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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)
Jun 23 2010 at 03:06
141 posts
Week 16 System Update:

The system has performed quite well over the past week, earning almost 1,000 pips over the past 5 trading days. In terms of market synchronization, it appears that the system may have completed emerging from the drawdown incident that occurred during week 15, due in part no doubt to the help of the new British budget that buoyed sterling today after previous uncertainty going into the UK budget release. Also on a positive note, it looks at this point that with the new signals configuration the average weekly performance of the engine should be generally improved from the previous 650 pips or so per week, to perhaps something in the neighborhood of 1,000 pips per week.

In other news, an entirely new signal set based on USDJPY is currently under development. These new signals will operate with more of a scalping trading method – not hyper-scalping but a more relaxed automated scalping technique looking for around 20 pips or so of profit on each USDJPY position. Once this new set has been thoroughly tested it will be implemented, potentially replacing the “old” 9 signal GPBUSD signal set. (Note that the idea of potentially replacing the Set # 1 GPBUSD signal set is in view at this time due to the necessity of not overtrading the accounts, not because there is anything wrong with that set.)



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

SUMMARY:

8318.6 pips in 16 weeks --- 519.9 pips / week --- 104.0 pips / trading day --- 667 total trades

(Approximately 1.04% 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)
+ 983.4 pips --- week 16 - jun 16 - 22 (40 trades closed)

2010.06.22-20:54 MDT: RECENT CLOSED TRADES = 10.9 pips (1 closed trade)
2010.06.22-20:54 MDT: OPEN FLOATING TRADES = -80.0 pips (10 open trades)
Gear on the left...
kishorejoga
Jun 23 2010 at 18:21
313 posts
HI
I have a question for you may i know the reason for this account closure please

https://www.myfxbook.com/members/lightcycles/vtss-1/30403
thanks
T. Buitendyk (tbuitendyk)
Jun 23 2010 at 19:22
141 posts
Hi Kishore,

That account belongs to one of our American clients. The brokerage that was being used for that account decided to offload all American clients due to some kind of pressure from their liquidity providers to not provide unregulated brokerage services to Americans. That is why the account was closed and moved to an alternate brokerage that still supports our American clients.

t.
Gear on the left...
kishorejoga
Jun 23 2010 at 20:06
313 posts
HI
I havnt got any doubt about the your trading method
i was following the account but it disaappeared suddenly so i just want to check with you
I know among all members here you have got best system
thanks for quick response
T. Buitendyk (tbuitendyk)
Jun 30 2010 at 00:04
141 posts
Week 17 System Update:

Week 17 was essentially flat. It was a difficult week due to a set of three positions yesterday that were so close that they looked stop-hunted, which took out around 550 pips of the week’s gains of 500 pips. (In case anyone was watching and wondering about this set, even though the stops looked hunted, they were not: the price action was observed at multiple brokers and back-ends. It’s important to bear in mind that our brokers are STP to the ECN (“straight through processing” to the “electronic communications network” – i.e., the liquidity back-end); so situations like this are simply the way the cookie crumbles sometimes.) It was one of those situations when 2 or 3 pips literally made the difference between holding the positions and losing them. Such is life.

Work is ongoing on a new USDJPY signals set which looks like it will be good to add. When implemented, this pair will help to distribute gains and risk to more than one pair.


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

SUMMARY:

8264.1 pips in 17 weeks --- 486.1 pips / week --- 97.2 pips / trading day --- 698 total trades

(Approximately 0.97% 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)
+ 983.4 pips --- week 16 - jun 16 - 22 (40 trades closed)
 - 54.5 pips --- week 17 - jun 23 - 29 (31 trades closed)

2010.06.29-17:14 MDT: RECENT CLOSED TRADES = 0.0 pips (0 closed trade)
2010.06.29-17:14 MDT: OPEN FLOATING TRADES = -84.7 pips (8 open trades)

Gear on the left...
kishorejoga
Jul 01 2010 at 18:36
313 posts
adding one 5k managed account is really useful T
please do so if u dont mind
T. Buitendyk (tbuitendyk)
Jul 06 2010 at 19:23
141 posts
Hi Kishore,

