8/24/2009 post close update

NQU09 discretionary swing trade:

• very narrow day for the NQU09 today...
• still long 1 contract at 1635.50...
• current orders to sell limit 1656.50 and to buy a second contract at limit 1617.50...
• working on building an indicator that plots an average true range (ATR) projection for the High range and the Low range of the current trading day...in addition to the obvious pivot points on a 15 minute chart, i am incorporating these High and Low range projections into my thinking when determining buy and sell levels for the NQU09...

Systemic swing model rebuild:

• the $IDX and the $RUT.X data series on TradeStation incorrectly reports the Daily Bar's opening price...it uses the previous Daily bar's Closing price, and thus there are no Opening gaps...this inaccurate data was effecting the entry filters and the stops for models that use these data series...a different data series is now being used as a proxy for the S&P 400 (MDY) and the Russell 2000 (IWM)...
• the 'BO IDX' model was rebuilt on the MDY data series...it is being discontinued because it is not robust...this discontinuation saved me some money today as the old 'BO IDX' model generated an entry signal for this past friday's close which would have posted a 0.50% stop loss today...i am pretty psyched to have finally had a model rebuild that worked in my favor...
• 'BTBT IDX' and 'BTBT RUT' have been successfully rebuilt using the new data series'...
• there is a lot more testing/building to be done, but progress is being made...

VCM daytrading:

• learning a trading style that gets my position bigger as it goes in my favor, as opposed to getting bigger when it goes out of my favor...very interested in continuing to learn more about this style...
  

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...***

'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."