Matthew,
Any possibility of basing the “most popular”, “hottest systems”, “best systems” and other things on the Realism Factor, with commis, rather than best case? It seems like this is part of the problem for potential subscribers.
Aren’t the best systems the ones that are best after taking out commissions and adjusting for the real world?
A few of the high performing systems actually do rather poorly when not so adjusted…
For example, “Best Systems - Futures”
– Omnitrader II goes from a rather nice performance, $167,000 to about $130,000 after Realism Factor, with commis.
– Pannonia goes from $190,000+ down to about $115,000 with a lousy equity curve.
– GA - which I have NO idea why it was even in the Best system list, goes from slightly positive to negative after this.
Most other systems held up quite well under Best Case or adjusted (Realism Factor, with commis.)
I agree that’s something we ought to do. I’ve been waiting for the Realism Factor (RF) algorithm to stabilize (and be accepted by the majority of C2 users) before taking this step. MK
– Pannonia goes from $190,000+ down to about $115,000 with a lousy equity curve.
No, it doesn’t. If you adjust for both commission AND realism factor it goes from 145K to 105K. Still a bigger DD than the best case scenario, but not as bad as you state. And if you adjust separatelly for RF only, the curve actually never drops.
I use quite a few contracts because I want my system to be visible on C2, and that is the only way to do so. But I always count
the P/L in points per contract rather than absolute numbers. I don’t expect any subscriber to trade it with 30-50 contracts. That is the only reason why my Realism Factor is rather low…
On the subject of equity curves: Matthew why is the RF for FT100HG so low (77) when all but a few orders have been market orders? The number of contracts per trade have been small compare to market size. Please can you have a look and make the necessary adjustments?
No, it doesn’t. If you adjust for both commission AND realism factor it goes from 145K to 105K.
Say what you think. I click the realism and commission button, you go from about 190K to 115K. I don’t know what you are looking at? Go click your button yourself
I say what I see, not what the advisor wants me to see. That is the purpose of Collective2.
That reminds me of the movie “6th Sense” where the kid says “They don’t know they are dead.”
"why is the RF for FT100HG so low (77) when all but a few orders have been market orders? The number of contracts per trade have been small compare to market size. Please can you have a look and make the necessary adjustments?"
I have no idea how the RF is calculated, but if anything the FT100HG is
getting an unreasonably optimistic RF.
The FT100HG trades 20+ size lots in the DJM6. Often DJM6 volume in a given one minute bar is 0 - 2. So a 20-35 lot order can move that market, and it can take several minutes to get fully filled. In several minutes the DJM6 can move 10 or more points. “Slippage” on market orders of 20-35 contracts would likely be 5-10-15-20 points or more. IMHO your RF of 77 is WAY too high.
FWIW, when I say “several minutes” it sometimes can take 30 minutes for 30 contracts to trade in the DJM6.
Well Sammy I don’t agree. I simply don’t agree at all but I’m not about to get into one of those long winded debates that you seem to love so much.
I’d prefer an answer from Matthew if you don’t mind.
I don’t know what you are looking at?
My guess is that you are comparing BOTH the green (best case) and the blue (adjusted for com + RF) lines. I am looking at the blue line itself, and that one never went higher then 145K.
If you want to use just one equity curve, fine, but don’t use the highest point of one and the lowest point of the other. That is called apples and oranges…
My guess is that you are comparing BOTH the green (best case) and the blue (adjusted for com + RF) lines. I am looking at the blue line itself, and that one never went higher then 145K.
If you want to use just one equity curve, fine, but don’t use the highest point of one and the lowest point of the other. That is called apples and oranges… 
The green line was at approx 190K on the day of the post. Using realism+comm (blue line) was at approx 115K on the day of the post. I compared green apples to blue apples. I never wish to misrepresent. I am an evidence-based, cut-to-the-chase individual. The trading arena is fraught with misrepresentation, hypothetical track records, hucksters (system providers AND brokers), Sunlight is the best method of showing real truth.
I enjoy Tech Analysis of Stocks & Commodities and Futures Magazines. But any article that provides advice on “useful gizmoes” such as RSI or other indicators, and leaves out a serious, multiyear backtesting has no value and goes into the shredder.
Most of this stuff does not work, works in certain market geometries, or used to work (like “buy index futures 1-2 biz days before the month ends and sell 4-5 days after it starts”).
That is why C2 is such a useful weapon.
The point of the post, was that the featured/best/hot systems should base-compare on what a subscriber was likely to experience, rather than on the best case (“rosy scenario”).
"Well Sammy I don’t agree. I simply don’t agree at all…"
Just look at a one minute chart of DJM6 and say that…
Three questions:
Have you ever placed a 35 lot market order in the DJM6?
What was the slippage?
If reduced slippage, and a better RF are an issue why not trade YM which has more than ten times the volume?
That said, it looks like you have a GREAT system, but I can tell you
slippage on 30 lots in the DJ is huge.
Thanks Sammy. I will look into the potential of the YM.
Cheers.
