Securities Trading from Both Sides of my Brain: 2009

Thursday, December 31, 2009

QuantifiableEdges Best of 2009

Todd Hanson: An Introduction to Mastering Forex

Dr. Todd Hanson is the head of forex trading at Team Trading LLC.

The following is a MoneyShow video of Todd giving an outline of the Team Trading Forex program and some of the trading strategies within the program:

Todd Hanson: An Introduction to Mastering Forex

Wishing everyone a happy, healthy and prosperous new year.

Wednesday, December 30, 2009

Oliver Velez: Alcoa (AA) the next double

Oliver Velez is the founder of Team Trading, LLC, where I am a proprietary equity and forex trader. Here is a recent video where he describes an upcoming play in Alcoa (AA):

Off Topic: Inspired Bicycles - Danny MacAskill April 2009

Thursday, December 24, 2009

12/24/2009 9:30 am update: NQ, 'XMany'

i follow a few 3rd party oscillators...on a variety of time frames from intraday to weekly, they are now showing overbought conditions...the NQ is also trading into upper trend channel resistance...
though my 'XMany' model is on a buy signal, i decided to exit my current position into this morning's gap up...
i will be looking to get back into the 'XMany' position if the NQ sells off or bases for a few days...

***remember this is an illustration of what i am trading and my thinking...it is not a recommendation for you or anyone else to buy or sell this or any other security...trade at your own risk ***

Wednesday, December 23, 2009

ECRI: 'Recovery and Jobs Growth are Underway'

"...the very literal near-term reading is that we have a recovery. It is not going to falter in the next few quarters, deflation is off the table, and we don’t have surging inflation in terms of consumer prices. For the time being, that’s not a bad position to be in..." -Lakshman Acuthan, 12/22/09

Financial Transaction Tax

the financial transaction tax is getting some more play...
my cpa, robert green, has updated his petition to congress to stop the tax...
please contact your congressional reps to voice your opposition to this tax...

Tuesday, December 22, 2009

12/22/2009: 10:45 am update: 'XMany', NQ, ES, EMD, TF

some of the major indices have finally broken out (to the upside) of the recent ranges: NQ and EMD...
though some are still banging their heads at resistance: ES and TF...
i believe ES and TF will follow the NQ and the EMD to the upside...
this run could last until the first few days of january...

my 'XMany' model gave a long entry signal last night for the NDX...this model is based on the seasonal bullish tendency surrounding the christmas and new year holidays...
rob hanna over at quantifiable edges, posted a study based on bullish behavior surrounding the xmas holiday....
based on my 'XMany' signal, yesterday i went long the NQ at 1826.25...there is a money management stop (currently around 1773.00) and a trailing stop (much lower)...if neither of these stops are hit, the position is due to be exited on the close of tuesday january 5, 2010...
here is the equity curve (each trade is made with a theoretical $100,000 worth of capital):

'XMany' Model Performance Stats

Model Tracking Vehicle=NDX
Start Date=11/1/1985
Profit Factor=5.74
Number of Trades=24
Win Rate=71%
Average Trade Return=2.70%
Average Winning Trade Return=4.62%
Average Losing Trade Return=-1.95%
Ratio of Average Win/Average Loss (RAWAL)=2.37

Disclosure: The performance results shown above are for Model analysis purposes and do not include commission or slippage. The model is built on data from the NDX, but I trade the model with the NQ e-mini. Actual trading results from the NQ usually differ from the model results of the NDX, with the NQ showing slightly weaker performance data.

Disclosure: Long NQH10.

***remember this is an illustration of what i am trading and my thinking...it is not a recommendation for you or anyone else to buy or sell this or any other security...trade at your own risk ***

David Brooks: The Protocol Society

Thursday, December 17, 2009

12/17/2009: NQ, ES, XLF

well wednesday's FOMC rate announcement did not act as a catalyst to move the NQ and the ES above resistance...instead it led to selling on wednesday and on thursday...
so the major indices remain mired in a narrow 6 week base...
feels like the bulls want to get going for an end of year ramp, yet the bears keep beating the advances back...
with the selloff in Citigroup today, the bank index (XLF) keeps on dripping lower towards support...contrary dynamic with the XLF trading towards the bottom of its range while the ES trades towards the top of its range...
one way or another, i think we will see a move out of this range by the second week of january...

