I don't get it?

Why in the world is “Abraxis One” on the Best Performing Futures list? It has spent 30 weeks mostly in the loss area, and recently just peeked into profitability!!! And its “realism with commissions” is negative only!

I am not sure of the selection criteria, but some of them really puzzle me. A Best system should have some kind of reasonably good-looking equity curve, especially in the Best case world!!! Isn’t there any other system more deserving than that one???

That’s a fair question.

Let me begin my answer by saying that the “Best” lists (and all the Hot Lists on C2, for that matter) are simply computer-generated lists based on mathematical selection criteria I specify. There’s obviously some human intuition that goes into the criteria selection, but as Abraxis’ inclusion demonstrates, sometimes weird, unexpected selections result from sensible selection criteria.

Here’s how it works. The selection criteria for inclusion in a list aren’t carved in stone. As C2 adds more and different analytics to the site, I will on occasion change the selection critieria. (For almost all lists, you can see the selection criteria by holding your mouse over the gray area that says “Criteria for list”.)

Each criterion has a different weight in the ranking algorithm. In the earliest incarnation of this, aggregate annualized return was given the most weight. But over time, this has become less important, compared with other measures of risk and recklessness. So nowadays, C2 is very concerned with drawdown numbers (both aggregate system drawdown, and – almost as important – individual open trade drawdowns). This is because we were alarmed that some C2 system vendors were behaving recklessly – leaving losers open, despite massive drawdowns – until (hopefully) the trade turned around. This is easy to do with a hypothetical system, and your own real money isn’t at stake; it’s nightmarish when it’s real money.

Thus C2 has tried to penalize big risk takers. But in doing so, we may have under-weighted gross profitability of the system.

What will happen next is that I will keep my eye on the Hot Lists (and messages like Ross’ will help me do so), and I will gradually tweak the selection criteria to make sure that systems really deserve inclusion in a given list.

This is a process that takes time, and involves a little trial and error. Over time, you will see steady improvements.