Securities Trading from Both Sides of my Brain: October 2009

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

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***

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...

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***

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***

10/27/2009 4:15 pm update: NQ

short term bearish themes continued to played out today...
the rally off the 10 am puke out did not hold, with the morning low getting taken out in the early afternoon...
the AD lines worsed as the day wore on, but did not reach the lows hit yesterday...a possible bullish divergence?
due to some additonal models potentially generating long entry signals today and tomorrow, i did not add to the long discretionary position in the NQZ09...
long 3 NQZ09 at avg 1745.41...
offering 1 contract at 1757.50, 1767.50. 1776.50...
no bids at this time...

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 ***

10/27/2009 10:50 am update: NQ

picked up a 3rd contract at 1726.50 on the puke down to 1718.00
long 3 NQZ09 at avg 1745.42
trying to be aggressive and offering 1 contract out at: 1757.50, 1767.50, 1776.50...
no current bids....
though the market has been weak to neutral today, the NYSE and the NASDAQ AD Line is essentially flat, while it was quite negative today...
big whoosh down to 1718 has brought in buyers, not sellers...ES did not puke out as much...
NQ trading above 1751 may indicate the swing low has been put in and a retest of the 1780ish swing high is in store...

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 ***

10/27/2009: 'SPY Gopher' generated a Long Entry Signal for Monday's Close.

'SPY Gopher' generated a long entry signal for the SPY at yesterday's Close. This is one of my favorite systems. I have been trading this model (or an earlier version of it) since the summer of 2004 (trade #65 on the above Equity Curve chart). Whenever it goes through a drawdown, it has always gone on to ultimately make new Equity Curve highs. It performed extremely well during the recent bear market, and is currently trading just below ts all time high.

Model Performance Stats:

Model Tracking Vehicle=SPY
Start Date=2/2/1993
Number of Trades=96
Average Trade Return=1.16%
Win Rate=69%
Ration Average Win/Average Loss (RAWAL)=1.41
Profit Factor=3.10

The caveat with this model is its dynamic Money Management Stop is moderately high, currently 3.00%. The amount of this stop can change for each day the position is open. Historically, if I can handle risking that much capital on the trade, the performance of the model over the following year has been very good. The model generates 5-6 trades/year, which on average returns 6-7%/year. Each position is modeled to be open for 5 days unless the Money Management Stop closes the position sooner.

I usually trade this model with 4 ES contracts, however for this position, I opened 2 contracts (@ 1064.50). I am expecting another model to generate a long entry signal over the next couple of days, and I want to manage the size of my total exposure.

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

Disclosure: Long ESZ09.

***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 ***

Monday, October 26, 2009

10/26/2009 12:40 pm update: NQ, ES end of year swing high targets

lots of volatility...
short term negatives kicking in...
though i am not that happy about exiting too quickly this am for small gains on the long NQZ09, i am happy to have gotten out of that swing position, and have started another swing long...
this time, i am actually being a bit more conservative...
went long 1 contract at 1763.50 and 1 contract at 1746.25...
now long 2 contracts at avg 1754.88...
bidding for another contract at 1726.50...
offering out 1 contract at 1767.50 and 1776.50...
the more experienced traders/commentartors i follow are on the whole, a little bearish on this dip down, while the less experienced traders/commentartors are more bearish on this dip down...the less experienced are also tending to refer to the ES 1100 peak as 'the top' for the move up from this past march...
i could not disagree more with this view of ES 1100 being the swing peak from the march low...
i remain bullish on the NQ and the ES into at the least the end of 2009, and probably longer...i will re-evaluate in january 2010...
markets rarely peak in october, with 10/07 being the rare example...the october 2007 and the october 2009 backdrops are significantly different from each other....
the end of october thru the end of december, tends to be the most bullish time of year...
by the end of the year, i am targeting the ES to have hit 1170 and the NQ to have hit 1900, both of which are about 10% higher from here...i am not saying the 12/31/2009 close will be at these levels, i am saying these levels will be reached by 12/31/2009...
of course i could be wrong...if i start to believe the market is in fact putting in a longer term peak, i will change my longer term directional bias from long to neutral or even to short....i put this as a low odds scenario though...
if my bullish thesis plays out, i expect to see ES 1170ish and the NQ 1900ish by the end of the year...

