'1 CT Spyder' generated a long exit signal for tonight's close (9/1/2009)

'1 CT Spyder' generated a long exit signal for tonight's close (9/1/2009).

• what an ugly day...the bulls tried to get us going in the am, but the bears took control into the close...
• the model closed out its position for a 2.33% loss...
• the actual trading position booked a 2.28%, slightly better than the model...
• today's loss was the 3rd worst loss in the model's history...i have to go back to 9/2002 to find a larger loss...interestingly, the 3 worst lossess all took place in the months of september or october...
• i believe the concept for this model is still robust...it is based on the trading behavior of the SPY during the last few days of the calendar month and the first day of the new calendar month...this pattern has been robust since the inception of the SPY in 1993...
• since the begining of july, the primary systemic swing trading models that i have been trading have booked either scratch trades, moderate losses or complete stop outs...very frustrating, especially since the markets have been heading up, though somewhat choppy of late...
• the 'NB #1 NDX' discontinued model generated an entry signal for yesterday's close due to be exited at today close...i stopped trading that model in july because of a flaw in its logic...i am glad i did, because it would have been stoped out for a 1.6% loss today...
• hopefully with the rebuilding of a few of the models to reflect better datastreams and more in sample data, the models will turn around soon, and begin to generate the gains that they have over the past 3-5 years that i have been trading them...
• historically the systemic swing trading portfolio posts a max drawdown of about 15% from its recent high...right now, the portfolio is down about 12% from its early july high...
• the portfolio gets another go at it tomorrow, as the 'NDX 1st DoM' model generated an entry signal for today's close....
• chin up adam, tomorrow is a new day...

Disclosure: Long NQU09.

***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...***

9/1/2009 1145 am update

• wow, big ramp by the bulls into the 10 am news, then the news beats expectations, and then a huge sell off which is still underway...
• since i was already long the ES via '1 Ct Spyder' and there is a looming EOD entry signal for the 'NDX 1st DoM', and since i have been slightly off with my exit targets in the NQ lately, i decided to change the previous limit orders of 1635.00 and 1646.00...
• i sold one contract at 1626 (just below the 1627.50 pivot) and one contract at 1640.25 (just above the midpoint of the 1627.50 - 1648 range), netting +7.25 total (3.625 pts/contract)...
• i would have loved to have been able to hold on for the initial targets, but my analysis and risk management would not let me...if i had to do it all over again, i would do it the same way...
• an additional concern was the major indices are seeing some short term topping action and there are lots of bears looking to front run the typical september weakness, that we might see some strong selling pressure on worse than expected econ data and that would lead to a sell off like we are currently witnessing...i did not imagine that this intense sell off would come on the back of better than expected econ data!
• the '1 Ct Spyder' stop is set on the ES at 994.00...after the strong rally into 10 am which saw the ESU09 trade as high as 1027.75, and the seemingly never ending losses for my systemic swing trading models, i will be quite disappointed if it stops out...however if it does, i will just wait for the next entry signal and take it when it comes...trading is all about standing up after falling down...
• being that i am expecting a long entry signal from the 'NDX 1st DoM' systemic swing model at the close today, i am not looking to enter a discretionary swing trade for the NQ for the rest of the day...

Disclosure: Long ESU09.

***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...***

'1 CT Spyder' generated a long entry signal for tonight's close (8/31/2009)

'1 CT Spyder' generated a long entry signal for tonight's close (8/31/2009).

The model was rebuilt as of today. The overall logic has remained the same. The parameter setting for the primary filter and for the dynamic stop size were tweaked just a little bit.

The model's equity curve flat lined from the beginning of 2006 through the beginning of 2008. In April of 2008 the model broke out to the upside followed by two additional trades and two additional equity curve highs.

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=SPY
• Start Date=2/2/1993
• Number of Trades=46
• Average Trade Return=0.63%
• Average Winning Trade Return=1.18%
• Average Losing Trade Return=-0.92%
• Win Rate=74%
• Ratio of Average Win/Average Loss (RAWAL)=1.29
• Profit Factor=3.65

The performance of this model is rather strong with a RAWAL of 1.29 and 74% winners. The dynamic stop is rather large though, currently at about 2.50%. The stop has been triggered during 2 of the 46 trades (4% of the time). If the stop is not hit intraday tomorrow, then the trade is due to be exited at the close on Tuesday.

Disclosure: Long ESU09.

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.

***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...***

8/31/2009 post close update

• for the NQ Discretionary swing trade, i added 1 contract sunday night at 1638.50, and another contract around 10am this morning at 1620.25...
• currently long 2 NQU09 at avg 1629.38...
• for the overnight session and for tuesday's day session i am looking to sell the first lot at limit 1635.00 and the second lot at limit 1646.00...these levels may change though at any time...
• rebuilt the '1 CT Spyder' model, which also happened to generate a long entry signal for today's close...

Disclosure: Long NQU09.

***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...***

8/28/2009 3 pm update

• NQ much weaker than i anticipated...the gap up was sold hard...
• a few minutes after today's open, it crossed my mind to possibly short the large gap up (my long was already sold at 1646 so i was flat...), but i was still leaning to the bullish side short term...one of the things i need to work on is learning how to trade to the downside when i feel the NQ is short term overbought, even though i believe i should be bullish on the longer time frame...
• volatility increasing....yesterday's ATR volatility (2.01%) was greater than its average ATR volatility (1.57%)...today's volatility (2.32%) is even greater than yesterday's....not sure what if any kind of predicitive value this may have for trading over the next few days, but it appears to me that the bulls and the bears have stepped up their activitites...
• when the NQ sold off to the low 1630's around 1230 pm, i purchased a second contract at 1632.75, lowering my average cost to 1642.00...
• i selected the low 1630's because: 1) it is just above the 1628 pivot that has been in effect since friday 8/21; 2) above the rising 200ma (magenta line) on the 15M chart...the ATR volatility chart did not play into it...
• SMH has broken above the top of its base at 25.50ish that dates back to the end of july...but after the opening gap up, it has sold off to the breakout area and has been flatlining since late morning...INTC, which is leading the SMH shows the same pattern...
• TRINQ still very bullish, but the NASDAQ A/D line is very weak...
• i am begining to feel a bit more bearish on the NQ shorter term, so instead of carrying the two contracts to sell at higher levels over the next few days, i used the pop above 1640 to the flat 20ma on the 15M to exit...sold 1 contract at 1642.00 for 0 pts/contract...
• though i did not make any money on this sale, i did reduce my exposure and free up some liquidity for further additions if we head lower...
• i am currently looking to sell the remaining contract at limit 1652.50 for the day session...if the NQ is above 1647.50 around 4pm and if i am stil long, i will sell it at limit 1647.50, and then look to buy this lot back at a lower level during the sunday night sesssion...if the NQ sells off, then i will hold the lot over the weekend...
• still looking to buy another contract at 1603.50...this order will hang around for a few days...
• i am looking for continued sideways and perhaps upside action through tuesday sep 1..after that i will reassess my short term bias, and my subsequent NQ discretionary swing trading plan....
• rebuilt the 'IDX OU' systemic swing trading model...
• currently working on rebuilding the '1 CT Spyder' model...

Disclosure: Long NQU09.


***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...***