Hi Matthew,
One of my systems is now 5 weeks old on C2, and based on the stats available and what I’ve calculated seems to meet all the criteria for the “Best Systems (medium term)” list, yet it doesn’t appear on the list. How often is it re-calculated?
The system is TrendSensor Jumbo (28493416).
Happy to pick this up via PM and send you the stats I have, if that helps. Posted here because I think there is excellent transparency provided by you in publishing the criteria. But the missing bit seems to be aligning the stats with the criteria. I’m a statistician so have happily worked them out, but for others the main missing pieces seem to be:
* Gain over the last 30 days (% of equity)
* Avg trade DD (% of equity)
Having these two published somewhere (either standard stats, or Jules’ excellent advanced stats plugin) would probably help vendors know where they stand vis-a-vis the criteria.
Would be interested in what others think.
Hmmm … I’ve just noticed that if you click on any one of the 3 system types under “Best Systems” the system needs to be 60 days old or older, but if you just click the “Best Systems” link directly (ie: you don’t care whether it’s a stock, forex, or futures system) the criteria says “system age 3 weeks or older”. There are other slight variations, so I’m not sure if this is intentional or an error.
Personally, I’d prefer to see both options at 60 days or older as 3 weeks seems way too short to make any sensible assessment of performance.
I agree that I need to make visible any stat that is used in the compilation of dynamic lists. I will be introducing a new search/sort user interface in the near future, which will allow this.
Any system that is 5 weeks old does not belong on a "Best Systems" list. The surest thing we have seen from systems like that, is that they are very likely to blow up.
Yes I agree that a 5 week old system doesn’t belong on a “Best Systems” list. That’s why I wrote I’d prefer the 60 day criteria.
Actually, thinking about this a bit more, what really makes systems succeed or crash is the decision-making events the vendor takes - new trades, closing trades, stop-losses etc. So statistically speaking, a better way to set a criteria for possible entry into a “Best Systems” list would be based on the number of trades taken. I’d suggest 40-50 trades as that represents 40-50 opportunities for the vendor to stuff it up or excel.
This would mean that high-volume day-trade type systems would have the potential to get on the list well before longer-term systems such as mine, and I’d be fine with that.
I think the current minimum of 8 trades is way too low from a statistical perspective.
Sounds great. I look forward to it. Thanks Matthew.
Based on real world performance, I would say less than 1 system in 20 after 40-50 trades deserves a "best system." I am unimpressed by systems that look good until they have > 6 months, or maybe 75-100 trades. Too many still implode even when they reach these time scales.
Yes, I could certainly put a better case for more than 50 trades as the cut-off, than I could for less than 40!
My numbers were presented as an absolute minimum based on sampling from a Poisson distribution - which time-based events such as “system implosion” (however we define it) are likely to follow. The Poisson has a fat right tail (skew to the right). This reflects those implosions that continue to happen, even after 6, 12, 24 months etc.
A sample of 75 trades or more would be better, of course, in terms of weeding out the mavericks who don’t bother with risk management or do just half a job (eg: manage trade risk but not portfolio risk). But at some point the “Best” list starts to become meaningless to customers (who see the same old systems there all the time), and to vendors and C2.
The minimum number of trades required is likely to end up being a compromise between the needs of these three groups, and I think we agree on one thing:
Requiring just 8 or more trades is woefully inadequate, and seems to place the needs of C2 and vendors way ahead of customers. This may have been understandable in the early days of C2, but now seems to run the risk of loss of credibility: if 60-80% of the systems on the “Best” list are just weeks/trades away from implosion customers will eventually stop coming back for more (and will spread their bad-news stories far and wide). This is in no-ones best interests.
Perhaps a better approach would be to calculate a C2 “Survival Weighting”. A system with 40 trades that meets all other criteria gets a survival weighting of 1%. Each additional trade adds another 1% provided all criteria are still met. A system that constantly met all criteria would get to a 100% weighting after 140 trades. One that met the criteria 50% of the time would take about 240 trades to get to a 100% weighting. And one that implodes but continues trading would see its weighting steadily decline back to zero.
After applying the weightings to the systems currently meeting the criteria (including at least 40 trades), Matthew could simply drop off the bottom 10-20% of the list to help minimize the risk of dross finding its way onto the “Best” list.