I might do that for you... I can ask one of our $5k clients if they mind us publishing their results. That said, the results are the same as the published results here -- same wins, same losses, just sizing is 0.05 on 1:1.

t.
Gear on the left...
kishorejoga
Jul 06 2010 at 19:45
313 posts
thanks t. u r a star among all traders here
T. Buitendyk (tbuitendyk)
Jul 07 2010 at 00:52
141 posts
Week 18 Trading Update:

This past week seemed to be just about “average”, if one judges by the pips earned during week 18 and the established average. That said, similar to the situation from last week, there was a set of positions that stopped-out at relatively large expense, which brought down the performance significantly. If we can have few weeks without taking these hits then things should continue up nicely again. As it stands right now, it seems that the system is more or less recovered from the damage that occurred in June and hopefully things continue on where they left off a month ago.


Week 18 System Update:

Work is still ongoing on the new USDJPY signals set; as mentioned last week, when this new currency pair is re-implemented it will help to distribute gains and risk more evenly. Unfortunately, due to having so many machines dedicated to trading client accounts, there are only eight CPU cores available for modeling right now, which is not making this process go any faster… We will have to budget for some more modeling CPUs in the near future!

In the meanwhile, work has been ongoing on a major new feature that has been added to the trading engine. Volatility Trader version 4.0 introduces a new feature called the “Sequence Set.” Sequence Sets allow inter-signal dependencies, both “positive” and “negative”.

In more detail, what the VT Sequence Set functionality provides is that the market signals that the engine detects – both non-trading signals that simply flag different types of market activity and also normal trading signals that actually place trades into the market – can be grouped into sets which can then be configured to be dependent upon one another. For instance, a non-trading signal that detects a generally rising price on a currency pair on a multi-day timeframe can become a positive dependency on a long trading signal, while at the same time a multi-day falling price condition can be configured as a negative dependency on that same long trading signal. The net effect of such a configuration is that the engine will not take an otherwise indicated long trade if the multi-day trend is either “not up” or “down”, as indicated by the positive and negative dependency non-trading signals.

Another feature of Sequence Sets is that they can be configured in “Single Signal Sequence Set Mode” (say that fast five times!) which causes newly triggered signals to cancel any older active signal of the same Sequence Set, provided the older signal is not currently controlling open positions on the market. While this new feature has been programmed into the trading engine, there has not been time yet to work with it. (Although there are some ideas kicking around on how it can be utilized…)

To-date with the new version the current work with USDJPY modeling has involved designing and testing new modeling procedures to work with the new features. The early results from this initial modeling work using the new version 4.0 compliant modeling design have been positive thus far, with definite improvements in trading accuracy demonstrated by utilizing positive and negative larger timeframe price trend dependencies on trading signals. Hopefully some new USDJPY signals will be ready to trade in the next few days, in which case you will begin to see USDJPY positions opening again on your 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:

8769.8 pips in 18 weeks --- 487.2 pips / week --- 97.4 pips / trading day --- 722 total trades

(Approximately 0.97% 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)
+ 983.4 pips --- week 16 - jun 16 - 22 (40 trades closed)
 - 54.5 pips --- week 17 - jun 23 - 29 (31 trades closed)
+ 505.7 pips --- week 18 - jun 30 - 06 (24 trades closed)

2010.07.06-18:06 MDT: RECENT CLOSED TRADES = 0.0 pips (0 closed trade)
2010.07.06-18:06 MDT: OPEN FLOATING TRADES = -263.8 pips (4 open trades)
Gear on the left...
fxgym (cun111)
Jul 12 2010 at 07:22
82 posts

tbuitendyk posted:
    Week 16 System Update:

The system has performed quite well over the past week, earning almost 1,000 pips over the past 5 trading days. In terms of market synchronization, it appears that the system may have completed emerging from the drawdown incident that occurred during week 15, due in part no doubt to the help of the new British budget that buoyed sterling today after previous uncertainty going into the UK budget release. Also on a positive note, it looks at this point that with the new signals configuration the average weekly performance of the engine should be generally improved from the previous 650 pips or so per week, to perhaps something in the neighborhood of 1,000 pips per week.

