1/12/2010 4:15 pm update: Less Red, 'BTD Index' does not generate an Entry Signal.

• what a frustrating market...the bid below the market remains strong...
• my 'BTD Index' model did not generate an entry signal at today's close...it was lined up to do so around midday, but the bulls fought back just enough into the close to negate the entry signal for this model (by a measly 3 points)...
• the NQ futures are up nearly 6 points from the 4 pm close too...
• frustration....
• perhaps there will be more selling tomorrow...and even though we are in the seasonaly weak mid january period, i have a funny feeling we have already seen the brunt of the selling, which only amounted a measly 3% from the highs in the NQ, and even less in the ES....
• i am glad i bought some out of the money calls on LTD yesterday...it is holding its breakout very well...

Disclosure: Long LTDBX.

***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 ***

1/12/2010 12:45 pm update: More Red

• major stock indices continue to selloff...
• a long entry signal for my 'BTD Index' systemic trading model has benn generated for today's close, though the signal could be canceled by the end of the day if the NDX puts in a strong enough intraday bounce...
• my strong stock watchlist continues to grow...

***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 ***

'BTD Index' generated an Exit Signal for Today's Close, 11/5/2009: books first loss (about 1 point) after 6 winning trades in a row.

• 'BTD Index' generated an exit signal today, booking about 1 point loss...
• after 5 winning trades in a row since june, and 6 since 12/07, there was bound to be a loser...however, 1 point is nothing to worry about...
• the equity curve is essentially at its all time high...
• i trade this model with the NQ...i was supposed to wait until the 4pm close to exit this trade, but today i exited during the morning ramp up, thinking that the am strength would not hold...the early exit was at 1713.75, and the 4pm closing exit would have been around 1719, so i missed out on about 5 NQ points here...

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***

some additional 'BTD Index' characteristics

• woodshedder has a trading blog where he primarily posts entry and exit signals for his power dip system...if you are interested in this type of trading, then check out his work...
• in a comment i left on his blog, i posted some characteristics of my 'BTD Index' model...i don't believe i have posted those specific characteristics here, so i am doing so now:
• in the fall of 2005, i backtested this model on trading a basket of stocks (IBD 100 stocks), but the results were pretty poor…i believe they were poor because BTD does not use a price based stop, it uses a time based stop…this time based stop has worked well (so far at least) on the NDX, but it didn’t it would work well with stocks…i could build a version for stocks, but my capital is allocated primarily to the futures markets right now...
• one of the drawbacks of the BTD Index model, is that it only generates about 5 trades/average year (more though when the trend is up, as it is now)…it also has a very steep historical max individual trade drawdown of about 15%, so i only trade this model with a small portion of my capital…
  
  

'BTD Index' generated an Exit Signal for Today's Close, 10/6/2009: books 38 NQ points in 3 days.

• my 'BTD Index' generated an Exit Signal for Today's Close, 10/6/2009...
• the modeled position (NDX), booked a 2.33% profit, slightly less than the 2.71% average winning trade...the trading position (NQZ09) booked a 2.26% profit (including commissions)...
• in terms of NQ points, this trade generated +38.00 NQ points/contract, 1 contract traded...
• this trade is separate from the NQ discretionary swing trade that i write a lot about...
• this model generated a new equity curve high today, with its 6th profitable trade in a row...this is the 5th profitable trade in a row since june...
• this is the 4th time in a row, the model hit its target on the 3rd or 4th trading day after entering the position...prior to this instance, the 3 previous entries went on to make new swing highs in the NDX...
• is a new swing high in the offing for the NDX/NQ?
• the concept of buying a short term dip in the NDX while in a longer term uptrend in the NDX, continues to generate profits...the key is defining the short term dip, the longer term uptrend, the price target and the length of the time based stop...

Disclosure: Long NQZ09 (via a discretionary swing trade).

