Matthew,
Hot Lists is a nice feature and a great way to highlight systems for users browsing. What about this feature:
As someone is browsing the details of any system (descriptions, W:L, returns, etc) that you also show which of the winning categories that system is currently in? Meaning it is in Hot Hands or in Most Popular etc. A way to show the that those systems have earned 'extra credit’
Or even, a top ten list etc.
Interesting idea. I’ll put it on The List.
I think that is a nice idea, but I still have some issues with the definitions of ‘best systems’ some in there earn that title, but I also see crappy systems between the ‘best systems’
Saying “Best Systems” is subjective no? Best System for one person is a so-so system for someone else. So a Best Systems link should at least have 2 or 3 criteria or so to say which criteria to rank C2’s best systems. Just thinking out loud here…
for me a good system is a system with at least a X (what do you think? 40?) number of trades.
Then what is important to me is the equity curve of the P&L. For example: there are systems with 500% profit and then all of a sudden it loses 50%. For me that’s not a good system.
The problem is. How do you make a perfect defnition of the best system. Like you said, that subjective. But maby we can improve the old definition in something we al agree on.
Ivan,
You can do simple exercise as any subscriber. Go to search of systems
and sort it by age. Enjoy and have a fun even in short history of C2.
I don’t disregard short existing systems, but subscribers have to build
his/her system for choosing portfolio of the system for being
profitable. It’s not too far from trading itself lol
In two words - perfect definition of a system is time of the system
survival in the market and stats of the system of course. All the “Best systems”/“hot hands”/whatever are meaningless by definition (it’s only marketing) if we’re not making money from subscribers flow 
Eu
This is a suggestion for the addition of a Most Active category in Hot List. Example: Daytrade (Rapid) Display the Top 20 Most Active for Previous Week.
The criteria is: (1) Most active by number of trades executed.
(2) Highest win % descending.
Include the # of times each system is in top 20 most active.
Include Age of each system.
Also include the criteria for the top 20.
Up date each week.
For swing trades that have a longer time frame, do a top 20 for Swing Trade (days/trade) based on one week of trades, updating each week. For Swing Trade (weeks/trade) do a top 20, but based on trades for each month, updating it every four weeks.
New systems that meet the criteria should also be included in the most actives.
A top 20, rather than of a top 10, would include more of the most actively trading systems that have a the higher win percent.
How about it Matthew?
Other opinions are also welcomed.
I can certainly add it. Although I question whether it should really be considered a merit for a system to be “most active.” I wonder: should a trader care how many trades a system makes? If anything, the more trades, the more slippage and commissions, right?
Matthew
Matthew.
the more trades a system had, the more reliable the statistics are. It is possible that a system is on C2 for 2 years and has only 5 trades. He can have the best profit, but 5 trades is not a statistical certainaty
On the other hand it’s important to watch the mean profit and loss per trade. Cause if a system has many trades in the record and the mean profit is 3 ticks THEN you can question how realistic that system is because of commisions and slippage. If the mean profit is more then 20 ticks and the mean loss is way lower, then you got a nice system.
Then the equity curve is imo very very important. a 50% drawdown is crazy. Such a system never deserves to be ever in the best system page.
Ilan
There is a very easy and at the same time very objective way to find out the really good systems. This is at the same time my suggestion to Matthew to implement that in C2. To do that you need to calculate the “risk adjusted annualized profit rate” for each system:
1) find out the “C2’s highest Sharpe ratio” := max. Sharpe ratio
2) Calculate the ratio “Systems Sharpe Ratio”/max. Sharpe ratio:= Risk-factor
3) “Risk adjusted annualized Profit %”:= Systems annualized Profit % x Risk-factor
So once having the:
1) Risk adjusted annualized Profit %
2) The Realism Index
then it will be obvious to everyone which are the good systems and which are the crappy ones.
Matthew
This is my suggestion to you to implement in C2 the "Risk adjusted annualized Profit %"
1) find out the “C2’s highest Sharpe ratio” := max. Sharpe ratio
2) Calculate the ratio “Systems Sharpe Ratio”/max. Sharpe ratio:= Risk-factor
3) “Risk adjusted annualized Profit %”:= Systems annualized Profit % x Risk-factor
This would help all subscribers and especcially it would protect the less experienced from crappy systems.
This rate together with the Realism index would be the most objective way to compare systems.
Best regards
can you tell me the formula of the sharpe ratio?
Ilan
The Monthly Sharpe Ratio=
(Average Monthly Return- Risk Free Rate)/Monthly Standard Deviation
To annualize, multiple the result by the square root of 12.
