Palsun Anand
You must be kidding.
Not in the case. If you ever tried to bust a trade with your broker you start to understand that C2 is sandbox and the world isn’t your dreams.
The idealist’s picture of the world changes with your number of the attempts.
Eu
P.S. I decided it is not worth the effort as it doesn’t make sense to me anymore…
Bless God for his mercy. lol
I agree to that too.
I think the pain is mainly in the second sentence of the description:
"It is designed to show which systems hold on to losing trades longer than they should, in order to boost their winning trade statistics, at the expense of drawdown and margin-call risk."
Well, it may be designed for that purpose, but whether it really does this is controversial to say the least. Again, I’m not against this statistic - on the contrary. But I think that this sentence should change (see below for my reasons). I suggest this:
"Systems that hold on to losing trades, and incur deep intratrade drawdowns for relatively small profits, will have a low score on this statistic."
And perhaps add to it
"Such systems can be risky, particularly if the low score is caused by inability to cut losses. However, risk is also influenced by the position sizes and the degree of diversification.“
If you look at the precise formulation of the current sentence (I’m sorry if the following sounds too negative; I appreciate the intention):
”…longer than…“
The word “longer” is is inaccurate because it is not the time that enters into the statistic, but the size of the drawdown.
”…they should…“
This is normative without specifiying what the norm is, so it is subjective.
”…in order to boost…“
This presumes that the statistic can determine the vendors intention, but it can’t.
”…their winning trade statistics…“
Another reason could be to boost the actual profit, i.e. it is not necessarily an attempt to mislead.
”… at the expense of drawdown…“
Only the intratrade drawdown.
”…and margin-call risk."
For some systems this suggestion is over the top, e.g. extreme-os.
In summary, I think that particularly this sentence does not have the objectivity and precision that one may expect from an independent third party.
Jules… very well said.
It would seem, most venders against, are thinking only of themselves, when the subscribers should be the number one concern here.
The indicator will be a help in developing systems as well as informing subscribers of potential trouble with some systems.
What we need is to see the general range a system falls in. And so numbers being off a little here or there should not hurt. Surely the numbers will become more acurate in the future as C2 continues to improve in all areas.
In complete agreement with Jules.
>And so numbers being off a little here or there should not hurt.
The numbers are off by several hundreds of percentages…
>Surely the numbers will become more acurate in the future as C2 continues to improve in all areas.
I disagree. Some errors cannot be fixed however long it takes…
>It would seem, most venders against, are thinking only of themselves
Please remember, C2 would not exist as it is, if not for the vendors…
>when the subscribers should be the number one concern here.
In a managed account yes, not at C2 which is supposed to be a pure, objective third party independent tracking service…
>The indicator will be a help in developing systems as well as informing subscribers of potential trouble with some systems.
if and when it is devoid of errors, and that is a big IF & WHEN…
>>It would seem, most venders against, are thinking only of themselves
>Please remember, C2 would not exist as it is, if not for the vendors…
While true, in theory vendors are here to serve subscribers. I understand
this fundamental business concept has never occurred to you. This is
really not a chicken or the egg argument. Vendors serve subscribers. C2
serves both. The better subscribers are served the more vendors will flourish. The vitriolic resistance to any and all new risk / reward metrics shows a basic flaw in the mindset of some vendors.
>> when the subscribers should be the number one concern here.
> In a managed account yes, not at C2 which is supposed to be a pure, objective third party independent tracking service…
Yes, but the more pure objective information C2 provides the better. I agree that the name and judgmental wording could be changed for HH, but the idea of providing more risk/reward analysis on C2 is a good thing.
Make no mistake, be they big funds or little subscribers, they are generally looking for the same thing: good risk/reward scenarios. Once again I point readers to Toby Crabel’s funds: modest returns paired with low DD’s attracted several BILLIONS over a ten year+ run. The "Midas"
touch is slow and steady, not some “Mosaik” of random spectacular crash and burn systems.
>“Not a single subscriber objects to the HH.”
> I don’t see many cheering for it either…
The only non-vendors to post (aside from you) clearly
favored the HH. I asked non-vendors for their opinion.
Rather than just criticizing the post, why not take
a stand? For or against the HH?
The impression I got from most of the vendors is not that they are against HH. They are against having Ross’ biases set in stone and that the impression is created that all vendors with a low HH value is doing something sinister.
Right now, there is nothing objective about this new stat. If C2 wants to be independent, it should just provide a description of the calculation and report the value, like it do with Sharpe Ratio. Ross’, or anyone else’s interpretation of it has no place in the description. Just report the stats. Let subscribers decide for themselves what to do with it.
If C2 decides that certain values are bad, high risk, or whatever, why does it only report Ross’ opinion on this one stat? If I think other values are more valid, why can’t that values be reported? If Ross can has a say about stats and make a broad sweep to classify systems based on his opinion, why can’t I too? Why does he gets special treatment?
The biggest concern is not really the indicator, but C2’s independence. That Ross is able to dictate the terms to C2, makes me question how independent C2 really is? Did he maybe become a secret partner to C2 and is now able to throw his weight around? Before his system tanked, he even encouraged people to sign up at his website, so that he doesn’t has to pay C2 it’s cut of the subscription fees (looking at the name changes of his system, show that), but C2 still let him stay although what he was trying to do, bordered on unethical and at the very least, goes against the spirit of this site. I cannot help but wonder why. What does he has over C2? For me, C2 lost a lot of credibility with the way it introduced this indicator.
