"Should a benchmark be something that is essentially stable or something that can be expected to be profitable on the long run? I prefer the latter. It should be hard to beat the benchmark."
1) If you consider how few C2 systems beat the S&P, I don’t think that is an issue.
2) Stocks have a natural long-term tendency to rise. Currencies do not. Therefore, the USD is an excellent benchmark for currencies.
That is exactly the reason why I think USD is not a good benchmark.
I certainly don’t deny the value of the discussion, but from a strictly practical matter, the KISS principle will probably rule.
I guess that the chances of implementation of a benchmark for Forex is more likely to get done if a very ready index (Dollar index) is used.
As for futures, well, I don’t know. I suspect that we will have to live with the S&P comparison, as I don’t see any simple alternative.
We can propose and argue various alternatives all day long, but if, in the end, they don’t get implemented, well…
Hans.
If a simple change doesn’t make sense then I don’t care for it. Then it may as well remain as it is, indeed.
But perhaps we should make a distinction between the chart and the correlation. For the chart I definitely like even S&P more than the USDX. For the correlation it could be different.
"If a simple change doesn’t make sense then I don’t care for it. Then it may as well remain as it is, indeed. "
Yes, good point. Don’t change just for the sake of change - it must be better.
I think that there might be a usable comparison for forex, even if not Dollar. But futures systems are very different from one another. Many here trade just stock indexes, for which the S&P obviously would still be a valid comparison. For other more diversified systems, one of the commodity indices (CRB or, uh, I forget the other one…) might be better.
Hans.
You know, the more that I think about it, using one of the two commonly available commodity indices for futures systems would make a lot of sense. (For those who don’t trade futures: There are several commodity indices, which are simply mathematical “baskets” computed much in the same way as the Dow or S&P. Two of these are carried by most quote feeds because there are actual futures contracts traded on them. Now, mind you, these futures contracts are horribly illiquid, but the underlying “cash” index for each is computed and fed to the various quote vendors.)
Jim Rogers claims that many managed commodity funds have returns that don’t match buy-and-hold in the indices. Worth considering - especially since it meets the KISS principle.
Hans.
BTW, I find this discussion with its many different points of view very interesting! Thanks all of you.
I wholeheartedly agree with you there Jules…
> I guess that the chances of implementation of a benchmark for Forex is more likely to get done if a very ready index (Dollar index) is used.
Gold or Gold/SF would be just as easy. Gold, like the S&P index, has
a tendency to rise over time. The DX as a benchmark will always be counter trend to the FX: when the DX is in decline even losing systems can beat it and when the DX is going up even winning systems may not match it. To some extent this is true of the SPX and gold too,
but they both have a longer term tendency to rise independent of individual stocks, commodities, or currencies.
Anyone can go to a coin shop or go online and buy gold. So like the SPX it is a no brainer / no trader / no C2er. You can compare what you make hassling with vendors, systems, brokers, slippage, unregulated Forex institutions, etc. compared to just watching the gold glitter on your desk (or in your Swiss bank account).
> As for futures, well, I don’t know. I suspect that we will have to live with the S&P comparison, as I don’t see any simple alternative.
Gold fits here pretty well to. The benchmark is simple: can you beat the simple appreciation in the price of one easily attainable unleveraged commodity (gold) by trading in and out of 100 different things and leveraging risk?
And Gold has been a “benchmark” (so to speak) for a long time. Before
C2, CTA’s, or the S&P ever existed. They don’t call it the soybean standard, or the dollar standard, they call it “The Gold Standard”.
>We can propose and argue various alternatives all day long, but if, in the end, they don’t get implemented, well…
Fer sure…Matthew has bigger fish to fry. Nonetheless, I’ve learned just
from the process of thinking this through. In fact I discovered something to help my trading. If it were an easy to do option (like some of the other charting options) then I think a Gold/SF benchmark would be a
good thing.
BTW, I also like Jules idea of C2 composite benchmarks. In particular a Forex system benchmark.
> I guess that the chances of implementation of a benchmark for Forex is more likely to get done if a very ready index (Dollar index) is used.
Gold or Gold/SF would be just as easy. Gold, like the S&P index, has
a tendency to rise over time. The DX as a benchmark will always be counter trend to the FX: when the DX is in decline even losing systems can beat it and when the DX is going up even winning systems may not match it. To some extent this is true of the SPX and gold too,
but they both have a longer term tendency to rise independent of individual stocks, commodities, or currencies.
Anyone can go to a coin shop or go online and buy gold. So like the SPX it is a no brainer / no trader / no C2er. You can compare what you make hassling with vendors, systems, brokers, slippage, unregulated Forex institutions, etc. compared to just watching the gold glitter on your desk (or in your Swiss bank account).
