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 ***

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 ***

12/17/2009: NQ, ES, XLF

• well wednesday's FOMC rate announcement did not act as a catalyst to move the NQ and the ES above resistance...instead it led to selling on wednesday and on thursday...
• so the major indices remain mired in a narrow 6 week base...
• feels like the bulls want to get going for an end of year ramp, yet the bears keep beating the advances back...
• with the selloff in Citigroup today, the bank index (XLF) keeps on dripping lower towards support...contrary dynamic with the XLF trading towards the bottom of its range while the ES trades towards the top of its range...
• one way or another, i think we will see a move out of this range by the second week of january...

***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***

11/19/2009 9:00 am update: NQ

• i added a NQZ09 contract at 1791.50 during the premarket selloff...
• long 2 NQZ09 @ avg 1800.25/contract...
• i am recognizing that i have a tendency to nearly always have some long exposure to the NQ...i think this stems from a 'fear of missing' pyschological mindset that gets applied to my NQ discretionary swing trading...i also think its related to my belief that i can work my avg price down sufficiently enough to weather an averaged size downdraft...
• but what if the downdraft is not average sized, or suggests that intermediate term trend is changing from up to sideways or even down?
• i believe i need to re-evaluate how i trade the NQ discretionary swing position when the NQ is trading near its upper trendline/resistance...
• i am open to the possibility of an end of year melt up in the NQ and the ES...
• i am also aware of the bullish thanksgiving seasonality for the NDX from the close of next tuesday thru the open of the following monday...i even have a systemic trading model (Turkey Long) that will get me long the NQ for that time frame...
• however, i am becoming increasingly concerned that we may see a selloff in the NQ over the next days or after the thanksgiving bullish seasonality passess...
• if the NQ does head lower into tuesday of next week, i think the 1750 area is a reasonable target...ES may test the 1070 area...
• the 1700-1725 area on the NQ may be a reasonable target if there is a post thanksgiving selloff...
• i am going to be reducing my risk by my lowering my avg price and looking to add more of the NQZ09 at lower levels...
• offering out 1 contract at 1798.50 and 1811.50...
• no bids at this time, but i will be watching and waiting for a good long setup...

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**

11/5/2009 10:45 am update: NQ

• so much for my thought yesterday that the NQ would see a narrow range day with a downside bias today...
• now, with the ES trading up to the flat 200ma on the 60M chart, and the NQ trading up to the flat 200ma on the 60M chart, and just past the 10:30 rt, with the financials lagging and tomorrow's pre-open jobs report, i sold the last NQZ09 at 1718.25...
• this trade: +32.46 NQ points/contract, 1 contract closed...
• i was trying to hold until 1725, but i just couldn't...
• i might look to buy this contract back later in the day just above 1700...
• i think we will see a meaningful selloff of at least 1% sometime later today...
• no current offers or bids...

***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***

11/4/2009 3:30 pm update: NQ

• i suspect tomorrow will be a narrow range day, with perhaps a downward bias as market participants await the friday jobs report...
• a re-analysis of where the NQZ09 is at, plus weak financials and weak small caps, led me to let go of the just added contract...
• sold 1 NQZ09 at 1695.75...
• this trade: +9.96 NQ points/contract, 1 contract closed...
• today: 8.19 NQ points/contract, 2 contracts closed...
• long 1 NQZ09 at 1685.79...
• offering this contract out at 1725.00
• bidding for 1 contract at 1661.50...
• if market participants do not like the friday payroll report, that could be the catalyst to send the NQ to 1600ish and the ES below 1000 over the coming few weeks....

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***

11/3/2009 9:30 am update: NQ

• yesterday morning, i sold 1 NQZ09 at 1683.50...
• that trade: -4.87 NQ points/contract, 1 contract closed...
• offering 1 contract at: 1705.00 and 1725.00
• no bids....
• long 2 NQZ09 at avg 1688.33...
• not sure if the NQ and the ES need to selloff more before a more sustained rally...
• not sure if that rally will take the NQ and the ES to new swing highs...
• i am uncertain as to the probable near term direction....if i had to make a decision, i would say we go lower before we go higher...
• i am still bullish longer term....

