Collective2 Collective2
Featured Strategy Iberia Capital Strategy Followed by live capital $29,300 Hypothetical

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VT26

By AndrsGarca2

Futures · Started Apr 2008

hypothetical · Annual Return (Compounded)
17.2%
Max Drawdown
12.7%
Trades
3720
Win Trades
51.5%
Profit Factor
1.20
Win Months
13.6%

About this strategy

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.


Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20089.515.8-6.53.1-3.515.77.08.3-0.956.5
20094.3-3.27.14.33.6-3.6-0.33.33.75.0-5.6-2.516.3
20103.50.4-0.6-2.83.9-1.14.6-0.8-5.5-8.9-0.7-3.5-11.7
2011-5.14.1-4.0-2.00.00.00.00.00.00.00.00.0-7.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.20.00.3-0.70.1-0.7-0.5-1.6-0.0-0.5-0.8-4.1
2015-2.3-0.4-1.10.4-0.20.7-0.60.90.0-0.5-1.20.8-3.5
20160.10.21.1-0.2-0.4-0.20.2-0.10.2-0.90.00.0-0.1
20170.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began4/8/2008
Suggested Minimum Capital$100,000
Age224 months
What it tradesFutures
# Trades3720
# Profitable1917
% Profitable51.5%
Avg trade duration1.5 hours
Max peak-to-valley drawdown12.7%
drawdown periodAug 23, 2010 - Nov 12, 2010
Annual return (compounded)4.6%
Avg win$411
Avg loss$366

Ratios

W:L ratio1.20
Sharpe Ratio-0.01
Sortino Ratio-0.01
Calmar Ratio0.09

CORRELATION STATISTICS

Correlation to SP500-0.03
Return Percent SP500 (cumu) during strategy life453.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)116.9%

Return Statistics

Ann Return (w trading costs)17.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)4.6%

Slump

Current Slump as Pcnt Equity43.5%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss4.9%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated96.5%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$366
Avg Win$411
# Winners1917
Sum Trade PL (losers)$659,189
Sum Trade PL (winners)$788,764
Num Months Winners32
# Losers1803
% Winners51.5%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table222

Frequency

Avg Position Time (mins)91.87
Avg Position Time (hrs)1.53
Avg Trade Length0.10
Last Trade Ago5619

Regression

Alpha0
Beta-0.01
Treynor Index-0.01

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-595.77
MAE:PL (avg, all trades)-0.52
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats48.60
MAE:PL - Winning Trades - this strat Percentile of All Strats38.18
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.48
Avg(MAE) / Avg(PL) - Losing trades-1.37
Hold-and-Hope Ratio-0.00

RATIO STATISTICS

a (intercept, estimate of alpha)0.54
VAR (95 Confidence Intrvl)0.07

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)81
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 3033 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
TY M1long2Apr 18, 2011Apr 18, 2011$14
TFS M1short1Apr 18, 2011Apr 18, 2011($68)
XG M1short1Apr 18, 2011Apr 18, 2011($840)
BD M1long5Apr 18, 2011Apr 18, 2011$560
QGC M1long1Apr 18, 2011Apr 18, 2011($478)
QGC M1long1Apr 18, 2011Apr 18, 2011($548)
BP M1short1Apr 18, 2011Apr 18, 2011($277)
QCL K1short1Apr 18, 2011Apr 18, 2011$32
EU M1short1Apr 18, 2011Apr 18, 2011$180
XG M1short1Apr 18, 2011Apr 18, 2011($22)
TFS M1long2Apr 15, 2011Apr 15, 2011($116)
EMD M1long1Apr 15, 2011Apr 15, 2011$202
QGC M1long1Apr 15, 2011Apr 15, 2011$472
XG M1long1Apr 15, 2011Apr 15, 2011($390)
BD M1long5Apr 15, 2011Apr 15, 2011($149)
EU M1long1Apr 15, 2011Apr 15, 2011($233)
TFS M1short1Apr 15, 2011Apr 15, 2011($428)
BP M1long1Apr 15, 2011Apr 15, 2011($221)
QCL K1short1Apr 15, 2011Apr 15, 2011($688)
EMD M1short1Apr 14, 2011Apr 14, 2011($78)
XG M1short1Apr 14, 2011Apr 14, 2011($158)
BP M1long1Apr 14, 2011Apr 14, 2011($158)
MT J1short1Apr 14, 2011Apr 14, 2011($123)
QGC M1long1Apr 14, 2011Apr 14, 2011$372
BD M1short5Apr 14, 2011Apr 14, 2011$669
XG M1long1Apr 14, 2011Apr 14, 2011($567)
QCL K1short1Apr 14, 2011Apr 14, 2011($108)
BD M1long2Apr 14, 2011Apr 14, 2011$355
XG M1short1Apr 14, 2011Apr 14, 2011$415
JY M1long1Apr 14, 2011Apr 14, 2011$355

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.