To use chat, please login.
Back to contacts

Volatility Trader Rel.3c - LIVE-A (By T. Buitendyk )

Gain : +53.77%
Drawdown 23.06%
Pips: 12781.0
Trades 1400
Won:
Lost:
Type: Real
Leverage: 1:100
Trading: Automated

Volatility Trader Rel.3c - LIVE-A Discussion

T. Buitendyk (tbuitendyk)
Apr 28 2010 at 00:29
141 posts
Logging Update:

We have just completed 8 full weeks of trading with Volatility Trader on a live $30k account. Below are the 'per week details' using the new logging format. The log will no longer be released on a near-daily basis, as things are getting too busy with the growing number of managed accounts and related activities related to our service. Note that we will not be including open floating trades in the weekly trading statistics but instead will simply report the open floating pips and number of trades in order to maintain full disclosure of VT performance.

System Update:

We've just gone through an interesting few days with cable which have precipitated some design effort over here at VTSS. Two interesting new features are in the works that will further increase the safety and return/risk factor of the Volatility Trader. The first one, which will be released as VT Rel. 3.2a, will use a hedging factor differential analysis technique in real-time to increase the probability of hedging under certain conditions. We expect that this addition to the trading engine will reduce the maximum risk potential when the system is betting heavily on one side. The second addition planned for Rel. 3.3a involves the use of 'pseudo master' trades which will enhance the return/risk factor on some of the signals.


******************************************************************************************
LIVE ACCOUNT TRADING LOG -- This account is the SIGNALS source for the FULLY MANAGED ACCOUNTS we provide
******************************************************************************************

******************************************************************************************
********* SEND EMAIL TO [email protected] TO OPEN AN ACCOUNT -- MINIMUM $5,000 *********
******************************************************************************************

SUMMARY:

5529.6 pips in 8 weeks --- 691.2 pips / week --- 138.2 pips / trading day

DETAIL:

+ 905.6 pips --- week 1 - mar 03-09 (26 trades closed)
+ 425.3 pips --- week 2 - mar 10-16 (26 trades closed)
+ 400.0 pips --- week 3 - mar 17-23 (39 trades closed)
+ 570.1 pips --- week 4 - mar 24-30 (36 trades closed)
+ 1101.2 pips - week 5 - mar 31-06 (23 trades closed)
+ 828.3 pips --- week 6 - apr 07-13 (29 trades closed)
+ 663.0 pips --- week 7 - apr 14-20 (36 trades closed)
+ 636.1 pips --- week 8 - apr 21-27 (24 trades closed)

2010.04.27-18:10 MDT: OPEN FLOATING TRADES = +142.3 (10 open trades)
Gear on the left...
kishorejoga
Apr 28 2010 at 13:43
313 posts
SOme times your open trades are exceeding more than 13 at a time
for example at present
in 3k mamaneged account each trade 0.05 ,13 trades dont u think too much risk if trades goes aganst you
and stoploss is bigger
suppose u have 7 sell GBP /USD and 3 hedge trades same currency
dont u think it is risky on small accounts
please explain to me
pls
T. Buitendyk (tbuitendyk)
Apr 28 2010 at 15:03
141 posts

kishorejoga posted:
    SOme times your open trades are exceeding more than 13 at a time
for example at present
in 3k mamaneged account each trade 0.05 ,13 trades dont u think too much risk if trades goes aganst you
and stoploss is bigger
suppose u have 7 sell GBP /USD and 3 hedge trades same currency
dont u think it is risky on small accounts
please explain to me
pls

You are correct, and this is why we do not work with accounts under $5,000. We believe that $5,000 is safe at the 1:1 ratio base order sizing rule, and we believe that the worst-case-scenario we would see when trading any size account over $5,000 at the 1:1 MM if everything goes against open positions is around 25% or so. There is no possibility of immediate account wipe-out at 1:1 order sizing, but there is always a chance that the account could take a hit, with any size account.

We believe that up to 1:2 can be feasible under certain conditions, but when taking such huge returns the inherent risk needs to be understood. The demo account that we run at 1:4 started at $5,000 middle of March around six weeks ago and is currently just under $14,000 (+180%), and we have not seen it come close to MC.

