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The Best Trading
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Collective2

 

 

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Like beauty, "the best" of anything is very much in the eye of the beholder.  For this analysis I have tried to approach the process from the perspective of a fund manager looking for a specialist trader to trade a portion of the managers fund, or an experienced, analytical broker looking for Collective2 systems to recommend to clients.

So good, consistent results with excellent risk management is the ideal, and while I might add systems under 6 months old to my "watchlist", I'm mainly interested in the more mature, proven systems and traders.

I'll get into the full details of criteria and scoring later (towards the bottom of this page).  At this stage let me just summarize the process and results:

  1. On Nov 28, 2007, I ran a query on "The Grid" at Collective2 with all the Filter boxes checked: ie "Profitable systems"  "Smooth equity curves"  "Low risk per trade" were all selected.  I also selected systems that trade stocks, futures or forex.  I excluded options systems since I don't feel adequately qualified or experienced in this area to assess them.  So if you're interested in trading options, this analysis won't help.
  2. This generated a list of 79 systems, which I copied into Excel for further analysis, which included applying criteria and calculating "The Muzza Score".
  3. In the table below the five systems in blue font at the top are the only ones that meet all criteria, out of the 79 considered. The table shows all those with a Muzza Score of 1.0 or more.
  4. The two systems with dark blue fill in their Age column (Holly FTSE and Team Aphid Bird) are the only two "mature" systems that meet all criteria.
  5. Two criteria that eliminated some of the other systems from the final list only related to system age and market experience (number of trades x average trade duration, expressed in days).  Failing these two criteria doesn't mean a system is not one of the best - it simply means there is too little data to make an assessment with any confidence. Assuming they continue to trade consistently, the systems marked with * will eventually join the list of systems that meet the criteria, while those marked with ** are already "mature" systems (Have Fun) and would be of particular interest to our fund manager or broker.  Have Fun would be of particular interest as it also has a good Muzza Score.

Below the list of best systems (in blue font) the criteria each system failed to meet are shown in bold font. So for example, down at position 16 (Muzza Rank), Deep Value fails the >=25% criteria for Annual Return: Maximum Drawdown ratio.  A ratio of 20:1 is set at 100% and other results are scaled relative to this, up to a maximum of 500%.  So the >=25% criteria equates to an annual return : max DD ratio of 5:1 or higher. Challenging, but certainly not impossible.  Deep Value's result of 17% is in bold font as it fails to meet the criteria.

    Summary: As a broker or fund manager, here are the "mature" systems (at least 180 days on C2) I would be interested in:

    And here are the newer systems I'd add to my "watchlist":

    You can compare these systems on one page, at my Analyst Page at Collective2.

    Or, just view the three trading systems I personally recommend .... 

    Updates:  I'll aim to update this analysis on a regular basis and include a comment here on new additions to the list of best systems, and deletions from the list.  The next update is planned for late Jan 2008.

    The Best Of Collective2 (Exclude Options systems): Based On Data Extracted Nov 28, 2007.

