Drawdowns - Once Successful Systems

"To want to rank systems by Net Profit/Max Drawdown is clearly not well thought out.



Lets look at some examples."



I’ve posted some real world examples in my previous posts. I’ve stated before that no one stat does the trick. Please see how real money big time CTA’s are ranked:



http://www.autumngold.com/ManagedFutures/Analytics.htm



http://www.autumngold.com/Sample/5%20Year%20Sample%20ROR.htm



There are 8-10 measures of risk, DD, SD, % margin, etc. Since SR and Risk of X % account loss isn’t right on C2 there is NO good measure of risk. I understand why some vendors favor this, but I’m at a loss why subscribers such as yourself defend those vendors POV.



"My comment was that you and Ross seems to be the most outspoken and tell other people how they should trade their systems…"



No, look at the start of the thread. No system is mentioned. The statements are about understanding RISK and being aware that some

great looking systems are based on situations (uptrend, range contraction) that are bound to end. Did these systems have a plan in place for that change? Are newbie subscribers aware that these changes in market behavior are inevitable?



"You pretend that the systems are not open for subscription, but yet you still charge about $200 for it."



No one has been charged a penny, and no one will ever be. But for fun I change the “fee” and the name. I changed the name to “The Truth”, because YOU CAN’T HANDLE THE TRUTH!



Heehaw!



BTW, I’ve had my own system(s) since 1990.



“Most looked-at this hour

Optimal Delta Neutral Plus

Aestreux Fund

Bris

positive forex

Options To Cash ver 2.0

Trend EZ

Tango”



"Sam Cook

Cris already explained you about RR. From my side I can only add that calculation of RR…"



Maybe you mean PR? I suspect you owe me a few bucks for the

good PR my posts have given you this weekend. And you owe me

an apology. Hey, but don’t worry, I’m not holding my breath for either.

Dear guru Sam and of course dear guru Ross.

Let’s simplify the situation. You are great market wizards and I’m nothing in the market. Please, give me at least hundred trades on C2 paper. It’ll cost you nothing, but everybody can enjoy by watching of your wisdom.



Otherwise, hmm… [censored]. Maybe [censored]. Ohh… Yeahh… you’re full of the market wisdom lol



With all respect to the market wizards,

Your potential follower,

Eu



P.S. I understand that both of you can outspoke me easily. So give me the numbers from your side if you can lol

"Otherwise, hmm… [censored]. Maybe [censored]. Ohh… Yeahh… you’re full of the market wisdom lol …"



I’m guessing this is an ESL issue for Eu. I am complimenting

your system. I’m saying the current C2 criteria under-rates your

system:



"So, if this was a rank-able criteria Tango would come out

WAY ahead of these other somewhat similar systems that it

is currently ranked well behind."



Why does this make you angry? Does it occur to you that

demeaning my logic is demeaning your system? Let me

explain in other words:



I say your system is good. You say I’m wrong (or

whatever “[censored]” is supposed to mean).



OK, you are right. I am wrong. You win!



But no more free PR for you. Bye.

If you’re saying that this could be one of many indexes that should be added, then I agree. Not because I think that this is a very good index, but because it is very simple (which is worth something) and because it has been asked before (with the same comments though). In fact, I would already be happy if the Max DD was given in the overview page of all systems such that I can easily download it to Excel and compute the statistics that I want for myself. That has been asked before too. You won’t hear me comlaining if you repeat that.



Another question is how good this index is.



The examples that you gave are irrelevant: Both systems are older than Tango. The point was that some young systems would have an unfair advantage. Today, for example, Forex Elite and positive forex would be ranked above Tango while they are only 1 week old.



Moreover, your comparison to the ranking on basis of return makes no sense. The proper comparison is with the ranking on basis of SR and then both systems that you picked rank well below Tango (Tango SR = 5.872, Mosaic Med Term SR = 1.531

Sliced Bread SR = 2.445).



The SR has limitations too, so Profit / Max DD can still have some relative advantages (e.g. in the example of the 1000+ SR that you found this week, the Profit / Max DD would give a more realistic image than the SR).



I don’t need to do suggestions, because better suggestions have already been made by others repeatedly, and I did NOT criticize that. Something you could have known if you had spent a little more time on reading.



I don’t complain about criticisms. I commented on your style of debating, which is: twisting the message and putting words in someone’s mouth.

Dear market wizard Sam Cook

It was nice try. May I remind you and next market wizard Ross, please give your forward numbers, not pissing on everybody in C2.



Eu



P.S. I don’t care what you [censored] said about my system, I know risks of the system better than few [censored].



