the Most Popular.
As for my own system.
Well… I just made the 104 system views mark (a whopping 4 views per week), and I am awaiting my first subscriber.
DJF
if you are top listed you should be getting more system traffic from members => you views per system age should go up. But it looks like this particular list of systems is barely visited by anyone here. So why have it?
I guess that if Warren Buffet or Bruce Kovner offers a longer-term system, the whole world would be watching it, because they have a solid track record. We are just not there yet.
Also, the shorter-term systems have higher views because most subscribers/viewers are looking for get rich quick systems which they can trade themselves with money they can afford to lose and have parked their retirement funds with mutual funds/hedge funds etc., though having to watch it 7 hours/day or even 24 hours/day does seem baffling, because it defeats the purpose of trading a single market. I guess this where auto-trading is supposed to help, but it currently seems to have some problems, because many people want to auto-trade a system that has limit orders or markets with bogus quotes like Forex. Even a single occasional instance of error is enough to cause a disaster because of the high leverage involved and the tendency of the brokers to run stops to create the illusion of liquidity.
This is of course good news for the longer-term systems which are more rooted in reality, some of them does not even seem to need the use of stops at all, because they reverse their positions if they are wrong or use options in lieu of stops as a hedge. The law of supply and demand is not to be conned. It is true because the fundamental avenger of those who defy reality is not the victims or the police, but that which one cannot escape: reality itself.
So, have a little more patience and the number of views will increase with the system age because the free market is the greatest of all educators. It continually raises the knowledge of the citizens, the caliber of their tastes, the discrimination of their pleasures, the sophistication of their needs.
ps: The statistics C2 records are not my “track record”. My personal track record is created only by a personal account traded with real money with a real broker.
C2 is just a walk-forward (hypothetical real-time trading) testing tool for those system vendors with methods (eg., chart patterns) that cannot be tested by traditional back-testing using a back-testing software and a way to publish signals conveniently (after successful walk-forward testing and opening it to subscribers) so that system vendors who dont have any other means to get their financial advise to subscribers to a method, can do so efficiently.
C2 is the greatest walk-forward testing tool I have ever known and also the best marketing/publishing tool a system vendor can have and in the future it will also serve me as a track-record if I auto-trade (a real-account) my methods through C2. Currently, I consider it a little immature (especially for forex and limit order systems) and unsafe to auto-trade my personal account, though it might be ok to auto-trade for futures and stocks.
Someday, I will be auto-trading my own hedge-fund account (which will also have my personal funds) using C2. But it will never appear in the most popular category as my other conservative method appears, because it will be a test system, hidden from the public for obvious reasons.
You are the first subscriber to your systemand by the way congragulations for beating the mighty S&P 500 which is an achievement in itself because only 20% of the best money managers in the world manage to do it.
Declan… there are two observations about C2 that might give some insight into the community. One is that there are very few reviews on the system pages, in general, compared to the number of systems that are available. Second, there are very few subscriber posts describing actual performance results from trading a system compared to the number of systems that are available. I interpret this to mean that:
1) Most systems don’t have subscribers
2) Subscribers are very reluctant to post actual trading results, especially if they are bad (although they may write a negative review)
Extreme-os is an example of a nearly perfect equity curve (high positive slope, very small drawdown) with a long C2 track record, so it is easy to see why it might be one of the most popular. But achieving the results shown on C2 for this system is not likely in a real account as has been discussed in these forums many times (the best I could do is break even not counting commissions). Ditto for the Coin Collector systems which also have great equity curves on their C2 system pages, but don’t represent what can be realized in a real trading account.
I’ve never understood #2 above since this is the only way for the subscriber community to gauge how well a system works in the real world (including the various delays inherent in the autotrading interfaces, slippage, etc.), but there certainly is a reluctance to post actual trading results here for some strange reason.
With respect to Randy’s # 2, I think that subscribers can also be reluctant to post positive reviews, because that will attract many other subscribers and these will increase the slippage, which will in turn decrease their own profit.
In addition, if a system shows a DD in its equity curve, then there is no point in writing a negative review because everybody can already see what happened. Similarly if the system has a nice profit curve, and the trader has nice profits too, then there seems to be no point in writing a review that repeats what’s already visible in the curve.
There may be another reason: If the system brings me losses, I would very soon unsubscribe. But then the period in which I traded it is too short to serve as basis for a review. Was it not you, Randy, who said that one should have done at least 100 trades before evaluating a system?