***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**

10/6/2009 10:30 am update: NQ, 'BTD Index'

NQ Discretionary Swing Trade:

• i have been holding 3 NQZ09 contracts for a discretionary swing trade...these 3 contracts were picked up during last weeks selloff...
• my original offers on the NQZ09 were 1695.00, 1705.00 and 1716.50...
• i changed the first two, and was filled at: 1692.50 and 1703.00...
• first exit: +7.33 NQZ09 points/contract
• second exit: +17.83 NQZ09 points/contract...
• total for the day: +12.58 NQZ09/contract, 2 contracts traded...
• i am offering my last discretionary swing contract at 1716.50...
• i will be looking to buy 1 contract back...at what level remains to be seen though...
• NQ finally showing some rs compared to ES...

'BTD Index':

• currently, 'BTD Index' is generating an exit signal (cyan bar) for today's 4pm close...the price exit for this model is target based, and we are currently trading above the target (red midline: around 1699 on the NDX), but we still have to close above the target for an official exit signal to be generated...
• if the target based exit signal is generated, then the position will have been held for 3 days since the entry signal was generated...this is very similar to the prior 3 entry signals, which were held for 3-4 days before the target exit was hit...these previous entry signals also led to new swing highs on the NQZ09...

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***

10/5/2009 4:30 pm update: 'Payrolls NDX', NQ, 'BTD Index'

'Payrolls NDX':

• the 'Payrolls NDX' model booked a 0.79% profit today...the trading position (NQZ09) booked a 0.72% profit (including commissions)...the last two trades on this model were stops, so it is nice to see the model 1) not stop out; 2) generate a profit....
• in terms of NQ point, this trade generated +12.50 NQ points/contract, 3 contracts traded...

NQ discretionary swing trading:

• NQ showed rw compared to the ES today...SMH underperformed, while the XLF outperformed...
• early last week, i made a call that the NQ could take out its recent swing high by the end of the week...unfortunately, not only did we not take out the recent highs, but the NQ fell to new lows by friday...
• for my discretionary swing trading position in the NQZ09, i remain long 3 contracts at an average of 1685.17...
• i am currently offering 1 contract at the following levels: 1695.00, 1705.00, 1716.50...
• i am still bullish for the longer term, just riding out what i believe is a shorter term move down...

'BTD Index':

• the 'BTD Index' model remains long 1 NQZ09 at 1665.50...
• the low of this swing move down (10/2), came on the day after the first closing break of the lower bollinger band on the NDX daily chart (10/1)...this fits the previously discussed pattern of marking the last 3 swing lows before making a new swing high...

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**

10/2/2009 11:00 am update

• this NQZ09 chart shows my entry and exit history...the entry and exit portion of the chart has gotten a bit messy today...since i trade multiple strategies on the NQ, there are multiple entries and exits which are not related to the NQ discretionary swing trade which i normally write about in these updates...also tradestation uses a FIFO accounting method when exiting trades, so the entries and exits are even more out of sync with how i account for my systemic and discretionary trades in the NQ...
• discretionary swing trading wise, i added another NQZ09 contract this morning at 1664.75...this position now has 1 contract entries at: 1713.50 (wed 9/30), 1677.25 (thurs 10/1) and 1664.75 (fri 10/2), leading to an average price of 1685.17...
• the NQ is showing some rs compared to the ES this morning...the financials are slightly green (XLF, FAS)...both the ES and the NQ filled their gaps, with the NQ even rising more than 0.50% above the gap fill...both have pulled in some...if we are to see further upside today, i would like to see the ES and the NQ trade in the upper half of today's range, and not test their opening levels...
• yesterday i mentioned how the 'BTD Index' chart and its ATR volatility reading may be suggesting a swing bottom in the current area of today's low in the NQ:

• prior to last nights entry signal for the 'BTD Index' model, the last 3 entry signals occurred on the day of or the day before the NDX swing low, which then went on to make new swing highs...today's low is a bit below yesterday's low...if the most recent pattern is to be continued here, then the NDX should not trade below today's low before the next swing high...maintaining the NQ gap fill, and continuing on up by the end of the day would be a good step in this direction...