In other news, an entirely new signal set based on USDJPY is currently under development. These new signals will operate with more of a scalping trading method – not hyper-scalping but a more relaxed automated scalping technique looking for around 20 pips or so of profit on each USDJPY position. Once this new set has been thoroughly tested it will be implemented, potentially replacing the “old” 9 signal GPBUSD signal set. (Note that the idea of potentially replacing the Set # 1 GPBUSD signal set is in view at this time due to the necessity of not overtrading the accounts, not because there is anything wrong with that set.)



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

SUMMARY:

8318.6 pips in 16 weeks --- 519.9 pips / week --- 104.0 pips / trading day --- 667 total trades

(Approximately 1.04% 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)
+ 983.4 pips --- week 16 - jun 16 - 22 (40 trades closed)

2010.06.22-20:54 MDT: RECENT CLOSED TRADES = 10.9 pips (1 closed trade)
2010.06.22-20:54 MDT: OPEN FLOATING TRADES = -80.0 pips (10 open trades)


Hi,

 I am vwell interested in your system. Please could you give more info about your system?
T. Buitendyk (tbuitendyk)
Jul 13 2010 at 16:15
141 posts

cun111 posted:
    
tbuitendyk posted:
    Week 16 System Update:

[snip]


Hi,

 I am vwell interested in your system. Please could you give more info about your system?


We offer managed accounts, and we currently have room for one $5,000 USD account and eight more $10,000 USD accounts. We make room for accounts over $20,000 USD.

If you are interested drop us a line at [email protected]
Gear on the left...
T. Buitendyk (tbuitendyk)
Jul 14 2010 at 05:53
141 posts
Week 19 Trading Update:

Another “average” week in terms of pips earned, but somewhat below average in terms of overall trading activity (only 16 trades closed.)


Week 19 System Update:

Due to the imbalance between returns and risk on the old signal set it has been retired. As of the beginning of the current calendar week the system is running only the “new” signal set of 10 signals.

On Friday last at approximately 3:00 AM MDT the power-supply in the trading master computer died, leaving all open market positions entirely disconnected from the trading engine and no longer under control of the software. On Sunday, at approximately 3:00 PM MDT, a backup trading master computer at an alternate location running in “Monitor Mode” was able to take full control of all of the open positions without any loss of signal/market synchronization. We are pleased to report that the transition to the back-up trading master was 100% successful, with the end result being exactly equal positions except for better entry pricing into two positions at market open on Sunday. The plan is to move trading control back to the original trading master sometime in the next day or two, re-implementing the “Monitor Mode” trading engine redundancy at the backup location at that time.

(Note that during this period of engine / position disconnect there was no risk of runaway losses, as every order placed by the system has predefined stop-loss settings that will take effect regardless of the status of the trading engine.)

Version 4.0 modeling of USDJPY is ongoing – separate long and short market trend compliant VL40 set-ups are still being modeled. This is turning-out to be a more time consuming process than first anticipated, so it looks at this time that it could take another week or two before the first USDJPY trend-compliant trading signals are ready to trade.


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


SUMMARY:

9215.8 pips in 19 weeks --- 485.0 pips / week --- 97.0 pips / trading day --- 738 total trades

(Approximately 0.97% 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)
+ 983.4 pips --- week 16 - jun 16 - 22 (40 trades closed)
 - 54.5 pips ----- week 17 - jun 23 - 29 (31 trades closed)
+ 505.7 pips --- week 18 - jun 30 - 06 (24 trades closed)
+ 446.0 pips --- week 19 - jul 07 - 13 (16 trades closed)

2010.07.13-23:19 MDT: RECENT CLOSED TRADES = 81.3 pips (11 closed trades)
2010.07.13-23:19 MDT: OPEN FLOATING TRADES = -318.9 pips (4 open trades)

 
VT Signals Service
[email protected]
Gear on the left...
fxgym (cun111)
Jul 14 2010 at 06:12
82 posts

tbuitendyk posted:
    
cun111 posted:
    
tbuitendyk posted:
    Week 16 System Update:

[snip]


Hi,

 I am vwell interested in your system. Please could you give more info about your system?


We offer managed accounts, and we currently have room for one $5,000 USD account and eight more $10,000 USD accounts. We make room for accounts over $20,000 USD.

