Research Project List

• adding this to my Research Project list: BDO: Breadth Divergence Osicllator by CSS Analytics
• check Andromeda and Pegasus systems on intraday timeframes for ES and NQ

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 ***

10/13/2009 9:45 am update: NQ

• changed my offer on the NQZ09 from 1746.50 to 1738.50...
• if the NQ did not break down yesterday afternoon, i would have kept that offer level...
• NQ showing some rs to the ES this am...
• INTC earnings post close...this catalyst could keep the markets range bound today...
• bidding at 1713.50 and at 1693.50 for the NQZ09...
• yesterdays decision to not place a stop below the 1730ish pivot for the 1731.50 entry did not work out well...i could have taken the stop, and then re-entered in the low 1720's...i would probably have sold it in the high 1720's, and have looked to buy it back in the low 1720's during the overnight session...opportunity lost...
• perhaps i was too impatient, too fearful of missing a potential move up...something for me to keep in mind, especially the next time the NQ gets to a level that has me flat, with no offers and no bids...

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**

interesting studies for me to research

• quantifiable edges 2 days up in chop...
• woodshedder's Varadi’s DV2 vs. Wilder’s RSI2: Trading the Divergence...

9/29/2009 945 am update

• just before the market opened, i changed a NQZ09 order from limit 1726.50 to market, and was filled at 1723.00...
• +8.92 NQ points/contract, 1 contract traded...
• i am well positioned for the current rally, and am just looking to book some gains, reduce some of my exposure and free up some capital...
• i will be looking to buy some more NQ at a lower price or after a certain period of time has gone by...what that lower price is or how long of a period of time, has yet to be determined...
• quantifiable edges put out another study, this time regarding low volume during SPX rallies, and concluded that there is a slight bearish edge to this behavior...check the link for the details....i will do some further modeling on this concept...

Disclosure: Long NQZ09, Long ESZ09.

***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***

was friday's low volume selloff in the spy bullish?

• quantifiable edges studies on low volume during consecutive day selloffs in the spy tends to be bullish...check the link for specifics...
• this is something i will do some further modeling on...
• lots of studies to model and so little time!
• time for a bit of a nap...

Disclosure: Long ESZ09.

***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***

9/28/2009 11:30 update: NQ

• wow, the bulls are back in town...i am heavily position for their return, though i did not think they would bound back in so adamantly...
• in response to their quick return, i started monkeying around with my first sell level of 1726.50...i started looking a bit closer at the 15M chart and saw a minor pivot around 1725, so changed my offer from 1726.50 to a market order when the NQ was trading in 1722/23s around 10:08 am and got filled at 1722.25...
• +8.17 NQ points/contract, 1 contract closed...
• the impetus for the order change was fear...since the run up occurred so quickly, i was afraid it could drop back down just as quick...i am also long a full position in the ES via the 'SPY Gopher' model...i guess i wanted to reduce some exposure and take advantage of the quick run up...
• it is this type of dynamic which continues to effect my game...on many occasions, i lower my offer or raise my bid because i am afraid the NQ will not move to the level that i originally targeted...sometimes it works in my favor, and sometimes it doesn't...i don't have enough stats on this to determine if this order level change, mostly influenced by fear and somewhat influenced by re-analysis, is helping or hurting my discretionary performance...
• i am not sure if i even want to commit to finding out...i feel as if i have so many trading related things to attend to, that i just don't have the time to get some stats on whether discretionary swing trading plan changes are helping or hurting my performance...maybe i am just making excuses...this is something for me to think about...
• i am currently offering 1 NQZ09 at 1736.50 and 1 at 1746.50...
• i am currently bidding for 1 NQZ09 at 1713.50...if this fills, it won't bring my avg cost immeasurably down (1714.08), it will just get me bigger for in my view, the probable move back up to new swing highs...
• both the NQ and the ES are in my view, behaving quite bullishly...both found support at the previous mentioned levels of 1690 and 1035, and have now broken above friday's high (1709 and 1049.50), firmly putting in higher highs on the 15M intraday charts...the trend up today has been so strong, i can not find any meaningful pivots or lows on the 5M or the 15M charts of the NQ or the ES!!
• this move up is also occuring on essentially no news...yeah, there is some M&A this morning, but there is no economic data and no major earnings news...the upside move in the market in the absence of any major news catalyst is quite bullish in my opinion...
• how probable is it that both the NQ and the ES will see new swing highs by the end of this week? i don't know, but today's powertrend reversal to the upside after last weeks downdraft, increases the odds...
• i can't find any freely available links to reference this, but from the research i have followed over the years, the last few days of the current month, and the first few days of the new month, tend to be the best performing days of the month...i am not sure why this is the case...perhaps it has something to do with end-of-month money manager window dressing, or mutual fund inflows being quickly put to work, or something else...
• in any case, i have noticed this end of month and begining of month bullish tendency...it factors into my discretionary swing trading as well as some of my systemic trading models...
• this end of month and begining of the month bullish tendency, combined with the upside reversal of last weeks downdraft has me allowing for the increased possibility that we will at least test last weeks swing highs, and perhaps generate new swing highs by the end of this week...
• my 'SPY Gopher' model is due to be exited at the thursday's close...if new swing highs are generated this week and can stick, this model will generate some nice performance for me...