Jules
Pal Anand
Thanks for the post…
I guess I have to be patient as well. My system was the top ranked in Futures medium term until yesterday, now two others have sneaked in front of mine…oh well, but mine is still the only one that trades truely EOD, which means you need 15 minutes a day to trade and have pretty decent returns compared with others spending 7 hours …or 24 at the computer. I place my orders around 4 pm to be filled just before the close, I goofed only once when I had misinterpreted one of my over 100 system rules, I had to add a position after hours.
Over 400 folks have looked at it, but nobody even goes for the free part… go figure, maybe it’s not ‘exciting’ enough.
Maybe they are waiting for April, so they can have the whole month for free…
So I will be patient, and build my record…
Peter
I am in a talkative mood today. I’m glad somebody is listening. Randy: you said
>I’ve never understood #2 above since this is the only way for the subscriber community to gauge how well a system works in the real world (including the various delays inherent in the autotrading interfaces, slippage, etc.), but there certainly is a reluctance to post actual trading results here for some strange reason.
One hypothesis is that, as soon as one posts their real records for any purpose whatsoever, they paint themselves as targets for an IRS audit; not a problem if they earned the money honestly but who wants to paint themselves as a target and go through the hazzle of explaining it; it is hard enough to earn money in the first place…
>So I will be patient, and build my record…
Peter: As a system vendor of longer-term systems, I completely understand your frustration. It is not enough that one needs to be patient. One has to get away from the computer and actively market their methods by networking with other traders/investors/brokers etc. I would talk to my life insurance agent and get referrals to other people looking for trading advise. Can’t rely solely on C2’s marketing/promotion efforts however good (or biased) it is.
You would be surprised how many people out there looking for a honest, reliable and productive trader willing to teach them the ropes of trading and guide them to financial success and one learns a lot by teaching others rather than just being a student of the markets. You may also meet some wealthy individuals for whom you may handle money like a pro and take a decent cut of the profits which naturally leads to starting a hedge fund at the same time trading your own funds in it. The greater the benefits of your services to the public, the greater the financial rewards…
Peter
Your definition and my definition of EOD is different. EOD for me is, someone send the signals after the market close so that I can enter my orders at my leisure in the evening for the next trading day.
I will not consider your system for subscription because that means I have a very small window to place the orders. Your system is an intraday system as I need to be available during the trading day to place orders.
Why do you think placing an order around 15 minutes before the market close is EOD, but another system which also place one order per day at any time during the trading day, is not? For both systems, you need to be available intraday to be able to place orders. If someone place orders at 16:10, is this more of an EOD system than yours? What if they place it at 15:55? Or 15:30? Does this disqualify them as an EOD system? Where is the cut-off point for an EOD system? The cut-off point is the market close. If orders are placed for the next day, after the market closed, this is what makes it an EOD system.
Any system where you have to be available during the market day to place orders is an intraday system. A system where you do not have to be available during the trading day to place orders, but can place your orders the evening before, is an EOD system.
Maybe someone needs only 15 minutes a day to trade your system, but that 15 minutes is very fixed and if you are not available during that fixed 15 minutes, they cannot trade your system. A true EOD system, give you plenty of time to get your orders in before the next trading day starts and doesn’t limit someone to a fixed 15 minutes a day.
I didn’t look at the other two systems, but they might be more of an EOD system then yours. They can very possibly enter orders the night before based on stop or limit orders, which can be filled at any time during the next trading session. But this doesn’t mean someone need to be there all day. This just mean someone enter their stop or limit orders the night before and only check on them the next evening. For your system if you are not there at intraday at 16:00 EST, you miss your chance.
Chris
Chris
Thank you for your kind response.
We certainly differ in our interpretation of EOD.
To me EOD trading means that I get a fill as close as possible to the ending of regular trading hours, because I constructed my system on exactly those data, EOD data as in ‘Close’, as in ‘Historical data’. I backtested with those data, and therefore I want my fill as close to those data as possible, so I place my orders at 16:14:45, and in about 9 months of forward trading I matched my backtested results pretty close.
You did not read my post very well…I get my signals between 4 pm and 4:08 pm, because I key them off the RUT index, which closes at 4 pm, and sometimes takes until 4:08 pm to finally settle. Sometimes I know hours before. I can set up my software -Amibroker-to send the signal to my cell phone or to my email at a predefined time 04:10 pm, and then I have to act at another predefined time, or I can have my signal autotraded like C2 does for me by activating my order at 04:14 pm, at the market, so I am guaranteed to get a fill. I am trying to publish the signal as close to 4 pm as I can, but even 4:10 would be sufficient.