If you are interested drop us a line at [email protected]

Hi,

When I open an account then should I trade manually or your system will do it automatically for me?

Thanks

Cuneyt
T. Buitendyk (tbuitendyk)
Jul 14 2010 at 06:17
141 posts

cun111 posted:
    
tbuitendyk posted:
    
cun111 posted:
    
tbuitendyk posted:
    Week 16 System Update:

[snip]


Hi,

 I am vwell interested in your system. Please could you give more info about your system?


We offer managed accounts, and we currently have room for one $5,000 USD account and eight more $10,000 USD accounts. We make room for accounts over $20,000 USD.

If you are interested drop us a line at [email protected]

Hi,

When I open an account then should I trade manually or your system will do it automatically for me?

Thanks

Cuneyt

Hi Cuneyt,

Trading is fully automated with no client input required... Send an email with the details of your account funding and I will send you the info to open an account with one of our supported brokers.

thx, t.
Gear on the left...
T. Buitendyk (tbuitendyk)
Jul 22 2010 at 01:03
141 posts
Week 20 Trading Update:

Week 20 was another tough week for trading cable, with an interesting sharp spike (sans typical retracement) and then drop in the price of cable, which the system is simply not configured (at this point in time) to recognize as a tradable condition. The non-recognizable-by-signals aspect of this type of price action is by intent, as to make the current signals take trades in this case is known to reduce overall profitability due to introducing larger loss potential - it's just one of those “trade-off things”…

USDJPY took its first trades this week which was a very positive development. Please be aware that the USDJPY signals _will_ lose trades slightly more often than they will win. As odd as this may sound, this behaviour is by design. (The reason the higher loss rate does not matter is that the average win is approximately 2.5 times greater than the average loss, thus making the USDJPY set very solid overall. More about that later.)

So, despite the difficulties with cable, things are going reasonably well and as always steps are always being taken to make things even better. Once again, VTSS is beating traditional investment returns this month, so all things considered, “it’s all good!”



Week 20 System Update:

The initial “production tradable” USDJPY signals set is complete, and has the following extremely consistent performance characteristics over a full year (!) of backtesting:

(These performance measures are based on trading at low frequency with 1:1 risk/return with no compounding. “Low frequency” means in this case only 358 trades in 12.5 months. In order to approach the traditional risk/return usage on cable that we have been using (that is, 1:1 order sizing with 100+ trades per month), the order sizing would have to be set to 1:4 on this particular USDJPY set. This is mentioned so that it is understood that the performance documented below is actually very solid, and if the traditional sizing and compounding were to be used, the results are approximately 25 times better when taken over an entire year.)

- The following 12.5 month result is at 1:1 trading, no compounding, based on $5,000 account (each order is 0.05 lots)
- July 5 '09 -> Aug 3 '09 -- 39 trades: final account equity: 392.09; 1ST MONTH GROWTH: 392.09 (39 trades)
- Aug 3 '09 -> Sep 1 '09 -- 73 trades: final account equity: 732.86; 2ND MONTH GROWTH: 340.77 (34 trades)
- Sep 1 '09 -> Oct 2 '09 -- 101 trades: final account equity: 1078.78; 3RD MONTH GROWTH: 346.10 (28 trades)
- Oct 2 '09 -> Nov 2 '09 -- 125 trades: final account equity: 1083.37; 4TH MONTH GROWTH: 4.59 (24 trades)
- Nov 2 '09 -> Dec 1 '09 -- 149 trades: final account equity: 1216.65; 5TH MONTH GROWTH: 133.28 (24 trades)
- Dec 1 '09 -> Jan 4 '10 -- 165 trades: final account equity: 1293.86; 6TH MONTH GROWTH: 77.21 (16 trades)
- Jan 4 '10 -> Feb 3 '10 --201 trades: final account equity: 1362.63; 7TH MONTH GROWTH: 68.77 (36 trades)
- Feb 3 '10 -> Mar 3 '10 -- 226 trades: final account equity: 1853.64; 8TH MONTH GROWTH: 491.01 (25 trades)
- Mar 3 '10 -> Apr 1 '10 -- 245 trades: final account equity: 2039.77; 9TH MONTH GROWTH: 186.13 (19 trades)
- Apr 1 '10 -> May 3 '10 -- 267 trades: final account equity: 2230.49; 10TH MONTH GROWTH: 190.72 (22 trades)
- May 3 '10 -> Jun 1 '10 -- 310 trades: final account equity: 2491.04; 11TH MONTH GROWTH: 260.55 (43 trades)
- Jun 1 '10 -> Jul 1 '10 -- 339 trades: final account equity: 2660.57; 12TH MONTH GROWTH: 169.53 (29 trades)
- Jul 1 '10 -> Jul 16 '10 -- 357 trades: final account equity: 2754.64; half of 13th month growth: 94.07 (18 trades)