But the suggestion here is not to calculate something new. Just take the already existing C2’s Sharpe ratio.
Ilan
The Monthly Sharpe Ratio=
(Average Monthly Return- Risk Free Rate)/Monthly Standard Deviation
To annualize, multiple the result by the square root of 12.
But the suggestion here is not to calculate something new. Just take the already existing C2’s Sharpe ratio.
Or to say it in words: Is the
Systems Profit per Unit of Systems Risk
Statisticians will say you need at least 30 trades in the time period studied, before we can have confidence in the results and the performance interval (yearly, monthly, weekly, daily, whatever we use for calculations) should contain at least 10 trades.
The problem with Sharpe ratio is that it penalizes upside volatility (profits) as well as downside volatility (drawdowns). For an ideal equity curve, the standard deviation of returns should be zero resulting in an infinite Sharpe Ratio. So, imagine what your Risk Factor will be. It will be zero and so will be your Risk adjusted annualized Profit.
There’s really only one objective way to measure the merit of a system, and that’s how much you expect it to earn for every dollar risked combined with how often it gives you the opportunity to earn that expected return. The risk concept is important; you’re measuring the return from your risk capital (i.e. your initial stoploss), not what you actually “invest” in the market.
Develop a system that has a high Expectancy Score, and you’ll find that the Sharpe ratio takes care of itself.
http://unicorn.us.com/trading/expectancy.html
This gives you a single score for system performance that you can compare to the scores of other systems, or the same system with different parameters. It gives you a single objective number which you can also maximize during an optimization. We can multiply this score by the Realism Factor to get something more refined and then use Sharpe Ratio to break a tie between 2 systems.
In any case, you now have a way to compare systems objectively.
Warren Buffett, George Soros, and Julian Robertson (all members of the Forbes 400 who made their money trading & investing) have lifetime Sharpe ratios well below 1.5.
But to listen to many retail traders speak, they would be unwilling to trade the strategies that Buffett, Soros, and Robertson have used to make billions because these strategies don’t meet their "requirements."
In my mind, there is no doubt that the greatest difference between
professional traders and retail traders is that professional traders can make tens of millions of dollars from strategies that retail traders do not consider, because a professional traders knows how to use money-management strategies that exploit volatility to maximize gains and how to use options as an hedge in lieu of stops to control drawdowns
Traders who are able to move past this obstacle do very, very well.
Examples include Mark “Aberration” Johnson and Mark “Oddball” Brown.
There’s another problem:
In the literature and on the 'net you’ll find a lot of the time that people compute the Sharpe ratio for a fraction of a year (say a month) and then annualize it, which is of course not correct, but it explains why the numbers bandied around are so high.
William F. Sharpe kindly put the proper way of doing it on the 'net -just google for the name or visit http://www.wsharpe.com
Hi Ilan
The number of trades a system had executed is already displayed.
I don’t really see the value of seeing a most active list per period. I am not sure what one would do with this information and this will just give more active systems additional marketing exposure and “penalize” less active systems.
Regards
- Fanus
Systems that are consistently most active by number of trades executed, and also consistently have high win rates are the most reliable systems for generating profit, because those systems show that they maintain a high performance standard over several trades. That is of most benefit to regular subscribers and institutional subscribers.
Display the most active systems by highest # of trades executed (descending), and have a columns for win%, and for average win size/average loss size , to reflect risk tolerance and money management. A realism index below 50 (or at another cut-off point) should exclude those systems from the most active top 20. The most active should also display the realism index for each system. Slippage: Slippage can occur whether one trade is executed or ten trades are executed. Slippage has to do with entry strategy and the volatility of the instrument being traded. Entering trades when price is running up will result in slippage. There are other ways to enter a trade that will minimize slippage. Slippage is a an unavoidable part of intraday trading and it can not be totally avoided. It is each system owner’s challenge to find entry strategies and trading styles that minimize slippage. (C2 could have a slippage report feature where subscribers can report slippage. It would name the system, time when the order was entered and the time when the order was filled. Subscribers could do a slippage report at the end of the trading day, taking the information from their broker’s trade log). Commissions: More trades mean more commissions, that is correct. But, more trades with a high win rate means more profit. The most active systems that consistently have the higher win rates are the most reliable systems for generating profit. A top 20 for most active systems would be a great addittion to Hot List for highlighting trading systems with higher trading activity, consistent higher win %, and consistent profitability.
Does that answer your questions about most active systems, Matthew?
you don’t understand what I meant with numbers of trades. I mean that a system with less then 20 - 30 trades has statistacly no value, that’s all I meant
