Just in wondering about the value of Recent Gainers:
For Recent Gainers ("This Week"), for those operative > 1 month, 11 of 12 had dipped below value of $85K (many a lot lower) within the last month or so.
So I said before, it seems more like a lemon grove than a place to find successful systems.
Here are some more statistics from this group of gainers:
Individual Profit Factors (W:L ratio) of systems:
1.1
1.7
1.4
n/a
0.6
0.5
0
0.4
0.9
589.1
1
0.6
0.6
1.2
599.1 SUM
46.08461538 AVERAGE
83.5408284 AVEDEV
163.1564477 STDEV
156.7556445 STDEVP
26620.02641 VAR
24572.33207 VARP
It is remarkable that the average profit factor (W:L ratio) of this group is over 46! But to be more reliable, in my view, the data set should contain at least 30 samples.
ps. for the Quarterly gainers:
Individual Profit Factors (W:L ratio) of systems:
1.6
1.7
1.8
1.9
1
2.2
1.3
2.1
0.6
1.9
1.7
1.4
3.6
4.4
2.8
30 SUM
2 AVERAGE
0.68 AVEDEV
0.971743646 STDEV
0.938793552 STDEVP
0.944285714 VAR
0.881333333 VARP
The average profit factor (W:L ratio) of this group is only 2.0
I don’t think these statistics are particularly valid. Given that one of the systems had a PF of 589, I think that is called an outlier.
I never use an average for small samples, I use the median (it naturally discards outliers). here, the median is 0.75. Or with an average of a dozen items or so, at LEAST discard the high and low values. Then, your adjusted average is less affected by an extreme outlier, as here. Then, your average would be 0.91, also
All the other stats are useless again, due to the one value of 589.
And for the other list using this method, now the median is 1.8 and the adjusted average is 1.92.
"So I said before, it seems more like a lemon grove than a place to find successful systems."
You missed my point which is: you discarded a good system because you discarded a whole group without analyzing properly, which is a case of pure emotionalism.
After my post, you recognized your error, but still did not reach the right conclusion, by discarding a good system, which is unfair to it (at the very least.)
ps. and the conlusion you reached is very broad: All of the recent gainers list (Quarterly, Monthly, Weekly and Daily) has no value!
>For Recent Gainers (“This Week”), for those operative > 1 month, 11 of 12 had dipped below value of $85K (many a lot lower) within the last month or so.
This is not a rational standard for evaluating the worth of a system. You judge the worth of a system by its willingness to sacrifice its profit, (thereby disregarding its average winning trade and the average losing trade along with % wins which goes into computing the profit factor). In order to gain a sense of your own and your systems self-value, or at least a pretense of one, you relegate to a secondary position any thinking and rational analysis you do. To feel good about yourself, you must continually unfocus and subvert your mind - which action makes you feel out of control, inefficacious, no good. Thus you feel an intractable inferiority complex and its insolvable conflct; becuase you judge your own system and thereby your own soul by improper standards, you pit the requirements of your systems self-esteem and thereby your self-esteem against the requirements of your life and the systems life. The ultimate result is to make both these values impossible to yourself.
You are setting the systems self-esteem (profit factor) and your own self-esteem against reality. The practice on its current scale is a consequence of mankind’s leading ethical theories and represents the utter perversion of a biological need. It is the surest method there is of turning oneself into an anxiety-ridden evader.
There are other, less devastating errors one can make in gauging self-esteem. A man commited to reason may, for example, undercut himself by demanding of himself the impossible. He may (implicitly) expect to be omniscient or omnipotent in some area, and therefore carry the burden of a chronic unearned guilt. As long as he continues to act morally, such a man does not lose his basic self-respect, but he does suffer some form of breach in self-esteem. The extent of the breach, along with the degree of danger it poses to his life and happiness, depends on the exact nature of his improper self-expectation.
A man suffering from invalid standards of self-esteem, whether irrational or honest but mistaken, needs to change his ideas. He must learn to judge himself not by his relation to others, nor by his knowledge or existential success, but by his maintenance of a certain mental state, one that depends on nothing but his own will: the state of being in full focus. In other words, he must learn to gauge self-esteem by the standard of moral perfection as conceived by a rational ethics.
Then he must live up to this standard by practicing the virtue of pride. Pride, is the only means there is to self-esteem and the only cure for a breach in it (the lower the current drawdown, the higher the current pride and hence the higher the current self-esteem of a system).