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***

Fishing for a bottom

• i re-initiated a discretionary swing long in the NQZ09 on wednesday at 1713.50 and this morning at 1677.25, for an average entry price of 1695.38...
• i am holding off on adding more due to 'BTD Index' and 'NDX 1st DOM' generating long entry signals for the NQ this evening...
• the NQ has carved out a series of lower highs and lower lows on the 15M chart shown above, as well as the 60M chart (not shown)....
• however, the 'BTD Index' chart of the NDX shows what i believe could be bottoming behavior:

• the 8 period ATR Volatility for the NDX is displayed in the lower pane of the above chart...it closed at 3.16% today...i placed a yellow circle at that 3.16% ATR Volatility level...
• i placed a green circle on each daily ATR Volatility bar that was also around 3.16% and saw the NDX close at or below the lower bollinger band (lower red line)...
• notice the last 3 instances (7/7, 8/17, 9/1) all bottomed that day or the next day, and then went on to make new swing highs...
• going back to the 4th (6/22) and the 5th instance (6/15), the NDX displayed different behavior: taking more days to bottom and not making a new swing high...
• we are only looking at 5 instances, so there isn't enough data to give us enough confidence to support a bullish, neutral or bearish view solely based on this behavior...however, i am open to the possibility that the NQ may find a swing bottom in this area...
• if this view is correct, then i have some NQ inventory to ride up...
• if this view is incorrect, i still have some more buying power to add to my long position as the NQ heads down...
• in any case, i am still bullish over the coming weeks and months...

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***

'NDX 1st DOM' generated a Long Entry Signal for Thursday's Close, 10/1/2009

'NDX 1st DOM' generated a Long Entry Signal for Thursday's Close, 10/1/2009. 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 Friday's Close unless its Money Management Stop is hit intraday.

As can be seen from the Equity Curve shown above, the model is currently trading a few ticks below its all time high. However the three most recent trades were stops.The model uses a very tight Money Management Stop, currently 0.50% below the Entry Price. I only took a 50% position (3 NQZ09 @ 1665.50) instead of a full position (6 NQZ09) for this model tonight. I am already long some NQ based on tonight's 'BTD Index' (1 NQZ09 at 1665.00) long entry signal, as well as a re-initiated NQ discretionary swing trade (2 NQZ09 at 1695.38). Additionally, with all of the volatility this week and the Payroll report due pre-market, I don't want to take the chance of getting stopped out for more than the model theoretically calls for (0.50%). Again, like many times this week, I am being influenced somewhat by fear. So far, I say this influence has benefited me this week. However this can't continue, I will under perform one of the systemic models sometime soon.

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=NDX
• Start Date=11/1/1985
• Number of Trades=116
• Average Trade Return=0.39%
• Average Winning Trade Return=1.24%
• Average Losing Trade Return=-0.47%
• Win Rate=50%
• Ratio of Average Win/Average Loss (RAWAL)=2.63
• Profit Factor=2.68

The win rate is only 50%, but the average winning trade (+1.24%) is 2.63 times as big as the average losing trade (-0.47%).

Disclosure: Long NQZ09.

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...trade at your own risk***

'BTD Index' generated an Entry Signal for Thursday's Close, 10/1/2009.

'BTD Index' generated an Entry Signal for Thursday's Close, 10/1/2009. This is another one of my favorite models. The last five trade's from this model were profitable, each one generating a new high for the Equity Curve. The last four 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=123
• Average Trade Return=1.70%
• Average Winning Trade Return=2.72%
• Average Losing Trade Return=-2.51%
• Win Rate=80%
• Ratio of Average Win/Average Loss (RAWAL)=1.08
• Profit Factor=4.47

The Average Winning Trade is just a bit more than the Average Losing Trade (RAWAL=1.08), but this model generates 80% winners.

Disclosure: Long NQZ09.