From the point I really have a hope to say bb the kind of [censored] as you. Sorry for my French :wink:

“The examples that you gave are irrelevant: Both systems are older than Tagno.”…and “if you had spent a little more time on reading”:



"Here’s a rough estimate based on CumProfit $ / Risk $ (DD$)= P/R.



Tagno (ranked about 50th based on return): $66K/$8K = 8.25



Mosaik Med-Term (40th): $76K/$200K = .38



YeKai Swing trader (30th): $91/$95K = .95



Swing Traders (18th): $137/$95K = 1.44"



YeKai is younger, Swing is the same age, and Mosaik is just 20% older. So it’s not just about age as you seem to suggest:



"some young systems would have an unfair advantage."



The ratio is good indicator of how smooth the equity curve is. Since there is no way to search for a smooth equity curve, Voila mon ami. And as Pal points out, a smooth equity curve is a good indicator of robustness. BTW, “profit factor” Gross Profit / Gross Loss is an industry standard.



"Today, for example, Forex Elite and positive forex would be ranked above Tango while they are only 1 week old."



Agreed, don’t even use the ratio until X weeks and/or Y trades. Problem solved.



"Moreover, your comparison to the ranking on basis of return makes no sense."



That’s it? It doesn’t make sense just because you said so?



"I don’t need to do suggestions…"



Right.





As I said: nothing of worth. Just a lot of vomit.

Where is market wizard Ross? Guys you really think than you can really f@ck people without any response? Sorry, I forget that both of you great market wizards and you can piss on everybody, because you’re the f@king market wizards.



If you don’t like my French, f@ck off and make some cents on the market. I’m poor/uneducated Chinese guy who f@ck the market wizards as you.



Heh. And lets come back to a poit. How about hundred trades at least on C2 paper? Good English boys, who prayed before going to bed?

N-u-m-b-e-r-s ?



[censored] [censored] [censored] [censored] [censored] [censored] [censored][censored]…

Eu



Pretty much everything I have said is target on regarding overleveraging, advisories, etc. You keep hammering on points I never said or claimed.



When you can disprove the things I have said in the past, I am happy to discuss. When people descend to the “french” there is little point in responding

"Yada Yada… Whatever "



I understand: You never had a girlfriend.

It seems that discussion is degrading.

The original argument was interesting.

It is not easy to solve.

I suggest to begin again discussing about the stop loss concept…

This weapon is simple to protect against change on long term trends, as the one that probably we are facing now.

Dear market wizard Ross,



You don’t like what I did? It’s so sad, because I followed your teaching and mirrored a situation from closed thread, but I took a place of bad guy in the case :wink:



You might to not like my French, but you have to back up your mentoring tone. Wanna teach? Go ahead, but please make a few trades at least on C2 paper. You really devaluated your ideas (not bad ideas I have to admit) by your mentoring tone.



Eu

"As I said: nothing of worth. Just a lot of vomit."



Are you and Eu related?

" I’m poor/uneducated Chinese guy who f@ck the market wizards as you."



Why are you angry? Please show any quote where I made a negative comment about you or your system.



Eu, Jules, etc.



People are allowed to express opinions on a forum. My particular opinions regarding advisories or signal services are based on many years of experience in evaluating newsletters, websites, advisories, etc. via chatrooms, email letters, website access.



I have personally subscribed to, evaluated, or otherwise followed somewhere between 600 to 1000 separate futures/commodities/ stock advisory systems. They appear in the back of Futures or Tech Analysis of Stocks & Commodities magazines, on services such as C2, Timer Digest, Futures Truth or Timertrac,on Ebay, via brokers such as Striker, via internet searches, WSJ, as spam, via faxes, via postal mail and other methods.



I started this well before Collective2 existed, and I have a very strong expertise in the behavior, methods, marketing and general structure of advisories. After a while of examining systems, you become quite familiar with how they work and operate. I know the scams, the opportunities, the reasons why advisors offer these, etc.



At this point in my trading life, I study potential advisories that interest me via track record, philosophy, questioning, and hard number crunching of their data through my own methods. Then I follow them for a period of time to ensure that the signals match the hype. And when you find the rare advisory that works, you need to follow it until the market conditions change enough to render it mostly useless.



Pretty much all of my posts have come from this background. All of us have skills, experience or other awarenesses of the markets, and we all have our own interests and beliefs.



If I am hard on someone or push Matthew/Francis to fix problems or add features or raise issues that seem worth exploring, that is because I am seeking to learn, teach, improve, challenge or otherwise get people or things to a better situation.



We can learn form each other and better our knowledge, or we can shout, complain or argue.

Fair enough.



Eu