timaru69's Blog

[timaru69]

Vanatgepoint Trade Journal

Hi

Having read other peoples comments on Vantagepoint I thought that I would try and start a trade journal to see if it could live up to it's claims.

I purchased all 43 markets late last year but to be honest haven't traded it yet, primarily due to being too busy working on the development of another automated trading system and subsequently needing my current capital to help fund the real time development and trading of this system.

I intend to papertrade the signals on 24 of the markets , mainly to see if I can keep the discipline intact to trade a system such as this. and to see if it is profitable of course

I have attached the Markets and rules on the following spreadsheet. There are a number of ways to trade Vantagepoint but I have chosen a conservative method that trys to only identify high probability trades. (As discussed with the Vantagepoint people)

The rules may be lost on some people but the the gist of it is this.

Trnd M - 10 day simple Moving Average
PTM - 10 day moving average projected 4 days into the future.
Trnd S - 5 Day simple moving average
PTS - 5 Day moving average projected 2 days into the future.

Index. This is Vantagepoints indicator to show if the strength of the trend. They claim that they get this right 80% of the time which sounds a load of bollocks to me as it's not very useful on it's own.

Basically if showing 1 it means Vantagepoint is expecting a bullish trend if 0 then a bearish trend.

My intention is to publish the trade signals when they occur and provide an account summary at the end of each week.

If anybody has any questions then please feel free to pm me.

Cheers

T

p.s I am in no way affliated with Market Technologies and hence am not trying to push their products.

 

[timaru69]

Vantagepoint rules

Ok couldn't add file so have copied here instead

Vantagepoint Trading System
Rules

System Vantagepoint by Market Technologies LLC

Style Proprietary Moving Average End Of Day Cossover System

Markets Commodities Financials
Coccoa 10 Yr T Note
Coffee AUD
Copper CHF
Corn Dow
Cotton EUR
Gold FTSE 100
Lean Hog GBP
Light Crude Nasdaq 100
Live Cattle Nikkei
Natural Gas USD Index
Orange Juice
Soybean
Sugar No. 11
Wheat

14 10 24
Note that this is a sample portfolio chosen from 43 possible markets. Other Markets excluded due to lack of liquidity and/or correlation

Starting Account $100,000

Max Risk Per Trade Unit (of account size) 2%

Risk Measure 1 ATR (20 day)

Risk Per Trade 1 ATR
Entry Rule
Enter trade at open on the day following the PTM cross with the TrndM. This cross to have occurred within 3 days of the PTM diff and PTS Diff having both moved out of 3rd and/or 4th Quartile to opposite direction, and Index in agreement with cross.

Trade Size Rule
Number of Contracts per trade = % Risk Per Trade Value/Value of 1 ATR
Example
Corn ATR = 8, ATR Value = 8 * $50 = $400
Risk per Trade Value = 2% * 100,000 = $2,000
Number Of Contracts = $2,000/$400 = 5 contracts (Roundown)

Total margin of all positions not to exceed 35% of the account
Exit Rules
Exit Trade when stop loss hit or on the day following a PTM and Trnd M cross.
Trailing Stop

Adjust Stop level when the PTS crosses the Trnds and/or when the Index changes value. Adjust stop to high/low point of previous days bar plus/minus 1 tick.

 

[timaru69]

Financial Markets

Financials
10 Yr T Note
AUD
CHF
Dow
EUR
FTSE 100
GBP
Nasdaq 100
Nikkei
USD Index

 

[timaru69]

Start Date

Will start posting signals from 25th July.

Cheers

 

[timaru69]

Sell September Corn

Ok first and only signal for today. (Monday 25th July)

Sell 5 September Corn Contracts at open. Stop at 7½ points away from entry. Total Initial Risk $1875.

I am thinking that the current trend is turning up and perhaps should wait for a long signal as opposed to taking this one against the trend, however this signal is based on the high probability set up as advised by Market Technologies so I will trade all of these types of signal.

I will be experimenting with different levels of ATR stops but will leave at 1 ATR at this stage.

If somebody can tell me how to post pictures to these boards then I will also attach the Graph and Vantagepoint report.

 

[timaru69]

OOPs, On Holiday

Hi all

Just realised that I will be on holiday for the next 7 to 10 days so it would be difficult to post the signals.

Therefore will start when I get back. (about 5th July)

Regards

 

[timaru69]

No signals for today

No vantagepoint signals today.

While a couple of crosses have occurred this in it itself only fulfills 1 of the conditions necessary to enter a trade.

Opened a corn position yesterday. Assume filled at open at 230½.

Off on holiday tomorrow for a week so will close this position at end of play today.

Will post signals when I get back from holiday.

Cheers

 

[timaru69]

Back from Holiday - No Vantagepoint signals for Mo

Hi

Ok back from holiday now so will start posting Vantagepoint signals for the selected markets.