Sounds harsh, but reality doesn’t generally give imploding systems a second chance.
I agree with you only partially, Murray. The problem with setting a large minimum number of trades is that it favors a certain type of trading style (frequent) and penalizes another type of style (infrequent). Although I’m generally indifferent, if I had to choose, I would guess that infrequent trading styles are better in real life performance (less commission and slippage), but the cost of employing such a strategy is that the trader has less certainty about the statistical significance of his system’s backtested results (another example of how there’s no free lunch anywhere, anytime, in any intellectual field of study).
If I’m a trader that can outperform the market with low risk, and I only issue, say, three buy/sell signals a year, it will take me 2 years to achieve a seemingly small six trade minimum. That’s why I think that, above a tiny threshold to weed out systems that haven’t traded at all, the “number of trades” threshold is not simple to employ without important consequences.
For this reason I favor a time-based approach: a minimum of X months, for example.
My general feeling is that even systems that only trade twice a year make trading decisions the other 363 days each year – they decide not to trade. Often this is a wise decision. (I know, I know, there’s only 252 trading days a year. But you get my point.)
Thanks for the fast response!
Yes Matthew, I thought about that issue as soon as I posted the trade.
The problem is, that while deciding not to trade can be wise, it tells us nothing about the traders ability to avoid a system implosion.
Perhaps a better measure than number of trades or months on C2 would be time-in-the-market = number of trades x average trade length.
This represents more accurately the opportunity we (the vendors) have to stuff things up or excel, and would treat those who trade only 2-3 times a year more fairly.
Time-in-the-market is the time we vendors have to increase a trade size inappropriately, hold on to losing trades beyond any point of reason, or worst of all: average down, increasing the trade size as our loses accumulate.
If you used something like 80 days in the market as a cut-off, then long-term traders trading just 1-3 positions a year would be very likely to qualify some time during their first trade (assuming it met the other criteria).
Meanwhile for someone like me (whose trades last about 3 days, so far), I would need about 27 trades (3 x 27 = 81). And a busy day-trader might need over 200.
The problem with the 60 days (or is it 3 weeks?) and 8 trades combo is that vendors who have had little chance to prove their skills can find their systems on the “Best” list. Having a list called “Best Systems” has the connotations of delivering a list of “quality systems”.
I’m trying to hone in on a measure that reflects accurately a vendor’s opportunity to stuff things up or excel, and I think Time-in-the-market would be better than either my earlier “number of trades” suggestion or the current time/trades combo.
The danger is in making things too complex for anyone to understand, and I think time-in-the-market is simple enough. You could call it other things: “total trading duration”, “system life” etc. The point is it accurately reflects a vendors opportunity to prove their prowess.
Food for thought anyway. Happy to work with you further on this if it’s of interest.
Hi Murray,
I think the "time in market" is a great idea. I believe it would be a good calculation to "equalize" all of the C2 systems that have different trading frequencies.
My system currently has good profitability numbers and reasonable duration (18 trades x 6.2 days), but so far it has not received very much attention.
I guess after it makes a gazillion dollars, people on C2 will finally take note. 
Chris
Thanks for the positive feedback, Chris.
Re your system getting attention: I’m new here, but have read past posts on the subject and the impression I get is that not much action happens in the first six months or so, in terms of sign-ups.
Then there seems to be steadily growing uptake until 2 yrs or so. If at that point you are still trading consistently, uptake can begin to take off.
Certainly I have to admit that if I was shopping for trading systems I would most likely focus on those at least a year old.
Perhaps those with older systems would like to comment (even if only in general terms). Off-topic for this thread but of interest.
Congats on your great performance and stats to-date! I’m sure more patience and the same consistency will bring its rewards in terms of interest - eventually!
Other thoughts re EXLENCE uptake:
1. You trade a wide range of futures - many traders wont be comfortable with them all, and may baulk at AutoTrading markets they don’t understand … so you’re probably within a niche area to start with.
2. You have an excellent intro offer until Dec 31, but don’t state what the fee will go to then. This just adds another uncertainty into the mix. I suspect folk comfortable with uncertainty are those who trade their own systems, while those coming to C2 are looking for more certainty. So why not give it to them and state what the fee will increase to? Who knows, it may help a bit!
