Matt
I see some vendors with worse results but with better c2 rating
How can it be explained
System performance is only one factor that goes into your C2 Rating. Longevity is another factor.
so if I am only 3 weeks old then I cant be above 500 as I see
Realism Factor 94.4
Trades 274 stupidly high amount of trades
Profitable 151
Losses 123
Win % 55.1% not good
APD Ratio 0.04 not good
Correlation w/ S&P -0.556
Cumu $ $28,824
after typical commission $16,069
Keep after worst-case slippage 69.5% the biggest knock
Avg Win $1,019
Avg Loss $1,033
Profit Factor 1.2:1 poor
P/L per unit $3.98
after typical commission $1.48
Avg Trade Length 2.9 hours hyperactive
Compound Annual % 4,276.6% over 27 days young
Sharpe Ratio 6.743 high due to leverage
Max Drawdown 12.06% (20090903 to 20090907)
Risk of 20% account loss 0.0%
Risk of 50% account loss 0.0%
Risk of 100% account loss 0.0%
C2 is detecting inconsistency. Emphasis is on outperfromance of the S&P, and there hasn’t been much of that, but the longer you do it for, the more significant that stat becomes.
> Win % 55.1% not good
A good system has nothing to do with a high win %. A typical "Cut your Losses Short and Let your Profits Run" strategy has a lot more losers than winner, but the winners are big and the losers are small.
In general, I think the statistics are relatively meaningless for a young system and therefore it is fair that you do not get a high c2 rating. My suggestion is that C2 should only allow people to subscribe to systems that have a track record of at least 1 year. You would get rid of a lot of systems which look good in the short run due to pure luck.
veteranWS I am not saying that your system is not good, however you need to prove that you can sustain your results over a longer period of time.
BJ
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I think the C2 rating is really a great idea. From my experience, there is no question a majority of systems do blow up… Whether tomorrow, next week, next year, etc. I think the C2 score gives the subscribers that little bit of extra "security" to grasp onto when choosing a system to trade. Seeing a vendor with a decent track record, and a nice healthy C2 score, would definitely make me feel more confident about picking one or two of his/her systems to trade.
C2 rating is great. Nice one Matthew!
Cheers
I am not saying that my trading is best thing since sliced bread.
However? slippage in here is hypothetical/ I did not know that it depends on what type of order I used!!! This record also doe not include that the site had down time on my positions that I could not execute at least twice. That would completely change the win% DD and so on/
Strange to geat hear from trader that he does not know that most of the mega traders on Wall Street who make millions had that ratio below 50.
Sharpe ratios is not function of high leverage! it is risk adjusted measure.
You sound reasonable/ Thanks
My experience has been it needs to be above 60%, with win’s percentage wise larger than losses.
Here is an example. Weigh in if you think it is a “bad” or “good” system.
10 position portfolio equal-weighted.
Each position established with a set 7% stop loss.
Each position held for 3 months or 35% gain - whichever comes first.
On average throughout a 5-year period. . .6 out of 9 positions get stopped.
Average gain per winning position is 25%
10,000
10
-70x6=420
+3x250=750
or an 15% gain per year (minimal DD) and a 33% win %-age.
That’s 100%+ return - low risk proposition - over 5 years!
So what is win %?
gA aka pay$ense
PS Bottom line: in hindsight, don’t you wish your $100,000 portfolio doubled throughout all the market mayhem?
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One thing I wish I had done differently (it appears many had figured this out prior to trading much at C2) is take into consideration starting capital with my first futures trading "systems".
At $100,000 down to zero - TWICE in a few months. . .was the quick road (for me) to mostly learning this instrument (yes, there was a price tag/no subs – which to some make me out a bad guy) BUT KILLED WHATEVER C2 RATING I MAY HAVE GENERATED.
Since then I have mostly been profitable %-wise and trading capital, but overall my gains versus losses have a bit to catch up.
I am looking forward (long road, yet relatively short - not to sound as if I am too important;) to exponential gains in the next couple years to vault me back up into the pre-eminant status of 950+ C2 rating.
In my dreams. . .
Gilbert
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