- Total: 2754.64 profit, 358 trades, 2.14 pf, dd 247.29
- This represents 54% increase on $5,000 account, trading each position at 0.05 lots over 12.5 months (no compounding)

- Assuming instead an order size of 0.20 on a $5,000 account, this time with compounding:
- Total: 70,000 profit (approx), 358 trades, 2.x pf, dd (not recorded)
- This represents approximately 1400% increase on $5,000 account, trading each position at 0.20 lots over 12.5 months with compounding

On another note, VTSS Version 4.1a is now hard at work on our machines, making improvements daily on the trading signals. This latest release involves support for 20 Sequence Sets within a single instance of the trading engine, which was required in order to support the new USDJPY signals set. (The 'a' part of this version is a minor update to change slightly the way that SSSMode is implemented -- basically the change allows priorities to be applied to active-but-not-trading signals so that they cannot be deactivated by lower priority signals of the same Sequence Set.)

More evidence is seen every day that the new features in the 4.x series Volatility Trader engine add huge value to the trading capabilities. For example, some of the signals in the new cable set of 10 signals that have been performing poorly over the past 6 weeks become much more solid even when a somewhat arbitrary negative trend dependency is added to the set. (What this means is that this set of signals which only trade short, are by and large kept out of the current bull market condition of cable of the past 2 months, thus reducing the losses caused by those short-only signals. In testing, as a result of the bull trend detection negative dependency being added to this subset of production signals that only trade short, the somewhat lackluster performance of the past two months – that is, around 6% return total since June 1 on the main 1:1 account – is approximately doubled.)

The final design of new features that are to be added to the engine has just about been completed. The two MAJOR enhancements to be added to the next version are:

1) “EESM1M” – “Enhanced ESM1 Mode” (“ESM1” unfolds to “Enhanced Stop Mode 1” so technically this is “Enhanced Enhanced Stop Mode 1 Mode”, but that many “enhanceds” and “modes” in one phrase is a little silly so “Enhanced ESM1 Mode” will have to do…)

The idea is a whole new way of dynamically controlling stops during ESM1 in order to maximize retracement room when necessary and close-in on the current price when appropriate, while supporting multiple transitions between ESM1 submodes A and B. The bottom line is that stop control will be much more dynamic under this new design.

2) “Sequence Set Auto Programming”

Sequence Sets (which are logical groupings of Volatility Levels (or signals) added in VT Version 4.0) will be able to auto-program VL/SL/TP characteristics of other Sequence Sets’ VLs on a) Signal Activation, b) Signal S/L, and c) Signal TP. This feature introduces the potential for more advanced recognition of price waves (for example, positive identification of the commencement of Wave 3 on a five wave Elliot wave impulse) which should be able to set-up effective break-out trades both with the trend on Wave 3 and also on Wave 1 of a three wave Elliot correction wave.

“Volatility Trader” may be re-branded with the completion of the above as “PRo4X Ver. 1.0”, standing for “Pattern Recognition of Forex”.



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



SUMMARY:

8811.2 pips in 20 weeks --- 440.6 pips / week --- 88.1 pips / trading day --- 755 total trades

(Approximately 0.88% 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)
+ 983.4 pips --- week 16 - jun 16 - 22 (40 trades closed)
 - 54.5 pips ----- week 17 - jun 23 - 29 (31 trades closed)
+ 505.7 pips --- week 18 - jun 30 - 06 (24 trades closed)
+ 446.0 pips --- week 19 - jul 07 - 13 (16 trades closed)
 - 404.6 pips --- week 20 - jul 14 - 20 (17 trades closed)

2010.07.21-18:48 MDT: RECENT CLOSED TRADES = +362.1 pips (7 closed trades)
2010.07.21-18:48 MDT: OPEN FLOATING TRADES = +52.1 pips (4 open trades)

 
VT Signals Service
[email protected]
Gear on the left...
T. Buitendyk (tbuitendyk)
Jul 26 2010 at 17:36
141 posts
VTSS SPECIAL UPDATE

This is a special update regarding the status of some of the trading signals in the main 10 signal GBPUSD set.


