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VT26
(31431635)

Created by: AndrsGarca2 AndrsGarca2
Started: 04/2008
Futures
Last trade: 3,134 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $270.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

17.2%

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(12.7%)
Max Drawdown
3720
Num Trades
51.5%
Win Trades
1.2 : 1
Profit Factor
21.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008                     +9.5%+15.8%(6.5%)+3.1%(3.5%)+15.7%+7.0%+8.3%(0.9%)+56.8%
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%)+16.5%
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%)(11.5%)
2011(5.1%)+4.1%(3.9%)(1.9%)  -    -    -    -    -    -    -    -  (6.9%)
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -  +0.2%  -  +0.3%(0.7%)+0.1%(0.7%)(0.5%)(1.6%)  -  (0.5%)(0.8%)(4%)
2015(2.3%)(0.4%)(1.1%)+0.4%(0.2%)+0.7%(0.6%)+0.9%  -  (0.5%)(1.2%)+0.8%(3.4%)
2016+0.1%+0.2%+1.1%(0.2%)(0.4%)(0.2%)+0.2%(0.1%)+0.2%(0.9%)  -    -  (0.1%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -        0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by one hour.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/18/11 12:45 @TYM1 US T-NOTE 10 YR LONG 2 120 9/64 4/18 13:16 120 10/64 0.05%
Trade id #59912359
Max drawdown($125)
Time4/18/11 12:52
Quant open2
Worst price120 5/64
Drawdown as % of equity-0.05%
$14
Includes Typical Broker Commissions trade costs of $16.00
4/18/11 10:06 @TFSM1 Emini Russell 2000 SHORT 1 816.60 4/18 11:51 817.20 0.17%
Trade id #59904151
Max drawdown($400)
Time4/18/11 10:21
Quant open-1
Worst price820.60
Drawdown as % of equity-0.17%
($68)
Includes Typical Broker Commissions trade costs of $8.00
4/18/11 10:02 XGM1 DAX INDEX SHORT 1 7025.00 4/18 11:51 7055.50 0.45%
Trade id #59903784
Max drawdown($1,084)
Time4/18/11 11:51
Quant open0
Worst price7055.50
Drawdown as % of equity-0.45%
($840)
Includes Typical Broker Commissions trade costs of $8.00
4/18/11 10:47 BDM1 EUREX BUND LONG 5 122.24 4/18 11:51 122.35 0.1%
Trade id #59906587
Max drawdown($250)
Time4/18/11 10:49
Quant open5
Worst price122.19
Drawdown as % of equity-0.10%
$560
Includes Typical Broker Commissions trade costs of $40.00
4/18/11 9:38 QGCM1 Gold 100 oz LONG 1 1497.8 4/18 10:00 1493.1 0.26%
Trade id #59900801
Max drawdown($630)
Time4/18/11 9:58
Quant open1
Worst price1491.5
Drawdown as % of equity-0.26%
($478)
Includes Typical Broker Commissions trade costs of $8.00
4/18/11 9:10 QGCM1 Gold 100 oz LONG 1 1496.7 4/18 9:20 1491.3 0.23%
Trade id #59897415
Max drawdown($560)
Time4/18/11 9:16
Quant open1
Worst price1491.1
Drawdown as % of equity-0.23%
($548)
Includes Typical Broker Commissions trade costs of $8.00
4/18/11 8:56 @BPM1 BRITISH POUND SHORT 1 1.6233 4/18 9:10 1.6276 0.11%
Trade id #59896307
Max drawdown($275)
Time4/18/11 9:10
Quant open-1
Worst price1.6277
Drawdown as % of equity-0.11%
($277)
Includes Typical Broker Commissions trade costs of $8.00
4/18/11 7:02 QCLK1 CRUDE OIL SHORT 1 108.12 4/18 8:22 108.08 0.13%
Trade id #59890072
Max drawdown($320)
Time4/18/11 7:17
Quant open-1
Worst price108.44
Drawdown as % of equity-0.13%
$32
Includes Typical Broker Commissions trade costs of $8.00
4/18/11 6:55 @EUM1 EUROFX SHORT 1 1.42810 4/18 8:22 1.42660 0.04%
Trade id #59889814
Max drawdown($100)
Time4/18/11 7:24
Quant open-1
Worst price1.42890
Drawdown as % of equity-0.04%
$180
Includes Typical Broker Commissions trade costs of $8.00
4/18/11 6:40 XGM1 DAX INDEX SHORT 1 7114.00 4/18 7:01 7114.50 0.03%
Trade id #59889402
Max drawdown($75)
Time4/18/11 7:01
Quant open-1
Worst price7117.00
Drawdown as % of equity-0.03%
($22)
Includes Typical Broker Commissions trade costs of $8.00
4/15/11 11:30 @TFSM1 Emini Russell 2000 LONG 2 830.00 4/15 11:52 829.50 0.07%
Trade id #59849729
Max drawdown($160)
Time4/15/11 11:45