If you call that intraday, so be it. If you cannot devote 5 minutes every day, 5 days a week, to making a living, then so be it.
People construct their whole lives around their ‘profession’ that creates the income to live their lives. People commute for hours back and forth to sit in some offices from 9 to 5, 5 days a week in order to make that living… so I would say, having to be available for 5 minutes a day, no matter where you are on this planet, gives you a bit of an edge over that…but you call it intraday… and restrictive, because you have to be available for 5 minutes, well, it’s ok with me.
I constructed my life around those 5 minutes, because I am a trader…just runs in the family…
The BIG difference to the other systems, and that’s why I call it EOD, is that you only have to be available for those 5 minutes. Other systems I mentioned above also hold for days, but then they have entries at 10:41 am, at 7:34 am, at 17:20 pm, so you have to be available all the time…and that’s daytrading to me, a.k.a torture.
In practical terms, let’s say, I like surfing… I can go out in the morning and catch a few, with my system I am back home 10:45 and gone again at 11:15…
With any other of the systems, I won’t go surfing , ever. There might be a signal, a trade, anytime, it might even wake you in your sleep…Yikes!!!
So call it intraday, don’t subscribe to it, it’s all right. I will run it here for a year, if nobody wants it, so be it, I will be out of here. The 100 bucks I get out of this after paying 33%, won’t make it or brake it for me anyway for the 14 subscribers I would accept.
Peter
End of day means exactly that. The trading day is over, ended.
A trade posted near the end of the trading day is just that, near end of day but not end of day untill the trading day has ended.
Interesting how something so simple can be twisted in our minds to mean what we want it to.
No big deal just interesting.
Was it not you, Randy, who said that one should have done at least 100 trades before evaluating a system?
Nope, that wasn’t me, but certainly some amount of time with a system is needed to properly evaluate it. As to the equity curves, if they actually represented how a system would perform in real trading you’re right … reviews might be redundant. But that’s the whole point … the equity curves don’t, for many C2 systems, have any resemblance whatsoever to the equity curve of a real account following that system. This is why subscriber results are valuable. Just ask Walter how his real account equity curve with Omnitrader-II compares to the one shown on C2 (and I have plenty of similar examples of my own as well).
Here are some definitions relating to day-trading (S&C magazine August 2003 issue):
Strategies For Daytrading by Jacob Singer, who says:
These strategies could improve your daytrading.
Trading strategies that fall under the definition of daytrading can be confusing, because there are really three types of daytrading: intraday trading, end-of-day trading, and daytrading. The three kinds are similar, but there are clear distinctions.
1. Intraday trading is when a trader makes a large number of trades in a single day, taking a one- or two-point profit and trading both short and long positions as the market changes direction during the day. The objective is to have all of these small trades add up to a good profit at the end of the day. Positions are always closed out before the market closes. This type of trading can only be done when commissions charged per trade are very small.
2. End-of-day trading occurs when a trader takes a position in the morning as the market opens, and once a fill is received, places a target level to close the position. The trader places a stop-loss in case the position moves against him or her, and closes all open positions at the
end of the day.
3. Daytrading is similar to end-of-day trading, but positions can be held overnight. This is because the first 15 to 20 minutes of trading in the morning usually follow the trend of the last 15 to 20 minutes before the previous days close. The daytrader takes a position during the day, planning to close out either that day or the following one, whenever his trading target is met. He will watch the position over the one or two days, all the while adjusting his stop-loss and allowing his profits to ride.
V21C08171SING.PDF$3.95
ps: I’m not sure where Peter’s strategy falls. It doesn’t seem to fall strictly into any of the above strategies. Maybe it should be assimilated into an existing strategy like longer-term (not EOD), but it is just a matter of semantics.
Pal Anand
Thank you kindly or the definitions.
So it is not EOD, and I will take that back, but then what is it?
It’s not daytrading, it’s not swing trading, it’s not position trading as per any definition I found in various trader’s encyclopedias.
This is a really interesting question. Then what would you call it if you trade Dynamic Rydex funds with a cutoff time of 15:55 pm and a holding period of a day to a few weeks?
And how do you call a Treasury Bond system thet trades only once a week on Friday at the close? Daytrading??
Very confusing indeed.
But the important factor to me is not what exactly I will call it, but the ‘convenience factor’, the payback per time invested, or the ‘hourly wage’ I pay myself in order to free up as much time as possible to live a life…
Peter