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***

10/27/2009 10:50 am update: NQ

• picked up a 3rd contract at 1726.50 on the puke down to 1718.00
• long 3 NQZ09 at avg 1745.42
• trying to be aggressive and offering 1 contract out at: 1757.50, 1767.50, 1776.50...
• no current bids....
• though the market has been weak to neutral today, the NYSE and the NASDAQ AD Line is essentially flat, while it was quite negative today...
• big whoosh down to 1718 has brought in buyers, not sellers...ES did not puke out as much...
• NQ trading above 1751 may indicate the swing low has been put in and a retest of the 1780ish swing high is in store...

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 ***

10/27/2009: 'SPY Gopher' generated a Long Entry Signal for Monday's Close.

'SPY Gopher' generated a long entry signal for the SPY at yesterday's Close. This is one of my favorite systems. I have been trading this model (or an earlier version of it) since the summer of 2004 (trade #65 on the above Equity Curve chart). Whenever it goes through a drawdown, it has always gone on to ultimately make new Equity Curve highs. It performed extremely well during the recent bear market, and is currently trading just below ts all time high.

Model Performance Stats:

• Model Tracking Vehicle=SPY
• Start Date=2/2/1993
• Number of Trades=96
• Average Trade Return=1.16%
• Win Rate=69%
• Ration Average Win/Average Loss (RAWAL)=1.41
• Profit Factor=3.10

The caveat with this model is its dynamic Money Management Stop is moderately high, currently 3.00%. The amount of this stop can change for each day the position is open. Historically, if I can handle risking that much capital on the trade, the performance of the model over the following year has been very good. The model generates 5-6 trades/year, which on average returns 6-7%/year. Each position is modeled to be open for 5 days unless the Money Management Stop closes the position sooner.

I usually trade this model with 4 ES contracts, however for this position, I opened 2 contracts (@ 1064.50). I am expecting another model to generate a long entry signal over the next couple of days, and I want to manage the size of my total exposure.

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.

Disclosure: Long ESZ09.

***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 ***

10/26/2009 12:40 pm update: NQ, ES end of year swing high targets

• lots of volatility...
• short term negatives kicking in...
• though i am not that happy about exiting too quickly this am for small gains on the long NQZ09, i am happy to have gotten out of that swing position, and have started another swing long...
• this time, i am actually being a bit more conservative...
• went long 1 contract at 1763.50 and 1 contract at 1746.25...
• now long 2 contracts at avg 1754.88...
• bidding for another contract at 1726.50...
• offering out 1 contract at 1767.50 and 1776.50...
• the more experienced traders/commentartors i follow are on the whole, a little bearish on this dip down, while the less experienced traders/commentartors are more bearish on this dip down...the less experienced are also tending to refer to the ES 1100 peak as 'the top' for the move up from this past march...
• i could not disagree more with this view of ES 1100 being the swing peak from the march low...
• i remain bullish on the NQ and the ES into at the least the end of 2009, and probably longer...i will re-evaluate in january 2010...
• markets rarely peak in october, with 10/07 being the rare example...the october 2007 and the october 2009 backdrops are significantly different from each other....
• the end of october thru the end of december, tends to be the most bullish time of year...
• by the end of the year, i am targeting the ES to have hit 1170 and the NQ to have hit 1900, both of which are about 10% higher from here...i am not saying the 12/31/2009 close will be at these levels, i am saying these levels will be reached by 12/31/2009...
• of course i could be wrong...if i start to believe the market is in fact putting in a longer term peak, i will change my longer term directional bias from long to neutral or even to short....i put this as a low odds scenario though...
• if my bullish thesis plays out, i expect to see ES 1170ish and the NQ 1900ish by the end of the year...
  

