I was curious to check how my system competes with other systems on the C2 platform. I used the following filters: >250 days, >2 Sharpe ratio and >5 Calmar ratio. It turns out that there are 15 systems that passed the filter. The drawdown statistics are as follows:
- up to 10% : 2 systems
- 10-20%: 3 systems
- more than 20% - 10 systems
Naturally, the returns are correlated with the drawdowns, higher drawdowns correspond to better returns. Clearly the higher-return systems can decrease their exposure, and reduce the drawdown. But it seems that the system developers aim for the higher returns (probably using margin or leveraged products) without much worry for the big drawdown, simply because higher returns seem to be more popular.
On the other hand, the more conservative systems also have the potential to use leveraged products and/or margin. For instance, my system can be traded at around 2x without using margin, and at 4x with a reasonable use of margin.
This brings me to the idea. Similar to leveraged ETFs (e.g. SPY and its 2x SSO or 3x SPXL), it should be possible for C2 to automatically create (customizable by the developer) leveraged versions of the basic systems, whenever possible, or at least advertise their statistics.
This would give more visibility to systems that opt to be conservative (with the user taking on their own will the risk). And perhaps would enable system developers to create less aggressive and ‘healthier’ systems.
