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

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

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

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

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***