Note also that we are working on Release 3.2a which will use a hedging factor differential analysis method to take active steps against large unhedged positions.
Gear on the left...
T. Buitendyk (tbuitendyk)
May 01 2010 at 17:44
141 posts
Just an update on the status of VT... Late last night Release 3.2a was completed. We are currently waiting for an improved historical data set on GbpUsd to compare performance results, but the preliminary analysis of the hedging factor differential output looks promising. It is clear that this version's enhancements are able to keep the risk lower while trading by creating a tendency for more balanced hedging while trading.

Probably the most important point of the release note quoted below is 'The net effect of all of this behaviour is that the system will be less prone to extreme amounts of unhedgedness and also that when things are getting unhedged, the additional DDC positions that the system takes will be a) fewer in number, b) less risky, and c) more profitable.'

Just for interest's sake, here's a little new release blurb from the latest MQ4 that is now at 7,543 lines:


// RELEASE 3.2A -- April 29, 2010
//
// This release features a 'Hedging Factor Differential Threshold' implementation which controls over-exposure to adverse market moves by monitoring
// the current hedging factor and comparing it to a given user-specified threshold. For example, when the current BaseOrderSize is at 40 microlots
// and the HFDT is set to 62.5%, any action that 'un-hedges' the system more than $25/pip (i.e., OrderSize * HFDT, interpreted simply as 'dollars /
// pip'), will cause a system-wide transition to 'Hedge Protect' mode which means the following functional changes to the engine:
//
// a) No normal, master, or contrarian positions will be opened at all which further 'un hedge' the system.
// b) All position state '2' tickets (i.e., pending clones) that will potentially open positions further exacerbating the unhedgedness of the system,
// that is, those which are pending in the direction of the current system sentiment, will have their entry price modified to x% of the current entry
// price in terms of distance to the clone's entry price from the master's entry price.
// c) All position state '2' tickets modified as per b above will be recoded as ticket type (position state) '4'.
//
// Then at a later point in time when the system becomes adequately re-hedged, the Hedge Protect mode will be shut off and the changes as specified
// in a) through c) will be reversed. (Note that change a) is simply a dynamically tested condition that will simply allow again those position types.)
//
// With respect to x% in b), x is determined from a new factor (defaulting to 100%) which is read from that ticket's VLT entry.
//
// The net effect of all of this behaviour is that the system will be less prone to extreme amounts of unhedgedness and also that when things are getting
// unhedged, the additional DDC positions that the system takes will be a) fewer in number, b) less risky, and c) more profitable.
//
// NOTE: Also added live global variable load / unload feature in this release.
Gear on the left...
T. Buitendyk (tbuitendyk)
May 04 2010 at 23:28
141 posts
System Update:

Release 3.2a has been completed and implemented, although the new functionality is currently turned-off until it can be modeled properly... More importantly, Rel. 3.3a is commencing which will use 'pseudo master' trades to most likely significantly enhance the return/risk factor on master/clone ('DDC type') orders. Also of note is that a set of the weaker performing signals have been retired from the GBPUSD set and the strongest ones are being remodeled to be even better.

This past week was the hardest one experienced since this logging was commenced, due mostly to a trade that <just barely> went against us on April 30... (The stop was 15 pips too tight and it stopped out 638 pips.) Had VT not taken that hit it would have had a very good week, probably well over 1000 pips.) That being said, the system at least held its ground, even though the lack of performance has caused a reduction in the average daily rate of VT to 'only' about 1.2% or so when the current negative float is factored in.


***************************************************************************
LIVE ACCOUNT TRADING LOG -- SIGNALS source for the FULLY MANAGED ACCOUNTS
SEND EMAIL TO [email protected] TO OPEN AN ACCOUNT -- MINIMUM $5,000
***************************************************************************

SUMMARY:

5777.9 pips in 9 weeks --- 642.0 pips / week --- 128.4 pips / trading day

(Approximately 1.28% daily compounding rate.)