***remember this is an illustration of what i am trading and my thinking...it is not a recommendation for you or anyone else to buy or sell this or any other security...trade at your own risk ***

Tuesday, December 15, 2009

12/15/2009

the NQ and the ES 'feel' like they want to break above their current resistance levels (NQH10 around 1815 and ESH10 around 1115)...
with positive historical december opex week, and positive end of december seasonality, tomorrow's FOMC rate announcement at 2:15pm might be the catalyst to get the indices over these levels...
if they do pop, i can envision them running up around 2-4%...
however, many of the short term and intermediate term oscillators i follow are getting overbought, so i believe a smallish upside break in mid to late december will lead to a larger downside move sometime in january...
for a discretionary swing trade, i will probably be looking to get long the NQ after the january move down...i am not sure if i will play a decemeber break above resistance to the longside in the NQ as a discretionary swing trade...
my systemic swing trading models continue to get chopped up...
i believe i may have found a setup and money management strategy that fits my personality over at 'team trading' (fka velez capital managment, llc)...i have been working on it for the past few weeks and have seen some positive results...still, there is much work to be done here...
additionaly, i have joined the forex division of 'team trading' led by dr. todd hanson, and am currently going thru the initial 7 day training...
lots of juggling right now: systemic swing trading the u.s. stock indices for my account, discretionary swing trading the NQ for my account, discretionary daytrading u.s. equities for my prop account, and discretionary/systemic swingtrading/daytrading forex for my prop account...yes, my head is spinning a bit...
good trading to everyone!

Sunday, December 13, 2009

NY Times: Mortgage Rates 1900 - 2009

Friday, December 11, 2009

Break Time 2: Eminem's 'Lose Yourself'

this one gets me pumped...

Break Time 1: "Bridge Over Troubled Water" - 25th Anniversary The Rock & Roll Hall Of Fame Concert

i was really moved by this performance, especially the end...art really belted it out...

Wednesday, December 9, 2009

12/9/2009 NDX OU generated an entry signal for today's close.

My 'NDX OU' systemic trading model generated an entry signal for today's close. The NDX put in an outside upside day today. In other words, today's low was lower then yesterday's low, and today's close was higher then yesterday's high. There are two additional filters as well.

The dynamic stop is currently set to 0.90%. If this stop is not hit, then this position is due to be exited on Friday's close. This model was recently rebuilt, and this is the first trade of the new build. The historical equity curve is shown above.

Model Performance Stats:

Model Tracking Vehicle=NDX
Start Date=11/1/1985
Number of Trades=71
Average Trade Return=0.66%
Win Rate=68%
Ratio of Average Win/Average Loss (RAWAL)=1.74
Profit Factor=3.62

Disclosure: The performance results shown above are for Model analysis purposes and do not include commission or slippage. The model is built on data from the NDX, but I trade the model with the NQ e-mini. Actual trading results from the NQ usually differ from the model results of the NDX, with the NQ showing slightly weaker performance data.

Disclosure: Long NQZ09.

***remember this is an illustration of what i am trading and my thinking...it is not a recommendation for you or anyone else to buy or sell this or any other security...trade at your own risk ***

12/9/2009 NQ update: nothing happening

i use a variety of indicators and oscillators to provide an edge in what direction to trade a discretionary swing position in the NQ....right now nearly all of the indicators/oscillators i look at are neutral...
i have not been in a NQ discretionary swing position since the begining of thanksgiving week...
i am proud of my patience...

***remember this is an illustration of what i am trading and my thinking...my trading plan may change without notice...this is not a recommendation for you or anyone else, to buy or sell this or any other security...trade at your own risk***

Tuesday, December 8, 2009

David Brooks: An Innovation Agenda

Monday, December 7, 2009

ECRI: More frequent business cycles ahead

Monday, November 30, 2009

11/30/2009 update: i have lost my feel for this market

i have lost my feel for this market...
in addition to getting out of my 'turkey long' position on thursday (which would have stopped out on friday), i got chopped up in 3 additional discretionary day/swing trades on friday/monday...
i have little confidence in an up or a down move sticking...
since i have such low confidence, i am going to be very picky in establishing any discretionary swing trading positions or taking any systemic trading entry signals...
i have no positions...
congrats to anyone who has made money over the past few days with a plan that is reproducible...

