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I propose this ultimate combination of parameters for finding the best managed systems on Collective2:
Number of Trades > 30
Age > 100
Profit Factor > 1.5
Sharpe Ratio > 2.5
Sortino Ratio > 5
Calmar Ratio > 10
Max Drawdown < 10
C2 Score > 50
Average Trade Length < 1 ?
Yury,
Those are all good factors however I think there is one additional crucial factor to add: Annual Return with trading costs > 0%
Yes, my cheat (but I’m getting there 
).
So, the ultimate list looks like:
Annual Return with trading costs > 0%
Number of Trades > 30
Age > 100
Profit Factor > 1.5
Sharpe Ratio > 2.5
Sortino Ratio > 5
Calmar Ratio > 10
Max Drawdown < 10
C2 Score > 50
Average Trade Length < 1 ?
And what did you come up with for the best managed systems on C2?
You question is not “politically” correct. Just use the parameters and make your own decision… you will have not much choice there though…
FYI: My system is not there yet, but probably will enter this rating soon:
My system is too new to qualify, but you may want to take a look anyway. Once it hits 100 days, I feel confident I will meet all those #s. For a solely stock trading system, you will be flabbergasted at my returns by 100 days. “Texas doubledown” 14 day free trial gets you to a month of stats at this point, and my subs. price is only $49.00. Happy Trading!
I am new to C2, so forgive me for me for my ignorance. What if you have no interest in day trading? I like to hold positions typically 10 trading days, but that can change if the security moves extremely for or against me. I guess I would just go with the original? I don’t like huge dd, and prefer more winning percentages on a monthly basis…
Hello pat_cloonan, to filter out day traders you could put a minimum of say 100 days old and no more than say 14 trades. That would give you a filter of not more than 1 trade per week. You would have to adjust the filter multiple times to find exactly what you wanted.
Chaney Fx Trading
Thanks Paul, appreciate your feedback!
Average Trade Length <= 10
Average Trade Length Hours (add the column to grid in settings) > 12
I prefer to filter out those systems that are at least one year old, since there have been many times where I’ve gotten burned jumping into a system too early. I also think the Calmar filter is too restrictive – I don’t think you will find any systems with a Calmar of 10 that are older than 1 year. Lastly, I would remove the max drawdown filter, since the leverage level is not the same across all systems. For example, I would have no problem trading a system that has a 20% DD and a 80% annual return – I could just dial down the leverage in half if I could only tolerate a 10% DD.
Gary
Dear Gary,
You express very dangerous point of view. I would say you are a gambler.
No matter how much profit a system gambled, if it is managed poorly. Your profits will be wiped out eventually.
If a system holds overnight positions, it will be wiped out some time too.
Happy gambling
Hi Brett-Can you tell me a little more about the system? I am relatively new, so I’m not sure when the “description” is completed. I can just see the results for a short period of time. I assume you back-tested your results, or maybe were doing this personally for yourself before the post on C2. If I’m not being PC, my apologies. Thanks!
Hi Yury,
I consider myself a pretty conservative trader. What part of my advice do you consider dangerous?
Gary
I would say that I agree with GarryLinn: if a system trades with 20% dd and has at least 40% annual roi and it’s at least 1 year old then it’s a good system. Like it or not we all suffer DD in a point in time, even in our lives. systems with low dd forever do not exists in reality. It’s all about positive mathematical expectancy when we talk about trading. I like systems that show consistency after dd and recover well. I don’t like systems with low dd-the high dd will come to them, it’s not if but when.
Dear Sergiu, you are contradicting yourself. Collective2 has such systems if you know how to find them. Take a look at “Carma Stocks” for example…
(I did not mean to advertise, but tired of arguments… It is better to point…)
So if you plan for DD take it - it is your choice. I choose to manage DD.
I would suggest the following:
Number of Trades > 100
Age > 365 (I would say 730 but it will be very sad results)
Profit Factor > 1.0
Sharpe Ratio > 1.0
Calmar Ratio > 1.0
Then run monte carlo simulation using trades or equity. If 95% of results will give positive annual income after all fees, then it can be a good system. If you’ll find 2 or 3 systems with that parameters and create portfolio, then you’ll be ok with certain probability.
Carma Stocks is a very good system – I happen to be a subscriber. That particular system has an annual return of 21.1% and a max DD of 4.4%. Now let’s take a look at another system I subscribe to – Daily Miner. It has an annual return of 45.6% and a max DD of 13.1% Does that make it a risky system since the max DD is greater than 10%? Only if you trade it at a high level of leverage. If the system started with $100K of equity instead of $50K, then the max DD would have been less than 10%. With Collective2, you don’t have to trade at the same level of leverage as the simulated account. This is why I don’t think max DD is a useful filter, because you could exclude systems that would fit your risk tolerance once you leverage them down.
Gary
I don’t see where I am contradicting myself. Anyway, good luck Yura finding the graal
Andrey,
What Monte Carlo results do you come up with on this system?
