7/31/2009 morning update

• i made one additional NQ swing trade yesterday...after the morning run up and then selloff into the midday hour, i went long, with a tight stop under the noontime base and a target around the high of the morning...the position was stopped out for a loss of 4.5 points...
• this loss reduces the net discretionary NQ swing trading gain for the past week from 59.5 points/contract to 55 points/contract...

'SB IDX' generated a Long Entry Signal for Thursday 7/30/2009's close

'SB IDX' generated a Long Entry Signal for Thursday 7/30/2009's close. This model is based on the trading behavior of the IDX over the past X number of days. It is due to be exited at today's (Friday's) Close unless its Money Management Stop is hit intraday.

As we can see from the Equity Curve chart shown above, the model is currently trading at it's all time high.

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=IDX
• Start Date=7/1/1994
• Number of Trades=48
• Average Trade Return=0.44%
• Average Winning Trade Return=0.79%
• Average Losing Trade Return=-0.61%
• Win Rate=75%
• RAWAL (Ratio of Average Win/Average Loss)=1.29
• Profit Factor=3.86

When building and testing the model, the out-of-sample test results were actually better than the in-sample construction results. Since I started trading this model in the fall of 2007, all of the trades (6) have been profitable, further enhancing the notion that this model is very robust. There is also a version for the SPY ('SB SPY') and the the NDX ('SB NDX'), though neither of them generated an entry signal on Thursday's close.

A strength of the model is the win rate of 75%. A weakness of the model is the Money Management Stop can be pretty high, currently 2.6%.

Disclosure: Long the EMDU09.

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 IDX, but I trade the model with the EMD e-mini. Actual trading results from the EMD usually differ from the model results of the IDX, with the EMD showing somewhat weaker performance data. Nonetheless, I still trade this model with the EMD and when executed according to the plan, it has generated consistent profitability for me.

***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***

7/30/2009 morning update

• NQ rallied up this am...i fine tuned my target of 1625, such that when the QQQQ approached the whole number of 40.00, i would exit the NQ...filled at 1623.50
• this discretionary swing trade grossed 31.50 points/contract...
• combined with the two discretionary NQ swing trades taken on friday 7/24/2009 (http://stbsmb.blogspot.com/2009/07/7242009-noon-update.html), i have grossed 59.5 NQ points/contract over the past week...not bad! the chart above shows 2.5 of the 3 trades from the past week...for some reason the entry for the first trade is not being shown...
• i am not sure if i will re-enter the NQ swing trade...if i do, i have not determined where my entry, target exit, and money management stop would be...
• in my discretionary day trading account at vcm, i am trading HLX and YHOO to the long side...flat on YHOO, down a bit on HLX...
• just closed YHOO for a tiny gain...closed HLX for a 1 R loss...

7/29/2009 afternoon update

• 1 discretionary daytrade in my vcm account based on an opening gap...small profit...
• still holding the NQ discretionary swing long trade...entered at 1592.50, target 1625...additional buy orders at 1576.50, 1552.50...
• made some great progress coding up some components of the ES intraday system...
• no systemic swing trade model entry signals for today...
• i am going to check out a presentation tomorrow: 'Joe Bridges – of www.treasuryincomeengine.com is going to show EXACTLY how to data mine and build a valid - successful trading system'...
• i am not familiar with Joe's work, but i am always interested in how system builders go about constructing their models http://www.onlinetradercentral.com/presenter_090730.asp

7/28/2009 afternoon update

• no afternoon trades in the vcm daytrading account
• the NQ discretionary swing trade is in the money 10+ points (marked at the 4pm ny close of 1603)...my target continues to be 1625 for this lot...
• no systemic swing trading entry signals were generated at today's close...
• made significant progress coding a work around for a component of the ES intraday systemic model...overall there is still a lot of work to do, but progress is being made building the model's structure in the most robust manner that JE (http://myestradingjournal.blogspot.com/) and I can think of...
• oliver velez, a trading/teaching master, and founder of the daytrading firm i am with, is holding a conference call wednesday night at 415pm ny time...he will give his outlook on the market, review a few lucky conference call participants closed trades and evaluate stocks of your choice (http://www.vcmtrading.com/events.php#)...
• FAS -1% today...

Disclosure: Long NQU09, Long FAS.

***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***

7/28/2009 morning update

• re-entered the NQ swing trade (at 1592.50) on monday morning just above the bottom of the friday afternoon's base...i thought the odds were good that we would continue to power on up, but just after my entry the NQ sold off to 1578.50...
• i have an order in to buy another lot at 1576.50 and at 1552.50...current target is 1625.00, and my exit order is sitting there...
• started late today, so i didn't trade any opening gaps in my vcm account today...yesterday, i played PXP and MYL to the short side from their opening gaps...made a tiny bit on both...the main vcm chat room moderator/trader/teacher also played MYL to the short side, and after MYL exhausted itself on the downside, he then traded it to the long side...he booked more than 10 R's on the trade...i was pretty amazed at how he handled the trade, and he talked us through it live...
• no systemic swing trades were generated for yesterday's close...its been 5 days since the last trade there...i imagine a new entry signal should be coming any day now...
• ran into some coding/EasyLanguage issues yesterday when i was working on the ES intraday systemic model...i thought of a work around for it last night, and will write up that code and test it this am....
• FAS tacked on a few percent yesterday...

Disclosure: Long NQU09, Long FAS.

