Quote from deaddog:
Now I got it.
So if I'm tracking you I'm not leveraged but you are?
Doesn't leverage work both ways?
The comparison is to an unleveraged S&P is it not?
Hi, dog, I couldn't modify my first response, because I was writing another post, but the answer to your question of whether I'm leveraged, you're not, and the S&P isn't either is relative to the amount of risk taken. I had more to say on that. You could only be able to see it on PTTQS at C2, but on there I was leveraged at 4:1 the whole time, basically, but even at 1:1, the S&P drewdown 56%, and I only drewdown 37%, so even though I was leveraged, as long as the drawdown is less, you can compare them by making the drawdowns and the net profit percentages equivalent. In fact, if you wanted to compare them apples to apples, you would need to calculate my ratio of S&P drawdown to system drawdown as 0.56/0.37=1.5135. Then, based on that ratio, you compound my netprofits from c2 at 1.551*1.5135-1=1.347 or 134.7% net profit if you were attempting to match the S&P's drawdown. I've posted a variation of this comment on the internet in several places, but never in this thread, so I guess it helps to have a recurring theme where I get to display my trading system development techniques publicly.
Now, that's not just for relative market returns. That is also a method you can use for system analysis, be it on c2 or covestor, at least. In the past the way I've demonstrated this technique is because I had a jealous vendor claiming his returns were greater on an absolute basis, through leverage, of course, even more than mine if you can believe. But he STFU after I demonstrated that while his absolute returns were a third better than mine, his drawdown was double mine, though. So all you had to do was take the ratio of his system dd to my system dd, and compound either the APR or Net Profit, whichever, and you'll find that my system still had higher risk adjusted returns.
That's probably not the case anymore with a dd of 37%, and APR of 18%, but all I can say to them is I lived and traded through the worst financial crisis since the great depression, and if that doesn't comfort anybody considering working with me, then I don't know what else will. I have a real knock against recent systems coincidentally timed to start a little bit after march with the wind at their back. Unless they significantly outperform by a good 30% or 30,000 basis points, it's not really the system more than it is the market they are trading in. You still get yahoos just leveraging 100:1 drawing down 20%, and getting ten to 100 times their money on lucky bets.
Now, I know you're looking at covestor, but sadly you won't be able to see quite the same level of ourperformance, and that is temporary, let me assure of you of that. I'll overtake it very easily. Till then, I'm sure it's been a very good exchange of information.
Either way, I'm very confident in my research. I'm sure you and a lot of other people got that vibe to.
So, yeah, you could say the S&P's not leveraged, but I was and I drewdown less than the S&P, so you've got to lever up to get the equivalent risk adjusted return. Does that make sense?
