I am not clear on the following stats in the âDefault hypothetical monthly resultsâ and the âstandardâ chart that we see for each system,
a) what are the default, standard (non personalised) settings? Is it "zero"?
b) Is the starting capital on default the initial capital the provider has started with?
c) Any particular reason then that I sometimes see substantial differences in the month by month stats (letâs say march going from -3% on default to +3% on âpersonalisedâ)…it should be the other way around!
Any help appreciated. Thanks
I don’t know the answers to all of these questions but personalized settings should be treated with caution. One of the problems with comparing the net return of systems is that it doesn’t take into account the risk adjusted returns. A system that returns 15% at 15% drawdown has the same risk adjusted returns as 30% at 30%.
The current way of viewing systems leaves the developer to estimate the starting capital based on his/her risk profile. Different subscribers will likely have differing risk levels.
The personalized equity curve can be used to approximate this but with distinct limitations. Futures systems will trade the same contracts but with lower starting amount which will push up both the net and drawdown. Stock trades will have their trade sizes adjusted in proportion. Systems that trade both will have elements of each.
This is not to suggest that the personalized is wrong but that it has certain assumptions that may/may not be true. A good check is to take the net profit for the system and compute your own returns.
Greg,
I’m new to C2 and found this feature very helpful. If you are going to do some due diligence, this is an important feature at C2. The standard - default has the starting capital that was set by the developer. By clicking on the pencil that is to the right of personalized you are able to adjust various factors,such as starting capital.
There is no seperate box for autotrade fees or slippage. This means that they need to be added to the commish in the case of futures. In stocks only commish and auto trade fees are input. In the case of stocks you add pennies in the slippage box.
When examining systems that appear to make money on a regular basis, this took will be very helpful to see what the results are on a costs adjusted basis. When you see numbers go from positive to negative, it is because of cost adjustments that you will face in the real world, when you actually trade the system.
Greg,
Risk adjusted return is something that I deal with daily. Unless one knows what the stops are for a system, it will always be unknown. But there is something that you can do that will give a more level playing field, when it comes to evaluating systems. This would be to do a calculation basis cash. This will take a bit of time in a spread sheet but it is possible for most of the systems on C2. In the mean time using the personalized feature is a must for any investor who does not want to feel very stupid down the road.
Thank you MP and Dean for your input. I agree with you on all fronts. I actually work on my own spreadsheets using C2 trade by trade data and I have my own methodology to analyse them. I have never used C2 personalisation facility and I wanted to check if it could make my work easier and if it gives results consistent with my own findings.
The best way to find out is to understand how this personalisation works. So, anybody knows how it works and where I can find some detailed information?
Thanks again
Hello Greg,
There have been several discussions about the personalisation feature and it’s idiosyncrasies. For example see:
http://www.collective2.com/cgi-perl/board.mpl?want=listmsgs&threadhilite=8186&boardid=9323885
Or search the forums for “personalize” and “personalization”.
Dean.
Greg,
Viewing the personalized charts vs the standard is an essential step for everyone in this forum. After all the personalized charts are closer to the truth. It helps me avoid doing things that are stupid.
Thank you all again.
Dean P, that link did not work and the search did not provide much, apart from some old-ish posts about the serious limitations of the service. It looks like the strongest limitations are for longer term systems, but perhaps this has been solved more recently? It does not look like, though.
Dean M, I have to disagree with you on this. Bottom line, I do not know enough about how this feature works and until I have a decent understanding, I will apply my own methodology, with tons of Excel inputting. An essential step for me would be to understand how it works. But thatâs just me.
Thanks again
Oops, sorry - something must have gone wrong with my copy & paste. Try this link:
http://collective2.com/cgi-perl/board.mpl?want=listmsgs&threadhilite=8186&boardid=9323885
Dean.
Nope, that looks okay until I press “OK, post it” but then the link is garbled when on the board itself.
Remove the spaces in the link. It should work then.
Let’s try again…
http://collective2.com/cgi-perl/board.mpl?want=listmsgs&threadhilite=8186&boardid=9323885
