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 ***

12/9/2009 NDX OU generated an entry signal for today's close.

My 'NDX OU' systemic trading model generated an entry signal for today's close. The NDX put in an outside upside day today. In other words, today's low was lower then yesterday's low, and today's close was higher then yesterday's high. There are two additional filters as well.

The dynamic stop is currently set to 0.90%. If this stop is not hit, then this position is due to be exited on Friday's close. This model was recently rebuilt, and this is the first trade of the new build. The historical equity curve is shown above.

Model Performance Stats:

• Model Tracking Vehicle=NDX
• Start Date=11/1/1985
• Number of Trades=71
• Average Trade Return=0.66%
• Win Rate=68%
• Ratio of Average Win/Average Loss (RAWAL)=1.74
• Profit Factor=3.62

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 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 ***

11/24/2009 8:15 pm update: 'Turkey Long', NQ

• first off, happy thanksgiving to all of my u.s based readers....
• my 'Turkey Long' systemic trading model generated a long entry at today's close in the NDX...
• this model is based on the NDX historical trading behavior surrounding the Thanksgiving holiday...
• the model goes long on the close of tuesday of thanksgiving week, and if the money management stop is not hit, then the model exits the trade on the following monday's open...
• currently the stop is around 2.00%, and may vary a bit as it is influenced by the recent average true volatitlity in the NDX...

• here are some performance stats for this model:
• Model Tracking Vehicle=NDX
• Start Date=11/1/1985
• Number of Trades=24
• Average Trade Return=1.39%
• Average Winning Trade Return=1.57%
• Average Losing Trade Return=-0.55%
• Win Rate=92%
• Ratio of Average Win/Average Loss (RAWAL)=2.87
• Profit Factor=31.55
• this model has been hugely profitable over its lifetime, though the last few years the model has essentially been flat...perhaps the bullish tendency of the trading days surrounding the thanksgiving holiday are so widely known, that a critical number of market participants act on this tendency before hand and the edge has been neutralized...
• in any case, i am long 3 NQZ09 contracts for this model...i picked up 2 of the contracts during the trading session, and picked up the third at the 4pm close...avg entry price is 1782.92

• as far as the discretionary swing trade in the NQZ09, i am still long 1 contract at 1781.50...
• i continue to offer this contract out at 1807.50...if the bullish tendency surrounding the thanksgiving holiday plays out, i believe there is a good chance this order will fill by monday morning...
• no bids for more of the NQ at this time...however, if there was a decent selloff over the next few days, i will probably pick some more of the NQ up...

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**