Turtle

Second portfolio simulates behavior the reasonable investor which seeks strategies with long tradign history and average returns. The following filters are applied:

• system age is more than 730 days
• annualized return with costs is positive *
• max drawdown is lower then 50%
• made 50+ trades
• received profits in 60 and 90 last days **
• calmar ratio is higher then 1.5 to exclude systems with max drawdown larger then annualized return

Rocket

First portfolio tries to benefit from C2 systems which are quite young, show good profits and low drawdowns. Frankly saying, I am catching high-flyers hoping that they bring me money before failure. The following filters are applied:

• system age is more than 90 days
• annualized return with costs is higher then 100%
• max drawdown is lower then 50% *
• made 10+ trades
• received profits in 30, 60 and 90 last days **
• calmar ratio is higher then 1.5 to exclude systems with max drawdown larger then annualized return

No predictions, control risk

Using C2 API one is able to download any type of data related to particular trading system: equity, trades, signals, system stats etc. I was playing a lot with the data available trying to predict future systems behavior. Results were really discouraging, quality of predictions was really low. Finally I've decided to throw out prediction phase, and use the assumption that the system can break anytime after subscription started. With such approach the only thing which can be controlled by investor is the risk. Risk of the loss that system can cause to invested capital.

Trading systems tournament

Several years ago I have found the blog of this guy who did system trading in non-conventional way. While others were hunting for single ultra-stable, profitable, long-term trading system aka holy grail, he was developing significant amount of trading systems based on simple entry - exit rules and number of securities, futures and forex pairs, then optimizing them, and then best of the best trading systems went to real account. By his statements most of the systems were failed soon after beginning, but survivors covered that losses and brought profits. Losers were replaced with perspective newcomers and trading cycle was starting again. He called this approach trading systems rotation.