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Leaderboard (beta test)


#1

Over the next few weeks, we’ll be changing the math that C2 uses to select strategies to appear on our Leader Board.

You can see a “sneak preview” of the new Leaderboard logic [here].(https://collective2.com/selector/beta_leaders)

What will be changed?

Some of the biggest changes will be:

  • Strategies must be at least 6 months old to appear.
  • Crowd popularity has been given lower value.
  • Higher weight has been given to Jensen’s Alpha (traditionally called simply “Alpha”), which tries to measure risk-adjusted performance.
  • More weight has been given to Monte Carlo Simulation results. Monte Carlo sims use brute-force computer analysis to evaluate alternate possible outcomes.

In summary, we’re trying to give more weight to lower volatility and risk, and more weight to longevity.

Feedback wanted

The new Leaderboard is still a work in progress. We’ll be running it alongside the “old” Leaderboard for several weeks at least, as we tinker with it.

We welcome your feedback. Please post it here.


#2

Hear hear! Heeeeear!


#3

Like the 6 month condition.
Think it will reduce number of “gambling” systems.

Why not kicking out crowd popularity out of math?

And add VaR to math that will calculate and sort strategies on Leader Board?


#4

All sound like good ideas.


#5

#6

Max Drawdown should be 25% or less.


#7

I like the fact that you’re trying to make improvements, but comparing the old leaderboard to the new one, I’m not sure it’s an improvement. Why downplay popularity so much? Isn’t that a large part of what a “Leader” should be? If this is supposed to serve as a place for newbies to get good ideas of strategies to subscribe to, I would think all the “collective” homework that all the other subscribers have done, and the strategies they subscribe to should be a very important part of that.

Just looking at volatility strategies (and ignoring mine), the old leaderboard had VIXTrader Professional near the top – which is where I think most who follow volatility strategies would agree it belongs. The new leaderboard has VIX community as the top volatility strategy and VIXTrader Professional about 40 strategies below it. I think most would agree, that in looking for a volatility strategy, VIXTrader Professional is superior to VIX community (no offense to AlgoChen) in just about every way that really matters. Much better return for similar drawdown, more than double the longevity, a huge number of happy subscribers, much less leverage used and risk of ruin, etc. There are many good reasons it’s got so many more subscribers – and if the measures being proposed for the new leaderboard can’t “see” that, then I would suggest new measures.

But that’s just my humble opinion. :blush:

Thanks,
David


#8

I believe matt is lowering the weighting of popularity/viewed. This is an investment site, return and risk should be the primary weighting on c2 score. And not a bot keep clicking your c2 link.

My only concern is how “risk” is calculated base on r:r. We might end up seeing the whole leader board with bunch of 10% or lower drawdown strategies. A good strategies with annual 50% gain but had a 25% draw down might never get promoted or have a chance being on the leader board. Which it will end up eliminating all non intraday/vix strategies from the leaderboard completely. If you trade futures or vix, unless you are intraday only. It’s going to be impossible to have draw down less than 10%.

I do agree longevity should be a heavy weighted score along with performance and volatility.


#9

The theory behind the measurement called “alpha” (and the reason it is given increased importance in the new Leaderboard) is that it is designed to measure excess return per unit of risk.

So, in theory, no, the new Leaderboard will not simply display muted-risk (and low-vol) strategies. It should (again, in theory, anyway) uncover strategies which have higher-than-expected performance considering the risk taken.

But it is still a work in progress, as I previously noted.


#10

Matthew, Will the leaderboard still include tabs for New 52 week high and New 90 day high?


#11

So how are you calculating “unit of risk”? If you’re using Beta or volatility, then I don’t think that does a great job of quantifying risk in the C2 environment. The strategies that write options (like VIX community) should have low Beta, but unlimited risk. We’ve seen a number of examples of these strategies blowing up, but before the blow-ups, their Betas looked great.

I think something like the “Stress Test” that IB uses would be a great addition to C2 - a valuable way to approximate “how bad could it get?”

Thanks,
David


#12

Agree - if popularity is measured by clicks or simulations, they that’s not what I had in mind. If it’s measured in subs, then I think it should play a prominent place in a “Leader” board.

Thanks,
David


#13

popularity is measured by c2 member viewed, new subscribers, new simulation and total viewed by non c2 members. There was a old forum post talking about this before. I’m sure each category is also weighted differently to construct “Popularity” score. We have seen some strategy with most subscribers didn’t have the highest popularity score.


#14

Some time ago really popular strategy was Alpha and Omega, which ended very bad since it was pure martingale. I think you over-estimate significance and amount of the homework done by subs here at c2. :slight_smile:


#15

Yes, I’ll give you that! :slight_smile:

My main point is - look at the Top 10 strategies on the new Leaderboard - does that really look like the best of the best? Are those really the main strategies that you would recommend to your friends? Longevity is supposed to be more important now - but only one of the Top 10 has been around more than a year. I think C2 has some great strategies that have stood the test of time and have made subscribers a lot of money - but the problem is that they don’t show up near the top of the new list.

I’m all for trying to make it better, I’m just suggesting that after taking a look at the results, there’s probably some more adjustment to be made. :slight_smile:

Cheers,
David


#16

I got your point. Something tells me that strategies great from your point of view are older, much older than 6 or 9 months. :slight_smile: My opinion is that time only shows if the strategy good or bad; alphas, monte carlo analysis etc use historical data and reality shows that younger strategies have better historical data.

Maybe if @MatthewKlein set separate leader boards for strategies by age (one for grown ups of 2+ years old, one for youth of 1-2 years old, one for teens of 0.5-1 years, and one for kids of <0.5 years old), than it can give better promotion for really good strategies.


#17

How about having a separate leaderboard for TOS certified strategies !


#18

Popularity should be a result of performance ratings, not a part of them. Otherwise, you get a feedback loop from those who follow the C2 Leaders. Contrarian analysis will show that popularity is one of the worst metrics to follow.


#19

From my knowledge, at least 3 years of trading history and more than 100 trades.


#20

OK The new list contains many irrelevant systems