DETAIL:

+ 905.6 pips --- week 1 - mar 03-09 (26 trades closed)
+ 425.3 pips --- week 2 - mar 10-16 (26 trades closed)
+ 400.0 pips --- week 3 - mar 17-23 (39 trades closed)
+ 570.1 pips --- week 4 - mar 24-30 (36 trades closed)
+ 1101.2 pips - week 5 - mar 31-06 (23 trades closed)
+ 828.3 pips --- week 6 - apr 07-13 (29 trades closed)
+ 663.0 pips --- week 7 - apr 14-20 (36 trades closed)
+ 636.1 pips --- week 8 - apr 21-27 (24 trades closed)
+ 248.3 pips --- week 9 - apr 28-04 (33 trades closed)

2010.05.04-17:22 MDT: OPEN FLOATING TRADES = -448.3 (10 open trades)
Gear on the left...
T. Buitendyk (tbuitendyk)
May 06 2010 at 20:52
141 posts
2010.05.06 - 14:39 MDT Update:

As the system was somewhat weighted to the short side and there was some extreme volatility on cable about two hours ago, a number of short positions were closed manually in profit.

This of course leads to the idea behind the next upgrade...

The Hedge Protection Mode feature, which has been available as of the 3.2a version, will be tweaked for the next version 3.31. This 'tweak' will modify the Hedge Protection Mode slightly to allow it to close draw down clone positions that are in the money, further reducing exposure on a single side.

Also a note on the updated VT revisioning nomenclature:

- 'Version' now, not 'Release', as technically we are not 'releasing' the engine.
- Major version number ('n' in n.00) is for just that.
- First minor version number (0.n0) is for new feature additions.
- Second minor version number (0.0n) is for existing feature tweaks.
- Revision letters ('x' in 0.00x) are for bug fixes... We don't expect too many of those! 😀

Gear on the left...
T. Buitendyk (tbuitendyk)
May 07 2010 at 22:53
141 posts
Quick end of calendar week update:

Current average pips per day, over the past 9.6 weeks since March 2/10 (that is, 48 trading days), is 138 pips / day.

At our recommended most safe money management setting of 1:1 ratio base order sizing this is an approximate 1.38% daily compounded interest rate, before account management fees.

This week was very interesting, with some very large swings due to the turbulence on the markets, the Greece issue, and the UK election. The US NFP did not seem to move the currency pair much. Due to the large and rapid price movements I helped the system along by closing out a number of trades in profit on Thursday.

The VT system ended the first week of May up 11.2%.
Gear on the left...
T. Buitendyk (tbuitendyk)
May 12 2010 at 00:18
141 posts
System Update:

Talk about snatching defeat from the jaws of victory. Wow, that was a painful past few days... 😲

The good news is that Version 3.30B has been completed and implemented, and the system has just gone live as of yesterday with its first 'pseudo master' type signal. The bad news is that signal ID VL #19 got out of sync in the chaos last week and the new pseudo master VL #18, based on the #19 market detection characteristics, is also potentially out of sync. So while the new signal will work well eventually, there may be continued pain (just like today) where we take more short-term losses while the signal resynchonizes to the market.

Version 3.40 is under development, which when implemented will be a big relief, as the system will do 'smart capturing' of profitable DDC clone positions into the bank while reducing 'unhedgedness'

***************************************************************************
LIVE ACCOUNT TRADING LOG -- SIGNALS source for the FULLY MANAGED ACCOUNTS
SEND EMAIL TO [email protected] TO OPEN AN ACCOUNT -- MINIMUM $5,000
***************************************************************************

SUMMARY:

6265.6 pips in 10 weeks --- 626.6 pips / week --- 125.3 pips / trading day

(Approximately 1.25% daily compounding rate.)

DETAIL:

+ 905.6 pips --- week 1 - mar 03-09 (26 trades closed)
+ 425.3 pips --- week 2 - mar 10-16 (26 trades closed)
+ 400.0 pips --- week 3 - mar 17-23 (39 trades closed)
+ 570.1 pips --- week 4 - mar 24-30 (36 trades closed)
+ 1101.2 pips - week 5 - mar 31-06 (23 trades closed)
+ 828.3 pips --- week 6 - apr 07-13 (29 trades closed)
+ 663.0 pips --- week 7 - apr 14-20 (36 trades closed)
+ 636.1 pips --- week 8 - apr 21-27 (24 trades closed)
+ 248.3 pips --- week 9 - apr 28-04 (33 trades closed)
+ 487.7 pips --- week 10 - may 5-11 (approx. 108 trades closed)