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...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***

Using systemic trading models as an aid in discretionary trading

• brett steenbarger recently posted on the potential benefits of using "...system-related research as decision support for discretionary traders..."
• this comment mirrors how i use my 'BTD Index' model to not only generate systemic trading signals for the NQ, but to also influence where i bid for a second or third contract when adding size to my discretionary swing trading in the NQ:

• this summer's rally has seen 4 swing lows...they are highlighted on the above 'BTD Index' NDX chart with white circles: 6/23, 7/8, 8/17 and 9/2...
• the last 3 swing lows, occurred on the same day or on the following day that the NDX closed below its lower bollinger band (yellow bar highlighting an NDX close below the lower red line)...this area around the level of the lower bollinger band has acted as support, and marked the general area of the swing low...
• last friday's low was just above the lower bollinger band (lower red line), suggesting this 1690 area may be the general area of the current swing low for the NDX (NQ)...
• while i did not add another NQ contract to my discretionary swing trade, i have been using the lower bollinger band level on the 'BTD Index''s NDX chart to help inform me of where a possible bottom for the NDX (NQ) may form...this potential swing bottom area has influenced the general levels where i will consider bidding for a 2nd and 3rd contract when building the size of my NQ discretionary swing trade...
• i take the same view brett takes: systemic trading models can be useful inputs into the decision making process for the discretionary trader...
• my overall trading plan contains both systemic and discretionary trading styles, and i believe i am a better trader for it...of course i still have a lot more to learn cognitively about both trading styles, as well as practicing to become more emotionally comfortable with the uncertainty of each trades outcome, but using the tools and bias's of both styles has made me a better trader...

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***

9/24/2009 1050 update: NQ, ES, 'BTD Index', 'SPY Gopher'

• wow, volatility is back...
• the NQZ09 contract i purchased around yesterday's close at 1722.50 i sold this morning around 9am at 1736.50...the high for the swing move up was 1736.75...my analysis suggested that the NQ could trade up to this area, and i think i also got a bit lucky as the swing high was 1 tick above my target...
• +16 NQ points/contract, 1 contract traded...
• because of this show of strength, i was willing to re-enter at a higher level then the last entry (1722.50), so i began bidding at 1727.50...
• i was filled at 1727.50 @ 936 am...however, the NQ had some other things on its mind and then traded just below the support area at 1711.75...i was bidding at 1708.50 and was afraid that i might not get filled, so i put in a market order and was filled right at 1711.75 (right at support)...
• a few minutes later, the NQ traded below support and down to 1704...
• i am currently long 2 contracts at an average price of 1719.63...
• i am bidding for a 3rd contract at 1693.50...
• i don't think i will be bidding for a 4th NQ contract for a discretionary swing trade below 1693.50...my 'BTD Index' systemic swing trading model will be looking to get long the NQ if the NDX closes below the lower bollinger band (in the low to mid 1680's today)...i hope this model generates an entry today...since june this model has generated 4 out of 4 winning trades:

• i believe this is just a bout of profit taking and the NQ and the ES will be making new swing highs in october...however, i still want to manage my open trade drawdown, so i will be more conservative with adding to the size of the NQ discretionary swing trading position...
• the NQZ09 has now traded down to 1696, and i am hoping for more weakness...i am bidding at 1693.50...
• my 'SPY Gopher' systemic swing trading model is also generating a pending long entry signal for today's close...i hope the NQ and the ES just continue to selloff today..
• the 1035 level on the ES looks like a strong support level, and i would be expecting a bounce there:

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***

'BTD Index' opened and closed another winning trade last week.

• 'BTD Index' opened and closed another winning trade last week...
• wish i had more models that have been as consistently profitable as this one has lately...
• this makes 4 winning trades in a row since june...
• this particular trade was entered at the close of Tuesday 9/1/2009 and exited at the close of Friday 9/4/2009...like the exit signal generated on 8/20/2009, the position was only open for 3 days...this is rather quick for this model, which has an average winning position open for about 6 days...
• this trade posted a 2.62% gain for the tracking vehicle, and recorded a new equity curve high...

