Matthew, could you add info that will give a broad perspective on the number of system subscribers.
Example: Total trading system subscribers…
Top trading system subscription…
Lowest trading system subscription…
and update this at the begining of each month.
This will allow trading system owners to have an idea, however vague, of how well they are doing.
Re my earlier suggestion.
You could show eg.- Top 10 systems by subscription have from x number of subscribers to y number of subscribers.
Lowest 10 systems by subscription have 0-2 subscribers.
Ewart,
If something like this is implemented, I would highly recommend that this be available for systems that are at least 3-6 months old. A brand new system, like ours (Aggressive E-Mini Traders), which shows one of the best systems in the Futures category currently (9/11/05) does not have nearly the subscribers as a system that has been around much longer, even if the performance of the ‘older’ system is worse. By showing subscriber numbers for systems that are new is not fair to them (examples: our system and yours!).
Good Trading,
Chris
Robustness, rather than peak performance, is the key to a useful system. Out-of-sample data is essential for system validation. Robustness is a term used to describe a system or method that works under many market conditions … " — Kaufman, “Trading Systems and Methods” The systems that have withstood the test of time (robust) have very few parameters and very simple methods. – John Hill, Truth In Futures
Dr. David Druz says, “The more robust a system, the more volatile it tends to be! This is because robust systems are not optimized to particular markets or market conditions. The converse is also true. You can design systems with excellent returns and low volatility on historical testing, but which work only for given periods in given markets. These systems tend to be curve-fit or market-fit and are not robust.” This quote comes from his article: http://www.tacticalnet.com/cgi-bin/t2.exe/VolatiltiyPaper.htm
Options on forex and futures are not yet available at C2, which makes it impossible to hedge your positions for longer-term investing, with the result it appears that the day-trading systems at C2 encounter lower drawdowns; but in reality, the intra-day drawdowns they encounter is not shown here at C2; instead they show end-of-day drawdowns which essentially is a closed-equity plot for day-trading systems. This essentially refutes your point #3 in your system description for Aggressive E-mini Traders.
Regarding point #2, No firm can guarantee the profitability of a system because a lot depends on the subscribers money management philosophy, trading discipline (following the system to the letter), randomness of the market, etc., but walk-forward testing validates long-term back-testing and gives confidence that the system will hold up in the future.
Regarding point #1 where you say that “We recommend you look at the Average Win vs. Average Loss” - is misguided. You should look at Expectancy of a system which takes into consideration both %wins and W:L ratio, not just Average wins and Average losses. One should have high enough %Wins or high enough W:L ratio or both to make money. Maximize Expectancy, and you will find that all objective function measures like Sharpe Ratio, UPI, CAR, MAR etc., are taken care of.
If you know how to calculate the expectancy of a system, you can test it on any market. You can use expectancy to figure out which markets work best with your system, or what input parameters work best in a particular market. Any system will have periods where either no trades are generated, or a string of losing trades is generated. The latter situation becomes part of your expected losses, and affects your expectancy.
Also, calculating expectancy (the income you get per dollar you risk) becomes much more complicated when you introduce a variable bet sizing algorithm. One should calculate the expectancy based on constant-size bets. Then, after finding a system with a good expectancy and sufficient opportunities to trade, use a bet-sizing algorithm to maximize the potential of the system.
Pal
Interesting that you mention point 1 about expectancy. Earlier tonight someone posted a long post to Christopher’s system forum, explaining why one cannot just look at Average win vs Average loss to judge the profitability of the system and explain how to calculate expectancy. The post was deleted shortly afterwards by the forum Admin, I assume. I guess he didn’t like to have his statement proven misguided. Frankly, I would be very careful to subscribe to a system from a vendor who say they trade for institutions and private clients, but don’t understand that Average win vs Average loss is just one half of the picture.
Just my 2 cents.
Chris
Thanks. I did not know about the previous post about expectancy which was deleted.
They can always re-post it in this forum.
I wish, expectancy would also be a part of the key system statistics here at C2, to help all subscribers/viewers/system vendors(sadly) understand this important concept and to help evaluate systems in an accurate light and to prevent system vendors from getting tired of explaining it again and again and concentrate instead on trading and developing their systems (I do have previous posts about expectancy in my forum.)
What I’m suggesting would not name the trading systems. The only thing that it would say is:
The Top 20 systems by number of subscribers has: 10 - 30 subscribers.
The Lowest 20 systems by number of subscribers has: 0 - 3 subscribers.
That’s the info I’m requesting for system owners.
What do you say Matthew. Can you add this?
Chris,
It is true that ave loss vs ave win is 1 part of the equation. One that my trading partners and I feel that is an important one and subscribers should look at it; however, nowhere on our page does it say ave loss vs ave win is the only thing to look at. Your post above states ‘Frankly, I would be very careful to subscribe to a system from a vendor who say they trade for institutions and private clients, but don’t understand that Average win vs Average loss is just one half of the picture.’ My question is, where have we ever stated that ave loss vs. ave win is the only thing to look at?
If you read our entire profile page, instead of just picking out 1 item, you will see that we are just trying to provide a very well-rounded profile page for subscribers.
My guess is that there is some misunderstanding here, and that happens in internet forums. In the end, our results will be what truly matters and potential subscribers can judge from there. If you do not like what you see, then do not subscribe.
Good trading,
Chris
Chris
To answer your question: "My question is, where have we ever stated that ave loss vs. ave win is the only thing to look at?"
On your profile yesterday you did state that: “If Average Loss is bigger than Average win, that the law of big numbers prove that the system will not be profitable”. Apparently you have changed it before replying to this message and after the post you deleted in your forum pointed out your flaw in reasoning. BTW, why DID you delete that post? I thought it explained expectancy very clearly? Are you trying to hide something?
Even now, though you don’t state explicitly that Average Win vs. Average Loss is not the only thing to look at, you also make no attempt to clarify that you cannot look at that in isolation without conisdering winning percentage.
So far, I don’t like what I see: First you delete posts which point out flaws in your profile. Second, you change your profile description and pretend you never said something in your profile.
But I am still willing to give you to benefit of the doubt. I have made three requests in your forum about your marketing material used, your track record and name of your money management firm. I am still very interested in seeing that before I make up my mind.
Chris
Chris,
I can appreciate people doing their due diligence on systems before subscribing. Good luck in your DD & maybe down the road you will consider ours. If not, that is ok too.
Good Trading,
Chris
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