2010.05.11-18:02 MDT: OPEN FLOATING TRADES = -28.5 pips (18 open trades)
Gear on the left...
kishorejoga
May 17 2010 at 12:56
313 posts
HI
AMong all traders in this forum u r the only one knows waht ur doing
T. Buitendyk (tbuitendyk)
May 18 2010 at 18:00
141 posts
hmm... that's probably not true but thanks for the compliment anyway... 😄
Gear on the left...
pc8multifx (pc8multifx)
May 18 2010 at 18:07
879 posts
T. Buitendyk (tbuitendyk)
May 19 2010 at 04:32
141 posts
System Update:

Version 3.41a has been running in production for a few days now, and is operating very well. Additionally, the core set of 7 GBPUSD signals have been supplemented with an additional 4 new signals, some of which have already fired and provided good returns into our client accounts. We are also modeling new set-ups using both Hedge Protect Mode 1 and Hedging Protection Mode 2, both of which have been shown to increase profits while reducing draw down.

There have been a number of DDC clone positions closed manually over the past week in profit in order to provide safety to client accounts while the system gets back into full synchronization to the market. At this point it appears that the manual intervention stage is over and we are anticipating that going forward we are entering again a period of little to no intervention.

With respect to the Asian pairs, the AUDUSD cross has lost net 460 pips since implementing the Asian set at the beginning of March. In the same period the other Asian cross, USDJPY, has gained net 1060 pips. With the risk settings in use for the first month (which were too low), the net earnings on the Asian pairs comes out to $2,300 into the $45K 'LIVE-A' account, instead of the $3,600 which would have been earned in the absence of the AUDUSD pair. For this reason, and because the AUDUSD performance dropped significantly just today closing a relatively large bad trade, the AUDUSD cross has been retired for now. (We may revisit the AUDUSD currency pair after additional modeling.) That being said, as the USDJPY cross has been doing well, it is being left in place with no changes.

On a more exciting note, just this evening we experienced a 'forced test' of our redundancy procedures and are happy to announce that the procedure and signals system passed with flying colours. There was a full utility power failure for about 1.5 hours at our main facility which houses the master system, but while still on battery back-up power we were able to successfully transfer control of the open trades to our secondary facility, where a dedicated system which was monitoring the engine in real time was able to take full control of the synchronized signals and open trades without missing a beat. (This is why this weekly update is a few hours late!)


***************************************************************************
LIVE ACCOUNT TRADING LOG -- SIGNALS source for the FULLY MANAGED ACCOUNTS
SEND EMAIL TO [email protected] TO OPEN AN ACCOUNT -- MINIMUM $5,000
***************************************************************************

SUMMARY:

6951.9 pips in 11 weeks --- 632.0 pips / week --- 126.4 pips / trading day

(Approximately 1.26% daily compounding rate.)

DETAIL:

+ 905.6 pips --- week 1 - mar 03-09 (26 trades closed)
+ 425.3 pips --- week 2 - mar 10-16 (26 trades closed)
+ 400.0 pips --- week 3 - mar 17-23 (39 trades closed)
+ 570.1 pips --- week 4 - mar 24-30 (36 trades closed)
+ 1101.2 pips - week 5 - mar 31-06 (23 trades closed)
+ 828.3 pips --- week 6 - apr 07-13 (29 trades closed)
+ 663.0 pips --- week 7 - apr 14-20 (36 trades closed)
+ 636.1 pips --- week 8 - apr 21-27 (24 trades closed)
+ 248.3 pips --- week 9 - apr 28-04 (33 trades closed)
+ 487.7 pips --- week 10 - may 5-11 (approx. 108 trades closed)
+ 686.3 pips --- week 11 - may 12-18 (73 trades closed)

2010.05.18-21:24 MDT: OPEN FLOATING TRADES = +58.0 pips (2 open trades)
Gear on the left...
kishorejoga
May 23 2010 at 13:08
313 posts
HI
Do you use any other major broker like Alapri UK
for managed account
Because I dont belive in JADE fx it is too new broker
If you ar with Alapari pls let me know
I will give my account for managed
Thanks
T. Buitendyk (tbuitendyk)
May 23 2010 at 21:17
141 posts
Hi Kishorejoga,

I'll pm you on this.

thx, t.
Gear on the left...
T. Buitendyk (tbuitendyk)
May 25 2010 at 01:56
141 posts
###################
VOLATILITY TRADER UPDATE
###################


ENGINE UPDATE

Our Volatility Trader engine is now at version 3.50a. This new version supports a number of important enhancements that will make the trades even more accurate and profitable. Besides operations-related features that have to do with training the engine, the most notable new trading features are:

a) DDC Clone Take Profit levels -- 'clone' positions that are opened by a signal while it is still valid now support custom-modeled take-profit (or limit order) points. This allows the signal to earn into the account even though the signal may eventually get invalidated by unforeseen market conditions.

b) DDC Clone Recycling -- We're doing our part for the environment... 😄 Seriously though, this feature allows the system to selectively re-open certain DDC clone positions while the associated signal is still valid.


