On April 4, I posted this:
I don’t know what C2 uses to set the order on the Leader Board, but C2 score and popularity are probably involved.
I just ran a regression on Grid data I downloaded a few weeks ago (when I joined C2 [in Feb. 2017]). The C2 score can be predicted quite well (r=.804) with just three variables:
- Max DD;
- log of Annual Return (w trading costs);
- log of strategy age in days.
Popularity was not automatically codable, so it was not used.
I was afraid that perhaps C2 maximized % winning trades or ignored the age of strategies, but neither turned out to be true.
So I wouldn’t say that C2 favors new strategies, except to the extent that many new strategies have unrealistically small drawdowns and unrealistically high annual returns. But system age is very important, too. And taking the log of annual return reduces the excessively high return systems somewhat.
The criteria that C2 uses are a priori sensible to use, though it might be slightly better to use variables that had been empirically proven to predict good future returns or low future system failure.
So there is an easy answer to your question. On 2 of the 3 criteria for the C2 score, the strategies you cite would score very well:
- LOG of ANNUALIZED return (w trading costs), and
- MAX Drawdown.
And C2 Score is almost all of the ranking on the Leader Board.
Personally, I’d like to see the development of a C2 rating model based on past data that in the past predicted future performance.
Failing that, I’d favor a model for C2 scores (and the Leader Board) that was comprised of:
- Total Return since autotrading began, probably logged (after adding a constant) or standardized,
- 90 or 180 day return, probably logged (after adding a constant) or standardized (there must be something for strategies that have no autotraders),
- Max DD (or an average of max DD and max DD divided by years of age). and
- Strategy Age (either raw or logged).
BTW, part of my PhD training was in social science scale construction. But this is just a rough guess about what might work well.