I would like to hear the community’s most favorite criteria when searching the Grid.I would personally filter the Grid by min. 100 days, min. 100 trades, min comp. annual return 100%,and max 30% DD.
Of course the 100% annual return should be less,when a system is more “mature”, but for new systems,I wouldn’t bother to look at anything less.
Any better ideas?
Thanks
Milda
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number of trades > 95; strategy age > 355 days; profit factor > 1; calmar ratio > 1; sharpe ratio > 1; ann return > 0.1
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and max dd as a % of cumulative return a decent indicator (not sure if you can filter in this, but easy to work out). The more trades in different market conditions the better. Trade number less than 50 lacks statistical significance imo.
Age >= 365; Trades >= 50; Sharpe >= 1.5; Last 90 days >= 1; Max DD <= 40; Subscription Price <= 300
I think the most important part of this filter is the Age. I’ve seen a lot of systems over the years that start out great (e.g., annual returns > 100%) only to blow up soon afterwards.
Gary
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Similar to when I search the BarclayHedge database, Age >700, Trades > 100. Max DD <25 - that leaves you with a decent picture. I agree with GaryLynn2 - age is a deciding factor here on C2 - so few strategies are still here after 2 years - and look at how many are TOS… in futures that leaves you about 5 after the other filters are applied.
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I use:
Age > 230 (8 months)
No Trades > 20 (you can have some long lasting trades, no need to do many short trades)
Starting Unit Size <= 50 000 (just to avoid systems I can’t trade or scale)
Profit Factor >= 1.5
Sharpe >= 1.5
Calmar >= 4
Ann Return >= 40%
Max DD <= 25%
I agree the most important part is Age and consistency of returns. There are systems with good returns in first months but then they blew up.
No matter how long a syste has been around, if you win ratio is under 80%, I stay away.
No atter How long you have been, if your draw down is huge, over 35%, I am not in it.
My criteria would be:
Number of trades : Over 50
Age: Over 90 days
Win ratio : Over 80%
Draw Down Under 25%
Cumulative profit: Average 5% a month or 60% a year.
Number of trades or contracts: Really, really matter since that will determine the size of account that I need.
No matter the criteria that soeone may choose, Wugot will have all or may have most of them except for the age factor. We will be 4 months on C2, May 9, but we are doing great up to now. Praise the Lord.
I use strategy age > 250 and then simply sort by Calmar ratio which ranks amount of return divided by amount of drawdown which is usually what I care about. I will have to do a sanity check to avoid the martingale junk–if you want to do that automatically just add a filer to remove all systems with winning % higher than 80% or so.
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That’s a great way to identify a bunch of systems using martingale that will eventually lose your money. I can’t imagine a worse filter. I would filter on the exact opposite (and often I do!).
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Exactly! I favour systems with Win ratio between 40% - 80%. If a system has Win ratio over 90% that only means:
- the system holds a loosing trade for a long time until it gets positive → huge in trade DD
- the system uses martingale to get out of a loosing trade
No “normal” system has Win ratio over 90%. That’s why I use Profit factor > 1.5 - that’s enough to be on the winning side, together with a low DD (for me it means <25%).
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I always keep y win ratio over 80% and I do not use martingale. I have no clue of what you mean.
Also, the win ratio has no value if your cuulative profit is negative or bad. You may win 99% of your trades and one single trade kill your account. I consider also the profit factor.
But I hate systems with low win ratio even if they are in profit. Losses affect my brain and small losses cumulated can destroy any account as well.
lejeune Bauvil for Wugot startegy www.copybauviltrades.com
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That is not true.
I have an account with over $95000, if I had to risk 5% on one single trade or contract, that would have been $4750 which is the trading style of ost professionals traders. No need to tell you if I had to choose to risk 10% of my account which will still not bad since the profit is now over $45000.WE trade 2 contracts and we try to keep our draw down lower than 5% per trade or close.
We also use the startegy where we could have risk 25% of our profit which could have been $12000.
Our Draw down is among the lowest at 15.6% or less than $11000 for our total trades.
OUr system will never be defined by what you said. Since we are not God, we can not be for sure about the direction of the market and we do not expect to win all the time or to have no draw down. However, our plan is to keep our win ratio high, our profit high, our draw down low, we do not trade martingale, our profit factor high, our traders happy and our business for long term even with c2 or not.
lejeune bauvil for Wugot strategyat www.copybauviltrades.com
There is no magic formula for 90% winning trades over the long term with directional trades. Win rates that high mean the trader is adding to losers or waiting for trades to turn positive–both of which are strategies that eventually lead to large losses. Gold has been on a great bull run and that can make any trading look good.
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If you do not have one. I have one and I know many traders who have one.
Also, even if you are praying for them to disappear, some have been araound for years and they make over 600% of their initial investment by the time you expect to see them disappear.
I would better double my money, take my investment out, play with the profit. Withdraw from time to time instead of having a system that will give me 10% over a year where it will take me 10 years before I get my principal back. Life is so short.
However, it is your preference, your color, your choice, your invetsment and everyone is different. It is your heart pocket risk ratio.
I have this account open last mont April 15, 2016 at FXCM and it is almost double. By next week, I withdraw the principal if I feel to and play with the profit. The small with is to you an indicator of a live account.
There is only one system with > 90% winning trades that has been around for more than 6 months on Collective2 and that system is not real. It could not exist in real life with the returns shown on collective2 as it would have gone bust several times in the past at a real broker. It only remains listed due to a flaw in collective2.
Will your system still be around in a year or two with 90% winning trades? The odds are heavily against it.
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Instead of paying so much attention to the win %, or the maximum draw down, or the average win and average loss of a system, I believe it is better to focus on the W:L Ratio (Profit Factor).
The Profit Factor takes the total dollars won by a system divided by the total dollars lost. It is how the System Developers manage all of their trades, including winners and losers.
Jim
The system with the highest profit factor on C2 isn’t real and will most likely blow out your account. If you care about not losing everything maybe drawdown is important?
Which system are you referring to?
Sort by Profit Factor on the grid, it’s the one at the top by a large margin.
If you think that system is real, go to the trade list and page to the trade made on 2/6/15 (or the trade on 2/12/14 or the trade on 12/30/15) and look at the intraday drawdown as % of equity and explain to me how that is possible in a real account.
We are real traders and in fact we trade with real money, not on C2 or futures, but In Gold CFD account. We still provide signals for CFD gold and we have a broker that take USA clients as well considering Gold as part of their currency, as they are a forex broker. WE do not care about keeping 90% win ratio, it just happened that our startegy works that way. if we have to lose it to keep our profit factor high, we will. We have great cumulative profit and low draw down at the same time. Percentage win is not our priority.
Within the next days, we do not know what will happen. All we know, trading is our life style and we will continue to trade until we die.We are not sure if we will be on c2, but if it is worth our time, we will enjoy the ride as long as it is profitable.
We are true business people. Weare here for fun, to help, to please and making money.
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