SIGNALS UPDATE

Due mostly to the market chaos of May, all of the VTSS signals have been remodeled from scratch over the past 500 CPU hours. (For all the non-computer geeks out there, that's 9 CPU cores running for around 58.5 hours each on average since Friday May 21.) The resulting signals set performs in backtesting unlike anything that has been seen to-date:

a) Number of trades in 3 months and 3 weeks (February 1 to May 21) = 320
b) Percentage of winning trades = 91.88%
c) Relative size of WINS:LOSSES = 1.3989 (average win:loss with 0.05 sizing non-compounding = +52.81:-37.75)
d) Average consecutive WINS:LOSSES = 33:3
e) Profit factor: 15.82 (!)

(Yes, the PF is 15.82. We've never seen anything like this before. My theory is that the new features are giving a synergistic effect to the modeling process, allowing it to create trading dynamics that are extremely well tuned to the market input signals.)


SERVICE UPDATE

The new engine and signals are already activated at minimum sizing on one of our own accounts. As soon as we have confirmed sufficient market synchronization we will be activating the new signals onto all client accounts. We expect to see some POSITIVE changes with the service going forward. (VTSS has been grossing around 20% per month with normal money management, but if the new signals perform anything like they look they will, then accounts running at 1:1.5 or 1:2 sizing could see phenomenal growth, while ultra safe sizing of 1:1 could potentially yield well over twice the past monthly rate.)

To give an idea of what kind of growth potential these signals have, even when traded at 1:1 standard safe money management:

1:1 backtesting result from February 1/10 to May 21/10:

Start balance: $50,000
End balance: $716,972

(Of course this is only backtested confirmation of the current modeling. That being said, we have seen good correlation between backtested signals sets and actual market performance in the past. I won't even bother giving the result of running 1:2 sizing but you can imagine that the backtesting results are extreme, to say the least...)


ACCOUNTS

We have a limited number of remaining available 'non-local general public' accounts that we can accept. Investors that are local to the Edmonton Alberta area can join a $50,000 pool at any time as there are no restrictions on these. Other investors outside of our local area can still get in with accounts as low as $5,000, but these slots are filling up. Non-local investors with accounts over $25,000 are always accommodated. Please note that this is not a marketing gimmick... we simply have a limit to how many small accounts we are prepared to host due to the technical overhead.

Note that because accounts are growing nicely, as accounts move up from level to level they do free up account trading positions on our systems. So if you cannot get in right now or miss the current opportunity, you can always get onto our waiting list.

######################################
Email to [email protected] to open an account
######################################
Gear on the left...
T. Buitendyk (tbuitendyk)
May 26 2010 at 13:26
141 posts
System Update:

Volatility Trader is currently in transition between the old signal set and the new signal set that was modeled over the weekend. As of now the system will still take trades with the old set, but only in a muted and safer range of operation. (This is why there are no open positions right now.)

The new signal set is half-way in sync right now, and the in sync signals will start being propagated to client accounts over the next few days. We expect to be up to full trading capacity again within one week.

***************************************************************************
LIVE ACCOUNT TRADING LOG -- SIGNALS source for the FULLY MANAGED ACCOUNTS
SEND EMAIL TO [email protected] TO OPEN AN ACCOUNT -- MINIMUM $5,000
***************************************************************************

SUMMARY:

7582.5 pips in 12 weeks --- 631.9 pips / week --- 126.4 pips / trading day -- 501 total trades

(Approximately 1.26% daily compounding rate.)