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 ***

10/26/2009 10:10 am update: NQ

wow, lots of strength this am...
i was long 2 contracts coming into this morning's trading, and was bullish...
some of my morning reading was slightly bearish on the current technical setup, and that influenced my thinking to such a degree that i lowered my offers...
i had a fun and active weekend with my family, and am a bit tired this am...i wonder if this also influenced my decision making process to lower the offers so i did not have to deal with the uncertainty of an open position...
exited 2 contracts at an avg 1767.13...
this trade: +2.75 NQ points/contract, 2 contracts closed...
i definetly did not capitalize as much as i should have on this swing...
looking for a pullback from this triple top high of the past few days....
bidding 1761.50 and 1741.50...
no offers...
during this 1%+ rally in the NQ and ES, softee and SMH showing lots of strength while XLF flat...
i am step away from the screens for a bit...

***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 ***

Friday, October 23, 2009

10/23/2009 11:20 am update: NQ

the pre-market exit at 1775.50 is looking good right now...
the market has pulled in a bit more than i anticipated, and i got a bit too aggressive with my 2 additions...
the first addition was made at 1768.50, though i originally targeted 1766.50...
the second adittion was at 1760.25, though i originally targeted 1753.50! the current low of this move down is 1751.00...
the bump from 1753.50 to 1760.25 is a pretty big increase...i was afraid of missing the potential bounce back up...my bid crept up from 53.50 to 57.50 to 58.50 to 60.25...
so my avg entry for these 2 contracts is 1764.38...
i am trying to be a bit more aggressive on the offers: 1772.50 and 1777.50...i will see how long i will let these offer levels stand...
bidding for a 3rd contract at 1741.50...

10/23/2009 8:55 am update: NQ

market likes softee's number's and pops the NQZ09 into my offering area...
i changed the initial offer of 1777.50 to the market, and was filled at 1775.50...
this trade: +17.17 NQ points/contract, 1 contract closed...
hoping for post open pullback, and bidding 1766.50...
also bidding 1753.50 for a second contract, but if the market is too stay bullish today, i would not expect this order to be filled...
flat the NQ, no offers...

***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 ***

Thursday, October 22, 2009

10/22/2009 4:30 pm update: NQ

exited a second NQZ09 contract at 1765.25, just below the high of that mini up swing at 1766.25...
this trade: +6.92 NQ points/contract, 1 contract closed...
today: +1.60 NQ points/contract, 2 contracts closed...
today relative to yesterday's closing position in the NQZ09, i am happy to have lowered my cost basis from 1763.75 to 1758.33, decreased my position size from 2 contracts to 1, and to have booked a small gain...
i am offering my only contract out at 1777.50...
i am bidding for 1 contract at 1747.50 and 1722.50...
on another note, i follow the S&P 500 and the NASDAQ 100 stem.mr model's over at sentimentrader...
i have noticed that when the stem.mr oscillator for the NASDAQ 100 appears to have peaked and begins to rollover, i may be too aggressive with my NQZ09 additions...
i may also be too conservative when this oscillator appears to have bottomed and then turns up...
i need to pay more attention to this...
like i have mentioned in an earlier post, i have been following jason goepfert's work over at sentimentrader for nearly a decade...some of his models are significant inputs into forming my overall bias for the market...
his subs are reasonably priced for the retail trader/investor....i am not sure if he has trial subs...in any case, i highly recommend his work...

traderpsyches: “To be better risk-managers or traders, you need to become conscious of your feelings and emotions. Then, you can be aware of your biases and you’ve got a better data set.”

If anyone is interested in becoming a better trader or investor, then I highly recommend the work of Denise Shull over at traderpsyches. The following comes from a recent article:

'...Feeling and emotion are part of your analysis and decision-making,” she says. “To be better risk-managers or traders, you need to become conscious of your feelings and emotions. Then, you can be aware of your biases and you’ve got a better data set.”

She says modern portfolio theory and behavioural finance have neglected to explain how individuals’ views of the market are shaped in the first place, while context-free trading formulas and market theories fail to describe financial markets accurately.

“These are social markets,” she says. “All you’re doing is betting on what other people are going to pay for. We’ve tried to turn that into an algebra problem and it’s not.”

This is challenging stuff – not just for the male-dominated world of trading. Ms Shull suggests that what she is proposing is nothing less than “rethinking thinking” – challenging our ingrained views about how we should use our brains in the first place.

“Our psyche uses feelings and emotions as a resource, but we’ve all been brought up to think it’s not a resource,” she says. “It’s been denigrated. We’ve got to teach people how to reclaim it and analyse it. It’s always been there, colouring our perceptions of the market.”

By telling traders to set aside these emotional data, Ms Shull maintains, conventional wisdom goes against human nature. “We’re fighting the way our brains work,” she says. “Let’s start working with our brains. If you do, you’ll be able to manage risk better and read markets better – and have a chance of beating the people who aren’t.”