'BTD Index' generated an Exit Signal for Today's Close, 8/20/2009: books +51.75 NQ points/contract in 3 days.

• 'BTD Index' generated an Exit Signal for todays close...this trade is different than the discretionary NQ swing trade discussed in the previous post...
• the Modeled position (NDX) posted a 3.11% gain, with the actual Trading position (NQU09) posting a 3.28% gain (including commissions), slightly better than the model....
• the 3.11% modeled gain is slightly better than the 2.71% average gain for profitable trades for the model...
• this profitable trade created another new high for this model's Equity Curve...the position was held for 3 trading days.
• on june 15 this model generated its first entry signal since december 2007...the current exit represents the 3rd trade for this model since the june entry...all have been winners...the holding period has decreased with each trade (8 days, 4 days, 3 days), suggesting that recent snapbacks after each entry have been getting quicker...don't know if this observation has any predictive value...
• the concept of buying short term dips during longer term uptrends in the NDX continues to be robust...
• the key to maximizing the profit potential from this concept is to strictly define the following: shorter term dip, longer term uptrend, price target exit, max holding period...

8/20/2009 post open update

NQU09 discretionary swing trade/'BTD Index' systemic swing model:

• NQU09 traded down to 1591 after the 830 economic data releases, and if that is the low for the session, and with an expected range of 2.00-2.60% today, then the NQU09 projects up to 1623-1632 for today's session...
• 1632 has been the high of this month long base...
• sell limit 1612.50 has been filled...
• sell limit 1617.50 is still open...
• though the 'BTD Index' systemic swing trading plan calls for exiting at the close if the NDX closes about 1603.50, i am going to call an audible and sell that NQU09 lot at limit 1622.50...this is against that model's trading plan...
• added a buy limit 1603.50...if it fills, then i will sell it at limit 1622.50 and move the 'BTD Index' related lot from limit 1622.50 to 1627.50....
• NQ started to show some RS compared to the other major equity indices (YM, ES, EMD, TF)...

VCM daytrading account:

• shorted the LANC gap up into resistance and booked a quick + $0.70/share on the post gap up drop...
• HURN gapped up, i bought some on a pullback, it didn't show much strength after the pullback, so i exited with + $0.06/share...
• GENZ trading above its daily and hourly base, bought some on a pullback, exited on a return to the morning high for + $0.27/share...able to enter and exit a second position in GENZ for + $0.15/share...

Other:

• really impressed with Dr. Brett Steenbarger's TraderFeed blog...i am finding it to be a great resource for statistical analysis of market behavior as well as for insights into the psychological (EQ) part of trading...
• i am having a lot of fun trading today!

Disclosure: Long NQU09, Long GENZ.


***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...***

8/20/2009 8 am

• NQU09 traded up to 1607.75 and the sell limit 1607.50 exit order was hit...
• i am concerned that during this rally off the lows of this past monday, the NQ has shown consistent relative weakness compared to the ES, EMD, TF and even the YM...
• this concern and this new found sense of fear that the rally is going to peter out, has me lowering the sell limit 1627.50 order to sell limit 1612.50...
• in addition to the sell limit 1612.50 order there is also a sell limit 1617.50 on the books...
• 'BTD Index' is still open (http://stbsmb.blogspot.com/2009/08/btd-index-generated-entry-signal-for.html), and a close today in the NDX above about 1603.50 will have me exiting the 'BTD NDX' (traded with a different NQU09 lot) at today's close...
• not sure how appropriate my fear response is right now...in any case, i am acting on it to some degree...i need to pay attention to the fear and how it has influenced my plan...

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...***

'BTD Index' generated an Entry Signal for Monday's Close, 8/17/2009.

'BTD Index' generated an Entry Signal for Monday's Close, 8/17/2009.

The last two trade's from this model turned out well, each one 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=121
• Average Trade Return=1.68%
• 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=4.38

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...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...***

'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.