DETAIL:

+ 905.6 pips --- week 1 - mar 03-09 (26 trades closed)
+ 425.3 pips --- week 2 - mar 10-16 (26 trades closed)
+ 400.0 pips --- week 3 - mar 17-23 (39 trades closed)
+ 570.1 pips --- week 4 - mar 24-30 (36 trades closed)
+ 1101.2 pips - week 5 - mar 31-06 (23 trades closed)
+ 828.3 pips --- week 6 - apr 07-13 (29 trades closed)
+ 663.0 pips --- week 7 - apr 14-20 (36 trades closed)
+ 636.1 pips --- week 8 - apr 21-27 (24 trades closed)
+ 248.3 pips --- week 9 - apr 28-04 (33 trades closed)
+ 487.7 pips --- week 10 - may 5-11 (approx. 108 trades closed)
+ 686.3 pips --- week 11 - may 12-18 (73 trades closed)
+ 630.6 pips --- week 12 - may 19-25 (48 trades closed)

2010.05.25-18:00 MDT: OPEN FLOATING TRADES = 0.0 pips (0 open trades)
Gear on the left...
T. Buitendyk (tbuitendyk)
Jun 02 2010 at 18:59
141 posts
System Update:

We have had a difficult week trading cable, with some misadventures related to bringing the new signal set online. The good news is that that business is behind us now, and we have a version of the software that can bring SIGNALS into immediate market synchronization at start-up. That being said, we cannot force POSITIONS (which are controlled by signals) into market synchronization -- that would imply being able to open positions in the present at past pricing. If we could do that, we would not need a predictive trading engine would we?!? 😄

Unfortunately, due to the random timing of the market we happened to pick-up a somewhat uneven loading of short positions without the full suite of long positions to hedge them. (It just happened that cable was at a higher price than when most of the signals had fired, meaning that we filled the short orders at more favorable pricing, but could not fill the long orders as the entry prices were not in reach.) Due to this factor and the price of cable rising somewhat over the past day or so, the system is in open floating drawdown currently.

That being said, there are two things to keep in mind: Firstly, accounts are not at risk of margin call; and Secondly, how the current signals and positions play-out is not the big picture. So we are keeping this in mind as we know that even if there are losses associated with the lopsidedness of this signal start-up, the system has proven that it can trade well and we are confident that any current losses will be recovered and accounts will continue to grow.

We just have to remember to continue to measure our investment performance not on day to day results, but on month over month results.


***************************************************************************
LIVE ACCOUNT TRADING LOG -- SIGNALS source for the FULLY MANAGED ACCOUNTS
SEND EMAIL TO [email protected] TO OPEN AN ACCOUNT -- MINIMUM $5,000
***************************************************************************

SUMMARY:

8086.3 pips in 13 weeks --- 622.0 pips / week --- 124.4 pips / trading day -- 545 total trades

(Approximately 1.24% daily compounding rate.)

DETAIL:

+ 905.6 pips --- week 1 - mar 03-09 (26 trades closed)
+ 425.3 pips --- week 2 - mar 10-16 (26 trades closed)
+ 400.0 pips --- week 3 - mar 17-23 (39 trades closed)
+ 570.1 pips --- week 4 - mar 24-30 (36 trades closed)
+ 1101.2 pips - week 5 - mar 31-06 (23 trades closed)
+ 828.3 pips --- week 6 - apr 07-13 (29 trades closed)
+ 663.0 pips --- week 7 - apr 14-20 (36 trades closed)
+ 636.1 pips --- week 8 - apr 21-27 (24 trades closed)
+ 248.3 pips --- week 9 - apr 28-04 (33 trades closed)
+ 487.7 pips --- week 10 - may 5-11 (approx. 108 trades closed)
+ 686.3 pips --- week 11 - may 12-18 (73 trades closed)
+ 630.6 pips --- week 12 - may 19-25 (48 trades closed)
+ 503.8 pips --- week 13 - may 26 - 01 (MyFXBook 'Close date' -- 44 trades closed)

NOTE: Regarding the dates in the above list, rather than trying to use GMT 00:00 for day cutoffs in this latest week and in the future, instead the MyFXBook listed 'Close date' will be used. This will simplify the record keeping as it is not necessary using this method to do this logging entry at a specific day and time each week. That is to say, the log itself can be generated easily within a day or so of the actual week without having to try to determine timing offsets from local time, etc.

