in order to help subscribers in chosing and comparing different types of trading system why don’t put unleverage results or used leverage ?
Hi, Jean Marc,
As an FX trader, I’ve built some interesting systems with this kind of ratio.
I am sure that unleveraged performance as well as an indicator stipulating what is the average leverage used by any systems could be very practical both to investors and traders to situate the quality of a system in terms of both performance, drawdowns and could attract more subscribers for the right systems.
Perhaps, C2 should think about it to improve the attractiveness of the statistics delivered to each system.
Many thanks for your intervention since I totally agree with the fact that the unleveraged performance is the most important performance indicator of any trading system.
All the best with your Midas
Comparing systems on an unleveraged basis doesn’t make things a lot easier, as leverage is typically higher if the volatility of the market is lower. Forex and stocks are the best examples: if you’d adjust forex systems’ returns to 1:1 leverage, most would show annual returns of 5-10%, and small drawdowns. How would that help you to compare that system to stock systems that show 50-100 annual returns? The same idea applies when comparing different stock systems: One system might trade highly volatile penny stocks and not use leverage, while another might trade ETFs with 2x leverage.
mmmmm…
Very interesting answer.
something else ?
use the Sharpe or Sortino ratio.