She is sceptical of the notion that high frequency trading has removed feelings from the activity. On the contrary, Ms Shull says, algorithmic trading strategies are stuffed full of assumptions and sensitivities – and deciding when to shut them off can be emotional...'

'...Ms Shull’s technique is founded on identifying feelings and articulating them. “Feelings and actions are separate things,” she says. “Everybody says: ‘control your feelings’. But you don’t have to control your feelings, you have to control your actions.

“However, because people haven’t been taught to deal with feelings as data, the energy of the feeling goes straight to the action – you act out the fear, the greed, the anger, because you haven’t been taught to look at fear, greed and anger as data first.”

She advises traders to identify their emotions and analyse how much they are connected to their trading positions as opposed to external influences. It helps to articulate them – if not to a psychologist then by speaking into a tape recorder or writing in a journal.

This way, traders can know if they are anxious because of something in their personal lives, or because of their feelings about the market.

Ms Shull says emotions can sub-consciously signal trading opportunities. “Your brain has been watching these markets for years,” she says. “It knows patterns you’re not conscious of, and it’s communicating that on a feelings-based level...'

10/22/2009 10 am update: NQ

picked up a 3rd NQZ09 contract during the overnight session at 1747.50...
brings my 3 contract avg to 1758.33...
sold 1 contract shortly after the open at 1755.00, which was the swing high of the morning move to the exact tick...
this trade: -3.33 NQ points/contract, 1 contract closed...
the NQ is about 2.5% below its recent swing high...at this point below the high, i prefer to be long 1 or 2 contracts, not 3...
i wanted to pick up the 3rd contract, so that i could sell it a bit higher...this would enable me to take a small loss (relative to the avg entry price of the entire position), decrease my size, and free up some capital for additions to be made at a lower price...this is an example of working my average price down...
i remain bullish longer term on the NQ, however the short term is more up in the air, and more downside would not be unusual...i want to be in a position to pick up some NQZ09 if it does move lower....
bidding 1733.50 for 1 contract...
offerering 1 contract at 1768.00 and at 1777.50...

Wednesday, October 21, 2009

10/21/2009 3:45 pm update: NQ

late day selloff...
got a 2nd contract filled at 1758.50...
now long 2 contracts at 1763.75...
offering 1 contract out at 1768.50 and the other at 1777.50...
bidding for a 3rd contract at 1746.50 (just above the rising 200ma on the 15M chart)....

10/21/2009 11:35 am update: NQ

got back into the NQZ09 at 1769.00...
offering this contract out at 1778.50...
bidding 1753.50 and 1727.50...

10/21/2009 10:45 am update: NQ

my NQZ09 offer at 1766.50 was filled...NQ continues to rally, with a current high of 1778.50...
this trade: +9.88 NQ points/contract, 1 contract closed...
NQ showing rs to ES...
flat the NQ, currently bidding for 1 contract at 1761.50, 1746.50 and 1727.50, no offers...
the 1761.50 bid will probably be adjusted upward....
very strong upside momentum this am....

***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, October 20, 2009

10/20/2009 3 pm update: NQ, ES

NQ and ES bouncing up off lunch time low...
after closing two profitable swing trades during the overnight and pre-day session, my entries for the next swing have not been good...
i was averaged in at 1756.63 with 2 contracts...
around 2:30 pm, i sold 1 contract at 1753.00 to reduce my size and free up some capital...
this trade: -3.63 NQ points/contract, 1 contract closed...
today's trades: +3.88 NQ points/contract, 3 contracts closed...
i can envision a further move down over the next few days...if this comes to pass, then i will add more NQ lower...
currently bidding for 1 contract at 1741.50 (just above the rising 200ma on the 15M chart), and at 1727.50, which is just above the 1725ish pivot...
offering out the current contract at 1766.50...
though i am long 1 NQZ09, i want the NQ to selloff some more....

this topping tail on the daily NQZ09 chart may get the bears all hot and bothered...i welcome it as an opportunity to get longer for the next swing high...
if the NQ were to sell off hard, i would expect its next swing low to form in the 1690-1710 area...the longer the NQ bases, the higher i would expect the swing low to form....

the ES broke broke above its upper trendline last wednesday...on thursday i suggested the ES was possibly putting in a short term top...
since then the ES has been basing above the breakout level of 1075ish and below the whole number 1100...
if the ES were to break below 1075ish and sell off hard, i would expect a swing low to be put in around the lower uptrend line, currently at 1035 and rising a few points each day...
in my view, a critical number of portfolio managers are underinvested...the pm's underperformance relative to their benchmark (S&P 500), is putting a pretty good bid under the market...the 'fear of missing' psychology is very strong right now...