***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***

7/24/2009 afternoon update

• , NQoriginal NQ target of 1597.50 would have been hit by EOD...i need to continue working on the discretionary day/swing trading plan, so that it factors in more of my emotions...
• the way it looks now, what started out as a multi day NQ swing trade turned into a NQ daytrade...how did this happen? i did not expect the NQ to continue its upward climb so fast after yesterday's apparent exhaustion day...however, all major market indices filled their opening gap downs, and are again testing their recent highs...relentless buying pressure...i thought it more probable that if we were to test the highs today, a summer friday, that we would drop back down later in the day, and i could rebuild my position...wrong! it didn't happen that way...low probability behavior, in my view for the market to continue its run up today...
• i will still be looking to add long side NQ exposure on a counter trend move down...i am hoping that will happen sunday night or monday...if not, i am not sure if i will buy a break above the recent NQ high of 1604...
• S&P 1000 will probably be the next target....those still short the market, or under invested, may be looking at a break above S&P 1000 (just as they are now doing with S&P 950) as the next psychological target to adjust their positions...
• i wonder if the 'fear of losing' for the shorts and the 'fear of missing' for the longs will be at play on a break above 1000 on the S&P 500?? i say the answer is yes! we could see another strong ramp up on a break above S&P 1000 if the shorts and longs get real emotional...
• if i/you/we could book on average just 1 ES point per day/contract (net of commissions), that would be 252 points/contract/year...at the current ES level of 979 that would be 26%/year...all i/you/we have to do is figure out how to do that...what a great challenge! at 26% per year, financial security would be at hand...
• finished the R&D on a particular component of the systemic ES intraday model that JE and i are working on...just need to code it up...also ready to back test a few of the model's filters...
• great phone conversation with JE today (http://myestradingjournal.blogspot.com/)...i think he comes up with a new trading idea/concept every day!
• happy with my vcm discretionary day trading this week...looking to continue my approach next week...
• no systemic swing trading signals generated today....
• though i didn't fully follow my discretionary swing/day trading plan for the NQ, i am still happy to have booked 27 NQ points/contract today...
• have a great weekend everybody!!

***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***

7/24/2009 noon update

NQ discretionary swing trade:

• NQ ran back up to the top of the base that formed from the overnight session and the morning high...got nervous when it started to sell off from this high, and exited the long position at 1587.50 for a net gain of 12 points (27 for the day)...
• nervous is the operative word here...perhaps fearful is a better word...i didn't want to give back my nice gain...i initially placed my target at 1597.50, thinking that the morning low was greater than the overnight low, so we had a slight uptrend in place...if the NQ could rally back to the top of the base (forming an ascending triangle), then there was a good chance it could break above the base and then rally to the 1600 whole number and i would exit at 1597.50...this was the thought process and the plan...
• however, my emotions started to get amped up after we hit the top of the base, and then started to head lower...i didn't want to give back my gains, so i hit the sell button...
• this exit was not part of the trading plan that i described this am...though i did book a nice gain, i did not execute the plan...i will give this trade a C+
• my plan could have had another contingency, such that i could take my profit at the top of the base....since i believed that the NQ could test 1600 today, i could re-enter on a break above the top of the base with a tight stop a few points below the break, or i could re-enter on a move back down to the low 1580's - high 1570's....
• right now i have an order to get back in at 1577.50...
• i am feeling somewhat jumpy as i watch the NQ move back up toward the top of the base again...maybe it will break above it, maybe it wont...i am hesitant to buy a break above the base as i feel like i am acting on the frustration of not trading the plan according to specs or not having a better plan laid out this am...i do not want to trade from a place of frustration, so i will not enter a long position today above the top of the base...
• i still want some longside exposure for a longer term move up, so if the NQ breaks above the base, then i will raise my limit order (which is currently below the market), from 1577.50 to 1582.50...

***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***

7/24/2009 morning update

NQ discretionary swing trade:

• since we rallied so quickly from yesterday's late sell off and i didn't believe the NQ would be able to make new swing highs so soon, i sold my first NQ lot at 1589.50 at 943 am (booking 14.75 points)...this level was around the area that would fill this morning's gap down and the area of the overnight session's swing high...
• i bought that lot back 15 minutes later at 1575.25...
• if we rally back up today, i will sell this second lot somewhere in 1587.50-1597.50 area...currently, i have a limit order in at 1597.50...if we don't rally back up to this range by late afternoon, then i will carry this NQ lot overnight...
• i have another order to buy 1 lot (1552.50) just above the next lower pivot (1547)...a potential move down to this area on the NQ will probably coincide with a move down in the ES to the 950 area...

VCM discretionary daytrading:

• traded TUP to the short side for my VCM account this am...was in and out 2x, both winners...small profits, less than 1 R in total...
• this makes 8 consecutive trading days netting profits daytrading, mostly opening gaps...small steps...i did have a few losses, but they were all manageable, never even approaching the daily loss limit on any of them...
• i am going to continue working on this opening gap approach...
• i am not planning on placing any more daytrades in my vcm account today...this week has been my most profitable week at vcm since i started there in july 2008...while my $ profits were not enough to qualify for potential advancement to the next trading level, the trading performance trend of the past 2 weeks is definitely in the right direction...
• one of things i can do to potentially increase my $ profits, is to trade bigger size, trade more opening gappers, and/or trade additional setups that may occur later in the day...not sure yet which may be the best option for me...

Disclosure: Long NQU09.

***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***

7/23/2009 update

• continued to play opening gappers in my vcm account...went 4 for 4, with 3 shorts and 1 long...only generated 1 R though...
• market continues to be a beast to the upside...i am looking to build discretionary swing long side exposure during any counter trend move down, and just opened my first lot in the NQU09 at 1574.75 at 840pm (about 2% below today's intraday peak, and just above wednesday's intraday peak)...my bias is the next upside target for the S&P 500 is 1000, though it may retest the 950 breakout level before getting there...i am hoping it does retest the 950 area as this will enable me to get a bit longer for the next swing move up...though i am writing about the S&P 500, i am trading the NASDAQ 100 via the NQ...the NASDAQ 100 has led the major market indices higher, and it is my market proxy of choice...
• continued working on the ES intraday systemic trading model...JE has some terrific trading ideas (http://myestradingjournal.blogspot.com/)...we are hoping to build something that is very robust...so far so good, but there is a lot more to do...made progress today conceptualizing one of the model's components, and performed some statistical analysis to help determine its optimal implementation...still more to do here though....
• no entry signals for the systemic swing trading models were generated today....
• the FAS is up about 20% in my IRA, and is flat in the two custodial accounts...the custodial accounts got in a bit too early, but since these are longer term investments, i believe they will do fine...looking for about 100% return for the FAS within the next 9-15 months...