> Here are some more statistics from this group of gainers:
Individual Profit Factors (W:L ratio) of systems:
I tried this cool search engine called Google and looked for “Profit Factor”:
http://www.google.com/search?sourceid=navclient-ff&ie=UTF-8&q=profit%20factor
"Profit Factor
This value is the profit generated by profitable trades divided by the losses generated by losing trades. A value of 2 would indicate that twice as much money was made from winning trades than was lost from losing trades. Higher values indicate less risk."
Since this data (gross profits / gross losses) isn’t listed on C2, what data did you use? Also, since in previous posts you’ve mention that Trade Station data is of little value, why are you now using a classic TS
criteria (even if you don’t know how to calculate it) to prove your point?
"You missed my point which is: you discarded a good system because you discarded a whole group without analyzing properly, which is a case of pure emotionalism. "
It would be helpful if you would understand a post before commenting.
I didn’t discard any system. I said 11 out of 12 systems had contracted below 85K, some considerably worse. This also feeds back to numerous previous discussions about the value of the “Recent Gainers” feature. And there was no emotionalism involved. It was a factual analysis.
"ps. and the conlusion you reached is very broad: All of the recent gainers list (Quarterly, Monthly, Weekly and Daily) has no value! "
There has never been any evidence presented that shows they HAVE value. That is why some people have questioned why it gets front page featuring. These systems constantly seem to be those recovering from signficant drawdowns.
">For Recent Gainers ("This Week"), for those operative > 1 month, 11 of 12 had dipped below value of $85K (many a lot lower) within the last month or so.
This is not a rational standard for evaluating the worth of a system. You judge the worth of a system by its willingness to sacrifice its profit, (thereby disregarding its average winning trade and the average losing trade along with % wins which goes into computing the profit factor). In order to gain a sense of your own and your systems self-value…"
Whatever
Your analysis is very subjective, because since C2 shows a combined-equity plot, some of those open-equity drawdowns do not exist anymore. C2 paints a misleading picture. That is the point you missed. You do not understand the concept of a drawdown (realized losses) as does C2. Until you do, it is a waste of my time to carry on this discussion.
As I said, you dont even understand the concept of a drawdown (realized losses); until you do, it is a waste of my time to continue this discussion.
Like I said before, you are willfully deaf…
> Your analysis is very subjective, because since C2 shows a combined-equity plot, some of those open-equity drawdowns do not exist anymore. C2 paints a misleading picture. That is the point you missed.
I see. So, how much should we add to your $300,000 drawdowns? What
is realistic?
Also, once again, please explain you "profit factor" math.
Realized drawdowns are those drawdowns calculated on your daily (or monthly) account statements. Realized losses are those which are – in a word – real.
What the heck are you talking about? In what fantasy world are open positions not considered “realized”? You continue to have a very, very strange assumption in this regard. This is the assumption an armchair paper-trading system designer makes.
Those that trade or who have actual money on the line in a trading account would not, could not, ever make such a strange statement.
“Realized” is a tax-consequence relevant term. You don’t seem to grasp this fact. There is no “realized” gains for futures. All gains and losses are marked-to-market on a daily basis.
Thanks, Sam & Dustin
It is like arguing with an oak tree. Since I don’t speak in Ayn Randese, nothing seems to stick. If I give logical replies, they I am considered clueless.
Maybe if my answers rhymed or had the right meter, they would be taken seriously???
“It is I, Romeo, and equity derivatives are the east…”
C2 is a very minor focus for me, but I AM impressed by this platform. It is what I’ve always wanted.
Unfortunately, it takes a masters degree in real-life trading to utilize C2 properly.
As for Mr. Palsun, I have no idea. He’s a huge windbag with terrible systems and absolutely insane ideas. He has obviously never traded futures, but claims expert status. This certainly isn’t anything new. In my wildest dreams I would never be drawn into a discussion about his systems or comment on his sophomoric meanderings …
I’ll draw the line here.
Why is it with futures that we see the Close at one price, and then a half-hour later it has moved to another price? Why isn’t the Close the same as “Last,” and what is the “Settlement” at all?
“Last” is the last price at which a contract traded. It has no meaning other than that.
The Close in electronic trading is something I have not been able to discover.