Friday, November 27, 2009

Stop the proposed Financial Transaction Tax

the proposed financial transaction tax continues to get some play in congress...now, paul krugman has jumped on board too...some politicians want wall street to pay for main street's recovery, so they want to tax any purchase of a financial asset and any sale of a financial asset at 0.25%...this would be 0.50% per round trip...$500 tax per $100,000 round trip...
this would put me and most of the trader's i know out of business...
short term traders provide liquidity and price discovery to all market participants...
the traders i know did not cause this mess, so why penalize us?
i am not responsible for the near collapse of the financial system, so it is not fair that congress's solution to paying for the cleanup is too tax me out of my job...
the congressional stimulus packages of the past few years are meant to help put people back to work...i am all for that...but how is taxing me out of my job going to help achieve this objective?
this tax would not just hurt shorter term traders, but longer term investors too (401k, 403b, IRA, etc)...
my cpa, robert green, put together a petition to help stop this tax...please click on that link to contact your congressional reps and tell them not to pass this bill...i did...
in addition to emailing my congressional reps (both house and senate), i also paid to have my three letters printed and hand delivered to them...supposedly this has a bigger influence then just emails...it only cost $9...
we have to stop this tax...

Thursday, November 26, 2009

11/26/2009 Thanksgiving Day Surprise: Dubai World defaults, sends global equity markets lower

Dubai Debt Fears Hammer Stocks
Dubai's Move on Debt Rattles Markets Worldwide
who wants to trade on thanksgiving day? in order to manage risk, i had to...
the money managment stop for the NQZ09 on my 'Turkey Long' model is 1749.00...however this stop is only good for the regular trading sessions of wed and fri of thanksgiving week, and on the following monday's open...
well, upon seeing the dubai news and the major u.s. indices down around 2% on this thanksgiving morning, and recognizing that this type of headline has the capacity to get the bears all fired up, i called an audible and i sold my NQZ09 position (proxy for the 'Turkey Long' model) this morning at an avg price of 1760.58...
this trade: -22.34 NQ points/contract, 3 contracts closed...
the low of the wed night session in the NQ was 1746.50...if i was using overnight stops, i would have been stopped out at 1749.00...
i am glad i closed my discretionary NQZ09 swing long yesterday...
who knows how the NQ will trade during the regular friday day session...another headline release could come out and if percieved positiviely, could send the NQ back up to 1800...
or another headline release could come out and if percieved negatively, could send the NQ down to 1700...
in this environment, my sense is that the NQ may head lower...
we shall see by monday's open if my early sale was prescient or stupid...
since july, my systemic trading models have continued to fail, pushing their drawdown to 15+%...they performed exceedingly well during the 60% equity market collapse from the fall of 2007 through the spring of 2009...but since july, they have been awful and it has been a frustrating experience trading my systemic trading models...
if the market continues to selloff, i will like to get back in for a discretionary swing trade...however, i do not know what level a selloff my bring the NQ down to, so right now i am not bidding for it...i will be watching though, and if i see a setup i like, i will begin to establish a discretionary swing long...

Wednesday, November 25, 2009

11/25/2009 3:15 update: NQ

well its 3:15 on wednesday of thanksgiving week, and the major stock indices are green, with the mid caps (EMD) leading up around 1.00%, the small caps (TF) lagging up about 0.10%, ES up about 0.50% and the NQ up about 0.40%...
the ES has been leading the charge lately, and continues to bang its head on the 1110ish resistance level, while the NQ made its high last wednesday around 1813 and is now having a hard time moving beyond the 1800 whole number...
though the friday after thanksgiving tends to be bullish, i am long the NQ via two strategies (discretionary swing trade and 'Turkey Long')...i am concerned that if the ES can not break above 1110ish on friday, then the NQ may have already peaked...i want to reduce some exposure and lock in some gains, so instead of holding the discretionary swing trade until the offer of 1807.50 is hit, i decided to sell it today at 1794.00 into the end of day runup...
this trade: +12.50 NQ points/contract, 1 contract closed...
i am still long 3 NQ contracts via the 'Turkey Long' model...if the money management stop is not hit, this trade is due to be exited on monday's open...however, if there is a big pop in the NQ on friday or during the sunday night session, i may scale out of it ahead of the monday morning model exit...

Disclosure: Long NQZ09.