Disclosure: Long NQU09, Long FAS

***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***

Catching up; checking in with 'fear'

its been a few days:

• the 'SHOE July Pre OE' long model was closed on Monday at 4pm, and generated a loss of about 1.7%...
• still stressed about the systemic swing trading models being out of sync with the market...i know there is nothing i can do about it and that is helping a bit...still its been nice not having any open systemic positions the past few days...i needed a break from the 'uncertainty associated with an open position'...
• doing some joint development work with JE on an ES intraday trading model (http://myestradingjournal.blogspot.com/) ...some concepts appear robust and limited testing bears that out...continued refinement of additional concepts and then more involved testing...working with JE has been a great experience in and of itself...
• discretionary daytrading at vcm (http://www.vcmtrading.com/#) has been going pretty well since the beginning of last week...i have been focusing on trading opening gappers...so far the results have been good...the things i am most proud of are cutting my losers short and taking the small loss, as well as exiting a trade that wasn't moving in the direction i was anticipating after a reasonable period of time...i still need to work on letting my winners run some more...over the past 8 trading days, the dollar value of the biggest winner has been greater than the dollar value of the biggest loser, so this is step in the right direction...but perhaps the bigger thing is to decide if i am going to R base the opening gap plays or scalp them....so far its been a blend of both: start a small position with a known profit target, add to that position when certain setups occur, and then calculate the R based stop...even had a good back and forth chat room exchange this am with the chat room moderator (trading/teaching master to the nth degree), who helped clarify my thinking about certain concepts...
• from this weekend's quiz (http://stbsmb.blogspot.com/2009/07/quiz.html) : when the average trader makes a decision to enter or exit a position, one of two emotions is probably dominant in the traders decision making process...what are the two emotions that the average trader might be keying off of? JE had a funny response...the insight i had this weekend is the two emotions are not the usual fear and greed pairing, but rather 'fear of losing' and 'fear of missing'...'fear of losing' leads to them selling into a down market, 'fear of missing' lead to them buying into an up market...when these traders act on either of these emotions, it tends to drive the market further in the direction of the current trend...i believe this is what is playing out now...the shorts have been madly covering over the past week on the failed head shoulders pattern in the S&P 500...under invested longs are scrambling to get more upside exposure and continue to drive the NASDAQ 100 to new swing highs...'fear of losing' and 'fear of missing'...
• can it be that 'fear' is the driving force in the market?? leading to under performance for the trading novice and to out performance for the trading master?? i am aware that fear plays a role in my trading performance, but perhaps i have underestimated its influence...
• is mastering fear one of the requirements to achieving trading mastery?

Quiz

this weekend, i had lots of insights into the markets and trading behavior...

the quiz stems from one particular insight...

when the average trader makes a decision to enter or exit a position, one of two emotions is probably dominant in the traders decision making process...what are the two emotions that the average trader might be keying off of?

i believe that i engage in this process, alot, especially when i daytrade...

disclosure: this might be a trick question.

can surrendering to the trade lead to mastery?

'BO IDX' stops out...7 losses in a row for this model.

'BO IDX' got stopped out shortly after the open. The low of the day on the tracking vehicle (IDX) so far is just 0.03 below the stop. However, the trading vehcile didn't stop out. This happens sometimes*. Once I noticed this, and that the EMDU09 had rallied back up to near breakeven, I closed the EMDU09 trade. Happy to take a smaller trading loss as compared to the tracking vehicle.

The Modeled position (IDX) posted a 0.80% loss, which is worse than the average losing trade return of -0.56%. The actual Trading position (EMDU09) posted a 0.18% loss (including commissions), 0.62% better than the model.

Perhaps the stop is just too tight or some of the filters need to be adjusted. I may take a stab at rebuilding this model.

* http://stbsmb.blogspot.com/2009/07/out-of-sync-modeled-vehicle-rutx-and.html :

"I wonder if the opposite has ever worked in my favor? Such that the tracking vehicle got stopped out, but the trading vehicle didn't. I do recall that within the past 6 months or so, a trading position get stopped out (within 15 minutes after a particularly volatile FOMC release) at a much better price than the modeled position did, perhaps by as much as 0.50% I have only recently begun to monitor how much of a difference there is between a position's modeled return and its actual trading return, and have discovered that on average its around 0.15% lower than the modeled return."

'BO IDX' generated a Long Entry Signal for Thursday's Close, 7/16/2007

'BO IDX' generated an Entry Signal for Thursday's Close, 7/16/2009. This model is also on the discontinuation watchlist. It's last 6 trades have stopped out. It's Money Managment Stop is small, so the stops are not so painful. However, six stops in a row suggests this model is no longer working, or the recent environment was just not conducive to it.

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=IDX
• Start Date=7/1/1994
• Number of Trades=80
• Average Trade Return=0.25%
• Average Winning Trade Return=0.68%
• Average Losing Trade Return=-0.56%
• Win Rate=65%
• RAWAL (Ratio of Average Win/Average Loss)=1.21
• Profit Factor=2.25

Disclosure: Long EMDU09.

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 IDX, but I trade the model with the EMD e-mini. Actual trading results from the EMD usually differ from the model results of the IDX, with the EMD showing somewhat weaker performance data. Nonetheless, I still trade this model with the EMD.

***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***

'SHOE July Pre OE' generated a Short Entry Signal for Thursday's Close, 7/16/2009

'SHOE July Pre OE' generated a Short Entry Signal for Thursday's Close, 7/16/2009. This model is based on the behavior of the NDX around the time of July Option Expiration. The last trade for this model generated a new equity curve high.

