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On the developer side of things, this question is often puzzled over in some phase of ones personal development (pun intended… I think…), where one thinks “Gee I can just trade the equity curve and make even more money than the base model which is either a break-even system or profitable in and of itself!”.
My personal experience has thus far been it doesn’t work because the (lack of) predictability of draw-down frequency (and depth) is such that it is hard to beat the compounding effect of being in a good model all the time.
That being said, if one had a large enough pool of uncorrelated strategies with strong positive expectancy, such that one is always in something, it is possible that effectively doing “fund rotation” into under-performing models may just be more optimal than being in the whole basket all the time.
The trick being of course getting a basket of good strategies
Stock XYZ goes from $10 (on January 2) to $5 (June 30 the same year).
It’s a “scary” 50% drawdown.
You buy the stock at $5 that day and exit your position on January 2 (six months later), when the price of the stock is $10.25 (a new 52-week high).
So your return on investment is more than 100% (in only 6 months), although stock XYZ never gained a penny for an entire year.
As you can see, C2 traders can still earn plenty of money even if a system (or any financial instrument) stays a year or more in drawdown mode.
So this idea that C2 systems that make a new 52-week high are “garbage” systems is absurd to the extreme, even from a strictly mathematical point of view.
Why are you assuming that a C2 system that makes a new 52-week high is only 1 year “old” on the C2 listing??
With the above statistics, it is just a mystery as to WHY this system would be included in the “Strategies Making New Highs” list when there are NUMEROUS other systems, with much better statistics and meet or exceed other parameters, that don’t appear!?
This topic appears to have gone dormant so I figured I would try to revive it. It appears as though C2 does not publish it’s “Systems Making New Highs” list anymore (at least I have not been able to locate it). That said, my system GIR Global Leaders is currently at a new All Time high. Below are the results of my system as of today so please feel free to post the results of your system that is making new highs.
Some Statistics
System Age - 16 Months
Stocks Only System
Annual Return (Compounded) +59.8%
Year to Date Return +86.3%
October Return +18.6% (Best Month, so far, of 2017)
Best Month All time (Nov. 2016 +37.9%)
Worst Month All Time (Dec. 2016 -20.3%)
MDD (26.9%)
Winning Trades 58.3%
Winning Months 62.5%
Profit Factor 1.7
Last 30 Days Return +11.7%
Last 60 Days Return +18.2%
Last 90 Days Return +7.8%
System Age - 16 Months
Stocks Only System
Annual Return (Compounded) +60.6%
Year to Date Return +88%
October Return +18.6% (Best Month, so far, of 2017)
Best Month All time (Nov. 2016 +37.9%)
Worst Month All Time (Dec. 2016 -20.3%)
MDD (26.9%)
Winning Trades 59.6%
Winning Months 62.5%
Profit Factor 1.8
Last 30 Days Return +9.5%
Last 60 Days Return +17.1%
Last 90 Days Return +9.7%
System Age - 16 Months
Stocks Only System
Annual Return (Compounded) +60.9%
Year to Date Return +89%
October Return +20.3% (Best Month, so far, of 2017)
Best Month All time (Nov. 2016 +37.9%)
Worst Month All Time (Dec. 2016 -20.3%)
MDD (26.9%)
Winning Trades 58.7%
Winning Months 62.5%
Profit Factor 1.8
Last 30 Days Return +21%
Last 60 Days Return +16.2%
Last 90 Days Return +9.5%
System Age - 16 Months
Stocks Only System
Annual Return (Compounded) +61.6%
Year to Date Return +90.8%
October Return +21.5% (Best Month, so far, of 2017)
Best Month All time (Nov. 2016 +37.9%)
Worst Month All Time (Dec. 2016 -20.3%)
MDD (26.9%)
Winning Trades 58.7%
Winning Months 62.5%
Profit Factor 1.7
Last 30 Days Return +21.1%
Last 60 Days Return +28.6%
Last 90 Days Return +8.1%
We are quite satisfied with the results of DynamicUsa so far, and are gathering history until next summer before kicking in with a higher subscription for the strategy.
Take a look and let us know any thoughts:
It’s great to see some activity under this topic! Since it appears as though C2 has stopped publishing the “Systems Making New Highs” list, this is a great place for developers (or investors) to post systems making new 52 week, or All time Highs. Some good looking systems here!
A new high. What it trades - VXX/XIV intraday. No overnight risk!
Statistics since inception -
No of Trades 57
Profitable 33
% Profitable 57.90%
Avg trade duration 3.5 hours
Max peak-to-valley drawdown 16.23%
Cumul. Return 23.6%
W:L ratio 1.89:1
Sharpe Ratio 2.412
Sortino Ratio 4.279
Calmar Ratio 4.334
Ann Return (w trading costs) 47.8%
Ann Return (Compnd, No Fees) 57.6%
A new high. what it trades - index futures intra-day. No overnight risk!
Statistics since inception
No of Trades 81
Profitable 52
% Profitable 64.20%
Avg trade duration 3.1 hours
Max peak-to-valley drawdown 12.16%
Cumul. Return 58%
W:L ratio 2.02:1
Sharpe Ratio 3.519
Sortino Ratio 8.818
Calmar Ratio 13.906
Ann Return (w trading costs) 132.4%
Ann Return (Compnd, No Fees) 161.8%
we have another new equity high - 7 months of solid performance!
trades ES/NQ futures intraday. No overnight risk!
Stat so far -
W:L ratio 2.10:1
Sharpe Ratio 3.641
Sortino Ratio 9.282
Calmar Ratio 14.674
cumulative return ( 7 months) - 63.3%
Max drawdown 12.2%
Ann Return (w trading costs) 138.9%
Ann Return (Compnd, No Fees) 167.8%
Please note the change in name of system from (cryptic) “QF Day Trader F1 ES NQ” to “Day Trader Futures”
trades ES/NQ futures intraday. No overnight risk!
Stat so far -
W:L ratio 2.13:1
Sharpe Ratio 3.773
Sortino Ratio 9.584
Calmar Ratio 16.064
cumulative return ( 7 months) - 66.7%
Max drawdown 12.2%
Ann Return (w trading costs) 144.4%
Ann Return (Compnd, No Fees) 174.3%
