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I think the most important thing is to combine different strategies, trying to find a good balance. More important than the return of a strategy is the return of the entire portfolio. More important than the risk, the max DD or the correlation of a strategy, is the behavior of these parameters in the complete portfolio.
For me, the portfolio is the combination of several strategies. There are strategies that can be combined properly and show significantly better results than separately.
If you do the analysis in that way, you will get a much better balance and a long-term perspective. There is the money.
Matthew, putting my business hat on, I would ask what would help bring more potential subs to C2 (the masses?)? Part of that answer is having the measurement system be as simple as possible. Thereās lots of investment lingo flying around here that scares most people who otherwise would find C2 an attractive alternative for their portfolio. I have many friends in that category. My take is donāt eliminate the lingo - just provide something in addition that is simple and probably not black box. Thanks! Youāre doing well.
c2 score is about comparing DD, performance vs all other c2 strategy within a time frame. i know popularity and length strategy is created is also a factor.
I didnāt have a measure of popularity, but the other three measures generate a model that fits very closely the C2 score. So a 1 S.D. move in the model leads to a 0.8 S.D. move in the C2 Score. Maybe the (small) rest of it is popularity, for which C2 has a blue bar, rather than a number that can be easily modeled.
Actually, itās not exactly performance āwithin a time frame,ā unless by time frame you mean: āsince the strategy started.ā One of the three known predictor variables is log of annualized return since the strategy started (minus fees). Or at least it was last spring.
you are being compared within a time frame of your peers. Such if a strategy been around for 5 yr with performance of 50% gain per year. it will compare with other strategy that been around 5yr+. thats why u see so many strategy been around 3+ yrs with avg return, because there arent many strategy survived that long.
you also see a strategy only been around 3 months is the TOP of everyone, that because he did 500% gain with 5% draw down. There is NO other strategy out perform that, so it on top.
Yes, in the end I think the number is a ranking against all the other active systems. If Iām not mistaken, you donāt see systems with the same number.
There are two popularity scores under Statistics when you look up each strategy on their landing pageā¦not sure if you can get this in any summary fashion as a Sub or Developer.
Thanks. I didnāt know that the popularity score was there in a number (rather than a graph). Unfortunately, I would have to add each score by hand to a downloaded grid, but I could add it for enough strategies to check whether it is part of the C2 scoreā¦Next time I rerun the data.