> As for futures, well, I don’t know. I suspect that we will have to live with the S&P comparison, as I don’t see any simple alternative.
Gold fits here pretty well to. The benchmark is simple: can you beat the simple appreciation in the price of one easily attainable unleveraged commodity (gold) by trading in and out of 100 different things and leveraging risk?
And Gold has been a “benchmark” (so to speak) for a long time. Before
C2, CTA’s, or the S&P ever existed. They don’t call it the soybean standard, or the dollar standard, they call it “The Gold Standard”.
>We can propose and argue various alternatives all day long, but if, in the end, they don’t get implemented, well…
Fer sure…Matthew has bigger fish to fry. Nonetheless, I’ve learned just
from the process of thinking this through. In fact I discovered something to help my trading. If it were an easy to do option (like some of the other charting options) then I think a Gold/SF benchmark would be a
good thing.
BTW, I also like Jules idea of C2 composite benchmarks. In particular a Forex system benchmark.
> I guess that the chances of implementation of a benchmark for Forex is more likely to get done if a very ready index (Dollar index) is used.
Gold or Gold/SF would be just as easy. Gold, like the S&P index, has
a tendency to rise over time. The DX as a benchmark will always be counter trend to the FX: when the DX is in decline even losing systems can beat it and when the DX is going up even winning systems may not match it. To some extent this is true of the SPX and gold too,
but they both have a longer term tendency to rise independent of individual stocks, commodities, or currencies.
Anyone can go to a coin shop or go online and buy gold. So like the SPX it is a no brainer / no trader / no C2er. You can compare what you make hassling with vendors, systems, brokers, slippage, unregulated Forex institutions, etc. compared to just watching the gold glitter on your desk (or in your Swiss bank account).
> As for futures, well, I don’t know. I suspect that we will have to live with the S&P comparison, as I don’t see any simple alternative.
Gold fits here pretty well to. The benchmark is simple: can you beat the simple appreciation in the price of one easily attainable unleveraged commodity (gold) by trading in and out of 100 different things and leveraging risk?
And Gold has been a “benchmark” (so to speak) for a long time. Before
C2, CTA’s, or the S&P ever existed. They don’t call it the soybean standard, or the dollar standard, they call it “The Gold Standard”.
>We can propose and argue various alternatives all day long, but if, in the end, they don’t get implemented, well…
Fer sure…Matthew has bigger fish to fry. Nonetheless, I’ve learned just
from the process of thinking this through. In fact I discovered something to help my trading. If it were an easy to do option (like some of the other charting options) then I think a Gold/SF benchmark would be a
good thing.
BTW, I also like Jules idea of C2 composite benchmarks. In particular a Forex system benchmark.
Ehhhh…! Sorry, the system showed the post as not going through.
I would agree in part. Many futures-systems are index only, and some actually trade things like gold, grains, crude, etc. I would say S&P is fine for the former, and CRB for the latter.
I would agree in part. Many futures-systems are index only, and some actually trade things like gold, grains, crude, etc. I would say S&P is fine for the former, and CRB for the latter.
I do not understand your logic. I think my original post was spot on…
Within the set of easy alternatives I like Gold/CHF the most, for the reasons described by Sam.
Perhaps this leads to a workable compromise: I think that Science Trader made an important point when he distinguised between (1) measuring performance in comparison to other investments, and (2) measuring sensitivity towards certain assets. In line with this I suggest that we distinguish between the chart and the correlation. For the chart I suggest Gold/CHF and in the correlation USDX.
That may sound ugly, but I think it makes sense. In the chart one will usually look how fast the curve grows. That is performance. For this it is useful to compare it with some passive no-brain strategy that also has the tendency to yield growth. That would be Gold/CHF.
The correlation can’t be used to asses performance. It can be used to assess sensitivity though. For this it is natural to consider the relation of the system with certain possible assets. The USDX makes more sense. A high positive correlation (say, 0.50) means that correlation is sensitive to USD movements, and a negative correlation (-0.50) also means that it is is sensitive for dollar movements - only in the opposite direction.
I would not use USDX in the chart because it has the tendency to remain stable in the long run. If you want to compare with something that is stable, use the $100K mark.
Within the set of easy alternatives I like Gold/CHF the most, for the reasons described by Sam.
Perhaps this leads to a workable compromise: I think that Science Trader made an important point when he distinguised between (1) measuring performance in comparison to other investments, and (2) measuring sensitivity towards certain assets. In line with this I suggest that we distinguish between the chart and the correlation. For the chart I suggest Gold/CHF and in the correlation USDX.
That may sound ugly, but I think it makes sense. In the chart one will usually look how fast the curve grows. That is performance. For this it is useful to compare it with some passive no-brain strategy that also has the tendency to yield growth. That would be Gold/CHF.