Disclosure: Long NQZ09, Long ESZ09.

***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***

Sell Rosh Hashanah, Buy Yom Kippur

• there is an old wall street adage: 'sell rosh hashana, buy yom kippur'...
• stock trader's almanac performed a study on this concept, using DJIA from 1970-2008, concludes that this tendency yielded an average trade return of +0.80%...i don't believe this includes commisions, etc...
• the max closed trade drawdown is 3.90%...their study does not include a max intraday drawdown figure...
• this is a behavioral tendency that i can attempt to model for a possible systemic trading system to be in place for september 2010...i would probably substitute the SPY or the NDX for the DJIA...
• some of the trading patterns that stock trader's almanac has highlighted over the past 10 years, i have been using as starting points for modeling stock market behavior...ultimately, some of these initial behavioral models have become full fledged systemic trading models...'SPY Gopher' is one of them...

ES / SPY / SPX behavior on FOMC announcement days: tends towards bullishness.

• yesterday, i referenced a setup (S5) by Trading the Odds, which suggested that the day before the FOMC announces their latest interest rate targets, tended to be bullish during the 1990-present time frame...
• in an attempt to potentially build a systemic trading model based on this bullish behavior, i modeled the behavior of the SPY on the day before the FOMC announcement for the 1996-present time frame...
• i too came to the conclusion that since 1996, the SPY has shown an overall bullish bias...however that bullish bias peaked in 11/2001 and since then, the SPY has traded bearishly on the day before the FOMC announcement...i did not build a systemic trading model based on this behavior...
• today, Trading the Odds posted another FOMC related study...this setup (S2), from 1990-present, goes long the ES at the close of the day before the FOMC announcement, and then exits the trade at the close of the day of the FOMC announcement...this simple strategy generated 156 trades, with a Profit Factor=2.13...
• this study peaked my curiosity, so i attempted to build a trading model based on the bullish behavior of the SPY on the day of the FOMC announcement...my study runs from 1996-present, and at the close of the day before the FOMC announcement, buys $100,000 worth of the SPY and upon the close of the next day, which is the FOMC announcement day, sells the entire position...there are no additional filters and there are no stops...
• my study, generated 107 trades, a Profit Factor=2.17, and an average trade return of +0.36%:

• a Profit Factor above 2.00 is pretty good...the next thing i want to see is what the trend of model has been over the life of the model, so i looked at the Equity Curve:

• the equity curve has shown extremely good performance lately...
• Quantifiable Edges also performed a similar study on this behavior, using SPX data from 1982-present...their equity curve chart shows similar performance...
• the next step for me was to see if i could build a systemic trading model based on this behavior...i divided up the SPY datastream into two slices: an in-sample slice from 1/1/1996-8/30/2006, and an out-of-sample slice from 9/1/2006-present...on the in-sample slice, i tested a simple moving average filter, a RSI filter and a stop...when i found a filter level that met my criteria, i would then run the model on the out of sample data...prior to adding any filters or a stop, i knew the Profit Factor was already 2.17...i like my models to have a Profit Factor of at 3.00...however in this case, neither a moving average filter nor a RSI filter combined with a money management stop yielded a model with a PF over 3.00...i was hard pressed to find something a model that yielded more than the baseline Profit Factor of 2.17...
• i was not able to build a systemic trading model based on the bullish bias that the SPY/ES/SPX tends to have on the day of the FOMC announcement...however, this bullish bias is good data in and of itself, and it has already factored into my thinking for my discretionary swing trading of the NQ...
• thanks again to Trading the Odds and to Quantifiable Edges for posting very relevant and useful studies of stock market index behavior....
• prior to the next FOMC announcement (11/4/2009 i believe), i will model the NDX and see how it performed on the day before the FOMC announcement and the day of the FOMC announcement...if there is a bullish bias, then i will attempt to build a systemic trading model...

