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 ***

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 ***

Big Red!?!

Are the pre-market futures actually red this morning? Wow, I didn't think we would ever see this again.

All kidding aside, I would welcome a selloff in the major market indices. This would enable me to get long the NQ for a discretionary swing trade to what I believe will be new swing highs. It would also give lots of strong stocks a chance to pullback, which would provide me an entry via some cheap out of the money calls on them.

***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 ***

1/7/2010 12:30 pm update: CERN, NBR, NQ

• numerous studies i follow, including this one by quantifiable edges, suggests that seasonal weakness for january may begin tomorrow and last through friday the 26th...
• i am looking to reduce my longside exposure: when CERN and NBR broke out of their daily base on tuesday, i picked up some cheap out of the money calls on each of them...i just sold them for about a triple on CERN and a double on NBR...
• if the typical mid january weakness manifests, i will look to buy some NQ for a discretionary swing trade...
• i will also scan the charts and look for strong stocks that put in controlled pullbacks...once i sense the move down is over, i will get long some strong stocks via cheap out of the money calls...

***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 ***

12/24/2009 9:30 am update: NQ, 'XMany'

• i follow a few 3rd party oscillators...on a variety of time frames from intraday to weekly, they are now showing overbought conditions...the NQ is also trading into upper trend channel resistance...
• though my 'XMany' model is on a buy signal, i decided to exit my current position into this morning's gap up...
• i will be looking to get back into the 'XMany' position if the NQ sells off or bases for a few days...

***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 ***

12/9/2009 NQ update: nothing happening

• i use a variety of indicators and oscillators to provide an edge in what direction to trade a discretionary swing position in the NQ....right now nearly all of the indicators/oscillators i look at are neutral...
• i have not been in a NQ discretionary swing position since the begining of thanksgiving week...
• i am proud of my patience...

***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***

11/26/2009 Thanksgiving Day Surprise: Dubai World defaults, sends global equity markets lower

• Dubai Debt Fears Hammer Stocks
• Dubai's Move on Debt Rattles Markets Worldwide
• who wants to trade on thanksgiving day? in order to manage risk, i had to...
• the money managment stop for the NQZ09 on my 'Turkey Long' model is 1749.00...however this stop is only good for the regular trading sessions of wed and fri of thanksgiving week, and on the following monday's open...
• well, upon seeing the dubai news and the major u.s. indices down around 2% on this thanksgiving morning, and recognizing that this type of headline has the capacity to get the bears all fired up, i called an audible and i sold my NQZ09 position (proxy for the 'Turkey Long' model) this morning at an avg price of 1760.58...
• this trade: -22.34 NQ points/contract, 3 contracts closed...
• the low of the wed night session in the NQ was 1746.50...if i was using overnight stops, i would have been stopped out at 1749.00...
• i am glad i closed my discretionary NQZ09 swing long yesterday...
• who knows how the NQ will trade during the regular friday day session...another headline release could come out and if percieved positiviely, could send the NQ back up to 1800...
• or another headline release could come out and if percieved negatively, could send the NQ down to 1700...
• in this environment, my sense is that the NQ may head lower...
• we shall see by monday's open if my early sale was prescient or stupid...
• since july, my systemic trading models have continued to fail, pushing their drawdown to 15+%...they performed exceedingly well during the 60% equity market collapse from the fall of 2007 through the spring of 2009...but since july, they have been awful and it has been a frustrating experience trading my systemic trading models...
• if the market continues to selloff, i will like to get back in for a discretionary swing trade...however, i do not know what level a selloff my bring the NQ down to, so right now i am not bidding for it...i will be watching though, and if i see a setup i like, i will begin to establish a discretionary swing long...

***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***

11/25/2009 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***

11/24/2009 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 3:30 pm update: NQ

