9/18/2009 4pm update

• NQZ09 did eventually hit my 1726.50 target...
• it is now forming an ascending triangle...i re-entered NQZ09 long at 1722.50...
• not sure if i will sell this lot just below the 1730 resistance area during the sunday night session or in the mid to high 1730's during the monday day session...
• now that NQ has been basing for a few days and has worked off some of its short term overbought condition, i am looking for NQ to break above this base and continue its run higher...if it doesn't, then i will be accumulating more NQ as it pulls back, with the intention of selling it higher sometime within the next few weeks...
• good week discretionary swing trading (NQ, FAS), systemic trading ('IDX OU'), and even discretionary daytrading at vcm (+1 R)...
• no systemic swing trading entries for today's close...
• hope everyone has a good weekend...

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...***

9/15/2009 Closing update & IDX OU generated an exit signal for today's close

NQ discretionary swing trading:

• bought 1 contract during the overnight session at 1682.50 and sold it shortly after the open of the regular session at 1692.50...
• +10 NQ points/contract for 1 contract for the day...
• the trade history for tradestation is not working correctly, so the chart does not have the correct entries and exits for the NQZ09 at this time...i hope the bug gets worked out soon, as i like to see where all of my entries and exits are for my discretionary trades...removing the TCache file did not fix the problem...
• currently bidding limit 1688.50 and limit 1658.50...

'IDX OU':

• IDX OU closed out another profitable trade today...
• this trade generated 0.79% return on the tracking vehicle (MDY) and a 0.83% return (including commissions) on the trading vehicle (EMDZ09)....
• this trade generated a new Equity Curve high for this model...the last high was recorded in 5/2007....
• its nice to see the systemic swing trading models beginning to book some gains...

'IDX OU' generated a Long Entry Signal for today's close, 9/14/2009 Close.

'IDX OU' generated a Long Entry Signal for today's close, 9/14/2009 Close. If the stop is not hit intraday on Tuesday, then the position will be exited at tomorrow's Close. This model generated a winning trade last week (http://stbsmb.blogspot.com/2009/09/idx-ou-generated-long-entry-signal-for.html), and the Equity Curve is just under the all time high hit on 5/31/2007.

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=MDY
• Start Date=2/5/1999
• Number of Trades=43
• Average Trade Return=0.36%
• Average Winning Trade Return=0.71%
• Average Losing Trade Return=-0.66%
• Win Rate=74%
• Ratio of Average Win/Average Loss (RAWAL)=1.07
• Profit Factor=3.11

The RAWAL is just a bit more than the Average Losing Trade, but this model generates 74% winners.

Disclosure: Long EMDZ09.

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 MDY, but I trade the model with the EMD e-mini. Actual trading results from the EMD usually differ from the model results of the MDY, with the EMD showing somewhat weaker performance data. Nonetheless, I still trade this model with the EMD 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...***

'IDX OU' generated a Long Entry Signal for the 9/3/2009 Close and a Long Exit Signal for the 9/4/2009 Close

• 'IDX OU' generated a Long Entry Signal for the 9/3/2009 Close and a Long Exit Signal for the 9/4/2009 Close...
• the model was rebuilt last month...the old IDX datastream was discontinued and a new one is now being used, MDY...the old model use to have the position open for up to 7 days, now it is only open for 1 day...
• the trade was profitable, with the tracking vehicle generating a 1.34% gain...this is the first sizeable gain for the model since its most recent equity curve high, reached in 5/2007...
• this is the first decent gain for the systemic swing trading portfolio since the beginning of july...

thank you all for the get well wishes...

• i am very grateful for all of your get well wishes...they seem to be working too, as i feel a bit better this afternoon...
• i pulled down the previous posts related to being sick...i figured i didn't need to broadcast to the whole world the specifics of what was going on...
• in any case, thanks again...your get well messages mean a lot to me...
• now did being sick stop me from trading? the answer is no!!
• my systemic swing trading models require that i take each and every entry and exit signal that the portfolio generates...this is the discipline...my wife, who has done a wonderful job looking after me, did have a quizzical look on her face when at 345 pm i told her that i had to get up and go to work...but it really didn't surprise her, she knows me pretty well...
• a systemic swing trading model that generated an entry order yesterday (IDX OU), actually booked a meaningful profit when the position was closed today...i will write more about this by next tuesday...
• i hope everyone had a good trading week and enjoys their time away from the screens during this long weekend...i know i will..

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...***