***remember this is an illustration of what i am trading and my thinking...my trading plan may change without notice...this is not a recommendation for you or anyone else, to buy or sell this or any other security...trade at your own risk***

Tuesday, November 24, 2009

11/24/2009 8:15 pm update: 'Turkey Long', NQ

first off, happy thanksgiving to all of my u.s based readers....
my 'Turkey Long' systemic trading model generated a long entry at today's close in the NDX...
this model is based on the NDX historical trading behavior surrounding the Thanksgiving holiday...
the model goes long on the close of tuesday of thanksgiving week, and if the money management stop is not hit, then the model exits the trade on the following monday's open...
currently the stop is around 2.00%, and may vary a bit as it is influenced by the recent average true volatitlity in the NDX...

here are some performance stats for this model:
Model Tracking Vehicle=NDX
Start Date=11/1/1985
Number of Trades=24
Average Trade Return=1.39%
Average Winning Trade Return=1.57%
Average Losing Trade Return=-0.55%
Win Rate=92%
Ratio of Average Win/Average Loss (RAWAL)=2.87
Profit Factor=31.55
this model has been hugely profitable over its lifetime, though the last few years the model has essentially been flat...perhaps the bullish tendency of the trading days surrounding the thanksgiving holiday are so widely known, that a critical number of market participants act on this tendency before hand and the edge has been neutralized...
in any case, i am long 3 NQZ09 contracts for this model...i picked up 2 of the contracts during the trading session, and picked up the third at the 4pm close...avg entry price is 1782.92

as far as the discretionary swing trade in the NQZ09, i am still long 1 contract at 1781.50...
i continue to offer this contract out at 1807.50...if the bullish tendency surrounding the thanksgiving holiday plays out, i believe there is a good chance this order will fill by monday morning...
no bids for more of the NQ at this time...however, if there was a decent selloff over the next few days, i will probably pick some more of the NQ up...

Thursday, November 19, 2009

11/19/2009 3:30 pm update: NQ

what a mess...
my discretionary swing trading tendency to always be long at least 1 contract, especially near the top of the daily upper trend channel is costing me too much money...
earlier in the week i even considered buying some puts on the QQQQ's to hedge my exposure, but i didn't...
i have worked my avg price in the NQZ09 down from 1809.00 to 1781.50, though it cost me too much to do so....
as i mentioned earlier, i added a 2nd contract at 1791.50, and then during the day session i added a 3rd contract at 1770.25, bringing my avg cost to 1790.25...
i was stopped out on the 3rd entry at 1763.75...
this trade: -26.50 NQ points/contract...
i added a new 3rd contract at 1764.00...this brings my avg cost to 1781.50...
i sold this one at 1772.50...
after the NQ rallied into the low 1770's, i placed an OCO with a target to 1776.50 and a stop at 1769.50...the stop was hit...
this trade: -12.00 NQ points/contract...
today: -15.83 NQ points/contract, 3 contracts closed...
still long 1 NQZ09 at 1781.50...
offering this out at 1807.50...
no current bids...
i think i have been overly influenced by the strong rallies of the summer and early fall...this has led to a fear of missing more of the up move...combined with an approach that has me getting bigger on moves down to work my avg cost lower, i am finding that this has led me to be overweighted the NQ during moves down, and relatively underweighted the NQ during moves up...
i gave back a moderate amount of my summer and early fall discretionary swing trading profits, during the late october downdraft and during today's swoosh down...
while i am still net profitable trading the NQ, i need to rethink my overall approach to swing trading the it on a discretionary basis...
entering with some size when the swing begins, and then lightening up towards the top of the trendchannel and/or into resistance sounds like a much better plan...