    Muzza Rank C2 # System Uses Stop-loss? Age (Tgt>=60) Mature=>=180 Avg Trade Mkt Exp Weight (Tgt>=100) Win% Profit Factor Weight (Tgt>=100) Ann. Return% Max Draw Ann Ret % : Max DD Weight (Tgt>=25%) Realism Factor (Tgt>=80) APD Factor Subscription Terms Customer Reviews The Muzza Score
    1 52 Jubilee Yes 86 days 3.2 days 128.0% 71.40% 280.0% 108.80% 6.18% 88% 93% 493% $150 / month 7 day trial 9.99
    2 39 Gold Swing Survivor Futures Yes 133 days 2.8 days 272.0% 50.00% 180.0% 174.40% 10.10% 86% 87% 218% $295 / month if profitable 3.96
    3 8 Holly FTSE Yes 213 days 2.8 days 160.0% 62.50% 173.3% 146.30% 11.09% 66% 100% 294% $90 / month 2.39
    4 18 DataGlobe FX II Yes 84 days 4.4 days 150.9% 91.70% 213.3% 141.20% 11.11% 64% 99% 266% $197 / month 2.39
    5 4 Team Aphid Bird Yes 308 days 22.6 hrs 300.0% 40.80% 113.3% 63.70% 4.75% 67% 100% 102% $250 / month 3.0 stars 1.77
    6 26 GoldenStocks Short Only * 31 days 1.1 weeks 300.0% 71.70% 320.0% 165.60% 2.46% 337% 84% 488% $100 / month 14 day trial 116.06
    7 76 Top Performers' Steady G * 27 days 1.5 weeks 240.0% 81.20% 500.0% 25.10% 1.15% 109% 100% 495% $50 / month 14 day trial 61.14
    8 61 Cleaner StockFish * 20 days 4.7 days 181.3% 85.20% 306.7% 85.30% 1.67% 255% 94% 396% $100 / month 15 day trial 48.46
    9 30 TrendSensor Jumbo Yes* 54 days 2.4 days 133.7% 51.30% 246.7% 177.90% 3.45% 258% 97% 254% $85 / month if profitable 17.33
    10 63 TrendSensor Golden Index Yes* 54 days 1.9 days 38.0% 57.10% 500.0% 157.80% 3.81% 207% 97% 457% $58 / month if profitable 14.11
    11 74 The Dutch forex trader * 10 days 5.0 days 14.3% 50.00% 500.0% 93.00% 1.02% 456% 100% 400% $70 / month 10 day trial 12.36
    12 78 Absolute Returns * 5 days 5.2 days 7.4% 100.00% 500.0% 216.70% 1.98% 500% 100% 650% $100 / quarter 10.88
    13 79 ETF Roller 7 days 5.6 days 8.0% 100.00% 500.0% 68.70% 0.74% 464% 76% 800% $79 / month 30 day trial 10.87
    14 15 mvp-3 8 days 5.6 days 8.0% 100.00% 500.0% 431.20% 3.64% 500% 69% 800% $45 / month if profitable 9.03
    15 68 Zaplutus No 176 days 1.3 weeks 117.0% 100.00% 500.0% 15.90% 3.11% 26% 100% 515% $130 / month if profitable 6.50
    16 43 Deep Value 282 days 20.1 weeks 300.0% 50.00% 500.0% 30.60% 8.94% 17% 93% 365% $39 / quarter if profitable 4.82
    17 48 AdviserCaptura Sometimes 479 days 12.1 weeks 300.0% 66.70% 280.0% 44.30% 9.76% 23% 89% 430% $100 / month 30 day trial 3.74
    18 13 Have Fun ** 224 days 1.8 days 77.1% 80.00% 266.7% 52.40% 3.55% 74% 98% 240% $199 / month 2.94
    19 71 Eagle1-Trading 746 days 4.7 weeks 300.0% 64.70% 286.7% 1.20% 0.69% 9% 99% 369% $15 / month 14 day trial 2.64
    20 65 British Pound Counter Tr * 17 days 1.8 days 12.9% 80.00% 500.0% 35.00% 1.16% 151% 100% 240% $75 / month 2.19
    21 75 FX10% * 7 days 10.9 hrs 4.5% 71.40% 386.7% 964.00% 1.03% 500% 100% 221% $0 / trade 1.84
    22 53 American Depositary Rece * 59 days 6.3 weeks 300.0% 71.40% 180.0% 34.10% 6.27% 27% 96% 179% $29.99 / month 90 day trial 1.73
    23 44 Scalper FOREX * 34 days 1.9 hrs 5.0% 79.50% 500.0% 89.80% 0.56% 500% 100% 127% $200 / month 1.54
    24 5 Pairs Trading QID QLD Sc No 253 days 3.4 days 121.4% 76.00% 260.0% 84.70% 12.31% 34% 87% 357% $110 / month 14 day trial 5.0 stars 1.30
    25 1 slow and steady * 125 days 5.9 hrs 61.1% 75.90% 153.3% 1110.10% 15.45% 359% 98% 152% $250 / month 7 day trial 4.7 stars 1.14
    26 3 Ruby NQ100 M No 344 days 4.5 days 300.0% 73.40% 173.3% 63.20% 9.71% 33% 96% 132% $199 / month 12 day trial 3.0 stars 1.10
    27 23 Zombie Breakout No 142 days 1.0 weeks 300.0% 72.40% 126.7% 82.90% 9.56% 43% 96% 127% $399 / month if profitable 1.05

    Criteria:

    1. Max Drawdown not more than 20%
    2. Realism Factor of 80% or higher
    3. Age on C2 of 60 days or higher (180 days or higher to qualify as a "mature" system)
    4. APD (average profit per dollar of drawdown) of 0.30 or higher
    5. Profit Factor (total dollars gained to total dollars lost to-date) of 1.5 or higher
    6. Market Experience of 70 days or more (number of trades x average trade duration, expressed in days)
    7. Annual Return (%) : Max Drawdown ratio of 5:1 or higher
    8. Percent of winning trades of 40% or higher
    9. Uses automated stop-losses that are set at trade entry (this is checked with the system vendors of systems that meet all the above criteria).

    Calculating The Muzza Score:

    The Muzza Score = [Mkt Exp Weight]   x   [APD Factor]   x   [Profit Factor]   x   [Ann Ret : Max DD Weight]   x   [Max DD Factor]   x   [Realism Factor]

    NOTES:

    1. All factors have maximum scores set for them to prevent undue influence from "outlier" results.  These range from 100% to 800% - see below for more details for each factor.

