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Hello developers,
This is a change to the C2 statistics page for any given strategy. I am proposing that you provide PYPT. This is predicted yield per trade. It will be a quality measure for the given strategy.
Thank you.
PS: or call it NPPT , historical Net Profit Per Trade. Call it whatever. Because it is poorly predictive when there are a smaller number of trades.
I think this is Expectancy:
Yes Bob. That’s it exactly. Thanks.
Agree that it would be helpful to add “Expectancy” to C2 stats. Would prefer that 2 figures be provided, the first computed over the strategy’s life, and the second over, say, the last 6 months to give a sense of whether and how average return per trade has evolved of late. It would perhaps also be helpful to be given the number of trades involved in each computation to get a sense of the strategy’s “churn” rate.
I would also like to see a statistical comparison of the returns realized by strategy developers vs. those realized on average by strategy followers. There is currently at least one very popular C2 small-stock strategy where market illiquidity and resultant wide bid/ask spreads cause the fill prices of followers’ auto-traded market orders to differ greatly from those of the strategy developer’s (presumed limit) orders. An alternative would be to simply exclude returns realized in the strategy developer’s personal account from the avowedly “hypothetical” results C2 reports for any strategy having, say, five or more followers.
The results on Collective2 show the average price of all real-life AutoTrader fills… not merely the results from the account of the strategy manager. So, regarding the example you mentioned, if there’s a strategy where the autotraders get lousy fills due to lack of volume or wide bid/ask spreads, the results on C2 actually show that lousiness.
I take your point, Matt. However, in such cases it is nonetheless true that inclusion of the developer’s fills–which tend to be far, far better than even to most fortunate follower can expect to receive–biases to some degree the composite results presented as seen from the follower’s point of view. The extent of such bias would be more apparent were the two figures presented separately. Ultimately, of course, it is the follower’s responsibility to do his/her own due diligence, which certainly extends to a thorough review of the extensive dataset that C2 makes available for this purpose. ~OG
I believe a broker-transmit trader’s own fill (once there is at least one auto-trader) isn’t included in the composite results presented to followers.
Note, this may contribute to something commonly seen, where a strategy’s performance is decent, while results are based on broker-transmit, and then after autotrading has started, results will be worse.
Having as yet no subscribers to either of my strategies, I am unable as yet to verify. But if true, that would address my concern. I do think it might be helpful if auto-trading followers could elect to have submitted on their behalf, at least with respect to entries, their choice of market orders (as now) or limit orders at or close to the developer’s entry price (recognizing of course that on occasion some trades would not get filled by some or all of a strategy’s subscribers). This might improve followers’ overall results when strategies involve relatively illiquid stocks with wide and volume-sensitive spreads . Just a thought.