11/19/2009 9:00 am update: NQ

i added a NQZ09 contract at 1791.50 during the premarket selloff...
long 2 NQZ09 @ avg 1800.25/contract...
i am recognizing that i have a tendency to nearly always have some long exposure to the NQ...i think this stems from a 'fear of missing' pyschological mindset that gets applied to my NQ discretionary swing trading...i also think its related to my belief that i can work my avg price down sufficiently enough to weather an averaged size downdraft...
but what if the downdraft is not average sized, or suggests that intermediate term trend is changing from up to sideways or even down?
i believe i need to re-evaluate how i trade the NQ discretionary swing position when the NQ is trading near its upper trendline/resistance...
i am open to the possibility of an end of year melt up in the NQ and the ES...
i am also aware of the bullish thanksgiving seasonality for the NDX from the close of next tuesday thru the open of the following monday...i even have a systemic trading model (Turkey Long) that will get me long the NQ for that time frame...
however, i am becoming increasingly concerned that we may see a selloff in the NQ over the next days or after the thanksgiving bullish seasonality passess...
if the NQ does head lower into tuesday of next week, i think the 1750 area is a reasonable target...ES may test the 1070 area...
the 1700-1725 area on the NQ may be a reasonable target if there is a post thanksgiving selloff...
i am going to be reducing my risk by my lowering my avg price and looking to add more of the NQZ09 at lower levels...
offering out 1 contract at 1798.50 and 1811.50...
no bids at this time, but i will be watching and waiting for a good long setup...

Wednesday, November 18, 2009

Off Topic: Thomas Friedman's 'What they Really Believe'

Tuesday, November 17, 2009

11/17/2009 1:30 pm update: NQ

yesterday morning, lunch and early afternoon looked like a trend day, so i moved my limit order up and got in at 1809.00...
NQZ09 then ran up to a new high on the day, but sold off into the close...
offering this contract out at 1828.50...
bidding 1776.50 for one contract...
lately, i have been putting in a lot of effort building my discretionary daytrading skills at team trading (fka velez capital management)...i am happy to report i am seeing some progress on this front...
my focus on discretionary daytrading has led to a decrease in posts and market commentary on this blog...i am looking forward to when i can post here more frequently...
i hope everyones trading is going well...

Sunday, November 15, 2009

11/15/2009 8 pm update: NQ

the NQZ09 offer i placed on wed 11/11 for 1797.50, was filled during tonights session...
this trade: +18.75 NQ points/contract, 1 contract closed...
on the above chart, tradestation is not showing the trade history correctly...the chart reports i still have 1 open NQZ09 contract when in fact i am flat the NQZ09...

currently bidding for 1 contract at 1753.50, just above the rising 200ma on the 15M chart and at 1717.50...
i am also bidding for 1 contract at 1785.00...if this order is not filled during the rest of the overnight session, then i may change it during monday's regular session...

Wednesday, November 11, 2009

11/11/2009 4:00 pm update: NQ, Narrow Bar NDX #11

picked up a NQZ09 contract at 1778.75...i was not patient enough for my 1773.50 bid to be hit...the low of the swing was 1772.00
offering this contract out at 1797.50...
bidding 1745 and 1717.50...
added a newly built Narrow Range Bar systemic trading model for the NDX called 'Narrow Bar NDX #11'...
this model is unique for me because its stop is extremely tight: 0.10% below the entry price...
because the entries are made at the close of the day the signal is generated, the model will stop out essentially on any gap down the following day...
due to this type of stop, i will be trading this model with a minimal amount of NQ contracts (1-2) as opposed to my usual position size for NDX systemic trading models (3-6 contracts)....
starting from 11/1/1985, the model generated 324 trades, has a win rate of only 27%, but the RAWAL (Ratio of Average Win divided by Average Loss) is 7.01, which yields a Profit Factor of 2.57...
this model replaces the 'Narrow Bar #1 NDX' model...that model was built using a 'Range' filter when it should have been using a 'TrueRange' filter...
the equity curve for the new model is below:

Disclosure: Long NQZ09.

11/11/2009 9:30 am update: NQ

with the ES gapping up to the 1100 resistance level during the pre-market, i sold my only NQZ09 contract at 1785.75...i was originally targeting 1796.50, but i think the ES and the NQ might stall for a bit or head down at the ES 1100 level...
this trade: +19.25 NQ points/contract, 1 contract closed...
bidding at 1773.50, 1743.50 and 1717.50...

Tuesday, November 10, 2009

11/10/2009 4:15 pm update: NQ

picked up 1 NQZ09 at 1766.50 during this morning's pullback...
offering this contract out at 1796.50...
i am working on holding my NQZ09 discretionary swing trading contracts for larger swings than i had been targeting while trading during the july through october period...
bidding 1743.50 and 1717.50 for additional contracts...