• what a mess...
• my discretionary swing trading tendency to always be long at least 1 contract, especially near the top of the daily upper trend channel is costing me too much money...
• earlier in the week i even considered buying some puts on the QQQQ's to hedge my exposure, but i didn't...
• i have worked my avg price in the NQZ09 down from 1809.00 to 1781.50, though it cost me too much to do so....
• as i mentioned earlier, i added a 2nd contract at 1791.50, and then during the day session i added a 3rd contract at 1770.25, bringing my avg cost to 1790.25...
• i was stopped out on the 3rd entry at 1763.75...
• this trade: -26.50 NQ points/contract...
• i added a new 3rd contract at 1764.00...this brings my avg cost to 1781.50...
• i sold this one at 1772.50...
• after the NQ rallied into the low 1770's, i placed an OCO with a target to 1776.50 and a stop at 1769.50...the stop was hit...
• this trade: -12.00 NQ points/contract...
• today: -15.83 NQ points/contract, 3 contracts closed...
• still long 1 NQZ09 at 1781.50...
• offering this out at 1807.50...
• no current bids...
• i think i have been overly influenced by the strong rallies of the summer and early fall...this has led to a fear of missing more of the up move...combined with an approach that has me getting bigger on moves down to work my avg cost lower, i am finding that this has led me to be overweighted the NQ during moves down, and relatively underweighted the NQ during moves up...
• i gave back a moderate amount of my summer and early fall discretionary swing trading profits, during the late october downdraft and during today's swoosh down...
• while i am still net profitable trading the NQ, i need to rethink my overall approach to swing trading the it on a discretionary basis...
• entering with some size when the swing begins, and then lightening up towards the top of the trendchannel and/or into resistance sounds like a much better plan...

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**

11/17/2009 1:30 pm update: NQ

• yesterday morning, lunch and early afternoon looked like a trend day, so i moved my limit order up and got in at 1809.00...
• NQZ09 then ran up to a new high on the day, but sold off into the close...
• offering this contract out at 1828.50...
• bidding 1776.50 for one contract...
• lately, i have been putting in a lot of effort building my discretionary daytrading skills at team trading (fka velez capital management)...i am happy to report i am seeing some progress on this front...
• my focus on discretionary daytrading has led to a decrease in posts and market commentary on this blog...i am looking forward to when i can post here more frequently...
• i hope everyones trading is going well...

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**

11/15/2009 8 pm update: NQ

• the NQZ09 offer i placed on wed 11/11 for 1797.50, was filled during tonights session...
• this trade: +18.75 NQ points/contract, 1 contract closed...
• on the above chart, tradestation is not showing the trade history correctly...the chart reports i still have 1 open NQZ09 contract when in fact i am flat the NQZ09...

• currently bidding for 1 contract at 1753.50, just above the rising 200ma on the 15M chart and at 1717.50...
• i am also bidding for 1 contract at 1785.00...if this order is not filled during the rest of the overnight session, then i may change it during monday's regular session...

***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**

11/11/2009 4:00 pm update: NQ, Narrow Bar NDX #11

• picked up a NQZ09 contract at 1778.75...i was not patient enough for my 1773.50 bid to be hit...the low of the swing was 1772.00
• offering this contract out at 1797.50...
• bidding 1745 and 1717.50...
• added a newly built Narrow Range Bar systemic trading model for the NDX called 'Narrow Bar NDX #11'...
• this model is unique for me because its stop is extremely tight: 0.10% below the entry price...
• because the entries are made at the close of the day the signal is generated, the model will stop out essentially on any gap down the following day...
• due to this type of stop, i will be trading this model with a minimal amount of NQ contracts (1-2) as opposed to my usual position size for NDX systemic trading models (3-6 contracts)....
• starting from 11/1/1985, the model generated 324 trades, has a win rate of only 27%, but the RAWAL (Ratio of Average Win divided by Average Loss) is 7.01, which yields a Profit Factor of 2.57...
• this model replaces the 'Narrow Bar #1 NDX' model...that model was built using a 'Range' filter when it should have been using a 'TrueRange' filter...
• the equity curve for the new model is below:

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***

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

• with the ES gapping up to the 1100 resistance level during the pre-market, i sold my only NQZ09 contract at 1785.75...i was originally targeting 1796.50, but i think the ES and the NQ might stall for a bit or head down at the ES 1100 level...
• this trade: +19.25 NQ points/contract, 1 contract closed...
• bidding at 1773.50, 1743.50 and 1717.50...

***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***

11/10/2009 4:15 pm update: NQ

• picked up 1 NQZ09 at 1766.50 during this morning's pullback...
• offering this contract out at 1796.50...
• i am working on holding my NQZ09 discretionary swing trading contracts for larger swings than i had been targeting while trading during the july through october period...
• bidding 1743.50 and 1717.50 for additional contracts...

***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***

11/8/2009 8:30 pm update: NQ

• sold my only NQZ09 contract at 1736.50 around 8:15pm during the sunday overnight session...
• this trade: +22.50 NQ points/contract, 1 contract closed...
• bidding for 1 NQZ09 at each of the following levels: 1721.50, 1702.50, 1657.50...
• no offers at this time..

***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***

11/6/2009 9:45 am update: NQ

• picked up 1 NQZ09 pre-market at 1714.00
• offering this contract out at 1736.50...
• bidding 1696.50 and 1657.50

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***