If C2 changes the name to something more neutral and provide an objective description of it, then I have no problem with it. There is nothing independent about the way it is being reported now and has no place among objective statistics. Systems are getting classified now as High Risk just because Ross think they are. Show the stat objectively to subscribers informing them that all other things being equal, in general a higher value is better than a lower value, but let them decide for themselves what is high risk and not Ross.
>Surely the numbers will become more acurate in the future as C2 continues to improve in all areas.
I disagree. Some errors cannot be fixed however long it takes…
>The indicator will be a help in developing systems as well as informing subscribers of potential trouble with some systems.
if and when it is devoid of errors, and that is a big IF & WHEN…
Palsun,
Your response to statments above confuse me.
> If C2 decides that certain values are bad, high risk, or whatever, why does it only report Ross’ opinion on this one stat?
You need to take a look at C2 stats.
1) C2 deems DD’s “high” or “extreme” or “normal” or “low”.
2) C2 also states "This is a list of the trading systems created by X. X. You may find it useful to examine this list to see if the system vendor has created numerous systems, hoping to randomly “find” a good one. {snip}"
3) C2 also applies RF’s to all systems and makes a somewhat subjective estimate of the classic 60’s question: "Hey man, what is
reality?"
C2 has done these things long before the HH or ADP. Don’t let your feelings towards Ross cloud your reality.
Take a look at this trade in Midas method:
STO 225 EUR/NOK 8.22653 12/5/06 17:55 BTC 225 8.33959 1/18/07 11:20
($287,224)
Fix
High
($39,330)
When you mouse over the ($287,224) figure I get this:
Maximum Adverse Drawdown
Worst open drawdown ($44416) (-1561 pips)
As % of account equity 23.8%
As % of eventual P/L -138.1%
worst price 8.3827
Date and time 1/18/07 11:00
Quantity open at time -184
Average open price at time 8.22653
Can you spot the error here? Note the open drawdown displayed at the top of the trade in the Drawdwn and risk column ($287,224) and compare this with the Worst open drawdown ($44416) (-1561 pips) when you mouse over this ($287,224) figure.
In some cases the open DD figures are underreported and in some cases it is grossly overreported. Either way, it is in error in majority of cases and when you base a statistic on this like the ADP ratio, how reliable is that statistic? Couple this with the data errors documented and reported by Cheetah, this statistic is totally unreliable.
If C2 is to remain an objective, independent (of the reality orientation) and third party service, it should remove such spurious and erroneous data and calculations and the statistics based on it, as this only misleads everybody and greatly affects the credibility of the service. As such the credibility of C2 is shot right now. The integrity of this site is severely compromised.
Is it worth reporting this erroneous data, and risk alienating vendors (who chose to serve their subscribers) instead of conducting an objective analysis of systems/methods? Some vendors might very well leave this site over this because they have a valid reason to do so and subscribers will lose the trust in the statistics reported by vendors (through C2), and won’t have any more incentive to believe in the vendor (and thereby C2) to be a honest service.
ps: If a man attempting at a compromise asks “Who am I to know?” or " Who is C2?" he can hardly be loyal to the knowledge he denies having. Nor can a pragmatist be loyal to his mind, claiming as he does that " the truth" is a name for whatever satisfies men’s desires. Nor can an agnostic, who boasts that his mind remains “open” no matter what the state of evidence. Nor can a relativist, who declares that there are no absolutes, forgetting or ignoring that he is uttering an absolute. All such individuals, whatever their pose, dispense with convictions as a matter of conviction and are, therefore malleable. In their view, loyalty to principle - whether the principle be self-interest, independence, justice, or any other - is dogmatism; it is " rigidity" and disruption of the social fabric…
@Sam:
> 1) C2 deems DD’s “high” or “extreme” or “normal” or “low”.
True. But remember that several vendors were angry when the label “reckless” was used. And I still don’t really understand the basis for the present labels, so I tend to ignore them. There have been hot debates about the RF too.
I agree with you that it doesn’t matter whether a statistics was invented by Ross or someone else. The only thing that matters is whether there is a good justification for it. The same is true for the reference points and their labels, and then the mere fact that Ross - or anyone else for that matter - said something is not a sound reason. If the text had been “Fanus goes on to say …” or “Jules says …” it would still look silly.
Anyway, it is corrected now, and I’m fine with it.
@Chris:
Someone refered to the “rollercoaster” analogy that is used for the Sharpe ratio. I think that this is related to the fact that visitors of C2 can have very different levels of knowledge. A novice will probably be served the most with a very low-level explanation, as opposed to some highbrow math, while someone else may feel insulted when he is addressed in that way. I think that it is good if C2 tries to serve both kind of people.
I see the previous formulation of the APD as just an attempt to give a low-level explanation, but on the wrong place. If someone asks “what is a Sharpe ratio” then he is likely to be a novice and then the explanation should be adapted to that level. But the situation was different for the APD because it is entirely new. So I don’t think that the events imply that Ross has too much influence; I think it was rather a wrong estimate of who would be moving their mouse over the question mark.
> And I still don’t really understand the basis for the present labels, so I tend to ignore them.
They don’t bother me either. If one trade has a DD of $40K, on a $100K
account, I don’t need to be told it’s “extreme”.
> There have been hot debates about the RF too.
And that’s a good thing. Let’s flush things out without being "insulted"
or taking it personally. Given the nature of C2 though something like the RF was a necessity, IMHO.
> I agree with you that it doesn’t matter whether a statistics was invented by Ross or someone else.
That was the whole point of Chris’ posts, that the HH was the only judgmental stat or statement on C2.
