12/22/2009: 10:45 am update: 'XMany', NQ, ES, EMD, TF

• some of the major indices have finally broken out (to the upside) of the recent ranges: NQ and EMD...
• though some are still banging their heads at resistance: ES and TF...
• i believe ES and TF will follow the NQ and the EMD to the upside...
• this run could last until the first few days of january...

• my 'XMany' model gave a long entry signal last night for the NDX...this model is based on the seasonal bullish tendency surrounding the christmas and new year holidays...
• rob hanna over at quantifiable edges, posted a study based on bullish behavior surrounding the xmas holiday....
• based on my 'XMany' signal, yesterday i went long the NQ at 1826.25...there is a money management stop (currently around 1773.00) and a trailing stop (much lower)...if neither of these stops are hit, the position is due to be exited on the close of tuesday january 5, 2010...
• here is the equity curve (each trade is made with a theoretical $100,000 worth of capital):

'XMany' Model Performance Stats

• Model Tracking Vehicle=NDX
• Start Date=11/1/1985
• Profit Factor=5.74
• Number of Trades=24
• Win Rate=71%
• Average Trade Return=2.70%
• Average Winning Trade Return=4.62%
• Average Losing Trade Return=-1.95%
• Ratio of Average Win/Average Loss (RAWAL)=2.37

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 slightly weaker performance data.

Disclosure: Long NQH10.

***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 ***

11/25/2009 3:15 update: NQ

• well its 3:15 on wednesday of thanksgiving week, and the major stock indices are green, with the mid caps (EMD) leading up around 1.00%, the small caps (TF) lagging up about 0.10%, ES up about 0.50% and the NQ up about 0.40%...
• the ES has been leading the charge lately, and continues to bang its head on the 1110ish resistance level, while the NQ made its high last wednesday around 1813 and is now having a hard time moving beyond the 1800 whole number...
• though the friday after thanksgiving tends to be bullish, i am long the NQ via two strategies (discretionary swing trade and 'Turkey Long')...i am concerned that if the ES can not break above 1110ish on friday, then the NQ may have already peaked...i want to reduce some exposure and lock in some gains, so instead of holding the discretionary swing trade until the offer of 1807.50 is hit, i decided to sell it today at 1794.00 into the end of day runup...
• this trade: +12.50 NQ points/contract, 1 contract closed...
• i am still long 3 NQ contracts via the 'Turkey Long' model...if the money management stop is not hit, this trade is due to be exited on monday's open...however, if there is a big pop in the NQ on friday or during the sunday night session, i may scale out of it ahead of the monday morning model exit...

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***