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=NDX
• Start Date=11/1/1985
• Number of Trades=23
• Average Trade Return=1.61%
• Average Winning Trade Return=2.28%
• Average Losing Trade Return=-0.80%
• Win Rate=78%
• RAWAL (Ratio of Average Win/Average Loss)=2.86
• Profit Factor=10.29

Disclosure: Short NQU09.

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.

***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***

Stuck

9:15 am:

discontinuing 2 models led to me not being long the NQ tues/wed...left 7.5% on the table...

cognitively ok with it as the models were no longer robust...

emotionally, the ride has a been a bit rougher...mostly felt sad last night and questioned my ability to succeed as a trader...

slept ok, but felt stuck in 'trader insecurity' mode this am...did some reading from ari kiev's 'trading to win' book...this has helped me refocus on the day in front of me, instead of how trading will be for me 5 years down the road...

http://www.amazon.com/Trading-Win-Psychology-Mastering-Markets/dp/0471248428/ref=sr_1_1?ie=UTF8&s=books&qid=1247753529&sr=8-1

10:03 am:

2 discretionary daytrades for my vcm account...first one generated 1 R of profit, the second was a scratch...cant say anything i did was a good example of a strategy that can be repeated...both trades had some anxiety as a motivating force to open them...i am feeling the need to 'do something' to get my confidence back...

i think the best thing to do right now is to stop daytrading and put my research hat on...i am rebuilding the Narrow Bar models using 'true range' instead of 'range'...this is the initial filter...the old narrow bar models used 'range'...'range' does not factor in opening gaps, 'true range' does...

i also have some ideas that i want to model to help increase my confidence in some daytrading setups, stops and targets...

a systemic trading model is due to generate a short at today's close, so mentally i am gearing up for that...

stressin, but doing what i can to get some cognitive work done and cross some things off my list...

12:20 pm:

modeling secondary filters on the narrow bar concept...making progress through the permutations...identifying some candidates for the next round of testing (walk forward on unseen data)...

feeling a little looser, a little less 'stuck'...

airport run...

5:15 pm:

finished modeling the primary and the secondary filters for the narrow bar SPY...2 models out of a total of 45 possible models, made it through the walk forward test successfully...these two models are in line to replace the current narrow bar SPY models...

will work on the narrow bar NDX testing tomorrow...

will work on a coding up a model that i discussed on the phone today with a good trading friend...

also want to code up some vcm concepts to help increase my confidence in some vcm setups that i like...

two systemic models generated entry signals at today's close: one is now short the NQ, the other is now long the EMD...more on these models tomorrow...

feeling less stuck this afternoon...it feels good to be getting some research done....

I am psyched to be trading with Oliver today.

11:13 update:

600 vcm traders with oliver in the chat room today...

we are working on learning some of the tactics that he has mastered....

one of my challenges with daytrading is that i expect the prevailing trend to reverse...i seem to be looking for a reversal too often...

Extreme Frustration, but keeping my chin up.

For the past few days I have been in the process of culling out models that have not been performing well over the past few years. On the surface this is the right thing to do. However 3 of the 4 recently discontinued/suspended models have performed very well over the past few weeks:

Narrow Bar #1 NDX: generated a trade a few days ago that made about 0.5%. I have suspended the Narrow Bar models due to a flaw in the logic.

NDX OU: This morning, I closed the NDX OU trade pre-market for a 0.22% loss. The model has performed poorly over the past few years and for all intents and purposes is declared dead. The after hours futures have gapped up 25 points, so that model would be sitting on a 2.0% gain due to be closed at 4pm Wednesday.

NDX 14th DOM: I discontinued this model 15 minutes before the close of today's markets. The initial concept was sound, but the logic filters no longer made sense to me and the model has been performing poorly over the past few years, so I discontinued it. This model would have generated an entry signal at 4pm today. Right now, with the gap up in the NQ futures, that model is up about 1.85%.

Oh, the models that I am keeping, and that have generated positions over the past few weeks have either been scratches for small gains, or have gotten stopped out:

BTBT NDX
BTBT RUT
Payrolls NDX
NDX 1st DOM
NDX Summer Rally
NDX 30th DOM

Right now I am very frustrated. My cognitive side still believes in the models that have performed poorly over the past few weeks, and still believes the models that I have discontinued should stay offline. However, my emotional side is very frustrated. This reminds me of the challenging dynamic I experienced from the summer of 2007 to the summer of 2008. Nearly everything I did was wrong. The entry signals I took often turned into losers, and the entry signals I ignored ofter turned into winners. The basis for ignoring those profitable signals was disbelief in robust models. This happened so often, that I became too scared to trade.

This current environment appears to be different. A string of poor timing where good models produce losers and bad/suspect models produce actual/potential winners. I am not going to change how I trade. Except tonight and tomorrow will probably be rooting for the gap up to be sold! Emotionally, I want to be right, cognitively I won't be changing a thing.

Chin up!


p.s. the gap up may not be all that bad...i have been building a longer term investment position in the FAS for my IRA and some custodial accounts...the FAS may be held for another 3-15 months, depending on how it performs...ideally i want it to go down more so i can build up my position...alas i cant control what it does, so if it decides to put in a run, i will have a partial position, which is better than nothing...

Disclosure: Long FAS.

***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***

'NDX OD' also gets the boot: the model is not robust and needs to be rebuilt or discontinued.

'NDX OD' is based on a similar concept as the 'NDX OU', except that OD is a short strat and OU is a long strat. It too was placed on the model discontinuation watchlist back in May. I just performed a more detailed performance analysis of 'NDX OD' and like 'NDX OU' (http://stbsmb.blogspot.com/2009/07/ndx-ou-gets-boot-model-is-not-robust.html), it is also being taken offline. Rebuilding it is a possibility, but my intuition suggests it is dead.

So the PF of 3.07 during the Historical Build Mode was quite acceptable. During the Historical Test Mode, the PF was 1.78. This is definitely below my minimal threshold, but I decided to trade the model anyway thinking that perhaps this lower performance was just a mild setback or a basing period.

