How are C2 stats calculated?

C2
1

Newbie question:

How are C2 stats calculated? For example: How are monthly and annual returns calculated for futures? Is it "return on total model account capital" or "return on open futures contract margin" or "return on capital at risk" ?



Thanks.

2

Hello? Anyone know on what basis C2 returns on futures trading are calculated? Can’t find anything on the website.

3

Returns are based on starting Model Account value. In other words, if the system starts with $10,000 cash on C2, that is the denominator for return calculations.

4

Thanks Matthew. So developers should start with the minimum required model account (allowing for drawdown) so our returns look better - even though the model account is just an arbitrary value and is never totally used for margin or put at risk. I chose $50,000 to start for no real reason. I really only need $17,500 to trade my system. So my returns will be displayed as only about one third of what they really are. Can I reduce my model account at any time or am I stuck with it?

5

Warren,

It depends on what you mean by “so our returns look better”. While it is true, your profit $'s will be less with less exposure, your drawdown will also be less.



I believe you can use C2’s “Rescale system” function to reduce your starting capital.

6

The Model Account Value you choose is not an arbitrary number. It is a value you choose, and it conveys to a user how much capital you believe is required to trade your system in order to achieve the returns you want to achieve, given the risks you believe your system will take.



At C2 we believe money management is nearly as important as buy and sell timing, and so we let you manage your Model Account the way you see fit.



You can rescale your Model Account downward at any time, but can not rescale it upward.



Matthew

7

I tried rescaling my Model Account from $50,805 to $40,805 (the system had made $805 in gains since starting last week). I had only risked a maximum of $7,000 capital by buying two futures contracts at $3,500 each. That should be a return of 805/7000 (11.5%) not 805/50000 (1.6%).



Anyway, I noticed that the Cumulative$ changed from $805 to $646. This does not simulate real life if I just removed $10,000 from my account which I did not need. I still had accumulated $805. That should not change.

8

Warren -



The Rescaling page documentation explains in detail how it works: You are choosing to change the initial scale of your system’s equity to make the numbers more manageable. It’s like a reverse stock split. When a company reverse-splits its shares, the company does not suddenly become twice as valuable; rather the number of shares decreases, and the value per share increases.



Same here. You don’t get to suddenly improve your system’s return on equity by decreasing your starting equity. When you rescale your system to make your starting equity lower, all trade quantities change too, in order to keep percentage-based stats remain the same.



So for example, if you risked 10% on a particular trade and the trade made 5% profit on your system equity, those percentages remain the same after you rescale your system.



Matthew

9

That $805 profit that I made on a $7,000 investment can’t suddenly change to $646 just because I withdrew $10,000 from the account. That is not how it works in the real world. What if your bank took back interest payments it had made each time you withdrew money from your account.



C2 stats assume you invest your total capital each time you trade.



10

You misunderstand the meaning of rescaling.



You are not “withdrawing” capital. You are rescaling your system.



Once you start a system on C2, the C2 Model Account is like one of those little terrariums we used to make in grade school from mayonnaise jars. You seal it up, and you don’t get to put in or take out anything, including cash.