Sunday, November 8, 2009

11/8/2009 8:30 pm update: NQ

sold my only NQZ09 contract at 1736.50 around 8:15pm during the sunday overnight session...
this trade: +22.50 NQ points/contract, 1 contract closed...
bidding for 1 NQZ09 at each of the following levels: 1721.50, 1702.50, 1657.50...
no offers at this time..

TraderFeed Blog: Heart Rate Variability (HRV): Enhancing the Trader's Self Control

From Brett Steenbarger's TraderFeed blog: Heart Rate Variability (HRV): Enhancing the Trader's Self Control

Friday, November 6, 2009

11/6/2009 9:45 am update: NQ

picked up 1 NQZ09 pre-market at 1714.00
offering this contract out at 1736.50...
bidding 1696.50 and 1657.50

Trader's Narrative Blog: End of Year Seasonality After 10% Gain Study: Bullish Nov 1 - Dec 31 2009

Trader's Narrative Blog: End of Year Seasonality After 10% Gain Study: bullish implications for Nov 1 - Dec 31 2009

Thursday, November 5, 2009

'BTD Index' generated an Exit Signal for Today's Close, 11/5/2009: books first loss (about 1 point) after 6 winning trades in a row.

'BTD Index' generated an exit signal today, booking about 1 point loss...
after 5 winning trades in a row since june, and 6 since 12/07, there was bound to be a loser...however, 1 point is nothing to worry about...
the equity curve is essentially at its all time high...
i trade this model with the NQ...i was supposed to wait until the 4pm close to exit this trade, but today i exited during the morning ramp up, thinking that the am strength would not hold...the early exit was at 1713.75, and the 4pm closing exit would have been around 1719, so i missed out on about 5 NQ points here...

11/5/2009 4:15 pm update: NQ

tone of the market felt very different today, it felt very bullish...
on the heals of a bearish close yesterday, and without any major news catalysts, the NQ rallied up from an overnight low of 1670ish to a day session high of 1720ish, a 50 point spread...
market sees a lot of buying ahead of the jobs report tomorrow morning pre-open...
are the bulls coming back, or did the bears step away?
the NQ did pull back from its morning highs, but not the 1% i was looking for....
still flat the NQ...
my recent near term bearishness has led me to reduce my long biased position size...ironically, this is occuring right around the time the NQ has started to show some increased bullishness, and provided some opportunities to pick up some NQ on recent dips...perhaps this is only knowable in hindsight...
today's action is reducing some of my near term bearishness...
because of today's relative bullishness, i will be bidding a bit more aggresively for the NQ: 1 contract at 1703.50, 1682.50 and 1657.50...
i am hoping for weakness off tomorrow's jobs report...
if the market shows strength after the jobs report, i will look to buy a pulback...

11/5/2009 10:45 am update: NQ

so much for my thought yesterday t hat the NQ would see a narrow range day with a downside bias today...
now, with the ES trading up to the flat 200ma on the 60M chart, and the NQ trading up to the flat 200ma on the 60M chart, and just past the 10:30 rt, with the financials lagging and tomorrow's pre-open jobs report, i sold the last NQZ09 at 1718.25...
this trade: +32.46 NQ points/contract, 1 contract closed...
i was trying to hold until 1725, but i just couldn't...
i might look to buy this contract back later in the day just above 1700...
i think we will see a meaningful selloff of at least 1% sometime later today...
no current offers or bids...

Wednesday, November 4, 2009

'Halloween' systemic trading model generates a loss.

my 'Halloween' model posted a long entry signal on the close of trading on wed 10/28/2009...
this model is based on the historical bullish trading behavior of the NDX during the last few days of october thru the first few days of november...
unfortunately, the model's money management stop was hit on monday 11/2/2009...
the theoretical trade loss was 1.39%...
since i was already long a bunch of NQZ09 for a discretionary swing trade, i did not take the entry signal on wed 10/28...however, on monday 11/2/2009, i did enter a small position in the NQZ09 just above the model's stop....i was stopped out, but only for 3.75 NQ points (-0.24%)...

'SPY Gopher' generated an Exit Signal at the Close on Monday 11/2/2009

on monday 11/2/2009, 'SPY Gopher' generated an exit signal...
the model's theoretical position posted a 2.41% loss, which is a bit greater than the average losing trade (1.79%)...
the actual trade (ESZ09) posted a 1.54% loss...i exited a portion of the position early, which turned out to be favorable...
this is the second loss for the model in a row...
'end of month/begining of month' weakness has been a theme for a few months now (august/sept, sept/oct, oct/nov) in the SPY/ES...