During the Real Time Trading Mode, the PF was 0.50. Anything below 1.00 represents negative performance. So the PF has been in a steady decline from the Historical Build Mode, to the Historical Test Mode, to the Real Time Trading Mode. This is also true for all the other stats shown in the table above.

Adios 'NDX OD'! Thankfully I peformed this analysis before getting into the next trade with this model.

'NDX OU' gets the boot: the model is not robust and needs to be discontinued.

At yesterday's close, 'NDX OU' generated an entry signal which I took. In May, I did a cursory review of my models performance over the past few years. This model, due to its poor performance was put on the watch list for possible discontinuation.

This morning, I did a much more detailed performance analysis of this model. I found the results to be so poor, that I closed the trading position pre-market, and have discontinued trading the model.

I find the Profit Factor (PF) statistic to be one of the most telling of a model's performance. During the Historical Build Mode, the PF was 3.68. This means that for every $1.00, the model booked as a trading loss, it booked $3.68 as a trading gain. In other words, for every 1 step back, it made 3.68 steps forward. For my style of trading, I may accept a PF>=2.00, but I really prefer a PF>=3.00.

So the PF of 3.68 during the Historical Build Mode was quite acceptable. During the Historical Test Mode, the PF was 1.64. This is definitely below my minimal threshold, but I decided to trade the model anyway thinking that perhaps this lower performance was just a mild setback or a basing period.

During the Real Time Trading Mode, the PF was 0.74. Anything below 1.00 represents negative performance. So the PF has been in a steady decline from the Historical Build Mode, to the Historical Test Mode, to the Real Time Trading Mode. This is also true for all the other stats shown in the table above.

I should have done this analysis prior to putting the trade on yesterday. Closing out the trade pre-market led to a 0.22% loss. The money management stop for this model is currently at 1.00%. So I sold it at a 0.22% loss to prevent the additional 0.78% loss. I don't know if this particular trade would have gotten stopped out, but I have lost my confidence in the model so I just took this minimal loss and have moved on.

The lesson here for me is to go beyond the cursory performance review of the models that are on the discontinuation watch list, and undertake a more detailed performance review like the one above. Not having done so prior to this morning cost me 0.22%.

Though this model is now discontinued, it can be brought back on line if it can be rebuilt. My intuition strongly suggests that this model is dead.

'BTD Index' exits with 42+ NQ points!

'BTD Index' generated an Exit Signal for Monday's Close. The Modeled position (NDX) posted a 3.05% gain, slighty better than the average winning trade return of 2.71%.

The actual Trading position (NQU09) locked in 42.25 NQ points for a 2.99% gain (including commissions).

This profitable trade created a new high for this model's Equity Curve (shown above). The position was held for 4 trading days (http://stbsmb.blogspot.com/2009/07/btd-index-generated-entry-signal-for.html). The model continues to perform in line with its historical precedents.

Unlike my other swing system models which use 50-100% of capital/position, this model only uses 10% of capital because the maximum historical open trade drawdown is 19.9%! This is much too high for use with 100% of capital, especially if there are other swing system's open at the same time.

Another swing model, 'NDX OU' generated an entry signal for today's close. I will write more about this model tomorrow.

Trader Education

My good friend JE over at the 'ES Trader' (http://myestradingjournal.blogspot.com/ ), recently blogged about the value of 'trader education' and Don Miller's new trader training program. This post has generated considerable interest with other trader's and bloggers posting their comments on these two topics.

I felt compelled to add my two cents on 'trader education' and my experience with VCM's (Velez Capital Management's) 'Trade for Life' Program(http://myestradingjournal.blogspot.com/2009/07/don-millers-jellies-group.html). Here is a copy of what I posted:

je,


since i am not familiar with don miller's trading method or his training program, i cant speak to their pro's and con's...

however i do want to speak on the value of a trading education...

i do believe that trading can be taught...i believe some people would be better students than others, like with any skillset...i also believe some people would be better teachers than others, especially when it comes to trading...

as you know, i am a prop trader with velez capital management's 'Trade for Life' program...i paid a fee ($9000) to learn the discretionary daytrading and swing trading methods vcm teachs, and to get access to vcm's capital...their training model and their prop trading model is working for me...

some of the highlights of vcm's training/trading model include: i can retake the 2 day training seminar every month for the rest of my life for free...i can retake their online trading lab every month for free for the rest of my life...i get access to their twice daily update every day for the rest of my life...i get daily access to two different chat rooms that are monitored by very advanced traders, some of whom are significantly advanced, and who generate trading gains nearly every single day...i get to network and share ideas with other vcm prop traders via 2 vcm facebook sites...i get access to vcm's capital every day for the rest of my life...the better i trade, the higher the % of profits i get to keep, and the more access to capital i get...i love the model of their training/trading program...

yeah, i paid $9000 up front, and now the price is up to $12,000, but for this kind of education and access to capital, it is almost cheap...i have literally booked millions of dollars of gains trading the markets since 1996, and have booked millions of dollars of losses since 1996...so paying $9000 for professional training and access to capital when i was looking for help and another means to generate a trading earnings stream, was a no brainer for me...

again, i cant speak to the pro's and con's of don's training program or his trading method...i can say the vcm training/trading program works for me...i am still a pretty poor discretionary day trader on a technical basis, but i am making progress...however, the psychological training that is an informal part of their training has significantly helped me become a better systemic swing trader when it comes time to execute my models...

we will all pay our market tuition one way or another...the teachers at vcm suggest it will take anywhere from 18-48 months for someone to fully understand the methods and be able to execute them consistently...however, some will never make it...just like the students who drop out of their vocational, undergrad or grad school program...so if someone is a quick learner and is on the 18 month track, then the current upfront vcm tuition rate of $12,000 comes out to about $32/trading day for daily training and access to capital...this sounds pretty cheap to me...

overall, i guess trading is not for everyone...but for someone who is inclined to trade, and can find someone they trust to train with, then the odds of success can only increase for that trader...trust is the key word here...i like to believe that vcm will still be here 3, 5, 10 years down the road...i have no reason to believe they wont, but who really knows if they will...so far, they have been everything i hoped they would be...

whether don's training and trading model will work with his students remains to be seen...i hope that don and his students are very successful...vcm's training and trading model is working for me, and i am very happy to be part of their organization...

i do think trading education can work, but it has to be with the right students, the right teachers, and the right program...

adam

'BTBT NDX' generated an Exit Signal for Thursday's Close, 7/9/2009

'BTBT NDX' generated an Exit Signal for Thursday's Close, 7/9/2009.

