"I think that NO system should be allowed on the grid until after 30 days and it has achieved a minimum performance score with W/L, APD, and sharpe. Matthew does not charge the developer his $88 until he “graduates” . This simple step would immediately elevate C2 out of the amateur realm as was mentioned in this thread."
If people are going to subscribe to a system with less than 30 days data then maybe it’s the subscriber that needs to graduate from amateur status rather than the vendor.
Can’t argue with that astute observation Jon. Let the buyer beware.
Index, it appears the gauntlet my own new system (AATs-Forex) must pass through is very clear-- Stay out of the wash!
After personally getting my own mini-mini account creamed by a well meaning system operator who had some bad trades, I know what it feels like, and I lost less than $1000. I imagine the guys who lose 2 or 3k wanting to do bodily harm to someone.
Capital Preservation is key, and quick stops and low leverage are the methods, as well as great entries and good exits. Not too tough, right??? Oh, and you have to eat and sleep and help the kids with their homework.
Nian, I was trying to be very careful NOT to name names. You will notice that I didn’t point my finger at Pip Pal or you personally. I accept full responsibility for the risk I took. This is what I posted in the pippal forum in response to you personally:
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Nian,
Just to clarify, I unwisely was using a very small account (only $500) and I scaled DOWN to just 10,000 per call. Based on your previous success, I felt like it was a safe bet, but even at this low leverage, my small account was not able to handle the several losses in a row. I think over two days there was about $300 in losses. If I had traded a normal sized account, this would not have been an issue certainly. I harbor no ill will, and again, I may subscribe again, I just was stopped out by Bulldog-FX and FXCM and wanted to explain. You may have calculated just 10% loss possibilities, but if you have several in a row, then BAM! you are done.
Steve
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AGAIN, no hard feelings here. It was a risk I took. In these forums I am simply trying to learn and to point out to others the dangers of over leveraging and the importance of cutting losses quickly. I still think you have a great system, and again, I may resubscribe, but you just need to be aware that a string of losses might lose you some subscribers who have very tiny accounts. -Steve
p.s. Please don’t consider this a personal attack. And I have read most of the other posts in your forum. I get the sense that all the other traders WANT you to succeed and they are trying to help, but you are perceiving their comments as personal. I think we all want everyone to succeed here.
lighten up, Nian
An interesting NBER research paper came out today related to the performance of professional currency fund managers. From the abstract:
“We make use of a new database on daily currency fund manager returns over a three-year period, 2005-08. This higher frequency data allows us to estimate both alpha measures of performance and beta style factors on a yearly basis, which in turn allows us to test for persistence. We find no evidence to support alpha persistence; a manager’s alpha in one year is not significantly related to his alpha in the prior year” (emphasis added)
see: http://papers.nber.org/papers/w14355 for further details
I’m not sure there can’t be any long term reliable forex trading systems, but frankly having been trying to make one work reliably for about 4 months now I get the impression it’s just not worth it. There are easier things to trade, why would you want to bother with all the hassle of currency trading?
So far, I’ve had problems finding a good trading platform, C2 uses a price source that increases the spreads over what I see (joy), you can at best only see part of the market, and it’s very easy to have a system that doubles its losses by trading, say, EUR/USD and GBP/USD at the same time.
There are advantages in that the market has no up/down bias, is traded 24/7, and liquidity is fantastic, but are they really worth it?
several trillion a day trade on forex. It is UNBELIEVABLY efficient. Any C2 system that pulls outperformance from forex for a LONG time is probably doing so via statistical tricks: hold&hope, averaging down, or similar things.
It is hard enough doing it with futures or stocks. Many successful traders do make profits on somewhat illiquid instruments. But forex? Show me a C2 forex system with an attractive equity curve (that still is going up strongly), good Sharpe+APD+profit factor, and is at least 18 months old.
Around here, people are even signing up for 3 week old systems just happen to be climbing rapidly. Stats be damned…
Ross -
You listed some good criteria. How much do you value expectancy in your criteria? I notice that not many systems have good expectancy (>.5 considered by many to be very good)…
Kevin
I am somewhat familiar with expectancy, but that does not seem to be tracked in the basic C2 stat set (and I do not look at the more comprehensive set). I assume you mean:
Expectancy = (Probability of Win * Average Win) - (Probability of Loss * Average Loss)
And how would this differ much from Profit Factor? After all, winning percentage means little and the total $$$ won / total $$$ lost to me is somewhat similar
To me, anything with a decent equity curve, a reasonable past #trades AND lifespan and can ALSO record decent PF, APD, Sharpe to me, is probably good enough for me to consider that it MIGHT be a profitable system. But these are more rare than gold-capped hen’s teeth.
Regardless, expectancy and other stats are very theoretical, since you are only as good as your past history. When looking at a system now, these things MIGHT, and often RARELY, guide you to a system’s future behavior. Jules did some interesting work about how systems tend to change (degrade?) given the passage of time.
I have been toying with offering a service that looks and recommends top C2 systems, run through my own filter. It would definitely not just be stat based. The standard way of judging systems here seems to work poorly.
I have been here a while and do things differently than most people I see here. But, who knows?
Too many newbies come through here, throwing hopes and dreams at systems. I suspect the “95% of new leveraged traders lose their money” is especially true here, when 95% of the vendors seem little better than the new traders.
Many lemmings are the next, would-be Jesse Livermore (to coin a phrase).
The only thing different about the expectancy formula you listed is that many people divide it by the avg loss:
Expectancy = ((Probability of Win * Average Win) - (Probability of Loss * Average Loss))/(Average Loss), with Average Loss as positive number
Where it is useful (at least for me) is that it tells you your long term expected return for each dollar risked. For example, expectancy of .5 means that you will get 50 cents for each dollar risked. Not quite right, though, since avg loss is necessarily the risk amount.
It correlates fairly well with Profit Factor.
I agree completely with the problem of going forward. Subscribe to any system at C2 or anywhere else, and you assume 1) performance going forward will look like the past, and 2) the vendor will do things the same in the future as in the past. Number 1 is very hard to predict, and number 2 scares me more, since vendors might panic during extreme market moves (like last week).
The problem with any of these stats, is that they do not really seem to predict future longterm behavior.
Many vendors can have reasonable stats for a period of time. But every 4-8 months or so, when the market gets dicey, it rips open the questionable money management practices of many systems, and then they blow up.
You know, I am sometimes thinking that an important overlooked stat here, is leverage. MVP-3 is only ONE example. Stay in the market longterm at high leverage, and it is not if, but when the blowup occurs.
Leverage is a good one. Another possible stat that might be % time in market, with less time being better, all other things equal. The more you are out of market, the less likely you are to get hit with sudden jolt. You can get it indirectly from (# trades * avg time in trade) / (days system has been around).