10/20/2009 9:45 am update: NQ

opened and closed two swings in the NQ during the overnight and pre-day session...
entered at 1761.50 and exited at 1771.50...the high of that swing was 1771.75...
+10 NQ points/contract, 1 contract closed....
entered at 1762.50 and exited at 1767.75...the high of that swing was 1768.50...
+5.25 NQ points/contract, 1 contract closed...
for the day: +7.63 NQ points/contract, 2 contracts closed...
got back in at 1761.75 during the post open selloff...NQ subsequently went on to gap fill, with a low of 1754.00, so this entry has not been ideal...
not sure what my offer will be for this contract...
lots of overnight and pre-market volatility latetly, which has led to some profitable swing trades for me...i will be paying attention to this phenomena...
NQ showing rs to ES, with leadership from SMH and AAPL...

Monday, October 19, 2009

10/19/2009 4:15 pm update: NQ

good day swing trading the NQ: 1 swing with 2 contracts for about 10 NQ points/contract; 1 swing with 1 contract for about 8 NQ points/contract...
morning rally in NQ and ES led to basing through lunch, the afternoon and into the close...
currenlty flat the NQZ09, bidding 1747.50 and 1733.50, no offers...

***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 ***

Trader Psyches' 'Psychological Capital Tips and Tricks', 10/18/2009 issue, highlights the 'fear of missing' concept.

The following is taken from Trader Psyches' 'Psychological Capital Tips and Tricks', 10/18/2009 Issue (i can't find a link to this issue or where to sign up for the free distribution of it....if you are interested, then email them at info@traderpsyches.com ):

"...Behavioral and neuroscientific evidence has shown in multiple studies that the fear of missing out is more motivating than the fear of losing money or the the knowledge that you have a better chance of making money if you wait.(Weber & Johnson, Columbia)

What can you do? You know this happens and after-wards you say "how stupid" and promise not to do it again. But then...

The key lies in developing an awareness level of your own feelings, urges and motivations that equals or even surpasses that of your awareness of what the markets are doing.

Using that valuable knowledge of your own biases, impulses and feelings can literally be the very best risk management tool you have!..."

10/19/2009 10:50 am update: NQ

lowered the 1743.50 offer, and was filled at 1741.25...the subsequent 1743.50 offer would have been filled a few minutes later...
this trade: +7.75 NQ points/contract, 1 contract closed...
today's trades: +9.53 NQ points/contract, 3 contracts closed...
flat the NQ...
bidding for 1 contract at 1733.50...

10/19/2009 10:30 am update: NQ

i believe my offer of 1747.50 is too aggressive, so i have lowered it to 1743.50...

10/19/2009 10:10 am update: NQ: not a revenge trade, but it sure feels good!

last friday afternoon, i missed an exit target on 1 contract 2x by 2 points or less... i was quite frustrated by it, but after going to the gym and then getting ready to celebrate my son's birthday over the weekend, i had forgotten about the trade and the frustration...
then, during the sunday night session, i got some great fills...
my bid at 1723.50 was filled, with an overnight low of 1723.25, just one tick below my fill...
this gave me 2 contracts at an average entry of 1729.07...
my subsequent offers of 1736.50 and 1742.50 were then filled just after 3 am...the high of the overnight session was 1744.25...the exit fills occurred while i was sleeping....pretty nice to book some gains while i was riding the Z-train...
these trades: +10.43 NQ points/contract, 2 contracts closed...
these exits made me flat the NQZ09...

at 9:54 am, i changed a bid in the low 1730's and was filled at 1733.50 for 1 contract on the NQZ09...
offering out this contract at 1747.50...
bidding for a second contract at 1713.50...