The SPY tended to trade bullishly on the day before the FOMC interest rate announcement from 1/1996 - 11/2001, but has been bearish since then.

Trading the Odds posted an interesting study on the behavior of the ES on the day before the FOMC announces their decision on interest rates:

• from their study (S5), the key takeaway for me was the Profit Factor of 1.70 over the course of 156 trades...this peaked my interest, so i wanted to see if i could build a systemic trading model based on this behavior...
• their study uses the ES datastream and the FOMC interest rate release dates from 1990-present...i had somewhat easy access to the SPY datastream and the FOMC interest rate release dates from 1996-present, so i began there...
• my study identified the date which was 2 days prior to the FOMC interest rate announcement, purchased $100,000 worth of the SPY at the close of this day, and then sold it the following day (the day before the FOMC rate announcement) at the close...i did not use any other filters and i did not use any stops...
• my study came up with 106 trades and a Profit Factor of 1.42...there are less trades primarily because my study contains 6 less years of data compared to Trading the Odds study...the FOMC announces a potential change to interest rates 8x/year, which would amount to 48 additional instances over the 1990-1995 period...adding those 48 trades to my studies 106 trades, would make a theoretical set of 154 trades, which is pretty close to the 156 trades in the Trading the Odds study...this is close enough for me for a preliminary review of the SPY behavior...
• once i completed my study, the thing that jumped out at me the most, is the Equity Curve chart:

• the equity curve peaked at trade #46 (11/05/2001) and has been basing, with a recent downward bias since then...
• this equity curve suggests to me that while the SPY had a bullish bias on the day before a FOMC rate announcement from 1/1996-11/2001, there has been a bearish bias since then...
• even though the Profit Factor from my study is a bullish 1.42, it has been on the decline since 11/2001...
• even if i added the performance data for the 1/1990-12/1995 period, it would not change the equity curve from 11/2001-present...
• i will not be building a systemic trading model based on the behavior of the SPY on the day before the FOMC interest rate announcement...
• the purpose of this post is to add some color to the setup that Trading the Odds posted...it is not meant to discredit the great work they do...on a daily basis, i look forward to reading their research...it has been a great addition to my knowledge base and to my trading...
• the following is the list of dates that are two trading days prior to the FOMC interest rate announcement that i used in this study:
  

'Trading the Odds' Blog: Pre-FOMC Day shows enough of a positive bias, that I might be able to build a trading model based on it.

Trading the Odds Blog:

• Pre-FOMC day with strong upward bias on the SPY...
• i should model this to see if i can build a trading system based on this setup...
• i will continue to follow this blog for additional setups that may lead to viable systemic trading models...
• i am also following Quantifiable Edges blog for additional setups that may lead to viable systemic trading models... the SPY Rising While SPY Volume Declines study (selected from the 8/25/2009 - 9/22/2009 QE posts) is another candidate for me to model...

9/1/2009 pre market update

• i am wondering if my overnight exit targets for the NQ are a bit too aggressive...
• on sunday night, my exit target wound up being 1.00 points above the night session high (first red circle)...
• on monday night, my exit target wound up being 1.25 points above the night session high (second red circle)...

