'1 CT Spyder' generated a long exit signal for tonight's close (9/1/2009)

'1 CT Spyder' generated a long exit signal for tonight's close (9/1/2009).

• what an ugly day...the bulls tried to get us going in the am, but the bears took control into the close...
• the model closed out its position for a 2.33% loss...
• the actual trading position booked a 2.28%, slightly better than the model...
• today's loss was the 3rd worst loss in the model's history...i have to go back to 9/2002 to find a larger loss...interestingly, the 3 worst lossess all took place in the months of september or october...
• i believe the concept for this model is still robust...it is based on the trading behavior of the SPY during the last few days of the calendar month and the first day of the new calendar month...this pattern has been robust since the inception of the SPY in 1993...
• since the begining of july, the primary systemic swing trading models that i have been trading have booked either scratch trades, moderate losses or complete stop outs...very frustrating, especially since the markets have been heading up, though somewhat choppy of late...
• the 'NB #1 NDX' discontinued model generated an entry signal for yesterday's close due to be exited at today close...i stopped trading that model in july because of a flaw in its logic...i am glad i did, because it would have been stoped out for a 1.6% loss today...
• hopefully with the rebuilding of a few of the models to reflect better datastreams and more in sample data, the models will turn around soon, and begin to generate the gains that they have over the past 3-5 years that i have been trading them...
• historically the systemic swing trading portfolio posts a max drawdown of about 15% from its recent high...right now, the portfolio is down about 12% from its early july high...
• the portfolio gets another go at it tomorrow, as the 'NDX 1st DoM' model generated an entry signal for today's close....
• chin up adam, tomorrow is a new day...

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...***

Extreme Frustration, but keeping my chin up.

For the past few days I have been in the process of culling out models that have not been performing well over the past few years. On the surface this is the right thing to do. However 3 of the 4 recently discontinued/suspended models have performed very well over the past few weeks:

Narrow Bar #1 NDX: generated a trade a few days ago that made about 0.5%. I have suspended the Narrow Bar models due to a flaw in the logic.

NDX OU: This morning, I closed the NDX OU trade pre-market for a 0.22% loss. The model has performed poorly over the past few years and for all intents and purposes is declared dead. The after hours futures have gapped up 25 points, so that model would be sitting on a 2.0% gain due to be closed at 4pm Wednesday.

NDX 14th DOM: I discontinued this model 15 minutes before the close of today's markets. The initial concept was sound, but the logic filters no longer made sense to me and the model has been performing poorly over the past few years, so I discontinued it. This model would have generated an entry signal at 4pm today. Right now, with the gap up in the NQ futures, that model is up about 1.85%.

Oh, the models that I am keeping, and that have generated positions over the past few weeks have either been scratches for small gains, or have gotten stopped out:

BTBT NDX
BTBT RUT
Payrolls NDX
NDX 1st DOM
NDX Summer Rally
NDX 30th DOM

Right now I am very frustrated. My cognitive side still believes in the models that have performed poorly over the past few weeks, and still believes the models that I have discontinued should stay offline. However, my emotional side is very frustrated. This reminds me of the challenging dynamic I experienced from the summer of 2007 to the summer of 2008. Nearly everything I did was wrong. The entry signals I took often turned into losers, and the entry signals I ignored ofter turned into winners. The basis for ignoring those profitable signals was disbelief in robust models. This happened so often, that I became too scared to trade.

This current environment appears to be different. A string of poor timing where good models produce losers and bad/suspect models produce actual/potential winners. I am not going to change how I trade. Except tonight and tomorrow will probably be rooting for the gap up to be sold! Emotionally, I want to be right, cognitively I won't be changing a thing.

Chin up!


p.s. the gap up may not be all that bad...i have been building a longer term investment position in the FAS for my IRA and some custodial accounts...the FAS may be held for another 3-15 months, depending on how it performs...ideally i want it to go down more so i can build up my position...alas i cant control what it does, so if it decides to put in a run, i will have a partial position, which is better than nothing...

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***