As we all know, it is difficult to generate high returns on investment over a long period of time. In most cases, there is always a “reversion to the mean” after a period of out-performance.I was curious to see how some of the older “stock only” systems on C2 performed. I limited my sample to 10 systems (which I won’t name to remain impartial), I eliminated those with very low C2 scores (which usually means poor performance), those that are seemingly abandoned (have not traded in months and/or hold huge losing positions), and “test” systems. I included estimated commissions to level the playing field without giving an advantage to the systems that generate lots of trades. The results of my unscientific study, with statistics as of 01/17/2014, follows.
Systems (Stock Only) Included in Study: 10
Oldest System: 3,259 Days (about 8.9 years or 109 months).
Newest System 1,701 Days (about 4.7 Years or 57 months)
Best Average Annual Return (includes estimated commissions): 42.6%
Worse AAR (includes estimated commissions): 0.0%
Best C2 Score: 1,000
Worse C2 Score: 870
Average Age of the 10 Systems: 2,219 Days (6.08 Years or 74 Months)
AAR of the 10 Systems: 19.65%
Average C2 Score of the 10 Systems: 954
As can be seen from the statistics above, it IS difficult to maintain high performance returns with any system. We have seen some of the new hot systems come out with dazzling results but eventually crash and burn due mostly to the inexperience of the developer or lack of understanding of risk control and money management. These statistics for the older systems indicate that it takes a lot of hard work, and some luck, to be the best. Something for all of us system developers to aim for. Good luck with your trading!!
