VT26
SubscribeAdd to...AutoTrade
Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | +9.5% | +15.8% | (6.5%) | +3.1% | (3.5%) | +15.7% | +7.0% | +8.3% | (0.9%) | |||
| 2009 | +4.3% | (3.1%) | +7.1% | +4.3% | +3.6% | (3.6%) | (0.2%) | +3.3% | +3.7% | +5.0% | (5.6%) | (2.5%) |
| 2010 | +3.5% | +0.4% | (0.6%) | (2.7%) | +3.9% | (1.1%) | +4.6% | (0.8%) | (5.4%) | (8.8%) | (0.7%) | (3.5%) |
| 2011 | (5.1%) | +4.1% | (3.9%) | (1.9%) | (0.2%) | (0.2%) | (0.4%) | (0.2%) | - | (0.4%) | (0.2%) | (0.2%) |
| 2012 | (0.2%) | (0.2%) | (0.2%) | (0.2%) | +9.2% |
Loading Chart...
| Instruments | Futures |
|---|---|
| Strategies | Technical analysis, Volatility trading |
| System started | 4/8/2008 (50 months ago) |
| System developer |
Andy G. 
(Last login to C2: 5/15/12 16:05) C2 Score: 999  Vendor has created 5 other systems. Show |
| Status | This system is no longer supported. |
System creator requested that closed trades data below be delayed by 1 hour.
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 4/18/11 12:45 | BUY | 2 | @TYM1 | US T-NOTE 10 YR | 120 9/64 | 4/18 13:16 |
120 10/64 | Low | $2 |
| 4/18/11 10:06 | SELL | 1 | @TFSM1 | Emini Russell | 816.60 | 4/18 11:51 |
817.20 | Low | ($74) |
| 4/18/11 10:02 | SELL | 1 | XGM1 | DAX INDEX | 7025 | 4/18 11:51 |
7055.50 | Low | ($1,098) |
| 4/18/11 10:47 | BUY | 5 | BDM1 | EUREX BUND | 122.24 | 4/18 11:51 |
122.35 | Low | $712 |
| 4/18/11 9:38 | BUY | 1 | QGCM1 | Gold 100 oz | 1497.80 | 4/18 10:00 |
1493.10 | Low | ($484) |
| 4/18/11 9:10 | BUY | 1 | QGCM1 | Gold 100 oz | 1496.70 | 4/18 9:20 |
1491.30 | Low | ($554) |
| 4/18/11 8:56 | SELL | 1 | @BPM1 | BRITISH POUND | 1.6233 | 4/18 9:10 |
1.6276 | Low | ($283) |
| 4/18/11 7:02 | SELL | 1 | QCLK1 | CRUDE OIL | 108.12 | 4/18 8:22 |
108.08 | Low | $26 |
| 4/18/11 6:55 | SELL | 1 | @EUM1 | EUROFX | 1.4281 | 4/18 8:22 |
1.4266 | Low | $174 |
| 4/18/11 6:40 | SELL | 1 | XGM1 | DAX INDEX | 7114 | 4/18 7:01 |
7114.50 | Low | ($32) |
| 4/15/11 11:30 | BUY | 2 | @TFSM1 | Emini Russell | 830 | 4/15 11:52 |
829.50 | Low | ($128) |
| 4/15/11 11:04 | BUY | 1 | @EMDM1 | Mini Midcap 400 | 977 | 4/15 11:52 |
979.10 | Low | $196 |
| 4/15/11 10:06 | BUY | 1 | QGCM1 | Gold 100 oz | 1481.40 | 4/15 11:52 |
1486.20 | Low | $466 |
| 4/15/11 10:00 | BUY | 1 | XGM1 | DAX INDEX | 7207 | 4/15 11:52 |
7193 | Low | ($519) |
| 4/15/11 10:29 | BUY | 5 | BDM1 | EUREX BUND | 121.19 | 4/15 11:51 |
121.17 | Low | ($214) |
Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 3,721 |
| # Profitable | 1,917 (51.5%) |
| # months tracked | 50 |
| Profitable months | 19 (38.0%) |
| Avg trade duration | 1.5 hours |
| Annual return (compounded) | 23.8% |
| Average win | $453 |
| Average loss | $404 |
| Profit factor | 1.2:1 |
| Max peak-to-valley drawdown (historical) | 12.69% |
| drawdown period | Aug 23, 2010 to Nov 12, 2010 |
| Correlation w/ S&P | -0.042 |
| Sharpe ratio | 2.027 |
| Keep after worst-case slippage | 100.0% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 4.9% |
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | 0.04 |
| Average P/L per unit traded | $29.79 |
Reviews
Beware. I autotraded at 100% for almost a year, until Oct 2010. After deducting subscription fees, commissions, slippage, and losses due to occasional autotrading sync errors, I ended up losing $15,000 as net result. This is the danger of a high frequency trading system.
Hard to say anything meaningful after just 5 days, but sticking to facts: 23 trades: 6 losses 8 wins and the rest about BE. I would have made 1926$ gross according to the autotrade page. Not bad, and about in line with recent performance .Profit was all due to 2 Dax trades (1,708 and 1,188$ respectively) and the worst losses (-970 and -650) were both on Gold, which makes me wondering and prompts some more research on past trades Needs to be autotraded, all the more so as it looks like it uses generally market orders. So you need to feel comfortable with autotrading Overall I thought this is a good system. This test did little to change my mind
Me parece un sistema muy consistente en los resultados en el tiempo
System Description
Available a complete description of the trading system in the following link:
http://www.tradingsys.org/documentos/VT26_system.pdf
Release Notes:
--------------------------------------------------------
(10/07/2009): The system will not operate on summer vacation until July 24.
(21/08/2009): The system will not operate until August 27.
(02/11/2009): The system will not operate today (Nov., 2)
--------------------------------------------------------
(02/06/2008) New intraday system on the pound (@BP): incorporation scheduled on 03/06/2008. The aim is to further strengthen paragraph currencies.
(05/06/2008): Updated CL to QCL.
(06/07/2008): The system will not operate on summer vacation until July 21.
(30/08/2008): The system will not operate on July 30th and 31th.
- This System Description text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified that this text above is an accurate system description. Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.