Research Project List

adding this to my Research Project list: BDO: Breadth Divergence Osicllator by CSS Analytics
check Andromeda and Pegasus systems on intraday timeframes for ES and NQ

11/4/2009 3:30 pm update: NQ

i suspect tomorrow will be a narrow range day, with perhaps a downward bias as market participants await the friday jobs report...
a re-analysis of where the NQZ09 is at, plus weak financials and weak small caps, led me to let go of the just added contract...
sold 1 NQZ09 at 1695.75...
this trade: +9.96 NQ points/contract, 1 contract closed...
today: 8.19 NQ points/contract, 2 contracts closed...
long 1 NQZ09 at 1685.79...
offering this contract out at 1725.00
bidding for 1 contract at 1661.50...
if market participants do not like the friday payroll report, that could be the catalyst to send the NQ to 1600ish and the ES below 1000 over the coming few weeks....

11/4/2009 2:45 pm update: NQ

during the post FOMC flurry down, i picked up 1 NQZ09 at 1683.25...the low of that swing was 1682.25...
now long 2 NQZ09 at avg 1685.79...
resistance for the rest of the day is at the whole number 1700.00
offering 1 out at: 1707.50 and 1725.00
bidding for 1 at 1661.50...

11/4/2009 11:30 am update: NQ

heading into 10:30 rt, just below the 1700 whole number, and below the declining 200ma on the 15M chart, i lowered the NQZ09 1705 offer to market, and was filled at 1694.75...
the high so far for the morning was 1700 even...
this trade: +6.42 NQ points/contract, 1 contract closed...
if i am going to hold multiple contracts on a move against me, i have to get better at holding multiple contracts when the move goes in my favor...
i only have 1 more NQZ09 contract (avg entry is 1688.33)...my current target is 1725.00...if i were to hold for this target, that would be +36.67 NQ point profit...
before i can get good at holding multiple contracts that are going in my direction for a discretionary swing trade, i have to get good at holding 1 contract....this contract will be my practice...i am a bit better at holding multiple contracts for systemic swing trades that are going in my favor...
bidding at 1682.50 and at 1657.50...
FOMC announcement at 2:15 could shake things up...
i am still wary of the intermediate term, and would not be surprised if the NQ dropped to the 1600 level and the ES drop to 980ish before thanksgiving...this is not a prediction, just a possibility....
i am still bullish longer term...

Tuesday, November 3, 2009

11/3/2009 9:30 am update: NQ

yesterday morning, i sold 1 NQZ09 at 1683.50...
that trade: -4.87 NQ points/contract, 1 contract closed...
offering 1 contract at: 1705.00 and 1725.00
no bids....
long 2 NQZ09 at avg 1688.33...
not sure if the NQ and the ES need to selloff more before a more sustained rally...
not sure if that rally will take the NQ and the ES to new swing highs...
i am uncertain as to the probable near term direction....if i had to make a decision, i would say we go lower before we go higher...
i am still bullish longer term....

Disclosure: Long NQZ09.

***remember this is an illustration of what i am trading and my thinking...my trading plan may change without notice...this is not a recommendation for you or anyone else, to buy or sell this or any other security...trade at your own risk***

Monday, November 2, 2009

11/1/2009 9:45 am update: NQ

thursday's rally helped me lighten up on the NQZ09 discretionary swing position...
i sold another NQZ09 contract on friday morning pre-open at 1706...
this trade: -22 NQ points/contract...
i added another contract during friday's day session at 1683.50...
i also added another contract during sunday's overnight session just above the session low, at 1653.50...
i am now long 3 NQZ09 at avg 1688.33...
offering out 1 contract at the following levels: 1683.50, 1705, 1725...
no current bids...

