using grid with Calmar >=1, Max DD<=20%, return yearly >=20% and at least 150 days (in one subscription fee time at least), it comes only 2 systems of 816 in Forex?? big surprise for me, expecting high number of consistent traders…
DDmax 20% is not to tight even for forex, unless your are looking for big profits ( or more probably big losses) in short time period, and that is more gambling then trading…
It suprises me as well. I have just started to offer systems on C2 and my backtesting shows d/d <20% so hopefully that will prove similar in the future. But history is not a guide to future performance etc etc. Forex is slightly harder than other instruments which is me being honest and if you were to look at the same view in futures, you will probably/possibly see something different.
agree low DD (at yearly basis), and Calmar>1 its all that matter…
Better way is to set larger max dd, around 50% and check each system individually. Using your capital size and c2 scaling you can get required 20%.
a system with DD Max of 50%, for me ( special in a very short period sometimes 1-2 days) means that disaster is just to happen, its only a question of time…
Max dd depends on the capital size. If you start with 5k it will be 50%, if you start with 20k, it will be 15% for the same system. IMO max dd in % appropriate to use only with stocks systems which reinvest profits and open position(s) on full capital. Max dd in % doesn’t work with futures and options, more appropriate to use dollar dd and dollar profits in that case.
don’t understand, or i disagree with your points:
The Calmar ratio is a comparison of the average annual compounded rate of return and the maximum drawdown risk of commodity trading advisors and hedge funds.
The lower the Calmar Ratio, the worse the investment performed on a
risk-adjusted basis over the specified time period; the higher the
Calmar Ratio, the better it performed. Generally speaking, the time
period used is three years, but this can be higher or lower based on the
investment in question. investopedia
so a trader with 1K (VAMI) can have Calmar of 2 or better, that means he have a high reward / risk and it is good to invest! of course if he had that DD, 50% that means all in general ( if market goes against positions), all your investment in risk, so this 1K trader must keep DDmax in a acceptable value…no maters account size.
Example:
Trader started model account with 5k, go to 15k, then to 10k, and finally to 15k. Max DD 33% (5k), P/L 200% (10k), Calmar = 6.06.
Someone joins this trader at the beginning (when he had 5k) with 25k capital and trade at 100% scaling.
His capital goes from 25k to 35k, then to 30k, then to 35k. Max DD 14% (5k), P/L 40% (10k), Calmar = 2.85.
High DD means the developer is unable to control risk(or unwilling to control risk).
So a strategy with 50% DD is much more risky than with 20% DD.
Yes, if you take a bigger capital size, you are lowering its risk, but you can’t lowering the risk inherent in developer’s trading style. For example, a 50% DD strategy could more likely to hold losing position in deep water, or less like to use stop, more likely to double down.
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not so simple, Calmar or MAR ratio’s of 1 are very rare in real
world trading for an extended period of time. From this we can infer
that if we are striving for a compounded annual return of 20% than we
can expect our largest drawdown to be at least -20%.
I have no objections against Calmar ratio. My point was that if the system shows 50% dd, than it still can be usable with appropriate scaling.
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https://collective2.com/details/104233187 the control of risk/reward is not to much appreciate at C2, special in Forex…
