>What is the point of correcting an error, when the correction neither applies to anything nor anyone in here, and is of no relevance now or later?
It is just an example I gave to illustrate an error (false exit price that may result in false drawdown - false realized losses) as opposed to the arbitrary (open drawdowns - unrealized losses), that says that the correction when applied to the exit price determines winners (profit) or losers (drawdown). We even have a fix problem link on the trade details to correct this errorâŚ
>Is it not better to focus time and energy on problems that fall within the context of our conscious experience, or that are at least material to same?
Of courseâŚ
>I am not surprised that Palsun does not like the classical drawdown definition here.
The classical drawdown definition is the realized losses. I like it very much.
>-- 2 systems have neared/exceeded the -100,000 level in system drawdown
They were early test methods. Is it my fault that C2 did not have Margin call feature implemented that time when I was testing these methods?
>-- 1 exceeded the -25,000 level in system drawdown
It was also an early test method involved in testing, when the Margin call feature was not implementedâŚ
>-- 1 neared the $0 level in system drawdown
It was open drawdown, not closed drawdown which never went below Max (true or realized or actual) DrawDown of 73.87% which is why it is classified as Extremely AggressiveâŚ
>-- The remainder are too new or too schrizophrenic to consider for ever subscribing
I think you are the one who is schizophrenic and extremely prejudiced because 2 of those systems have made more than 30 trades, so being new is irrelevant..
>He had the same whining against APD.
APD is an arbitrary measure. You are one of those idiots touting it...
>No wonder Palsun has also whined at MK and the entire C2 site as being of questionable value (actually, he used much stronger words).
Ofcourse, someone has to point it out. MK is involved not in just stolen concepts, but conceptual grand larceny... If that does not make C2 a scam, perhaps the greatest scam in the internet, you don't know the first thing about scams...
>Palsun is a person who lives in a dream world, uses long-winded prose to avoid criticism, and STILL as of yet, I have struggled to find him adding anything of much value (except a couple of times).
You don't have the brains to understand any of my posts, so there is no point in responding...
Somehow, receiving insults from you has little effect, considering the source
> Precisely. If a system/method is designed for eg., to withstand 96% drawdown (for say 48 positions) with the odds of that ever happening would be 1:55567 ( a slim to no chance) because not all positons would be incurring a 2% drawdown at the same timeâŚ
Looks like several of your systems hit the lottery. Youâve had DDâs of
70%+ to 250% on 9 out of 11 of your systems. The only ones that
havenât have not been around that long.
Are you that lucky?
ps: If a system/method is designed for eg., to withstand 96% drawdown (closed equity) (for say 48 positions) with the odds of that ever happening would be 1:55567 ( a slim to no chance) because not all positons would be incurring a 2% drawdown at the same time⌠or the odds would be around 27783 for 24 positions, 13891 for 12 positions⌠etc., to 1157 for 1 position compared to greater than 1:10000000 for a lotteryâŚ
Note that the forum subject was about maximum drawdown which I consider to be an important aspect (ie Risk) of a trading strategy.
I was highlighting the fact the Maximum Drawdown can errornueosly interpretated as per the C2 Grid description and to some degree misunderstood on the open-equity curve. I also suggested a possible workaround via a tooltip.
Note the forum subject included MK as to attract his attention to the current Grid description.
For those that contributed towards the subject, thank you. In future if you can not contribute towards the forum subject, suggest you open a new forum instead of raiding others.
I am disappointed in how the forum has deteriorated because the subject is very important to me and I assume to c2 and most traders as well.
> ps: If a system/method is designed for eg., to withstand 96% drawdown
Why do you design your systems to DD 96%? Indeed most of your
systems do DD nearly that much or more.
> with the odds of that ever happening would be 1:55567 ( a slim to no chance) âŚcompared to greater than 1:10000000 for a lotteryâŚ
OK, but you have had several systems DD 96% or more. What are those
odds? All of your systems, given a chance, have DDâs of 70% or more, and some of them have done it 3-4 times.
I donât know, 1:10000000? What does PalMath show? Maybe youâll have
better odds in Vegas than at trading?
I disagree, first because you are comparing open drawdowns and Iâm comparing closed, and second you are assuming all of them had 48 positions at the time of the drawdown, but all those that incurred major drawdowns were holding just 1 position. That is the way I test systems. Now that the testing is completed, the odds are back to 1:55567âŚ
> I disagree, first because you are comparing open drawdowns and Iâm comparing closed, âŚ
No. Nearly all your DDâs were closed.
> That is the way I test systems.
Are you saying all your old âZâ systems were always
"testing" systems? I seem to remember you charged
monthly fees while you were âtestingâ them.