Have reviewed charts from after close Friday and no Monday signals for the chosen markets.

Incidentally the Corn position would have been in profit if a 2ATR stop was utilised althought this would have only given us exposure to two instead of five contracts. Will continue to monitor this.

Am amending stop loss rule to greater of 1 ATR or 1 tick above/below the highest high /lowest low of the previous bar.

 

[timaru69]

Vantage Point Orders for 9 August 2005

Three trade signals today. All US traded contracts


1.Sell at open 3 September Nikki 225 (NKU5) contracts. Stop 105 pts from entry price

2. Sell at open 3 October Live Cattle (LCV5) contracts. Stop 1.35pts from entry price.

3. Sell at open 4 September Coccoa (CCU5) contracts. Stop 40 points from entry price.

All signals met all of the necessary trade conditions.

i.e

PTM cross
Index in direction of price (1 up 0 down)
PTM and PTS diff moving sharply down within 3 days prior to PTM crossover.

Fingers crossed

Cheers

 

[timaru69]

Vantagepoint Orders for 10th August

One new order today

Sell 1 September High Grade Copper (HGU5) contract at open with a stop 4.65 points away.

This is a wide stop based on the high of the previous days bar rather than 1 ATR. This of course means that our position size will be a lot smaller.

Remember that these orders and positions are based on a starting account of $100k.

Stopped out of Nikkei position yesterday. Live Cattle and Coccoa positions have open P&L of just over $1,000 between them. Closed P&L ($3,706). Total ($2690) including commission.

Commission assumption is $32 per round turn per contract.

 

[timaru69]

Vantagepoint Signals 11 August

Hi all

Two signals for today

1. Sell 2 October Lean Hog (LHV5) contracts at open. Stop Loss 2 points above entry price.

2. Sell 6 October Sugar No.11 (SBV5) contracts at open. Stop Loss 28 ticks above entry.

No other adjustments to open trades.

 

[timaru69]

Vantagepoint Signals 12 August

Hi

Only one signal today

Buy 4 September 10yr T Note (TYU5) contracts at open. Set stop loss 25 ticks below entry.

Note: Position size calculated on an account size of $100k and 1 ATR vol/or last high low depending on which is greater.

No changes to other positions

 

[timaru69]

Vantagepoint signals for Monday 15th August

Only one trade today.

Buy 1 September Copper contract (HGU5) at open with stop set 6.1 points below entry.

Once again a wide stop hence only one contract.

P and L to COB Friday 12 August

Open $5188
Closed ($4913)
Total $275


Commission included at $32 a RT.

Note I made a typo in posting Friday's signals. The TYU5 position should read 3 contracts not 4.

 

[timaru69]

Vantagepoint signals 16/8

No signals today

Stopped out of a Lean Hog position yesterday.

No adjustments to open trades.

 

[timaru69]

Vantagepoint signals 17/8

No signals today

No adjustments to open positions

Current P&L to date approx $2k including commissions.

 

[timaru69]

Vantage Point signals 18/8

Some new signals and adjustments to open positions

1. Adjust TYU5 stop to 110.36

2. Adjust LCV5 stop to 81.00

3. Adjust SBV5 stop to 987

New Signals

1. Sell 1 September Eur FX contract (ECU5) at open . Stop 91 pips above entry.

2. Sell 1 September FTSE future at open. Stop 83 ticks above entry.

 

[timaru69]

Vantagepoint signals 19 August

Hi all

Some new signals and one adjustment to stops on open positions.

Adjustments

1. Adjust CCU5 stop to 1365

New Signals

1. Sell October Natural Gas (NGV5). The risk for this trade breaches our rules so I will not place this trade.

2. Sell 1 September Swiss Franc (SFU5) at open. Stop loss 101pips above entry.

3. Buy 1 September USD Index contract at open. Stop Loss 127pips below entry.

Once again the risk for each trade means we can only trade 1 contract of SF and DX and none for NG.

P&L to date including commission $935

 

[timaru69]

Vantagepoint Signals 22 August 2005

New Orders

1. Buy 2 October Live Cattle (LCV5) contracts at open. Stop Loss 2.35pts away from entry.

2. Sell 3 October Gold contracts (GCV5) at open. Stop 6pts above entry.

No adjustments to open positions

Total Net P&L to date Loss of $609.

 

[timaru69]

Vantagepoint signals for 23 August

No signals or adjustments to open positions for today.

 

[timaru69]

Vanatgepoint Signals 24 August

One new signal today.

Buy 4 December Coccoa (CCZ5) contracts at open and place stop loss 39 ticks below entry point.

This is a trade that only just passes the three requirements but I will take it regardless.

I have also been looking at using the projected 2 day moving average for entry instead of the 4 day. Will monitor and post results on trades to date but will continue with 4 day projected MA for at least three months.