The Close in open outcry pit trading involves two things:
1. The Close generally refers to the final 3 minutes of trading, in most cases.
2. The Close is a price decided on by the pit committee and finalized by the pit chairman. It can actually be a price at which no futures contract traded during the entire day. (We explain how this can happen at our seminars.) The Close that you see within minutes or seconds after trading has ceased may not be the final price you see some time later. The reason for this is that if there are a lot of orders still outstanding when trading is complete, the pit chairman has the authority to re-open trading after a wait of about 15 minutes. Trading then continues for another 3 minutes, with a rule that prices must stay within the range of the previous Close. Therefore, you go to dinner thinking you are ahead by a few ticks and come back later to find out that you are behind by a few ticks.
Once a closing bell signals the end of a day’s trading, the exchange’s clearing organization matches each purchase made that day with its corresponding sale, and tallies each member firm’s gains or losses based on that day’s price changes - a massive undertaking considering that nearly two-thirds of a million futures contracts are bought and sold on an average day. Each firm, in turn, calculates the gains and losses for each of its customers having futures contracts.
Gains and losses on futures contracts are not only calculated on a daily basis, they are credited and deducted on a daily basis. Thus, if a speculator were to have, say, a $300 profit as a result of the day’s price changes, that amount would be immediately credited to his brokerage account and, unless required for other purposes, could be withdrawn. On the other hand, if the day’s price changes had resulted in a $300 loss, his account would be immediately debited for that amount.
The process just described is known as a daily cash settlement, and is an important feature of futures trading. It is also the reason a customer who incurs a net loss on a portfolio that has futures positions may be called on to deposit additional funds to his account (margin calls).
However, the fact that margin calls are isssued by the futures brokerage industry is not evidence enough that a drawdown has occurred, just as for example, if someone were to infer a given man’s mortality from the fact that there is a huge funeral industry in every country, this would not be proper proof. The funeral industry is a consequence of our knowledge of human mortality, not a precondition of such knowledge. The standard
syllogism, by contrast, does validate its conclusion. The proper proof of a drawdown occurs only when a position is exited. The cause of the exit, whether a margin call or the desire to rebalance the portfolio is irrelevant in this context.
If you propose to enter the field of philosophy, check your premises - see what they depend on, and what that depends on, all the way back to the base of the structure.
If your reduction is accurate, you will find that the base is the axiom with which we begin: existence exists.
No one departs from reality on the perceptual level; one can do so only on the volitional, conceptual level. In a primitive society (and in regard to a specific problem at any time), this departure can occur by default or simple error, through men’s ignorance of the proper methodology. In an advanced civilization, however, the only way such departure can be made to occur wholesale, with results disastrous for every problem and every branch of learning, is by means of a theory - a theory that subverts the conceptual level wholesale by detaching it from percepts. This is a disaster that only philosophy can create - or repair.
The primary source of the mind-body dichotomy and of all the suffering it has caused from Phythagoras to the present is a false view of the mind, i.e., of concepts. The solution is to return to the axioms of philosophy, existence and consciousness, and identify their actual relationship within a conceptual process.
Existence alone, says the intrinsicist, is the active factor in cognition; consciousness, in essence, contributes nothing; it is merely a receptacle, an emptiness waiting to be filled. Consciousness alone, says the subjectivist, is the operative factor in cognition; existence, being unreal or unknowable, is irrelevant. The one viewpoint seeks to efface consciousness, to deprive it of any nature in the name of an alleged fidelity to existence - and ends up regarding existence as a product of (a supernatural) consciousness. The ultimate practical result is the agony of the medievals’ “age of faith.” The other viewpoint seeks to efface existence in the name of the alleged power of consciousness, its power to create its own objects - and ends up regarding consciousness as cut off both from facts and from values, i.e., as impotent. The result is the agony of the modern skeptics’ "age of anxiety."
The axioms of philosophy, however, cannot be sundered. There is no consciousness without existence and no knowledge of existence without consciousness. The advocate of objectivity grasps this fundamental fact. He recognizes that a volitional relationship between consciousness and existence is the essence of conceptual cognition. He alone, therefore, is able to uphold the primacy of existence, the efficacy of human consciousness, and the harmony of mind and body. The practical result of this kind of approach, though it was suggested briefly by the Renaissance, lies largely in the future.
> If your reduction is accurate, you will find that the base is the axiom with which we begin: existence exists.
Aha! Now I understand drawdowns!
