Thanks Matt for adding P&L per unit in the grid. Now we can quickly ged rid of all those ridiculous futures systems with a P&L per unit of $20 or less.
It is quite shocking to see how few the truly profitable and stable fututures systems are. Just try this filter:
1.Instrument: futures
2. Age: 90 (anything less than 90 days is not even worth looking at. better 180 days)
3. Trades: 50
4. Sharpe: 2
5. P&L per unit: 40
6. Calmar: 4
7. APD: 0.1
Only 7 systems pass the test. Of course the usual suspects such as VT26 and RD30 are there…
In my view this shows that the key business model for the majority of C2 vendors is trial, not repeat. I wish we got in C2 more "professional" style vendors…
No, all it shows is that only 7 systems meet “your” criteria. That you know specifically what it is you require and would suit your personality and trading style is excellent, but that doesn’t mean the many profitable systems that don’t make your list are any less worthy for others with a complete different set of criteria. That would be a naive assumption.
For example, a sharpe above 2 is quite a lofty requirement for a long-term profitable system. If you care to do some research on it you will find that over time the sharpe will deteriorate and to find a system with a track record over 2 years with sharpe still as high as 2 is extremely rare.
As for p&l per unit, is it really telling you what you think it is? We have discussed on here previously if the system trades multiple instruments the p&l per unit is rendered meaningless, and additionally it totally removes the benefits of position sizing, a very profitable system that might trade varying amounts of contracts to great effect could quite easily be missed by your screen.
Indeed it is rare that’s why only a few show up. P&L per unit is absolutely valid as the screen I described it is only for futures…
So position sizing isn’t important or valid for futures systems then?
What if a system only won 40% of the time but all it’s wins were when it traded 10 contracts and all it’s losses were when it traded 1 contract. Is that not a system you would want to consider?
And don’t get me wrong, it’s good for me if people pay attention to p/l per unit, I have a near 3-yr old system that has a p/l per unit of over $400, but I don’t think you are aware of the limitations of p/l per unit.
Could someone explain to me how I can include in the Grid the p/l per contract,because I cannot find it?
Broadsword, isn’t also true that futures systems trading several low-correlated markets would exhibit a low sharp ratio? Therefore, discounting the benefit of diversifying across markets?
PA
Who said position sizing is not important?
However, if a system has a P&L per round turn contract of $10 and a cost of gen3 trading of $8.5 per round turn contract there is no position sizing system in the world that will make such a system profitable in live accounts.
Hope you get my point…
Under Actions… click Select Columns and you find it there
I said the p/l per unit removes the benefits of position sizing. You countered by saying p/l per unit remains valid because your screen was only for futures, thereby implying position sizing isn’t important for futures.
With regards to “if a system has a P&L per round turn contract of $10 and a cost of gen3 trading of $8.5 per round turn contract there is no position sizing system in the world that will make such a system profitable in live accounts”…
if you truly believe that then you have just proved my point.
I’m not sure about that. My first instinct would be to say if they have a low correlation it is likely to make the system less volatile which you would think would help the sharpe. If they were highly correlated they would be more likely to all move higher and lower together and exhibit the rollercoaster effect that normally hurts sharpe ratios.
You keep talking about position sizing. My point is about cost of trading. Please enlighten me… describe to me a position sizing method that would make a $10 P&L per unit system profitable in a gen3 live account. Since you are at it please do not forget to throw in some occasional 1-tick slippage
Hi Manuel,
I already did so,but there is no such choice.Please tell me what the selection tag should be.Are you sure the feature is available when you are only including systems trading in futures only?
I would be delighted. You will find all the enlightenment you require here.
http://www.iitm.com/Definitive-Guide-to-Position-Sizing.htm
And before anyone calls me on it, no, so far I have not been able to put the extensive methods described within its pages into my own systems, that is a work in progress as it should be for us all. Systems are dynamic, not set in stone, and the objectives we each have are very different, but I truly believe the premise of the book that it’s through position sizing that we meet those objectives, and defining those is not as simple as it sounds as it requires a thorough self-knowledge to know what is both appropriate and realistic.
under actions, click on select columns, you should get a pop-up window that asks you which columns would you like to select, scroll down to p/l per unit, next to it will be show/hide, select show (should then be highlighted in blue).
I do not think you really understand the matter. Instead of publishing a link to a well known book on position sizing you should demonstrate mathematically how a futures system with a hypothetical P&L per unit of $10 could be profitable in live accounts. It just cannot because the cost of trading is higher than the hypothetical profits. If you do not get this basic point I am surprised you even offer systems on C2 (although free).
Yes it is available. In the grid click on selected search "all systems" to refresh and then apply the steps already mentioned. Once you go again on Select Columns this time you should see P&L per unit there…
I start feeling stupid.There is NO such choice in the columns I am allowed to select.I can get avg. profit-cagr-hidden risk-fees etc etc etc, but NO p/l per unit.Perhaps it is labeled some other way.I have tried everything though.
Perhaps I am becoming boring,but I copied and pasted here all the possible selections I get,and they are the following :
Graph-Name-Age-# Trades-Avg Trade Length-Profit Factor-Sharpe-Ann Return-Last 90 Days-Last 30 Days-Trades-APD-Max Drawdown-C2 Score-Hidden Risk-CAGR-% Winners-Subs Fee-Avg Win-Last 60 Days-Popularity-Popularity (week)-Avg Adverse Excursion %-Avg pips (long)-Avg pips (short)-Avg pips-Total pips (long)-Total pips (short)-Total pips-Realism Factor-Business Model-Billing Period-Trial Days-Periodic Charge-Profit-Closed P/L-Open P/L-Cash-Start Cash-Calmar-Sortino-Avg Loss-# Winners-# Losers-% Losers
So, where is P/L per unit?
OK,I got it-I had to sign out of c2 and re-log in.It refreshed and everything was OK.Thank you for your assistance.
Manuel, I can only lead you to the water, I can’t make you drink it. You need to find your own way. I imagine our perspectives and experience and understanding of markets are very different. I urge you to examine everything from all different angles and even when you think something is right try to then work out how someone else might set about proving you wrong, try to see both sides always, it will make you see there are very few absolutes in trading. I wish you well.