The Modeled position (NDX) posted a 0.24% gain, which is very low compared to the average winning trade return of 1.83%. The actual Trading position (NQU09) posted a 0.07% gain (including commissions), slightly worse than the model.

This profitable trade created a marginal new high for the model's Equity Curve (shown above).

NDX peaked around 245pm, and then whipped around to close about 0.75% below that peak.

The market feels a bit heavy here, and has been trading somewhat lethargically lately. I don't believe there are an abundance of sellers, but rather the buyers have taken a step back and are waiting, waiting for some catalyst, some reason to resume the spring time rally. I do believe another rally is coming, and while it may begin from these levels, it could also commence after another 5-15% drop.

'BTBT NDX' generated an Entry Signal for Wednesday's Close, 7/8/2009

'BTBT NDX' generated an Entry Signal for Wednesday's Close, 7/8/2009. I really like this model, and there is a version for the IDX and the RUT as well. However, only the NDX generated an Entry Signal for yesterday's Close. BTBT RUT generated an entry signal this past Monday, but was stopped out shortly after the open on Tuesday (http://stbsmb.blogspot.com/2009/07/out-of-sync-modeled-vehicle-rutx-and.html).

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=NDX
• Start Date=11/1/1985
• Number of Trades=101
• Average Trade Return=0.60%
• Average Winning Trade Return=1.86%
• Average Losing Trade Return=-0.59%
• Win Rate=49%
• RAWAL (Ratio of Average Win/Average Loss)=3.16
• Profit Factor=2.98

Disclosure: Long NQU09.

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.

***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***

About my Systemic Trading Models

I have spent the past few years attempting to identify and model robust U.S. Stock Market Index behavior that is not just descriptive of the past, but also predictive of the future.

Combining this behavioral analysis with prudent risk management, has enabled me to construct a portfolio of systemic based trading models.

On the right side of the blog, below the 'About Me' section, is a list of my Systemic Trading Models.

'BTD Index' generated an Entry Signal for Tuesday's Close, 7/7/2009

'BTD Index' generated an Entry Signal for Tuesday's Close, 7/7/2009.

The last trade from this model was just just a few weeks ago, and turned out well generating a new high for the Equity Curve.

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=NDX
• Start Date=11/1/1985
• Number of Trades=120
• Average Trade Return=1.67%
• Average Winning Trade Return=2.71%
• Average Losing Trade Return=-2.51%
• Win Rate=80%
• Ratio of Average Win/Average Loss (RAWAL)=1.08
• Profit Factor=4.33

The Average Winning Trade is just a bit more than the Average Losing Trade, but this model generates 80% winners.

Disclosure: Long NQU09.

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.

***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***

Ever wondered how Trading Masters think & trade? Then check out Wednesday & Thursday nights free Events hosted by Velez Capital Management.

When I am not managing my Strategy Trading Portfolio, or writing some EasyLanguage code, I am working on my daytrading skills at Velez Capital Management (VCM). Periodically, VCM offers a free 2 hour event to outline some of their Equity and their Forex trading concepts/tactics as well as their prop trading programs.

Tonight, at 415 pm and at 815 pm (NY time), Oliver Velez will be hosting his equities based 'Earn a Living in the Markets with Three Powerful Tactics' event. The course outline is as follows:

• Three of our most reliable trading tactics and how to use them in your everyday trading;
• The most accurate entry method used by VCM Traders;
• How to find the key stocks in play every day;
• How to exploit the stocks in the news each day;
• How to ride the prevailing trend of a stock for maximum profits;
• The best protective stop method used to minimize risk;
• The best trailing stop method used to keep your hard earned gains;

Tomorrow night at 415 pm (NY time), Todd Hanson, will be hosting a two hour event, "Mastering the Forex Market". The course outline is as follows:

• The basic concepts of the Forex market and how it is different than trading equities;
• The significant edge that the VCM Forex Proprietary Trader Program can provide their traders over any other Forex trading alternative;
• The excitement of trading the Forex market through trade examples;
• The power of Dr. Hanson's Systems and Signals grey box software;
• The design of the trader advancement system in the VCM Forex Proprietary Trader Program;

Check out the following link for more details on all three of the events. Registration is required.

http://www.vcmtrading.com/events.php#

If you have ever wondered how Trading Masters like Oliver and Todd think and trade, then check out these free events.

Out of Sync: 'Modeled vehicle' ($RUT.X ) and 'trading vehicle' (TFU09) are not exact mirrors of each other. 'BTBT RUT' Stops out.

I know sometimes the 'trading vehicle' can be a bit more volatile than the 'tracking vehicle', but this morning I was able to witness even more volatility than I had imagined.

The picture above displays a 2 minute chart of the Russell 2000 (tracking vehicle: $RUT.X) over a 2 minute chart of the Russell 2000 mini future contract (trading vehicle: TFU09). I drew some support and resistance lines which roughly outlines yesterday afternoon's base, the breakout above it, the run up into the close and then this morning's open.

As we can see, shortly after today's open we sold off. While the tracking vehicle stayed above yesterday afternoon's support line, the trading vehicle traded down to it, and then a good deal below it. I am really learning how volatile the trading vehicle can be compared to the tracking vehicle. I do recognize that TradeStation updates this trading vehicle's chart with every Tick, while this tracking vehicle is only updated every 15 seconds. Still this doesn't account for the trading vehicle trading below the support line for an extended period of time.