2010.06.02-12:38 MDT: RECENT CLOSED TRADES = -208.2 pips (11 closed trades)
2010.06.02-12:38 MDT: OPEN FLOATING TRADES = -695.5 pips (11 open trades)

NOTE: To maintain full disclosure of the system status as of the current time of logging there is an additional line now in the above section that shows the additional closed trades status at the time of this logging entry. These are trades closed between the end of the last listed week and the current logging time.
Gear on the left...
T. Buitendyk (tbuitendyk)
Jun 06 2010 at 03:24
141 posts
Up 47.13% since April 8/10.

This is the account that controls all of our client accounts. Client accounts earned well over $100,000 in May 2010.
Gear on the left...
T. Buitendyk (tbuitendyk)
Jun 08 2010 at 23:17
141 posts
System Update:

The first few days of June have been quite positive, with accounts up from around 10% to around 20% in the first 8 days, depending on client-selected money management sizing.

All 19 signals are in full market synchronization now, and the system is running 100% unattended. We are currently fully allocated at the small account category ($5,000 - $9,999), but still have room for a few medium sized accounts funded between $10,000 - $24,999. VTSS will always make room by implementing more trading systems for large accounts over $25,000.

Note that if you do want to start an account in the $5,000 to $9,999 range, you can still send us an email and have your name put on the waiting list as the small accounts grow to medium fairly quickly, freeing up room for additional small accounts.


***************************************************************************
LIVE ACCOUNT TRADING LOG -- SIGNALS source for the FULLY MANAGED ACCOUNTS
SEND EMAIL TO [email protected] TO OPEN AN ACCOUNT -- MINIMUM $5,000
***************************************************************************

SUMMARY:

9139.8 pips in 14 weeks --- 652.8 pips / week --- 130.6 pips / trading day -- 578 total trades

(Approximately 1.31% daily compounding rate.)

DETAIL:

+ 905.6 pips --- week 1 - mar 03-09 (26 trades closed)
+ 425.3 pips --- week 2 - mar 10-16 (26 trades closed)
+ 400.0 pips --- week 3 - mar 17-23 (39 trades closed)
+ 570.1 pips --- week 4 - mar 24-30 (36 trades closed)
+ 1101.2 pips - week 5 - mar 31-06 (23 trades closed)
+ 828.3 pips --- week 6 - apr 07-13 (29 trades closed)
+ 663.0 pips --- week 7 - apr 14-20 (36 trades closed)
+ 636.1 pips --- week 8 - apr 21-27 (24 trades closed)
+ 248.3 pips --- week 9 - apr 28-04 (33 trades closed)
+ 487.7 pips --- week 10 - may 5-11 (approx. 108 trades closed)
+ 686.3 pips --- week 11 - may 12-18 (73 trades closed)
+ 630.6 pips --- week 12 - may 19-25 (48 trades closed)
+ 503.8 pips --- week 13 - may 26 - 01 (44 trades closed)
+ 1053.5 pips - week 14 - may 02 - 08 (33 trades closed)

2010.06.08-17:06 MDT: RECENT CLOSED TRADES = 0.0 pips (0 closed trades)
2010.06.08-12:06 MDT: OPEN FLOATING TRADES = -10.0 pips (5 open trades)

NOTE: To maintain full disclosure of the system status as of the current time of logging there is an additional line now in the above section that shows the additional closed trades status at the time of this logging entry. These are trades closed between the end of the last listed week and the current logging time.
Gear on the left...
T. Buitendyk (tbuitendyk)
Jun 16 2010 at 00:40
141 posts
System Update:

Well, it had to happen sooner or later…

As was known from the start, 100% winning performance week-over-week is not to be expected. Indeed, the signals design is such that the stops are relatively tight in order to prevent run-away losses, and an implication of this design is that there will be periods of loss. In backtesting of the signals sets we HAVE NOT seen any past periods of balance and/or equity loss when calculated from the first of any given month to the first of the following month. However, we DO see occasional instances of balance and/or equity loss when compared week over week. In fact, the longest period that we have seen to-date in backtesting that has been required to recover back to any prior account balance is three weeks. That being said, given the depth of the current drawdown it may take longer in this case.

A detailed analysis of the signals sets’ performance has been completed today, and we have come to the conclusion that there is absolutely nothing wrong with the current operations of either the old or the new signals sets. It appears that what we are dealing with is simply a normal “untradable” period. The important thing in cases like this is to simply stay the course and understand that it will not be all gains!