Thursday, October 29, 2009

10/29/2009 9:15 am update: NQ

i am using this morning's rally to lighten up the NQZ09 discretionary swing position...
the losses are painful, but capital preservation is a must...
i still envision new swing highs in the NQ and the ES perhaps by the end of 2009, and an even higher liklihood by the end of Q1 2010...
however, due to the persistent downtrend of the past 4 days, the intermediate term may have changed...
at the close of trading yesterday, the discretionary swing trading position was long 5 contracts at avg 1728.00...
first trade: exited at 1687.50: -40.50 NQ points/contract...
second trade: exited at 1696.50: -31.50 NQ points/contract...
i will be looking to add more contracts at lower levels, however i am not sure what those levels are yet...
offering 1 contract out at the following levels: 1707.50, 1716.50, 1725.00

Wednesday, October 28, 2009

10/28/2009 6 pm update: NQ

had to go to the gym to work off all of the stress!
what an ugly day for the bulls...
a lot of studies i follow were suggesting a bullish setup for today, but we got quite the opposite...
i added a 5th NQZ09 contract at 1695.75, bringing my 5 contract avg to 1728.00
on two separate occassion later in the day, i went long a 6th contract, with a tight stop below the entry...both of these entries were stopped out...
first stop out: -5.00 NQ points/contract, 1 contract closed...
second stop out: -8.00 NQ points/contract, 1 contract closed...
today's trades: -6.50 NQ points/contract, 2 contracts closed..
this represents the rare discretionary swing trading day with a realized loss for me...
however, i am sitting on some significant unrealized losses in the 5 contract NQZ09 position...
if the NQZ09 continues to head lower, i plan on adding more contracts, with relatively tight stops...
there will be a bounce at some point, and i will use that bounce to lighten up on my position, and if we then head lower, to lower my avg entry price...
even if we have put in an intermediate term top, i still envision the NQZ09 rallying back up into the low to mid 1700's within the next few weeks...
i continue to remain bullish longer term, and believe that if we don't see new swing highs by the end of 2009, we will see them by the end of Q1 2010...

10/28/2009 10:10 am update: NQ

more weakness this am...
added a 4th NQZ09 contract at 1708.00 to my discretionary swing long position...
this brings my 4 contract avg to 1735.06...
offering out 1 contract at the following levels: 1733.50, 1745.00, 1757.50, 1767.50
no bids at this point...
my 'Halloween' systemic trading model is scheduled to generate a long entry signal for today's close, so i am reserving some buying power for that...
XLF showing rw, SMH showing rs...
i have been adding to my discretionary swing long position in the FAS...

Disclosure: Long NQZ09, Long FAS.

***remember this is an illustration of what i am trading and my thinking...my trading plan may change without notice...this is not a recommendation for you or anyone else, to buy or sell this or any other security...trade at your own risk***

Tuesday, October 27, 2009

10/29/2009: 'BTD Index' generated an Entry Signal for Today's Close.

'BTD Index' generated an Entry Signal for Thursday's Close, 10/27/2009. This is another one of my favorite models. The last six trade's from this model were profitable, each one generating a new high for the Equity Curve. The last five have occurred since this past June.

The premise of the model is mean reversion, such that when the NDX is in a longer term uptrend, buy the shorter term dips. Clearly defining the 'longer term uptrend', the 'shorter term dip', as well as the price target exit and the money management stop (which is time based, not price based), is key to this model's success.

Here are some of the model's Performance Statistics:

Model Tracking Vehicle=NDX
Start Date=11/1/1985
Number of Trades=124
Average Trade Return=1.70%
Average Winning Trade Return=2.71%
Average Losing Trade Return=-2.51%
Win Rate=81%
Ratio of Average Win/Average Loss (RAWAL)=1.08
Profit Factor=4.51

The Average Winning Trade is just a bit more than the Average Losing Trade (RAWAL=1.08), but this model generates 81% winners.

Historically, this model has incurred a very high open and closed trade drawdown (20% and 12% respectively). This drawdown is so high, that I will only trade a small position when an entry signal is generated. At 4pm today, I went long 1 NQZ09 contract at 1719.25.

Disclosure: The performance results shown above are for Model analysis purposes and do not include commission or slippage. The model is built on data from the NDX, but I trade the model with the NQ e-mini. Actual trading results from the NQ usually differ from the model results of the NDX, with the NQ showing somewhat weaker performance data. Nonetheless, I still trade this model with the NQ and when executed according to the plan, it has generated consistent profitability for me.

Disclosure: Long NQZ09.

***remember this is an illustration of what i am trading and my thinking...my trading plan may change without notice...this is not a recommendation for you or anyone else, to buy or sell this or any other security...trade at your own risk***