Absolutely, we are not even counting Old Timer systems that blew up spectacularly a long time ago but are no longer listed on the grid.
31.7% average > 3.9% average.
Old timers are like the planes that made it back. Beat up but back.
What is that 3.9% please?
reference to earlier post in this thread: Diversification Email at C2? - #4 by InteractiveAssets
Well if you give popular systems enough time they could also produce that kind of return, I guess, in the long run.
But how many Old Timers never came back�
InteractiveAssets, I see that you love statistics and numbers, so here is an interesting study for you : the average return of TOS (Trade Own System) strategies.
I think the results would surprise youâŚ
Do you have the results?
These are the only results that I have for TOS.
FYI the 15 stands for the top fifteen strategies from each leaderboard in the forward test.
Yes, this TOS study was performed a while ago by an old C2 user (he had his own trading blog), and the results truly surprised me.
But see for yourself if you know how to download the data from the grid (I couldnât find a way to do this).
Top 15 TOS systems only? No that wouldnât work, we want to know the average return of every TOS system listed on the gridâŚ
A top 15 listing of anything will always give a superior value and not the real value of the average return, by definition.
Itâs like trying to find the average return of the stock market by using the top gainers of the day only.
I would love it if you calculated the average of every single one. That would be wonderful. FYI Dwight is my other profile. The manner in which I measured the data is a bit tedious. I can update it but Iâm not going to be able to update every single one of the 1,000. This is why I did 15 for the forward test and then would rebalance every quarter or so. So the results are as if a person did an equal weight portfolio of 15 strategies by leaderboard type and rebalanced each quarter or so into the current 15 top.
I fell off the wagon because it was tedious. I can update with another rebalance but it wonât have 1000 strategies it will have 15 per board.
If the data doesnât meet your criteria and you donât have other data to provide then I donât have much else to say on the topic other than I hope you find a way to provide results for all the strategies etc.
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Alright, I guess I will have to do it manually then, a very tedious task as you can imagine.
I will post the results when I am done.
Oh I see what you mean now.
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Here are updated results. Its all over the place. SPY and IRA board seem to have the highest overall return so far in this method.
So according to your study the return of the SPY is almost 9 times greater than the top 15 âOld Timersâ, from 9/12/2020 to 7/30/2023?
| Old-Timers 15 | 10.0% | 19.75% | -12.25% | 16% | 5% |
|---|---|---|---|---|---|
| SPY with DRIP | 7.2% | 26.93% | 12.73% | 53% | 43% |
It appears so. One thing, I think the method is to rebalance into top 15 every quarter. Basically âchase the top systemsâ. So, conclusion isnât that top 15 doesnât work over 3+ years where the top 15 is static, itâs that chasing the top systems doesnât work (which intuitively can make sense).
My guess is if you picked top 15 from start of this test from old timers list, and somehow handled systems that busted or stopped, youâd do better.
Well they obviously didnât work, because a simple index fund like the SPY was able to beat them 9 times over.
Thatâs true for the C2 âOld Timersâ, at least for his 3-year test, but it is still unclear if this idea is true in general, as far as trading systems are concerned, even though I have read somewhere that top performing funds tend to underperform the next few years.
[quote=âExtremeTrading, post:37, topic:16206, full:trueâ]
I need to clarify, when i said âconclusion isntâ that top 15 doesnât work over 3+ yearsâ I mean picking top 15, then holding for 3+ years. Because no data was presented for that.
Itâs definitely possible I made an error etc. but yes. The only category that beat SPY with drip was the IRA category. So as of now I would say I was certainly wrong to hold the old-timers in higher esteem. Also, this is all before taxes. If someone followed the IRA board outside an IRA they likely would have still underperformed SPY after taxes.
@QuantTiger as you pointed out it may have better results to just buy and hold. I have the data needed to compare. If I were to have just taken the original 15 old timers and did zero rebalancing the results would have been about 7.4% for the old timer leaderboard.
yeah in general the idea should be explored, maybe rebalance periods can be tuned, number of systems, etc⌠Or something like âdogs of the dowâ where the lowest of the top 30 systems or something is picked, etc.
So again the Old timers did worse than a simple index fund like SPY, during the 3-year test,
In fact, fading the 15 top Old timers (on a rebalancing basis) could create great returns, or so it seemsâŚ
