Collective2

Using Tradestation-generated algorithms, VIVALDI first determines historically profitable buy and sell seasonal periods by testing over twenty years or more of historical data; then, combining seasonal, trend-following and swing methods, it enters and exits trades, in some cases exiting quickly on seasonal reversals and others remaining with the trend.

VIVALDI is designed to produce a higher than usual (for a longer term system) percentage of profitable trades, because only when both seasonals and trend are aligned - not to mention the non-correlated trend filter - can a trade be taken. That said, some instruments trade the seasonal signals only without any other permissions, others also trade swing signals that buy dips and sell rallies when permitted by both trend and seasonal algorithms. So there is a complex blend of methods and trade-holding times, with trades lasting from several days to several months.

VIVALDI is designed for those wishing to grow their net worth over a 3-10 year period, so it is an investment rather than a trading vehicle. The goal is to make at least 50% per annum with no more than about 25% drawdowns.

This C2 model account is configured to have started at $100,000 and, as of 2006, the maximum risk per trade is 4% with the typical risk being between 2% and 3% and in some cases less.

VIVALDI is designed to be traded by broker-assist services and has already recruited several which you can acccess on the website at www.cclsys.ca. This is the best way to trade a futures portfolio system: over the longer term and with minimal daily involvement.

C2 SUBSCRIBERS POSITION-SIZING INFORMATION:

For C2 subscribers, here are some basic position-sizing guidelines:

Accounts $100,000 and above trade all signals with recommended position-size.

For accounts under $100,000 and above $75,000 dont trade more than 2 contracts in any one instrument or more than 2 instruments in the same asset class. Cotton, Lumber, HG and Wheat trade using Weekly data and can be counted as the same asset class in this case.

For accounts under $75,000 and above $50,000 consider trading the same as above, but with no more than one contract per position. (3 ED is fine).

Accounts at $50,000 and under: trade single contracts (ED 2 contracts) only, and no more than one position per asset class unless the sector is running hot, i.e. taking a couple of long energy positions when success looks highly probable.

Less than $30,000: trade mini contractcs of the Grains, currencies, index, financials, energies of course, avoid large-swinging instruments like NG, Soy, the Weekly signals. Focus on only a few asset classes at a time (recommended 1 index, 1 energy, 1 financial, 1 currency).


NOTE: RR and Lumber are low-liquidity markets so many will avoid them. RR tends to help the overall equity line of the CORE portfolio which is why it is included.

Any subscriber is welcome to ask any questions about position-sizing by email. Address questions, comments etc. to query@cclsys.ca.

ADDITIONAL REMARKS:

Because roll-overs are counted as separate trades the W/L ratio is inaccurate. Reviewing the trade record can reveal which trades are obviously roll-overs. There is a manually compiled track record at www.cclsys.ca. The historical W/L ratio over 20 years is around 55%.

Please also note that as with many longer term systems (although as explained above some are shorter-term swing trades), the open equity plot favoured here in C2 sometimes provides an incomplete picture. The most important negative values are those that involve actual account losses; this is different from open equity drawdowns. VIVALDI will have open equity drawdowns because in order to get the big moves, you have to be willing to give profitable positions a chance to correct and then resume their longer term trend. This approach required patience and discipline and the open equity plot shown here at C2 gives you a good idea of how patient you have to be to trade this sort of system. Sometimes it works to hold on during a correction, and often it doesnt at which point you feel that the system got it wrong.

What is not shown here on the C2 graph - but is shown on the website at www.cclsys.ca is the closed equity line. Usually, though not always, it shows a far smoother ride and one that more closely represents account balance in terms of actual banked profits or losses. The open equity plot will oscillate far more and with far larger moves than any short term system would permit, but should be looked at in this longer term context.

Also, note how the number of contracts traded rarely exceeds 2 or 3 per position, sometimes larger when subsequent swing trades are added to existing trend positions. (Though ED trades up to 5 per $100,000). Many day-trading systems showing great track records here are making large bets which, in the event of of any large intra-day moves or breakdown in exchange trading functions, expose the account to wipe-out or negative equity. Also, it is not certain due to liquidity if you can get filled trading the number of contracts/shares at the theoretical prices published. This is also something worth considering when evaluating the reality quotient in any system.

The money management settings for this C2 test portfolio are aggressive in order to give the system a workout. Individual traders can easily reduce position-size and also take profits earlier than the system, which will often leave plenty on the table in order to stay in for the larger moves.

There is a 2% risk model on the website which shows only $8,500 in closed equity drawdowns going back to 1990.

I am releasing an Energies Only portfolio this month (Jan 2006) which is configured to trade all four main energy contracts (CL, HO, HU, NG) using the mini contracts. These signals are already included in the current portfolio although it will be a while before they can all be traded using the mini contracts (because HO and HU are not yet available).