Quant open2
Worst price829.20
Drawdown as % of equity-0.07%
($116)
Includes Typical Broker Commissions trade costs of $16.00
4/15/11 11:04 @EMDM1 Mini Midcap 400 LONG 1 977.00 4/15 11:52 979.10 0.05%
Trade id #59848290
Max drawdown($130)
Time4/15/11 11:15
Quant open1
Worst price975.70
Drawdown as % of equity-0.05%
$202
Includes Typical Broker Commissions trade costs of $8.00
4/15/11 10:06 QGCM1 Gold 100 oz LONG 1 1481.4 4/15 11:52 1486.2 0.06%
Trade id #59844923
Max drawdown($150)
Time4/15/11 10:09
Quant open1
Worst price1479.9
Drawdown as % of equity-0.06%
$472
Includes Typical Broker Commissions trade costs of $8.00
4/15/11 10:00 XGM1 DAX INDEX LONG 1 7207.00 4/15 11:52 7193.00 0.32%
Trade id #59844261
Max drawdown($787)
Time4/15/11 10:33
Quant open1
Worst price7175.50
Drawdown as % of equity-0.32%
($390)
Includes Typical Broker Commissions trade costs of $8.00
4/15/11 10:29 BDM1 EUREX BUND LONG 5 121.19 4/15 11:51 121.17 0.29%
Trade id #59846186
Max drawdown($700)
Time4/15/11 11:02
Quant open5
Worst price121.05
Drawdown as % of equity-0.29%
($149)
Includes Typical Broker Commissions trade costs of $40.00
4/15/11 11:31 @EUM1 EUROFX LONG 1 1.44370 4/15 11:51 1.44190 0.09%
Trade id #59850019
Max drawdown($225)
Time4/15/11 11:44
Quant open1
Worst price1.44190
Drawdown as % of equity-0.09%
($233)
Includes Typical Broker Commissions trade costs of $8.00
4/15/11 9:43 @TFSM1 Emini Russell 2000 SHORT 1 823.00 4/15 11:20 827.20 0.2%
Trade id #59842980
Max drawdown($480)
Time4/15/11 10:06
Quant open-1
Worst price827.80
Drawdown as % of equity-0.20%
($428)
Includes Typical Broker Commissions trade costs of $8.00
4/15/11 6:21 @BPM1 BRITISH POUND LONG 1 1.6357 4/15 8:50 1.6323 0.11%
Trade id #59836672
Max drawdown($256)
Time4/15/11 8:43
Quant open1
Worst price1.6316
Drawdown as % of equity-0.11%
($221)
Includes Typical Broker Commissions trade costs of $8.00
4/15/11 5:23 QCLK1 CRUDE OIL SHORT 1 107.52 4/15 6:52 108.20 0.28%
Trade id #59835478
Max drawdown($680)
Time4/15/11 6:52
Quant open0
Worst price108.20
Drawdown as % of equity-0.28%
($688)
Includes Typical Broker Commissions trade costs of $8.00
4/14/11 11:44 @EMDM1 Mini Midcap 400 SHORT 1 967.80 4/14 11:52 968.50 0.05%
Trade id #59805913
Max drawdown($130)
Time4/14/11 11:49
Quant open-1
Worst price969.10
Drawdown as % of equity-0.05%
($78)
Includes Typical Broker Commissions trade costs of $8.00
4/14/11 11:43 XGM1 DAX INDEX SHORT 1 7156.00 4/14 11:51 7161.50 0.08%
Trade id #59805852
Max drawdown($199)
Time4/14/11 11:51
Quant open0
Worst price7161.50
Drawdown as % of equity-0.08%
($158)
Includes Typical Broker Commissions trade costs of $8.00
4/14/11 10:30 @BPM1 BRITISH POUND LONG 1 1.6350 4/14 11:51 1.6326 0.08%
Trade id #59801637
Max drawdown($193)
Time4/14/11 11:50
Quant open1
Worst price1.6319
Drawdown as % of equity-0.08%
($158)
Includes Typical Broker Commissions trade costs of $8.00
4/14/11 9:49 MTJ1 CAC40 SHORT 1 3955.00 4/14 11:51 3965.50 0.1%
Trade id #59798218
Max drawdown($255)
Time4/14/11 10:54
Quant open-1
Worst price3980.50
Drawdown as % of equity-0.10%
($123)
Includes Typical Broker Commissions trade costs of $8.00
4/14/11 9:48 QGCM1 Gold 100 oz LONG 1 1465.0 4/14 11:51 1468.8 0.03%
Trade id #59798105
Max drawdown($70)
Time4/14/11 9:50
Quant open1
Worst price1464.3
Drawdown as % of equity-0.03%
$372
Includes Typical Broker Commissions trade costs of $8.00
4/14/11 10:51 BDM1 EUREX BUND SHORT 5 120.81 4/14 11:50 120.68 0%
Trade id #59803031
Max drawdown$0
Time4/14/11 10:53
Quant open-5
Worst price120.81
Drawdown as % of equity0.00%
$669
Includes Typical Broker Commissions trade costs of $40.00
4/14/11 10:37 XGM1 DAX INDEX LONG 1 7177.00 4/14 11:43 7156.50 0.3%
Trade id #59802044
Max drawdown($741)
Time4/14/11 11:43
Quant open0
Worst price7156.50
Drawdown as % of equity-0.30%
($567)
