The Most Expensive Strategy on the C2 Leader Board (Avi Butz’s Strategies) has underperformed the SP500 since autotrading began

[QuantitativeModels]

Here are some other comments since then on strategies that looked likely to have problems based on these two criteria: high win % and low ratio of dollars won per win to dollars lost per loss. You can generally scroll up in each of these threads to see the current chart of results for each of these strategies that failed one (or usually both) of these criteria.

What happened here?

What happened here? Exactly what you would expect happened. The Volatility Trader strategy showed both of the indicators for failure or major trouble: It’s 93% win rate was above the 79% cutoff for successful systems. Systems that survive major stresses tend to have win rates below 79%. The ratio of Av. Win $ to Av. Loss $ was under 1.2. Indeed, for Volatility Trader it is under a miniscule .10. For the research on this, see

TRIANASCALPER exeeds min Cap?

I’m not surprised that TRIANASCALPER is having problems. It shows both of the risk factors for failure or major problems: a higher than 79% win rate and a very low ratio of average win $$ to average loss $$.

A Strategy for YM gambler got a margin call!

Back in early February, I pointed out that most of the top-rated strategies with a high win/loss rate failed in the February downdraft. While A Strategy for YM survived that test, it was still showing a 82% win rate in early February, in essence flashing the most common warning sign for future collapse (or for major problems). It didn’t take more than a few weeks before Strategy for YM generated a margin call or even a year for Strategy for YM to fail. Beware of a win % above 79%.

New model YM Turbo

YM TURBO has both of the proven predictors of future collapse: high win % and low ratio of AV WIN to AV LOSS . In addition, it appears to be mostly a scalping strategy.

3 new swing systems

Win %s over 79% are dangerous and win %s over 87% are very dangerous. See: Study: Risk Factors for Failure or Serious Trouble Are High Win % and Low Ratio of Avg Gain to Avg Loss

Bread and Butter review

Bread and Butter has both of the predictors for collapse or serious problems: a win % over 79% and a ratio of Av Gain to Av Loss of under 1.2. Indeed, it has values way beyond the threshold for concern: a 92.6% win rate and a Gain/Loss ratio of .19. I analyzed these risk factors for strategies during the Feb. 2018 10% stock market drop. The troublesome strategies fell 20%-100+% in late Jan. or early Feb. Indeed, 4 of the top 5 rated C2 strategies experienced such troublesome issues. Most…