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...***

ATR (Average True Range) Volality Bands for Intraday trading: version 2

• here is a 15M chart of the NQU09.D from around 1130 am this morning...
• using an ATR calculation, i want to try to predict where the probable intraday high and low ranges will be for the NQ...
• the subchart displays the ATR volatility in percent terms...the yellow vertical bar histogram shows how volatile each intraday session is....currently the difference between the true high and the true low for the current daily bar in the NQ is 1.31% of the last trade in the NQ....the red horizontal line is an 8 period moving average of the daily ATR volatility...it is currently at 1.84%
• so far for today, the NQ is less volatile than its 8 day average volatility...
• i use the average ATR volatility to help determine where the ultimate high and the ultimate low for the current daily bar might be...there is no guarantee the NQ will trade to these levels, however if the NQ has a typical day, then attempting to project these high and low range areas may have some relevance...
• however, i believe it would not be useful to attempt to predict the exact high and the exact low, so i have opted to try to predict a high range and a low range...
• the calculations for the high range are relatively straight forward: in order to project the high, i use the known true low and then add the current average ATR...this gives me a firm projected high...however, i don't want a firm projected high, but rather a projected high range, so i tweak the firm projected high with a user defined 'band variance factor'...the 'band variance factor' replaces the projected firm high with two new highs, one above the firm high and the other below the firm high...the size of the expansion is dictated by the size of the 'band variance factor'...these two highs are then plotted on the chart of the NQ...
• the dark red band represents the upper portion of the projected high range...the red band represents the lower portion of the projected high range...
• the calculations for the low range are relatively straight forward: in order to project the low, i use the known true high and then subtract the current average ATR...this gives me a firm projected low...however, i don't want a firm projected low, but rather a projected low range, so i tweak the firm projected low with a user defined 'band variance factor'...the 'band variance factor' replaces the projected firm low with two new lows, one above the firm low and the other below the firm low...like mentioned above, the size of the expansion is dictated by the size of the 'band variance factor'...these two lows are then plotted on the upper chart of the NQ...
• the dark green band represents the lower portion of the projected low range...the green band represents the higher portion of the projected low range...
• i specifically used the dark red, red, green and dark green colors...if my bias was to be long, i would look to buy some near the green line, and buy some more near the dark red line....then i would look to sell some near the red line and sell some more near the dark red line...if my bias was short, then i would look to short some near the red line, and short some more near the dark red line...then i would look to cover some near the green line and then cover some more near the dark green line....
• if long and the vehicle traded below the dark green line, then perhaps a stop loss would be in order...if short and the vehicle traded above the dark red line, then perhaps a stop loss would be in order...
• however, this would not be my only analysis tool for determining optimal entries, exits and stops...i would also be using multiple time frame analysis, moving averages and pivots...these projected intraday highs and lows would be another analysis tool to help me optimize my entries, exits and stops...
• the 'band variance factor' is user defined and easily changed...
• i am excited to have added this tool to my trading toolkit...
• currently i am using this indicator for the NQ but it can be used for any symbol...
• if you are interested in taking this indicator out for test run and you use tradestation, then let me know and i will send it over to you free of charge...
• if anyone has any ideas on how to improve this indicator, especially on how to optimize the 'band variance factor' such that it creates true high ranges and true low ranges that get pierced a significantly high amount of the time that then lead to reversals, then please let me know...

8/25/2009 11 am update

• ego, ego, ego!! so invested in the trades outcome...so pissed when i am out of sync!!
• afraid of not having a position in the NQ for the discretionary swing trade...afraid that i am going to miss the move...afraid, afraid, afraid...
• tired of the day and night sesssion chop in the NQ since mid morning friday...when the NQ gapped up this am into the low 1640's, my limit order which was moved down from 1656.50* to the mid 1640's, but i kept on missing the exit by a few ticks...so i moved the limit order down and down and down and the got filled at 1641.25 (for +5.75 NQ points/contract)...
• what did the NQ do then?? why it went on to rally to recent resistance at 1647ish, break that resistance and rally up to 1655.50...
• i decided that i did want to get back into the NQ, but at a level that takes the following into consideration: multiple time frame analysis (15M, 60M, Daily), pivots, moving averages and expected ATR high/low areas (http://stbsmb.blogspot.com/2009/08/atr-average-true-range-volality-bands.html)...this analysis led me to place a re-entry order at limit 1642.50...
• the 1655.50 high of the day was hit at 1004 am, and then 14 minutes later i was filled at 1642.50...i didn't expect/want to get filled that quickly, as that quick reversal suggest potential weakness....however the market internals were either neutral (TRINQ) or bullish (AD LINE), so i still took the trade...
• exit order at limit 1653.50...
• in my vcm daytrading account, i shorted the COCO gap up...the entry was good, however i messed up the exit just like i did yesterday with VRX...
• when R base trading, i need to decide if i am going to scalp a small portion of the position when the trading vehicle moves to predefined pivots and moving averages (for both exits and entries), or if i am going to use an AON (all or none) tactic with a hard stop and a hard target...i need to think more about this...