Includes Typical Broker Commissions trade costs of $8.00
4/14/11 8:24 QCLK1 CRUDE OIL SHORT 1 106.08 4/14 8:55 106.18 0.05%
Trade id #59791752
Max drawdown($110)
Time4/14/11 8:55
Quant open-1
Worst price106.19
Drawdown as % of equity-0.05%
($108)
Includes Typical Broker Commissions trade costs of $8.00
4/14/11 5:35 BDM1 EUREX BUND LONG 2 120.87 4/14 6:11 121.04 0.01%
Trade id #59787885
Max drawdown($20)
Time4/14/11 5:37
Quant open2
Worst price120.86
Drawdown as % of equity-0.01%
$355
Includes Typical Broker Commissions trade costs of $16.00
4/14/11 5:35 XGM1 DAX INDEX SHORT 1 7154.00 4/14 6:10 7138.50 n/a $415
Includes Typical Broker Commissions trade costs of $8.00
4/14/11 3:45 XGM1 DAX INDEX LONG 1 7195.00 4/14 5:35 7155.50 0.59%
Trade id #59782849
Max drawdown($1,428)
Time4/14/11 5:35
Quant open0
Worst price7155.50
Drawdown as % of equity-0.59%
($1,085)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    4/8/2008
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4229.04
  • Age
    141 months ago
  • What it trades
    Futures
  • # Trades
    3720
  • # Profitable
    1917
  • % Profitable
    51.50%
  • Avg trade duration
    1.5 hours
  • Max peak-to-valley drawdown
    12.69%
  • drawdown period
    Aug 23, 2010 - Nov 12, 2010
  • Annual return (compounded)
    7.4%
  • Avg win
    $411.46
  • Avg loss
    $365.61
  • Model Account Values (Raw)
  • Cash
    $229,398
  • Margin Used
    $0
  • Buying Power
    $229,398
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.13
  • Sortino Ratio
    0.21
  • Calmar Ratio
    0.109
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.03850
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    116.88%
  • Return Percent SP500 (cumu) during strategy life
    128.51%
  • Return Statistics
  • Ann Return (w trading costs)
    17.2%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.80%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    0.43%
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    4.88%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    9652.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $411
  • Avg Loss
    $366
  • Sum Trade PL (losers)
    $659,189.000
  • Sum Trade PL (winners)
    $788,764.000
  • # Winners
    1917
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    32
  • Age
  • Num Months (Age strategy)
    140
  • Win / Loss
  • # Losers
    1803
  • % Winners
    51.5%
  • Frequency
  • Avg Position Time (mins)
    91.87
  • Avg Position Time (hrs)
    1.53
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    3124
  • Regression
  • Alpha
    0.00
  • Beta
    -0.02
  • Treynor Index
    -0.23
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -0.53
  • MAE:Equity, average, all trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -595.767
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    48.60
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    38.18
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.479
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.372
  • Hold-and-Hope Ratio
    -0.002
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.54900
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.07300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    81
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

VT26 is volatility breakout 100% automated system with a conservative Philosohy. Its main priority to keep the drawdown on low levels with steady profit increase.

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.


Summary Statistics

Strategy began
2008-04-08
Suggested Minimum Capital
$100,000
# Trades
3720
# Profitable
1917
% Profitable
51.5%
Correlation S&P500
-0.038
Sharpe Ratio
0.13
Sortino Ratio
0.21
Beta
-0.02
Alpha
0.00

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.