>No. Nearly all your DDâs were closed.
I disagree. The drawdowns as reported by C2 are max. open drawdowns.
>Are you saying all your old âZâ systems were always
"testing" systems?
Of course not, only when Iâm testing them i.e., paper trading themâŚ
>I seem to remember you charged monthly fees while you were âtestingâ them.
I disagree. Anyway, what difference does that make. It is closed to subscribers when it is in test mode. I have lots of work to do, so if you will excuse meâŚ
Domenic,
I totally agree with you. The only thing that I should add is that, in hindsight, it wasnât wise of me to respond to a certain person at all, since that started the detoriation in this thread. Thus I achieved exactly the opposite of what I wanted.
Jules thanks,
It was our discussion that led to my greater understanding of maximum drawndown calculations and its interpretation.
It still hope that Mathew will be able to review the Grid description and introduce a tooltip on the stats page.
What you are describing is commonly referred to as âstart-trade drawdownâ (I may be off a little on the term, it has been years since I have seen it discussed) defined as the maximum drawdown one would experience if they started trading only new signals on any given day.
The very successful old-school futures programs had very high âdrawdownsâ, because they aggressively pyramided client profits. Yet they had very low âstart-trade drawdownsâ, and thus kept their clients happy despite the official nasty looking drawdown figures.
If implemented here on C2 it would be taken advantage of immensely and I do not see any offsetting benefit. When the systemâs advise is not tailored to each account per the old school CTA example above, this metric does not apply so much. While it has tremendous value in real-life monitoring of a system (as in, if I am down 30% I stop trading), it has too many flaws to be tracked as a system metric in my opinion.
The drawdown against a realized account can happen at any stage whilst open an position/s exist, hence I was not raising the issue as start up drawdown.
The maximum drawdown figure listed in c2 is calculated correctly, however this drawdown meaures the max peak-valley of open equity.
I was highlighting the fact that the maximum drawdown listed in c2 does not mean that this is the maximum loss suffered against an accounts realized value. For trend following systems, part of the drawdown can be due to open-equity profit retracement.
The current C2 Grid description of maximum drawdown can interpretated that is maximum loss suffered against a realized account, which is errorneuos.
From my point of view, the maximum drawdown/loss against an accounts realized value or its initial reserves is of more value to measure risk. C2 does not list this type of drawdown (I dont have a name for this type of drawdown) and hence most errorneuosly substitute the c2 maximum drawdown in its place.
"The current C2 Grid description of maximum drawdown can interpretated that is maximum loss suffered against a realized account, which is errorneuos."
sorry for bad writingâŚ
The current C2 Grid description of maximum drawdown can be interpretated that this is the maximum loss suffered against a realized account, which is errorneuos.
Perhaps it would help if you write a specific text for the tooltip?
Perhaps it would help if you write a specific text for the tooltip?
Tooltip for maximum drawdownâŚ
"The Maximum Drawdown is calculated as the maximum peak-valley of open equity.The Maximum Drawdown is used by many traders as a measure of the reserves above margin requirements needed to trade the strategy. For strategies that use âtrend-followingâ or âlet profits runâ systems, this may not be the case. A part of the drawdown can be due to open-equity profit retracement.
In other words, this is NOT the Maximum Drawdown suffered against an accounts realized value or a measure of the reserves above margin requirements needed to trade the strategy."
The fact that c2 does not measure the classical maximum drawdown, that is the maximum drawdown suffered against an accounts realized value is disappointing for traders that use
this drawdown as the measure of risk, which in my opinion is much more valuable.
Maybe c2 is just for newbies and not seasoned traders, which makes senseâŚexcept to exploit or take advantage of this. Just a thought which is not based on factâŚI know.
MK, may I ask this questionâŚ
Does c2 provide its users/subscribers an accurateâŚ
"QUANTATIVE measure of the reserves above margin requirements needed to trade any system listed on its site?"
If YesâŚPlease show me where this quantative risk information can be found on your site (Note the Max DD does not provide this info accurately).
If NoâŚHow can anyone subscribe to any system without this information of Risk, is in my opinion puzzling?
The NFA requires that any futures system or CTA holding itself out to the public report maximum peak to valley drawdown in the manner that C2 does. This includes open and closed positions. If you consider this statistic arbitrary or incorrect, you probably should talk to the NFA. Theyâre in Chicago, by the way, and information has their phone number.
Iâll accept your suggestions for further statistics you wish to see and try to add them to the site as soon as is feasible. I do understand what you want to see, and I understand why you want to see it. I appreciate your suggestion.
Matthew
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