The correlation can’t be used to asses performance. It can be used to assess sensitivity though. For this it is natural to consider the relation of the system with certain possible assets. The USDX makes more sense. A high positive correlation (say, 0.50) means that correlation is sensitive to USD movements, and a negative correlation (-0.50) also means that it is is sensitive for dollar movements - only in the opposite direction.
I would not use USDX in the chart because it has the tendency to remain stable in the long run. If you want to compare with something that is stable, use the $100K mark.
Within the set of easy alternatives I like Gold/CHF the most, for the reasons described by Sam.
Perhaps this leads to a workable compromise: I think that Science Trader made an important point when he distinguised between (1) measuring performance in comparison to other investments, and (2) measuring sensitivity towards certain assets. In line with this I suggest that we distinguish between the chart and the correlation. For the chart I suggest Gold/CHF and in the correlation USDX.
That may sound ugly, but I think it makes sense. In the chart one will usually look how fast the curve grows. That is performance. For this it is useful to compare it with some passive no-brain strategy that also has the tendency to yield growth. That would be Gold/CHF.
The correlation can’t be used to asses performance. It can be used to assess sensitivity though. For this it is natural to consider the relation of the system with certain possible assets. The USDX makes more sense. A high positive correlation (say, 0.50) means that correlation is sensitive to USD movements, and a negative correlation (-0.50) also means that it is is sensitive for dollar movements - only in the opposite direction.
I would not use USDX in the chart because it has the tendency to remain stable in the long run. If you want to compare with something that is stable, use the $100K mark.
Within the set of easy alternatives I like Gold/CHF the most, for the reasons described by Sam.
Perhaps this leads to a workable compromise: I think that Science Trader made an important point when he distinguised between (1) measuring performance in comparison to other investments, and (2) measuring sensitivity towards certain assets. In line with this I suggest that we distinguish between the chart and the correlation. For the chart I suggest Gold/CHF and in the correlation USDX.
That may sound ugly, but I think it makes sense. In the chart one will usually look how fast the curve grows. That is performance. For this it is useful to compare it with some passive no-brain strategy that also has the tendency to yield growth. That would be Gold/CHF.
The correlation can’t be used to asses performance. It can be used to assess sensitivity though. For this it is natural to consider the relation of the system with certain possible assets. The USDX makes more sense. A high positive correlation (say, 0.50) means that correlation is sensitive to USD movements, and a negative correlation (-0.50) also means that it is is sensitive for dollar movements - only in the opposite direction.
I would not use USDX in the chart because it has the tendency to remain stable in the long run. If you want to compare with something that is stable, use the $100K mark.
Within the set of easy alternatives I like Gold/CHF the most, for the reasons described by Sam.
Perhaps this leads to a workable compromise: I think that Science Trader made an important point when he distinguised between (1) measuring performance in comparison to other investments, and (2) measuring sensitivity towards certain assets. In line with this I suggest that we distinguish between the chart and the correlation. For the chart I suggest Gold/CHF and in the correlation USDX.
That may sound ugly, but I think it makes sense. In the chart one will usually look how fast the curve grows. That is performance. For this it is useful to compare it with some passive no-brain strategy that also has the tendency to yield growth. That would be Gold/CHF.
The correlation can’t be used to asses performance. It can be used to assess sensitivity though. For this it is natural to consider the relation of the system with certain possible assets. The USDX makes more sense. A high positive correlation (say, 0.50) means that correlation is sensitive to USD movements, and a negative correlation (-0.50) also means that it is is sensitive for dollar movements - only in the opposite direction.
I would not use USDX in the chart because it has the tendency to remain stable in the long run. If you want to compare with something that is stable, use the $100K mark.
Within the set of easy alternatives I like Gold/CHF the most, for the reasons described by Sam.
Perhaps this leads to a workable compromise: I think that Science Trader made an important point when he distinguised between (1) measuring performance in comparison to other investments, and (2) measuring sensitivity towards certain assets. In line with this I suggest that we distinguish between the chart and the correlation. For the chart I suggest Gold/CHF and in the correlation USDX.
That may sound ugly, but I think it makes sense. In the chart one will usually look how fast the curve grows. That is performance. For this it is useful to compare it with some passive no-brain strategy that also has the tendency to yield growth. That would be Gold/CHF.
The correlation can’t be used to asses performance. It can be used to assess sensitivity though. For this it is natural to consider the relation of the system with certain possible assets. The USDX makes more sense. A high positive correlation (say, 0.50) means that correlation is sensitive to USD movements, and a negative correlation (-0.50) also means that it is is sensitive for dollar movements - only in the opposite direction.
I would not use USDX in the chart because it has the tendency to remain stable in the long run. If you want to compare with something that is stable, use the $100K mark.