THE PROBLEM

Analysis of recent signal performance has been done over the last two weeks and it has been found that 6 of the 10 signals (the 6 signals that only take short positions in GBPUSD) have been under-performing. When a per-signal performance breakdown is done it reveals that over approximately 6 to 7 weeks since the beginning of June these 6 signals are responsible for the bulk of the losing trades. Over-all the 10 signals are winning on a ratio of approximately +1.7 : -1.0 = +0.7, but had these short side signals not traded under the rising GBPUSD conditions the effective return would have been closer to = +1.7, or approximately 2.5 time better.

(The current three short positions that the system has open are part of this short trading set that has trouble winning in bull market cable conditions.)


THE SOLUTION

Using the current Volatility Trader ver. 4.1a engine, a new 'bull market negative dependency trend signal' has been modeled which has been linked to these 6 short-only signals. What this means is that when the new bull trend signal is active, the 6 short-only signals are inhibited from activating, effectively blocking the bulk of the losing trades. The new negative dependency has been established as of market open yesterday, and as soon as the new trend signal was brought online it recognized the bull market condition on cable and turned the signal on. As a consequence of this detected bull trend condition, when the current short signals close they will not be able to open again until the trend detection signal indicates that the trend is at least temporarily over.


EXPECTED OUTCOME

Accuracy of trades should increase substantially in the weeks to come.
Gear on the left...
T. Buitendyk (tbuitendyk)
Aug 11 2010 at 05:04
141 posts
2010.08.10 VTSS Update

If one studies the performance of VTSS over the past 4 months it is clear that something is up... We had two or three months of great performance pips-wise, and since then we’ve spent two months struggling to maintain the balance.

What has become clear over the past two months is that the VTSS system needs to be able to deal effectively with the larger trends that are occurring on the market. The new Sequence Set functionality allows our system to control trade entry based on whether or not the larger trend is supporting the direction of the trading signal.

So!!!... (Drum roll please!)

After 9 days of effort the new 'Long Only' GBPUSD signal set is finally complete! This set can trade through bear trends without getting killed and then be there ready to catch the wave when the conditions are right again. These signals are built to a whole new standard of quality, with a new eight-stage signal development methodology and with a full 18 months of historical 1 minute data going into each of the 20 component signals. Altogether there are 10 new trading signals, monitored by 10 new 'bear trend negative dependency' non-trading signals. In backtesting when combined together these signals place long trades on “cable” (that is to say, GBPUSD) 821 times in 18 months from February 2/09 to July 31/10.

In order to demonstrate how these new signals work I will break down the past 18 months of market activity of cable into 3 periods: “Bull 1”, “Bear 1”, and “Bull 2”. (Actually there were many shorter ups and downs and some ranging activity during the 18 months but this rough breakdown will serve to demonstrate how these signals operate.)

Bull 1 period performance:

• CABLE: 1.4438 @ Feb 2/09 --> 1.7042 @ Aug 5/09
• ACCOUNT: $0 --> $20,258 over 549 trades
• This is a significant increase in the British pound in slightly over 6 months, these signals trade on average around 90 times per month.

Bear 1 period performance:

• CABLE: 1.7042 @ Aug 5/09 --> 1.4229 @ May 20/10
• ACCOUNT: $20,258 --> $19,469 over 152 trades
• The pound dropped heavily for 9.5 months, and these long-only signals slow down significantly to only around 16 trades per month, retaining the bulk of the previous earnings and losing only around 3.9% of the previous gains from the first 6 months.

