Leaderboard (beta test)

C2
23

Hi @MatthewKlein,

This is certainly a good attempt to make C2 a safer place. The main issue with C2 is that strategies have short life cycles. How many of the hot futures strategies of 3 years ago are still alive? 3 years is not such a long time… so your intent is great. In terms of execution there are 3 things that will improve safety for everyone:

  1. For futures strategies penalize when average P&L per contract traded is <$50. I can still see in the leaderboard futures strategies that have an average P&L per contract traded of $11. Slippage will get this to below 0 so the strategy is unprofitable but does appear in the top 10 futures strategies

  2. Penalize all strategies that show spikes of leverage in history (the code can be found in C2 Explorer). Return per unit of risk is meaningless for highly leveraged strategies that encounter a 6 month low volatility environment. Just look at all “ES reversion to the mean” (highly leveraged) strategies the blew up on Feb 6th. They all would have been in the leaderboard until end of December. Leverage is a “hidden risk” and should be penalized otherwise we will still have hundreds of strategies blowing up accounts

  3. Penalize VIX strategies that do not employ hedge for black swan events. VIX strategies can show high return per unit of risk during calm periods but, as we have all seen on Feb 6th, carry tremendous hidden risk if they are not hedged

These first 3 items are an absolute must in my view. I would also improve the leaderboard using advanced statistics:

  1. Employ null hypothesis testing to determine level of confidence of future returns >0 . See my post here

  2. Employ SPC (statistical process control) to predict likely of future returns and stability in the algos . See my post here

Thsnk!
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