    2. Mkt Exp Weight:  Market Experience data doesn't exist at Collective2, but I have calculated it using other C2 data, specifically: average trade duration (in days) and number of trades on C2 for this system.  Market Experience is a very important concept as it gives the total "days in the market" for a trading system (number of trades x average trade duration, expressed in days).  Let's consider an example to clarify this:  a system that has traded for a year but has only completed three trades may seem impossible to assess.  But if those trades have averaged 30 days each, then the trader has had 90 days in the market, during which he/she can botch things up, or excel.

      On each of those 90 days the trader is reviewing their trades and answering these questions:
      • Do I close the trade?
      • Do I top-up the trade?
      • Do I close some of the trade to reduce its size?
      • Do I leave the trade as it is?

        So, although there are only 3 trades, there are 90 days of market experience, which meets the minimum criteria of 70 days.  The weighting process sets 70 days at 100% and sets an upper cap at 300% (or 210 days).  At this point there is ample data to be confident in the performance analysis, and additional market experience adds little in terms of additional certainty.

    3. APD Factor: APD is included as a statistic in C2, and is a key performance measure.  I make an important adjustment I'll get to in a minute.  Here's how I think of APD (Average profit per dollar of drawdown):  It's like an ROI figure for venture capitalists investing in businesses.  They will look for returns of 35 to 50% or more to justify their high risk in investing in relatively unproven businesses.  Trading is also a risky business and we should aim to achieve 0.35 to 0.50 or more, with 0.30 as a minimum.

      As a venture capitalist I might accept a lower return (say 30-40%) from a proven management team that makes 80-90% great decisions, than from a company with an average, or unproven, management team.  This leads to the simple adjustment I make to APD: systems with a % of winning trades over 50% get their APDs adjusted up proportionately, while those with less than 50% winning trades get adjusted down.  Why?  Because a system with 90% winning trades can afford to make less gain per dollar of risk (and most likely will) and still achieve a great outcome.

      An APD of 0.4 converts to 100% prior to applying the % of winning trades adjustment.  After adjustment, that 100% could sit somewhere in the 80% to 200% range, and an upper cap of 800% is applied.  I view the APD Factor as the key measure of performance in the Muzza Score calculation.

    4. Profit Factor = total dollars gained / total dollars lost.  A score of 1.5:1 is set at 100% and a cap is set at 500% (equates to a score of 7.5:1).

    5. Ann Ret % : Max DD Weight:  A ratio of 20:1 is set at 100% and the minimum of 5:1 equates to a 25% score or higher. The cap is 500% (equating to a ratio of 100:1).  This is also a key measure as a good score means high Annual Return with a low maximum drawdown, which is a very attractive mix.

    6. Max DD Factor: A maximum drawdown of 20% or higher is set at a 0% factor score. A maximum drawdown of 0% would achieve a 100% factor score. Other points are scaled between these two - eg: a max DD of 10% would get a 50% factor score as 10% is midway between 20% and 0%. The cap is 100%.

    7. Realism Factor:  this ranges from 0% to 100% and is taken as-is from Collective2 and used in the Muzza Score calculation.  A figure of 80% or higher is required to meet the criteria for realism.

    8. Maximum possible Muzza Score = 3 x 8 x 5 x 5 x 1 x 1 = 600, but in reality no system is likely to get close to a perfect score, and the 116 for
      GoldenStocks Short Only is very creditable, and it will be interesting to see how well this system ages.

    For Collective2 System Vendors: For those who have their systems highlighted with a link - CONGRATULATIONS! With my "fund managers hat" on I can honestly say I believe you're doing an awesome job!  Keep up the great work. You're the vendors who give Collective2 its real value.

    For Investors: In my view, the highlighted systems have traded extremely well.  But what they have done, and what they will do in the future can be two very different things. I cannot give any guarantees and nor could the vendors themselves.  You need to make your own decisions based on your own research and professional advice received.  And always feel free to ask vendors at Collective2 your most difficult or important questions - just use the Private Message facility at Collective2.  Please also read the full disclaimer at the bottom of this page, and the one at Collective2.

    You can view the systems highlighted on this page, altogether for ease of comparison, at my Analyst Page at Collective2.

    Or, just view the three trading systems I personally recommend .... 

    TrendSensor.com is a client of Collective2, but does not represent Collective2. Specifically, the analysis on this page is the work of Murray Nickel of TrendSensor.com and does not represent the views of Collective2 or its representatives.

    Disclosure: I am the vendor and trader for the two TrendSensor systems at positions 9 and 10 in this list. 

    To contact Murray just click on the Contact link under the Information tab at the top of each page.

    Collective2 Growth:

    Collective2 continues to become a more popular destination for folk searching for the best trading systems to trade:

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