Friday, October 16, 2009

10/16/2009 4:30 pm update: NQ

frustrating way to the end the week...
i did exit 1 NQZ09 at 1737.50...i was happy to have let the limit order sit on the books and not adjust it...
this trade: +3.12 NQ points/contract, 1 contract closed...
however, the exit on the next contract eluded me...and i wonder why i obsess about adjusting my targets, usually attempting to get in or out a bit earlier than planned...the following is a case in point...
when the NQ started rallying towards the end of lunch, my second limit order was sitting at 1747.50 (first red line on chart)...the NQ traded as high as 1745.50...
around 3 pm, i decided to lower the offer to 1744.50 (second red line on the chart), just in case there was an end of day rally...i went for a quick nap...
well there was a rally into the 3:30 pm time pivot, led by the ES (again)...the NQ traded as high as 1744.00 before selling off...i returned to my screens to see my offer still sitting there and the NQ trading at 1741...
well, the NQ just closed at 1732.50...
if i was sitting at my desk, and saw 1744 print but my 1744.50 order not fill, i would have exited a few minutes later somewhere in the 1743/1742 area...expensive nap...
i guess this is what happens sometimes...but by not adjusting my target, and now marking my position to the market, i missed out on about 10 points...very frustrating...this seems more than what i gave up by adjusting my entries and exits over the past week...
going to head to the gym to clear my head...
i hope everyone had a good week trading...back at it on monday...
on a different note, we are getting ready to celebrate our son's birthday this weekend...he will be 3...it is such a fun age...

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 ***

10/16/2009 12:15 pm update: NQ

currently offering out 1 NQZ09 at 1737.75 and 1 at 1747.50...
these levels are derived from the trading pivots just above them on the 15M chart (1st chart), as well as the red sell line and the dark red sell line on the ATR Volatility chart (2nd chart)...
i think its pretty interesting how 1740ish and 1750ish are showing up as important levels on both of the above charts: trading pivots on the 1st chart and ATR Volatility levels on the 2nd...
the ATR Volatility levels are dynamic, change every day, and may adjust intraday when a new intraday high or low is formed...
new intraday lows may lower the sell levels while new intraday highs may raise the buy levels...
i use the ATR Volatility Band Indicator as a secondary or tertiary input when deciding upon entry and exit levels...

10/16/2009 11 am update: NQ

during the overnight session, the NQ traded to its highest high of this swing move: 1758.00...
i liked this slight break to a new high, such that i was willing to raise my 1733.50 bid...
shortly after 6 am, the NQ began selling off...
after some morning errands, i returned to my desk and saw that the NQ had broken the 1740 pivot, putting in a 1737.00 low...i raised my bid from 1733.50 to 1737.50...
i also noticed that during the sell off, the NQ never traded above the previous bar's high on the 15M chart (shown above)...i placed a buy stop just above the 8:30 am bar's high of 1740.75...
if either the 1737.50 limit order or the 1741.00 buy stop order was filled, i would cancel the other order...
at 9:01 am, i got bought in with a buy stop at 1741.00...
long 1 NQ contract at 1741.50...

the short term bearish topping behavior appear to have come to fruition...
the NQ broke the next price pivot (1731), and dropped to the 200ma on the 15M chart...this was happening around a time pivot (10:30 am), so i entered another NQ contract at market (1728.25)...
currently long 2 NQZ09 at 1734.63...
not sure what my exits targets are yet...i am considering 1743.50 and 1746.50, but nothing is on the books yet...

Thursday, October 15, 2009

ECRI: A Reply to Paul Krugman

10/15/2009 4:15 pm update: ES, NQ, FAS

ES getting extended on the daily chart...new daily high and continuing to trade above its upper trend line...volume decreasing, ATR volatility also decreasing...FAS not making a new high with the ES...to me, all signs of short term topping behavior...
NQ continues to show rw...
GOOG eps tonight...
if there is a large gap up in the NQ tomorrow morning, i will consider shorting it for a quick scalp to the downside...i am still bullish on the NQ into the end of the year...
flat the NQ...
pulling my NQ 1741.50 bid...
now only bidding at NQ 1733.50...
no NQ offers right now...
the recent swing high in the FAS is 94.54...if the FAS gaps above 94, i will consider selling my last 2 FAS lots into that gap instead of limit 95.00 and limit 96.50...

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...trade at your own risk ***

10/15/2009 3 pm update: NQ

lowered my original offer (1749.00) and was filled at 1747.75...
this trade: 4.50 NQ/points/contract, 1 contract closed...
lets see, the original entry was supposed to be 1741.50 and the original exit was supposed to be 1749.00...both of these levels were eventually hit...if i didn't mess with the targets, then this trade would have booked 7.50 NQ points/contract...big difference...same old story for me...
can i get better at leaving my targets alone? good question....
perhaps i don't need to...perhaps my general entry and general exit targets are good enough and i just need to accept that i will exercise some discretion (generally influenced by the 'fear of missing'), that will shave a few points off my performance...i will have to think on this...
today: +4.25 NQ points/contract, 2 contracts closed...
flat the NQ, no offers, bidding at 1741.50 and 1731.50...