Back to the thread: Yes “system equalizer” is a good way to think of “time in the market”
Murray,
Thanks for your feedback.
I appreciate your perspective in understanding how I may generate more interest for my system.
Regards,
Chris
1. You trade a wide range of futures - many traders wont be comfortable with them all, and may baulk at AutoTrading markets they don’t understand … so you’re probably within a niche area to start with.
On the contrary, there are a large number of highly-leveraged, index-only C2 futures systems that blow up when the market goes against them.
A diversified futures system that WORKS would likely be quite successfull. There are very few here. As for “not understand” - the vendor is supposed to provide the strategy regarding instruments. The major concerns for non-index futures are: keeping portfolio balanced, margin, trading hours, leverage, expiration, etc. Most of this stuff is wasy to find on the web. An inexperienced trader is a danger to himself with ANY leveraged instrument, even indices.
I certainly didn’t mean to imply that Chris’ system would blow up. I’m in no position to judge either way.
Providing the info. you suggest is a good idea. But even with that, my view is that only a small percentage of C2 visitors would be comfortable with the idea of trading agricultural futures such as live cattle, lumbar, OJ etc. Ie: it’s a niche market Chris is targeting rather than mainstream.
Whether traders of other markets should be comfortable trading non-index futures or not, I really don’t want to debate!
Put it another way: if you look at the universe of all traders and investors, the percentage trading cattle, lumbar, OJ etc futures would be very small, and I’m not sure why it would be different within C2.
Maybe stunning performance from the vendor over a long time frame would do it. I suspect folk come to C2 wanting to reduce uncertainty, not increase it by jumping into something new to them. Whether or not the same principles ,risks and skills are involved in trading these instruments is irrelevant when you’re talking about the psychology involved in folk adopting a system with markets that are unknown and foreign to them.
Chris, if you’re reading this, I don’t mean to sound too negative, just realistic. I think you have two choices:
1. Stick to what you’re doing and ensure you continue to do it well. And accept it will probably take longer than average to build a subscription base; or
2. If your system is a generic one that backtests well over a broad range of markets, then gradually phase in more mainstream ones and phase out some of the niche markets. I guess you could do that in a single, big, portfolio update but you’d need to be confident about the outcomes.
To end, let me be really clear: I don’t claim any of the above is “right” - it’s just my view for what it’s worth.
For other readers: I’d really like to get back to the main topic of this thread: what are your views about using “time in the market” (TIM) as a criteria for membership on “Best System” lists rather than the current number of trades/days on C2 combo? TIM = no. of trades x avg trade length. See earlier posts for details.
"my view is that only a small percentage of C2 visitors would be comfortable with the idea of trading agricultural futures such as live cattle, lumbar, OJ etc. Ie: it’s a niche market Chris is targeting rather than mainstream. "
I have been here well over a year, actively. Your assessment I think is way off. If he does well, and his price is reasonable, he will likely do as well as anyone else and as quickly as others. Chris should continue what he is doing.
In actual fact if you look at the ‘most popular’ list (regardless of trade length) you will see just 12 systems (with thousands of page views), and all of them trade either single stocks, currencies or SP’s / QQQQ’s, not a single one trades energies, metals or softs.
BUT if you look at ‘Best Systems’ you will find plenty that trade commodities, in fact the current ‘best system’ DeltaHedge trades a whole basket of commodity futures and indices and despite it’s success has had only 200 views.
So yes, he should keep doing what he’s doing, but it’s wrong to suggest as a C2 vendor selling a commodity system that he will do as well as an equally successful S&P system vendor. The merits of one type of system over another are obviously highly subjective and debatable but it’s clear that in terms of C2 subscribers most are interested in high win %, high trade frequency, short-term systems trading highly liquid and easily accessible market instruments.
Jon - thanks for those insights. That’s exactly what I was trying to convey, but you’ve added some much-needed objectivity!
Thanks to everyone for their comments.
I have backtested this system with the portfolio basket on 13 years historical data. I have backtested and examined each commodity by itself over many more years (e.g. grains since 1960, meats since 60’s/70’s, energies since early 80’s [except NG since 91], etc.), all with excellent results.
Sorry to take this thread “off topic”.
Please let this thread revert to the original topic.
Regards,
Chris