The frustrating part of this behavior, is that the Money Management Stop for 'BTBT RUT' system happened to be just around the support line* (see note at bottom of post). So when the TF traded down to that support line at around 945 am, the trading vehicle got stopped out. However, the tracking vehicle never traded to that level, so it didn't stop out.

This is a frustrating part of using one vehicle to model a particular market behavior (RUT), and then using another vehicle to trade this behavior (TF). Sometimes the trading vehicle gets stopped out, but the modeled vehicle doesn't. Talk about slippage when the EOD stats are totalled. I recall about 18 months ago, this happened to me. The trading vehicle got stopped out shortly after the open for a 0.50% loss, but the tracking vehicle didn't, and then it went on to post a 2-3% gain. I was so pissed that day.

So after the tracking vehicle got stopped out this am for a 0.50% loss, but the modeled vehicle didn't and then both started to bounce back up, I began to fret that another day like the one from 18 months ago was in the works.

So what did I start doing? Well, I got pissed off some more and started rooting for that damn tracking vehicle to start trading back down! And of course it didn't go down, but continued up for a bit. Then as we all know, the RUT and the rest of the major market indices put in a lower high just before 10 am, and then headed south. The modeled vehicle hit its stop just after 10 am, and I was thrilled!

The lesson here, is I need to recognize that sometimes the trading vehicle is more volatile than the tracking vehicle, especially as it relates to the TF/RUT. When I use real tight stops, like the 0.5% stop for this model, I may want to increase the stop for the trading vehicle a bit, say to perhaps 0.70%. This might help mitigate this volatility related slippage.

I wonder if the opposite has ever worked in my favor? Such that the tracking vehicle got stopped out, but the trading vehicle didn't. I do recall that within the past 6 months or so, a trading position get stopped out (within 15 minutes after a particularly volatile FOMC release) at a much better price than the modeled position did, perhaps by as much as 0.50% I have only recently begun to monitor how much of a difference there is between a position's modeled return and its actual trading return, and have discovered that on average its around 0.15% lower than the modeled return.

*i know, i know, placing a stop at support instead of under it is a recipe for whippage, but the logic of this stop is not based on previous pivots, s/r lines, etc. but rather is based on a specific % below the entry price...in today's case, the stop level and the support line just happened to be essentially the same.

'BTBT RUT' generated an Entry Signal for today's Close, 7/6/2009

'BTBT RUT' generated an Entry Signal for today's Close, 7/6/2009. I really like this model, and there is a version for the IDX and the NDX as well. However, only the RUT generated an Entry Signal for today's Close.

Some of my models use both a derivative of price and some aspect of the calendar (options expiration, Payrolls report date, Day of the Month, etc). This model just uses price action, and the logic for it may be applicable to other types of securities (commodities, Forex, etc). Using the underlying logic, and then testing it on some of theses other security types, is a good research project for me and has been put on my list.

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=RUT (Russell 2000)
• Start Date=9/10/1987
• Number of Trades=87
• Average Trade Return=0.48%
• Average Winning Trade Return=1.33%
• Average Losing Trade Return=-0.48%
• Win Rate=53%
• Average Win/Average Loss=2.75
• Profit Factor=3.17

Disclosure: Long the TFU09.

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 RUT, but I trade the model with the TF mini. Actual trading results from the TF usually differ from the model results of the RUT, with the TF showing somewhat weaker performance data. Nonetheless, I still trade this model with the TF and when executed according to the plan, it has generated consistent profitability for me.

***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***

'Payrolls NDX' is an Express Train with NO STOPS today! The trade is still a loss though and the model remains suspect.

'Payrolls NDX' is an Express Train with NO STOPS today! However the trade is a still a loss and the model remains suspect.

The Modeled position (NDX) posted a -0.36% loss, which is better than the Average Losing Trades return of -0.63%. The actual Trading position (NQU09) posted a -0.53% loss (including commissions), somewhat worse than the model.

The position was close to getting stopped out, down about 1.5% at 1030 am. However it then based into lunch, rallied up to its gap down opening level, hit a new high for the day in the afternoon, and closed just below that high of the day. Today's action saw the NDX carve out a nice bottoming tail on it's daily chart.

However, the trade is still a loss and the model remains suspect. I will have to re-evaluate the robustness of this model and make an adjustment to my trading plan:

• reduce the position size for future entry signals
• rebuild the model
• stop trading the model

'Payrolls NDX' Generated an Entry Signal for Thursday's Close, 7/2/2009; however its robustness in realtime trading is unproven.

'Payrolls NDX' Generated an Entry Signal for Thursday's Close, 7/2/2009. This model is based on the behavior of the NDX on the day the Payroll report is released. It is due to be exited at today's (Monday's) Close unless its Money Management Stop is hit intraday.

This model of market behavior is unproven in real time trading. Prior to Thursday's Entry Signal, the model has produced only 18 trades within a 24 year window. The first 17 were used to build the model and trade #18 was the first one that was executed in real time. It was subsequently stopped out, and that was the only stop out in the 18 trade history. At the time of writing this post, the current trade is down about 1.25%.

This is one of the risks of system trading. Even when building a model with in-sample data, testing it on out-of-sample data, and approving it for trading (because the model appears to be robust), there is no guarantee the model has correctly identified a type of predictive market behavior that will generate profits going forward. If the model gets stopped out today, then we will have a situation where the only two stops in the 19 trade history of the model, are when it began to trade in real time. This does not inspire confidence. In the case of a stop out today, I will have to re-evaluate the robustness of this model and make an adjustment to my trading plan:

• reduce the position size for future entry signals
• rebuild the model
• stop trading the model

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=NDX
• Start Date=11/1/1985
• Number of Trades=18
• Average Trade Return=0.94%
• Average Winning Trade Return=1.39%
• Average Losing Trade Return=-0.63%
• Win Rate=78%
• Average Win/Average Loss=2.23
• Profit Factor=7.80

Disclosure: Long the NQU09.

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.