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 ***

10/15/2009 11 am update: NQ

got too antsy, and lifted my bid to the market and was filled at 1743.25...
offering this contract at 1749.00...
lifted the bid on the 2nd contract to 1731.50...
historical trades are being displayed accurately...

10/15/2009 10 am update: NQ

my 1745 bid on the NQZ09 was hit pre-open...unlike my comment from last night, i was too aggressive and the bid should have been in the low 1740's...
i sold it at 1749 just before 10 am...
this trade: +4 NQ points/contract, 1 contract closed...
weak A/D line, weak SMH, weak FAS suggests to me that the NQ may test the 1740 pivot by the end of lunch...
flat the NQ, no offers...bidding 1741.50 and 1726.50...

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...trade at your own risk ***

Wednesday, October 14, 2009

10/14/2009 4:15 pm update: FAS, NQ, ES

FAS discretionary swing trading:

during the last dip down in the FAS from the end of september to the beginning of october, i was scaling into the FAS in the low 80's thru the high 60's (large green oval), with a final average entry of around 77.95...not an ideal average for the range...i was too aggressive in the low 80's...
i started scaling out of this discretionary swing trade on monday (low 88's)...today another one of exit targets were hit (93.50)...the exits are displayed within the red oval...
of the six FAS lots that i started with, only two remain...i am currently offering them at 95.00 and 96.50...

NQ discretionary swing trading:

as per my post last night, i believed the odds were high for a gap fill this morning on the NQ...the NQ opened around 1750 and then sold off to the 1740 pivot, but didn't fill the gap down to the high 1720's...
i was bidding in the 1730's but these levels were never reached...during lunch, i raised my bid to 1741.50, but it wasn't filled...the uptrend was very strong today...
the NQ did break its previous swing high of 1753.25, reaching the 1754.50 today...a few weeks back, during the NQ/ES downdraft, i was calling for an eventual new swing high...
this move up in the NQ has generally shown rw compared to the ES...i prefer market leadership from the NQ, however, i will gladly accept it from the ES when it is being led by the financials...
the NQ appears pretty extended to me right now...i remain bullish on it through the end of year...
right now, i will be more conservative with my discretionary swing trade entries in the NQ...
i can see the NQ possibly falling to the high 1600's on the next swing move down...these levels may change if the NQ grinds up from these levels..
i am currently bidding 1745.00 for 1 contract and 1726.50 for a 2nd contract...
historical trades are not being shown correctly on the above NQ 15M chart...

ES:

ES is beginning to trade above its upper trend line again...
the last time this happened (in the latter half of september), the ES based for a week or so, and then dropped down to the lower trend line...
who knows if this will happen again, but i will be watching this pattern...

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...trade at your own risk ***

Tuesday, October 13, 2009

10/13/2009 8:30 pm update: NQ

my offer of 1738.50 was filled at 1740.00 on the open of the overnight session...
this trade: +8.50 NQ points/contract, 1 contract closed...
historical trades on the above chart are being displayed correctly...
no current bids or offers...
an upside surprise from INTC led to a 13+ point NQ gap up from the 4:15 close to the 4:30 open...
i will be watching how INTC opens tomorrow as well as the NQ...i have read some studies which suggest that large INTC gaps during earnings season tend to mark short to intermediate term pivots and reversals in the NQ/ES...this pivot reversal did not occur in july though...
in any case, i will be watching to see if the post market INTC and the NQ gaps are able to hold up into tomorrow's open...if they do, then i will be on the lookout for a potential gap fill in INTC and the NQ....
like i mentioned before, i am flat the NQ, and have no offers or bids open....

Disclosure: no position in the securities mentioned.

***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 ***

ECRI: There really is a 'V' in Recovery

'...The institute compiles a set of economic indicators that it calls the Weekly
Leading Index, and on Friday it announced that the index is at a record high.
That means, Banerji said, a stronger recovery than we saw after the recessions
of 2001 or 1990-91 with little risk of a double-dip...'

'"With the economy just coming off the bottom of the business cycle, things look
pretty bleak outside your window," says Anirvan Banerji, director of research
at the Economic Cycle Research Institute in New York. "The reality of where we
are, though, should not blind us to the forward-looking indicators of where we
are headed."'

NQ rs to ES

yesterday afternoon, when the ES came down and tested the 1068 pivot, NQ dropped to 1716.50...
this am, when ES came down to test the 1068 pivot again, the NQ only dropped to 1725...
the ES is about 1% below its 1076 pivot high, while the NQ is about 1.7% below its 1753 pivot high...
the NQ still has more work to do on the upside relative to the ES...today's rs to the ES is a step in this direction...

