VT26
| WarningAdd to My...
Hypothetical Monthly Results
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | +11.7% | +18.7% | (3.6%) | +4.0% | (1.8%) | +15.3% | +7.4% | +8.7% | +0.2% | |||
| 2009 | +4.9% | (1.4%) | +7.5% | +4.9% | +4.3% | (1.2%) | +0.5% | +4.1% | +4.1% | +5.1% | (3.3%) | (0.8%) |
| 2010 | +3.8% | +1.2% | +0.5% |
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| Instruments | Futures |
|---|---|
| Strategies | Technical analysis, Volatility trading |
| System started | 4/8/2008 (23 months ago) |
| System developer |
Andy G. Contact
(Last login to C2: 3/11/10 11:40) Vendor has created 1 other system. Show |
System creator requested that closed trades data below be delayed by 1 hour.
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
|---|---|---|---|---|---|---|---|---|---|
| 3/11/10 10:50 | BUY | 1 | QCLJ0 | 82.16 | 3/11 11:36 | 81.86 | Low | ($300) | |
| 3/11/10 11:01 | SELL | 5 | BDM0 | 122.40 | 3/11 11:35 | 122.39 | Low | $68 | |
| 3/11/10 10:05 | BUY | 1 | @TFSM0 | 669.20 | 3/11 11:35 | 669.30 | Low | $10 | |
| 3/11/10 10:40 | BUY | 1 | XGH0 | 5931.33 | 3/11 11:35 | 5930 | Low | ($45) | |
| 3/11/10 8:40 | SELL | 1 | QGCJ0 | 1103.63 | 3/11 8:56 | 1103.63 | Low | $0 | |
| 3/11/10 4:44 | BUY | 1 | @EUM0 | 1.3658 | 3/11 7:13 | 1.3658 | Low | ($4) | |
| 3/11/10 6:45 | SELL | 1 | @JYM0 | 0.011047 | 3/11 7:13 | 0.011033 | Low | $175 | |
| 3/9/10 9:40 | BUY | 1 | @TFSH0 | 666.50 | 3/9 11:32 | 669.50 | Low | $300 | |
| 3/9/10 10:03 | BUY | 1 | XGH0 | 5872 | 3/9 11:31 | 5886.50 | n/a | $492 | |
| 3/9/10 10:10 | SELL | 5 | BDM0 | 122.86 | 3/9 11:31 | 122.81 | Low | $339 | |
| 3/9/10 11:10 | SELL | 2 | @TYM0 | 117 2/64 | 3/9 11:31 | 117 | Low | $62 | |
| 3/9/10 8:25 | SELL | 1 | QGCJ0 | 1114.20 | 3/9 8:31 | 1113 | Low | $120 | |
| 3/9/10 5:44 | SELL | 1 | @EUH0 | 1.3577 | 3/9 6:53 | 1.3557 | Low | $250 | |
| 3/9/10 6:10 | SELL | 1 | QCLJ0 | 80.62 | 3/9 6:53 | 80.34 | Low | $280 | |
| 3/8/10 9:10 | BUY | 2 | @EUH0 | 1.3674 | 3/8 11:38 | 1.3630 | Low | ($1,100) |
<< More recent
Less | More
Statistics
Analytics| Trades | 2,293 |
|---|---|
| # Profitable | 1,243 (54.2%) |
| # months tracked | 23 |
| Profitable months | 18 (78.3%) |
| Avg trade duration | 1.6 hours |
| Annual return (compounded) | 57.6% |
| Average win | $494 |
| Average loss | $447 |
| Profit factor | 1.3:1 |
| Max peak-to-valley drawdown (historical) | 10.1% |
| drawdown period | June 16, 2008 to June 25, 2008 |
| Correlation w/ S&P | -0.023 |
| Sharpe ratio | 2.933 |
C2Realism Factor  | 100% |
| Keep after worst-case slippage | 100.0% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 7.3% |
| 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) | 0.10 |
| Average P/L per unit traded | $53.00 |
Reviews
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System 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.
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 was provided by the system developer. Collective2 has not verified it.
