VT26 |
What it trades: Futures
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% | +0.9% |
| This system is not currently accepting new subscribers. |
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.
- This overview was provided by the system developer. Collective2 has not verified it.
Recently Closed Trades
DetailsSystem creator requested that closed trades data below be delayed by 1 hour.
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
|---|---|---|---|---|---|---|---|---|---|
| 3/18/10 5:04 | BUY | 1 | @JYM0 | JAPANESE YEN | 0.011127 | 3/18 6:59 | 0.011093 | n/a | ($425) |
| 3/17/10 11:06 | BUY | 1 | XGH0 | DAX INDEX | 6026.50 | 3/17 12:33 | 6022.50 | n/a | ($137) |
| 3/17/10 11:20 | BUY | 1 | @TFSM0 | MINI RUSSELL 2000 | 682 | 3/17 12:31 | 681.40 | n/a | ($60) |
| 3/17/10 5:30 | BUY | 2 | @BPM0 | BRITISH POUND | 1.5260 | 3/17 6:59 | 1.5343 | n/a | $1,042 |
| 3/16/10 10:56 | BUY | 1 | @TFSM0 | MINI RUSSELL 2000 | 673.03 | 3/16 12:32 | 673.70 | Low | $66 |
| 3/16/10 11:46 | BUY | 1 | QCLJ0 | CRUDE OIL | 82.01 | 3/16 12:31 | 81.63 | Low | ($380) |
| 3/16/10 10:56 | BUY | 1 | XGH0 | DAX INDEX | 5952.50 | 3/16 12:31 | 5970.50 | n/a | $619 |
| 3/16/10 8:36 | BUY | 1 | QGCJ0 | GOLD 100 OZ | 1116.20 | 3/16 8:45 | 1115.50 | Low | ($70) |
| 3/16/10 8:42 | BUY | 2 | @BPM0 | BRITISH POUND | 1.5146 | 3/16 8:44 | 1.5139 | Low | ($92) |
| 3/16/10 5:43 | BUY | 1 | @EUM0 | EUROFX | 1.3691 | 3/16 7:34 | 1.3716 | Low | $312 |
| 3/16/10 5:55 | SELL | 1 | @JYM0 | JAPANESE YEN | 0.011052 | 3/16 7:34 | 0.011031 | Low | $262 |
| 3/15/10 11:31 | SELL | 1 | @TFSM0 | MINI RUSSELL 2000 | 666.80 | 3/15 12:37 | 668.20 | Low | ($140) |
| 3/15/10 12:28 | BUY | 1 | XGH0 | DAX INDEX | 5913.83 | 3/15 12:37 | 5904.50 | Low | ($318) |
| 3/15/10 11:14 | SELL | 1 | QGCJ0 | GOLD 100 OZ | 1102.80 | 3/15 12:36 | 1103.10 | Low | ($29) |
| 3/15/10 6:25 | SELL | 1 | QCLJ0 | CRUDE OIL | 80.79 | 3/15 8:58 | 80.76 | Low | $30 |
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Statistics
Analytics| System has been audited since | 4/8/2008 (24 months ago) |
|---|---|
| Trades | 2,318 |
| # Profitable | 1,253 (54.1%) |
| # months tracked | 23 |
| Profitable months | 18 (78.3%) |
| Avg trade duration | 1.6 hours |
| Annual return (compounded) | 57.4% |
| Average win | $493 |
| Average loss | $443 |
| 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 | -0.022 |
| Sharpe ratio | 2.941 |
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 | $52.62 |
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.