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 ***

10/26/2009 10:10 am update: NQ

• wow, lots of strength this am...
• i was long 2 contracts coming into this morning's trading, and was bullish...
• some of my morning reading was slightly bearish on the current technical setup, and that influenced my thinking to such a degree that i lowered my offers...
• i had a fun and active weekend with my family, and am a bit tired this am...i wonder if this also influenced my decision making process to lower the offers so i did not have to deal with the uncertainty of an open position...
• exited 2 contracts at an avg 1767.13...
• this trade: +2.75 NQ points/contract, 2 contracts closed...
• i definetly did not capitalize as much as i should have on this swing...
• looking for a pullback from this triple top high of the past few days....
• bidding 1761.50 and 1741.50...
• no offers...
• during this 1%+ rally in the NQ and ES, softee and SMH showing lots of strength while XLF flat...
• i am step away from the screens for a bit...

***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 ***

10/21/2009 10:45 am update: NQ

• my NQZ09 offer at 1766.50 was filled...NQ continues to rally, with a current high of 1778.50...
• this trade: +9.88 NQ points/contract, 1 contract closed...
• NQ showing rs to ES...
• flat the NQ, currently bidding for 1 contract at 1761.50, 1746.50 and 1727.50, no offers...
• the 1761.50 bid will probably be adjusted upward....
• very strong upside momentum this am....

***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 ***

10/20/2009 3 pm update: NQ, ES

• NQ and ES bouncing up off lunch time low...
• after closing two profitable swing trades during the overnight and pre-day session, my entries for the next swing have not been good...
• i was averaged in at 1756.63 with 2 contracts...
• around 2:30 pm, i sold 1 contract at 1753.00 to reduce my size and free up some capital...
• this trade: -3.63 NQ points/contract, 1 contract closed...
• today's trades: +3.88 NQ points/contract, 3 contracts closed...
• i can envision a further move down over the next few days...if this comes to pass, then i will add more NQ lower...
• currently bidding for 1 contract at 1741.50 (just above the rising 200ma on the 15M chart), and at 1727.50, which is just above the 1725ish pivot...
• offering out the current contract at 1766.50...
• though i am long 1 NQZ09, i want the NQ to selloff some more....

• this topping tail on the daily NQZ09 chart may get the bears all hot and bothered...i welcome it as an opportunity to get longer for the next swing high...
• if the NQ were to sell off hard, i would expect its next swing low to form in the 1690-1710 area...the longer the NQ bases, the higher i would expect the swing low to form....

• the ES broke broke above its upper trendline last wednesday...on thursday i suggested the ES was possibly putting in a short term top...
• since then the ES has been basing above the breakout level of 1075ish and below the whole number 1100...
• if the ES were to break below 1075ish and sell off hard, i would expect a swing low to be put in around the lower uptrend line, currently at 1035 and rising a few points each day...
• in my view, a critical number of portfolio managers are underinvested...the pm's underperformance relative to their benchmark (S&P 500), is putting a pretty good bid under the market...the 'fear of missing' psychology is very strong right now...

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 ***

10/20/2009 9:45 am update: NQ

• opened and closed two swings in the NQ during the overnight and pre-day session...
• entered at 1761.50 and exited at 1771.50...the high of that swing was 1771.75...
• +10 NQ points/contract, 1 contract closed....
• entered at 1762.50 and exited at 1767.75...the high of that swing was 1768.50...
• +5.25 NQ points/contract, 1 contract closed...
• for the day: +7.63 NQ points/contract, 2 contracts closed...
• got back in at 1761.75 during the post open selloff...NQ subsequently went on to gap fill, with a low of 1754.00, so this entry has not been ideal...
• not sure what my offer will be for this contract...
• lots of overnight and pre-market volatility latetly, which has led to some profitable swing trades for me...i will be paying attention to this phenomena...
• NQ showing rs to ES, with leadership from SMH and AAPL...

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 ***

10/19/2009 4:15 pm update: NQ

• good day swing trading the NQ: 1 swing with 2 contracts for about 10 NQ points/contract; 1 swing with 1 contract for about 8 NQ points/contract...
• morning rally in NQ and ES led to basing through lunch, the afternoon and into the close...
• currenlty flat the NQZ09, bidding 1747.50 and 1733.50, no offers...

