Performance Metrics

Being a newbie to C@ but certainly not to the world of investing/trading had a few queries:

1) It would be helpful to have a yearly total return for the return tables; right now all we see is the monthly result

2) The worst drawdown % seems odd to me; for ex. on the popular Topaz system, you have 44% peak to valley amount but in dollar terms the DD appears to be ~$80,000 (sep08). The account initial capital is $100K. There is some reality that a new subscriber starts this system with a $100K, thinks the worst DD is 44000 and immediately runs into the $80K DD. So, not sure how you calc this stat or its usefulness?

3) Total System Equity seems to be without commissions vs Cumulative $s - I think this is useful to assess the system decisioning effectiveness vs the trading cost involved to support the decisioning process. At what point does one look at this stat and start to raise eyebrows? For ex. on Topaz again, is this right to see it as basically $100K of cost for 48mths of trading? So, in this case about $25K of trade cost per year?

Only used Topaz as an example - no intent here to pick on it.

If these have been discussed before, apologize for rehashing.


The Collective2 report shows you the maximal historical drawdown in percentage, while the 80K loss you are referring to is the possible absolute drawdown in dollars and cents.

If a systems goes from $100,000 (starting capital) to $200,000 and then back to $100,000 you could of course say that a trader could lose $100,000 following this particular system. In reality the loss could have nothing to do with the system itself at all!


Well maybe the system was making much, much bigger trades after the $200,000 level (in other words the system was playing with the “house’s money” like they say in Vegas), hoping to collect bigger profits much faster.

Agreed, it was not apparent to me how the sizing of trades changes over time in a system and whether there is some way of "normalizing" results so metrics like this can be assessed with transparency.

I tend not to focus on metrics like Annualized Returns because they tend to detract from true cash on cash performance. Ideally, I see it as how much capital to I need to handle max DD + margin maintenance requirements + sleeping cushion ;). With that take actual traded cash returns and divide on that to give me a return. Each year, assume there is no reinvestment of profits and start fresh.