***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***

The Crusher: Market dislikes the June Payroll report, 'NDX 1st DOM' and 'NDX Summer Rally' get stopped out

Wow, that was an ugly Open. I was dropping my son off at daycare, so I wasn't in front of my screens to watch it. My stop orders were in place and they were hit:

'NDX 1st DOM':

The Modeled position (NDX) posted a 1.12% loss, worse than the Average Losing Trades return of -0.47%. The actual Trading position (NQU09) posted a -0.90% loss (including commissions), somewhat better than the model.

'NDX Summer Rally':

The Modeled position (NDX) posted a 1.29% loss, slightly better than the Average Losing Trades return of -1.45%. The actual Trading position (NQU09) posted a -1.53% loss (including commissions), somewhat worse than the model.

Dusted myself off and I have moved on. Another model may generate an Entry Signal for today's close. If it triggers I will post about it later.

'NDX 1st DOM' generated a Long Entry Signal for Wednesday's Close, 7/1/2009

'NDX 1st DOM' generated a Long Entry Signal for Wednesday's Close, 7/1/2009. This model is based on the behavior of the NDX on the 1st calendar Day of the Month (DOM). It is due to be exited at today's (Thursday's) Close unless its Money Management Stop is hit intraday. Due to the July 4th holiday, I believe the market closes early today (1pm NY time). I have to double check on this though. If anyone can confirm this, please let me know.

The model uses a very tight Money Management Stop, currently 0.50% below the Entry Price. The pre-market futures are trading down about 0.4% right now, so we are going to need to see a positive market response to the closely watched Payroll report due to be released at 830am. A negative response to the report will probably stop this position out at the open, and quite possibly for more than then modeled 0.50%.

As we can see from the Equity Curve chart shown above, the model is currently trading just below it's all time high.

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=NDX
• Start Date=11/1/1985
• Number of Trades=113
• Average Trade Return=0.40%
• Average Winning Trade Return=1.24%
• Average Losing Trade Return=-0.46%
• Win Rate=51%
• Average Win/Average Loss=2.7
• Profit Factor=2.85

The win rate is only 51%, but the average winning trade (1.24%) is nearly 3x as large as the average losing trade (-0.46%).

Disclosure: Long the NQU09.

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.

***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***

'NDX 30th DOM' generated an Exit Signal for Today's Close, 7/1/2009

'NDX 30th DOM' generated an Exit Signal for Today's Close, 7/1/2009.

The Modeled position (NDX) posted a 0.27% gain, below the average trades return of 0.7%. The actual Trading position (NQU09) posted a 0.12% gain (including commissions), slightly worse than the model.

This profitable trade created a marginal new high for the model's Equity Curve (shown above).

The position was nicely green early on, up nearly 1.4% around 1030 am. However it slowly bled away its gains during the rest of the trading day. It wound up filling its opening gap up, and closed around the low tick of the day. A bit frustrating, but there is nothing I can do about it, except to faithfully follow the model's Entry and Exit signals.

The position was held for 1 trading day (http://stbsmb.blogspot.com/2009/07/ndx-30th-dom-generated-long-entry.html ).

'SPY Gopher' generated an Exit Signal for Wednesday's Close, 7/1/2009

'SPY Gopher' generated an Exit Signal for Wednesday's Close, 7/1/2009.

The Modeled position (SPY) posted a 2.45% gain, nearly twice the average trade return of 1.2%. The actual Trading position (ESU09) posted a 2.48% gain (including commissions), slightly better than the model.

This profitable trade created a new high for the model's Equity Curve (shown above).

The position was held for 5 trading days (http://stbsmb.blogspot.com/2009/06/spy-gopher-generated-entry-signal-for.html).

White Knuckle Day!!

Last Wednesday, 'SPY Gopher' generated a Long Entry Signal, which made me 100% Long the ES (http://stbsmb.blogspot.com/2009/06/spy-gopher-generated-entry-signal-for.html).

Yesterday, 'NDX 30th DOM' generated a Long Entry Signal, which made me 100% Long the NQ (http://stbsmb.blogspot.com/2009/07/ndx-30th-dom-generated-long-entry.html).

Yesterday, I was able to get into the 'NDX Summer Rally' Model at the original Entry Price that was generated last Thursday, and this made me another 100% Long the NQ(http://stbsmb.blogspot.com/2009/07/asleep-at-switch-ndx-summer-rally.html).

So right now I am about 300% Long (200% Long NQ, 100% Long ES). White Knuckles Baby!!

This is the riskiest aspect of my style of System Trading. I will have a few days/year where I might have three or more models open in the same direction. Today is one of those days.

So how am I handling it emotionally/psychologically? I did what I could to relax my body and my mind so I can be at full mental strength for today's trading. Yesterday, shortly after the market closed and I was 300% Long, I went to the gym and did my usual cardio routine. Since my positions are in the ES/NQ Futures, I could check to see how they were trading in the after hours session, but I didn't look. I don't know what good it would do me. Instead, we had our family dinner, then I took my 2 1/2 year old son on his new bike to the local park, read some books to him before bed, and then had a chance to spend some time with my wife. In bed and asleep on earlier side for me around 11pm.

Today, I awoke around 730 am well rested. I reduced my usual AM coffee intake. I have been at my desk and in front of my screens monitoring what is going on since about 830 am, one hour before the NY open. Though I have been keeping an eye on my Futures positions, I have also been monitoring a potential trade setup for my daytrading activity at VCM, posted 3 notes to the Blog, spent some time with my family, caught up on some email, and did some bookkeeping.

I am aware of what is happening in my positions, but I am trying to keep busy so I don't obsess over every tick that goes out of my favor. So far so good, but there is still about 2 hours to go before the closing bell, the ES and the NQ are barely hanging onto their lunchtime bases, and the closely watched Payroll Report is scheduled to be released before tomorrow's opening bell, which might cause some EOD volatility. As we all know, anything can happen in this market.

Oops, the ES and the NQ just broke down through the lunchtime base.