10/13/2009 9:45 am update: NQ

changed my offer on the NQZ09 from 1746.50 to 1738.50...
if the NQ did not break down yesterday afternoon, i would have kept that offer level...
NQ showing some rs to the ES this am...
INTC earnings post close...this catalyst could keep the markets range bound today...
bidding at 1713.50 and at 1693.50 for the NQZ09...
yesterdays decision to not place a stop below the 1730ish pivot for the 1731.50 entry did not work out well...i could have taken the stop, and then re-entered in the low 1720's...i would probably have sold it in the high 1720's, and have looked to buy it back in the low 1720's during the overnight session...opportunity lost...
perhaps i was too impatient, too fearful of missing a potential move up...something for me to keep in mind, especially the next time the NQ gets to a level that has me flat, with no offers and no bids...

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**

Monday, October 12, 2009

10/12/2009 1 pm update: NQ

NQ showing rw to ES again...NQ trading down to pivot support at 1730ish, while ES has not traded down to pivot support 1067ish...
the A/D lines and the TRINS for the NYSE and the NASDAQ are both bullish, so i will give the benefit of the doubt to the bulls, and look at this dip down to pivot support at 1730ish as a gift...

long 1 NQZ09 at 1731.50...
since i started swing trading the NQ on a discretionary basis in july, this is the first NQ contract that i considered putting a tight stop under...after much deliberation, i have decided not to...if the NQ sells off, then i will slowly add to the position and work my average price lower...
though i am allowing for the possibility of a stall at ES 1075 and NQ 1735ish and perhaps another whoosh down, my longer term bias remains bullish on both of these vehicles...
offering out this NQZ09 at 1746.50, which i wouldn't expect to be hit until the monday night or tuesday day session....
bidding for another contract at 1712.50....

10/12/2009 9:50 am update: NQ

my NQZ09 offer of 1733.50 was hit during the overnight session...
this trade: +11.50 NQ points/contract, 1 contract closed...
the historical trades are now being correctly displayed on the above 15M chart...
since that order filled, i began bidding 1726.50 for 1 contract, hoping for it to fill prior to the regular sessions open or by 10 am...since this order has not filled, i am pulling it...
i am flat the NQ, with no bids and no offers...this is pretty rare for me....
the ES is trading at 1076, which is resistance from the prior swing high...the NQ is trading at 1735, which is about 1% below the previous swing high resistance, demonstrating rw...
if the ES manages top keep moving up above the 1076 pivot, i would expect the next target to be the round number 1100...YM is trading around 9865 and is quickly approaching 10,000, which could also act as a resistance area for the market as a whole...

Disclosure: no positions in any securities mentioned.

***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**

Friday, October 9, 2009

fear, resistance, growth: T.Y.P.S, biofeedback and intuitive trading

one of the biggest obstacles to increasing my performance as a trader is the influence of fear in my decision making process...
i have recently begun using Zen Trader System's T.Y.P.S. audio tapes to help me relax, and attempt to reprogram my subconscious inclinations...
here are some observations i have had since i began using the tapes:
periodic instances of clearer/sharper eyesight...i sometimes experience better vision when i do certain breathing exercises as well...i am not claiming that the T.Y.P.S. tapes are making my vision better, i am just making an observation...
a spontaneous image of one of my trading account balance's being 10% higher than it currently is...this image, almost dream like, occurred during the 'Neuro Nap' tape: i was writing the new account balance in the notebook where i document all of trades (which i have been for 13+ years now)...
more frequent instances of frustration at the difficulty of the entire trading endeavor, a feeling/recognition that i am working so hard to just keep up, that getting ahead and back to my account balance highs from of the summer of 2007 will never occur...
its been interesting that as i am doing more work on the emotional side, i am also experiencing a bit of an emotional backlash against the potential for growth...while there is a conscious intention to grow, there is also something inside of me that is resistant to this change, to growth...
mentally, i can be very harsh on myself...i need to work on being kinder to myself...
overall i am not trying to force anything, i am just trying to relax and grow...i am very happy with the T.Y.P.S. audio series, and i plan on continuing to use it...
dr. brett steenbarger considers biofeedback to be a best practice in trading (i highly recommend this post)...i am becoming more interested in using a computer based biofeedback system to help me increase my level of coherence (a measure of emotional regulation) and then to help me monitor my biorhythms during the trading day...dr. brett recommends the use of the 'freeze framer' program (now known as 'emWave PC Stress Relief System')...
i am becoming more of a proponent of the idea that a goal of trading is not to eliminate emotions from the decision making process, but to use emotions as part of the decision making process...developing and refining the feel for a particular market, may lead to a deeper intuitive sense of the proper directional bias for a particular time frame and the proper position size in that particular market...this is what i am trying to do with my discretionary swing trading of the NQ, and i feel like i am on the right track with it...
this intuition can not just be cognitively based, it must also have emotive inputs...if i understand the evolution and the architecture of the human brain correctly, then our smaller cognitive abilities sit atop a larger emotive mosaic...perhaps its not that our cognition will lead our emotions, but that our emotions will lead our cognition...i am not a trained psychiatrist or neurologist or medical doctor or anything like that...i am just trying to make sense of how my brain works and how this effects my trading...
i am hoping that all of this emotive work combined with an ever increasing cognitive understanding of how markets tend to move, will help improve my intuitive trading such that trading becomes a more relaxed and fluid process, with an ever increasing sense of personal well being and trading account balances...
if anyone has had any experience with the T.Y.P.S. audio series or with biofeedback, i would love to hear about it...