Bull 2 period performance:

• CABLE: 1.4229 @ May 20/10 --> 1.5696 @ Jul 31/10
• ACCOUNT: $19,469 --> $24,622 over 120 trades
• The pound begins to establish a new multi-month growth trend; while the signals, after waiting a few weeks to see the trend is established, trades about 80 times per month on average for the last 1.5 months.

Given the unprecedented quality of this new signal set it will be necessary to complement it with a new short-only set of equal quality. That is next on the to-do list. In the meantime, I will begin scaling these signals into production, but this will be a bit of a tricky process as there are currently open trades and signals that trade both long and short which are active on the accounts.
Gear on the left...
T. Buitendyk (tbuitendyk)
Sep 29 2010 at 10:36
141 posts
Sept 29/10 quick update:

Most of August was spent developing the current signals. These new signals (10 trading long and 10 trading short) are all trend protected (i.e., they are aware of and trade with the larger trend) and are all modeled over 18 months of One Minute back data.

They have been running completely unattended since the beginning of September on our accounts at low 'introductory sizing'. Even though cable's been wallowing around they have done reasonably well, given the sizing and lack of clear trend on cable lately.

Stay tuned for more details!

T.

(And yes, August was a bad month. Trend changes will continue to be difficult to trade.)
Gear on the left...
kishorejoga
Oct 22 2010 at 11:00
313 posts
hi
Your blessing non emotional silicon is recently not ding great
T. Buitendyk (tbuitendyk)
Oct 30 2010 at 16:39
141 posts

kishorejoga posted:
    hi
Your blessing non emotional silicon is recently not ding great

Hi there Kishore,

Yes, there has been some challenging times in the past few months, although all things considered the Volatility Trader is doing better now than ever before.

June and July were difficult months for reasons that I've already outlined above -- we had some signals tuned to a bear market condition on cable that did not adapt well to the bull that ran from around May 18 to Aug 8, we also had some manual intervention (by yours truly) that reduced profits, etc. These issues have been dealt with and we should not see performance difficulties due to these factors we were dealing with in June and July.

August was a bad month for VT simply because we had a trend change commencing around Aug 8. As I've mentioned before, trend changes will continue to be difficult to trade, and will generally cause temporary set-backs in performance.

September was low performance for no other reason than that the new signals modeled in August and implemented at the end of August were introduced with very low sizing in order to confirm that we had a good sync to market. The signals traded very well in September (especially given the non-committed trend condition of cable) but returns were low due to the low introductory sizing.

October performance was choppy - up and down and up - just as we expect with the ranging condition we've seen on cable. That said, the signals are all performing 100% according to design.

When a true multi-month trend hits cable again we expect the system to do extremely well. Especially since the bulk of trading will be in the direction of the larger trend. In the meantime, with the ranging behavior that we've been seeing with cable, the prime objective is to maintain our client accounts. The good news is that VT has been doing that, and is poised to win big when cable starts to trend again.

As usual, difficulty has become a motivation for improvements in terms of the design (and use) of the trading engine. For example, with the 'wallowing around' that cable has been up to lately some new ideas have started to come up that will be very interesting to experiment with. The main idea that's on the drawing board right now involves a minor design improvement to the engine (specifically, adding AND capability to signal set dependencies, as opposed to only the OR operation of signal set dependencies that is supported now) which will allow multiple trend compliant scalping behavior -- in and out rapidly with tight stops and profit targets.

To unfold the idea a little further, the plan is to link two of the busiest 'long only' trading signals and two of the busiest 'short only' trading signals together to produce a long side and a short side scalper. The end result would be a set of scalpers that each require double confirmation at the long term trend level and also double confirmation at the medium term trend level. In essence the current busiest trading signals, themselves controlled by long term negative trend dependencies will be recycled as medium term positive trend indicators and linked into sequence set pairs with a Boolean AND condition. When all indications are a go on such a linked set the scalper will have a green light to commence scalping cable with its pre-tuned tight stop and profit targets. Anyway, assuming I have some time to invest in this little project over the next few weeks, this is probably what will be coming down the pike. If this new scalping design turns out to be successful (probably), then the character of VTSS trades will be much different.

(Note that implementation of the above scalping set-up will supplement, not replace, the current signals. Currently on cable we have 20 trading signals that are controlled by 20 negative dependency trend signals, and that will not change.)

T.
Gear on the left...
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