The following detailed analysis of the old and new signal sets (called “SET # 1” and “SET # 2” with 9 and 10 signals respectively) is offered. If you have any concerns with the current situation please study this information related to balance drawdown carefully. (Note that in some instances the equity drawdown is even more pronounced than the provided balance drawdown figures. Balance drawdown was simply chosen as the reporting option as it represents these types of drawdown situations adequately.)


SIGNAL SET # 1 PERFORMANCE / DRAWDOWN EVALUATION:

Here are the performance figures when the currently-in-use signals SET # 1 is backtested with a 1.7 pip spread over the past 5.5 months from January 1/10 with a $5,000 account, traded 1:1, with no compounding utilized:

• 62.7% simple gain
• Profit Factor of 1.89
• 549 total trades
• 88.89% of trades close in profit
• Win:Loss size ratio of 0.2365

During this period the following draw down incidents occur (only showing periods of 4 days or longer):

• January 29 – February 12: 7.5% balance drawdown; 15 calendar days required to recover
• May 7 – May 27: 11.1% balance drawdown; 21 calendar days required to recover
• June 9 – June 15: 9.5% balance drawdown; ?? calendar days required to recover (current drawdown period)


SIGNAL SET # 2 PERFORMANCE / DRAWDOWN EVALUATION:

Here are the performance figures when the currently-in-use signals SET # 2 is backtested with a 1.7 pip spread over the past 5.5 months from January 1/10 with a $5,000 account, traded 1:1, with no compounding utilized:

• 364.5% simple gain
• Profit Factor of 6.11
• 484 total trades
• 87.40% of trades close in profit
• Win:Loss size ratio of 0.8807

During this period the following draw down incidents occur (only showing periods of 4 days or longer):

• January 5 – January 8: 4.8% balance drawdown; 4 calendar days required to recover
• January 13 – January 20: 3.8% balance drawdown; 8 calendar days required to recover
• January 29 – February 10: 8.0% balance drawdown; 13 calendar days required to recover
• March 12 – March 16: 4.5% balance drawdown; 5 calendar days required to recover
• May 13 – May 17: 9.1% balance drawdown; 5 calendar days required to recover
• June 1 – June 6: 3.1% balance drawdown; 6 calendar days required to recover
• June 9 – June 15: 16.7% balance drawdown; ?? calendar days required to recover (current drawdown period)



**************************************************************************
LIVE ACCOUNT TRADING LOG -- SIGNALS source for the FULLY MANAGED ACCOUNTS
SEND EMAIL TO [email protected] TO OPEN AN ACCOUNT -- MINIMUM $5,000
**************************************************************************

SUMMARY:

7335.2 pips in 15 weeks --- 489.0 pips / week --- 97.8 pips / trading day -- 627 total trades

(Approximately 0.98% daily compounding rate.)

DETAIL:

+ 905.6 pips --- week 1 - mar 03-09 (26 trades closed)
+ 425.3 pips --- week 2 - mar 10-16 (26 trades closed)
+ 400.0 pips --- week 3 - mar 17-23 (39 trades closed)
+ 570.1 pips --- week 4 - mar 24-30 (36 trades closed)
+ 1101.2 pips - week 5 - mar 31-06 (23 trades closed)
+ 828.3 pips --- week 6 - apr 07-13 (29 trades closed)
+ 663.0 pips --- week 7 - apr 14-20 (36 trades closed)
+ 636.1 pips --- week 8 - apr 21-27 (24 trades closed)
+ 248.3 pips --- week 9 - apr 28-04 (33 trades closed)
+ 487.7 pips --- week 10 - may 5-11 (approx. 108 trades closed)
+ 686.3 pips --- week 11 - may 12-18 (73 trades closed)
+ 630.6 pips --- week 12 - may 19-25 (48 trades closed)
+ 503.8 pips --- week 13 - may 26 - 01 (44 trades closed)
+ 1053.5 pips - week 14 - jun 02 - 08 (33 trades closed)
 - 1804.6 pips - week 15 - jun 09 - 15 (49 trades closed)

2010.06.15-17:20 MDT: RECENT CLOSED TRADES = 0.0 pips (0 closed trades)
2010.06.15-17:20 MDT: OPEN FLOATING TRADES = -291.2 pips (8 open trades)

Gear on the left...
Please login to comment .