***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 ***

10/15/2009 4:15 pm update: ES, NQ, FAS

• ES getting extended on the daily chart...new daily high and continuing to trade above its upper trend line...volume decreasing, ATR volatility also decreasing...FAS not making a new high with the ES...to me, all signs of short term topping behavior...
• NQ continues to show rw...
• GOOG eps tonight...
• if there is a large gap up in the NQ tomorrow morning, i will consider shorting it for a quick scalp to the downside...i am still bullish on the NQ into the end of the year...
• flat the NQ...
• pulling my NQ 1741.50 bid...
• now only bidding at NQ 1733.50...
• no NQ offers right now...
• the recent swing high in the FAS is 94.54...if the FAS gaps above 94, i will consider selling my last 2 FAS lots into that gap instead of limit 95.00 and limit 96.50...

Disclosure: Long FAS.

***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 ***

10/14/2009 4:15 pm update: FAS, NQ, ES

FAS discretionary swing trading:

• during the last dip down in the FAS from the end of september to the beginning of october, i was scaling into the FAS in the low 80's thru the high 60's (large green oval), with a final average entry of around 77.95...not an ideal average for the range...i was too aggressive in the low 80's...
• i started scaling out of this discretionary swing trade on monday (low 88's)...today another one of exit targets were hit (93.50)...the exits are displayed within the red oval...
• of the six FAS lots that i started with, only two remain...i am currently offering them at 95.00 and 96.50...

NQ discretionary swing trading:

• as per my post last night, i believed the odds were high for a gap fill this morning on the NQ...the NQ opened around 1750 and then sold off to the 1740 pivot, but didn't fill the gap down to the high 1720's...
• i was bidding in the 1730's but these levels were never reached...during lunch, i raised my bid to 1741.50, but it wasn't filled...the uptrend was very strong today...
• the NQ did break its previous swing high of 1753.25, reaching the 1754.50 today...a few weeks back, during the NQ/ES downdraft, i was calling for an eventual new swing high...
• this move up in the NQ has generally shown rw compared to the ES...i prefer market leadership from the NQ, however, i will gladly accept it from the ES when it is being led by the financials...
• the NQ appears pretty extended to me right now...i remain bullish on it through the end of year...
• right now, i will be more conservative with my discretionary swing trade entries in the NQ...
• i can see the NQ possibly falling to the high 1600's on the next swing move down...these levels may change if the NQ grinds up from these levels..
• i am currently bidding 1745.00 for 1 contract and 1726.50 for a 2nd contract...
• historical trades are not being shown correctly on the above NQ 15M chart...

ES:

• ES is beginning to trade above its upper trend line again...
• the last time this happened (in the latter half of september), the ES based for a week or so, and then dropped down to the lower trend line...
• who knows if this will happen again, but i will be watching this pattern...

Disclosure: Long FAS.

***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 ***

10/13/2009 8:30 pm update: NQ

• my offer of 1738.50 was filled at 1740.00 on the open of the overnight session...
• this trade: +8.50 NQ points/contract, 1 contract closed...
• historical trades on the above chart are being displayed correctly...
• no current bids or offers...
• an upside surprise from INTC led to a 13+ point NQ gap up from the 4:15 close to the 4:30 open...
• i will be watching how INTC opens tomorrow as well as the NQ...i have read some studies which suggest that large INTC gaps during earnings season tend to mark short to intermediate term pivots and reversals in the NQ/ES...this pivot reversal did not occur in july though...
• in any case, i will be watching to see if the post market INTC and the NQ gaps are able to hold up into tomorrow's open...if they do, then i will be on the lookout for a potential gap fill in INTC and the NQ....
• like i mentioned before, i am flat the NQ, and have no offers or bids open....

Disclosure: no position in the securities mentioned.

***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 ***

NQ rs to ES

• yesterday afternoon, when the ES came down and tested the 1068 pivot, NQ dropped to 1716.50...
• this am, when ES came down to test the 1068 pivot again, the NQ only dropped to 1725...
• the ES is about 1% below its 1076 pivot high, while the NQ is about 1.7% below its 1753 pivot high...
• the NQ still has more work to do on the upside relative to the ES...today's rs to the ES is a step in this direction...

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