10/9/2009 4:45 pm update

at 3:08 pm, i lowered the NQZ09 offer from 1727.50 to market and was filled at 1726.50...the high remained at 1726.75 for a few minutes, then was breached and newly marked at 1727.75 for the remainder of the day...the ES marked a high for the day around 3:12, but then went on to make a new high on the close of the day...the NQ did not make a new high at the close...SMH showed tremendous strength, but the some heavy hitters (MSFT, RIMM, GOOG) were flat or red for the day...the NQ rs compared to the ES faded a bit towards the close...
this trade: +8.87 NQ points/contract, 1 contract closed...
for the day: +6.62 NQ points/contract, 2 contracts closed...
1st closed trade original exit target of 1723.50 would have been hit, but i changed my order and was filled at 1722.00 (-1.50 points below original target)
2nd closed trade original exit target of 1727.50 would have been hit, but i changed my order and was filled at 1726.50 (-1.00 points below original target)...
i left 1.25 NQ points/contract, 2 contracts closed, on the table because i was afraid that my original target would not be hit...
re-entered the NQZ09 at 1722.00...my original entry target was 1721.00, but i was afraid my target would not be reached, so i got back in at the market and was filled at 1722.00...the low of the swing was in fact 1721.00, but i don't know how much demand there was at 1721, so i don't know if i would have been filled....
currently long 1 NQZ09 at 1722.00...
currently offering this contract at 1733.50 for the sunday overnight session...if this order is filled, i will be bidding at 1726.50...
currently bidding for 1 contract at 1712.50...
ES is approaching resistance at 1076.00...it is currently trading at 1068, about 0.80% below its swing high, while the NQ is about 1.80% below its swing high (1753)...both the ES and the NQ are up 5 days in a row...a pause in this rally around these swing high levels would be expected...i will have to manage the size of my long NQ position a bit more, and perhaps be a little less aggressive on the addition levels...
if during the overnight session, the offer fills at 1733.50 and then the bid fills at 1726.50, i will look to offer out that entry in the mid to high 1730's....i am not sure how aggressive i will be with adding another contract in the high 1720's to the low 1730's...i will have to see how things play out...
the historical trades on the above NQZ09 15M chart appear correct (though some of the earlier trades are still not being accounted for correctly by tradestation....someday this will be worked out)....
i hope everyone has a good weekend...

interesting studies for me to research

quantifiable edges 2 days up in chop...
woodshedder's Varadi’s DV2 vs. Wilder’s RSI2: Trading the Divergence...

10/09/2009 10:05 am update: NQ

changed the NQZ09 offer from 1723.50 to market, filled at 1722.00...current high for the NQ so far is 1723.00...
this trade: +4.37 NQ points/contract, 1 contract closed...
long 1 contract at avg 1717.63...
still offering 1 contact at 1727.50, bidding for 1 contract at 1692.50...
i will be bidding for a second contract, but i am not sure at what level yet...
historical trades still being displayed incorrectly on the above 15M chart...

Thursday, October 29, 2009

Wednesday, October 28, 2009

Tuesday, October 27, 2009

Monday, October 26, 2009

Friday, October 23, 2009

Thursday, October 22, 2009

Wednesday, October 21, 2009

Tuesday, October 20, 2009

Monday, October 19, 2009

Friday, October 16, 2009

Thursday, October 15, 2009

Wednesday, October 14, 2009

Tuesday, October 13, 2009

Monday, October 12, 2009

Friday, October 9, 2009

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