* i tend to place an entry and an exit order in the overnight session that is somewhat far away from the closing price, but within 1 ATR of the that closing price...i don't expect the order to be filled, but i want to take advantage of the possibility of a volatile overnight session and have an order sitting there just in case we have a big move in either/both direction(s)....the more heavily i am currently positioned the more inclined i am to exit than enter, and the more lightly i am positioned, the more inclined i am to enter than exit...

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...***

Two great blogs: Dr. Brett Steenbarger's 'Trader Feed' and Rob Hanna's 'Quantifiable Edges'.

I have been traveling through the blogosphere of late and have found numerous great sites, all of which have been added to the blog roll (to the right and the then scroll down a bit).

However two stand out to me:

• Dr. Brett Steenbarger's TraderFeed ...in addition to numerous technical and statistical studies that are posted, he just hits the ball out of the park when it comes to the psychology, trading and peak performance...this is a great example: Mental Fatigue and getting to the next level of performance
• Rob Hanna's Quantifiable Edges...on a daily basis, he performs original studies on market behavior...i have numerous ideas for potential systemic swing trading models based on the concepts and research that he has performed and documented...

Quantifiable Edges: Studies from Rob Hanna that I should do further modeling on

The following links are to studies that Rob Hanna posted on his Quantifiable Edges blog from 5/22/2008-8/24/2009 that I should do some further modeling on:

• CBOE Equity Put/Call finishes more than 25% below its 200 day moving average
• From a High to a Low in 1 Day
• Large Gaps up from a 1 Month High
• NYSE New Highs Contract While SPX Makes a 50-day High
• Slowing Rate of Decline Potentially Short term bullish
• Volume Low and Price High Often Leads to a pullback
• SPY closes in the bottom 10% of its daily range but still above yesterday's close
• S&P is oversold going into a Fed Day

I will continue to review Rob's blog for additional market behavior research.

8/19/2009 post close update

• NQ appears to have made a nice recovery from the -1.00% opening gap, closing up about 0.50%
• the discretionary NQU09 swing trade is now essentially flat...
• still looking to sell the NQU09 at 1607.50, 1617.50, 1627.50...the orders are on my brokers book, and could be hit overnight if the NQU09 trades up there...
• if any of these orders are hit, i am not sure where and when i may re-enter the NQU09...
• the 'BTD Index' systemic swing trade is up about 2%...an exit signal has not been generated for this model yet...if the NDX closes about 0.30% or more above today's close, then a 'BTD Index' exit signal will be generated for tomorrow's close...
• no systemic swing trade entry signals were generated for today's close...
• between yesterday and today, i remodeled six of my systemic swing trading models...in addition to the 30 models i am currently trading, there are about a half dozen that are on the suspension list...these will be remodeled as well...
• this process takes a lot of time...i figure i can do about 3/day...with some focus and hard work, i should finish this by labor day...
• did some daytrades this am (and yesterday am) in my vcm daytrading account...flat for the two days...
• need to filter out more of the setups that get discussed in the vcm chat room (DOW, HPQ) and just enter the ones that make sense to me (NVDA...great trade idea from the room, but i scalped it instead of R it and left a lot on the table)...
• my scalp trades tended to work out well (ERTS, ANN)...
• my R based trades netted out flat (HURN + 1R, LANC -1R)...
• very happy with how i entered, exited, position sized and managed the HURN trade...i should look to this trade as a model of how i should R trade...
• in the IRA and custodial accounts, the FAS was flat today...exit orders are still on the book at the same levels mentioned in earlier posts...

Disclosure: Long NQU09, long FAS.

***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...***

8/18/2009 pre open update

• yesterday was the crusher: SB IDX got stopped out for its largest historical loss and the NQ discretionary swing trade had a big drawdown, and FAS got hit for about 10%...
• the systemic swing trading portfolio is now down about 10% from its early july high...historically, the portfolio has experienced a max drawdown of about 15% from its recent high, so this current drawdown is within normal expectations...however, the max drawdown usually coincides with a big move down in the market, and since early july the market has not been moving down but rather has had a a big move up...perhaps extreme momentum in either direction is problematic for the systemic swing trading portfolio...
• i am giving even more consideration to rebuilding all the models in the portfolio...the rebuilding will keep the basic structure/filters of each model, and just update each filter's parameter setting to reflect the additional in sample market data that each model would now include...
• due to the way the leading indicators of economic growth are behaving (http://stbsmb.blogspot.com/2009/08/ecris-wli-growth-rate-runs-up-to-26.html) and in my belief that most money managers are under weighted equities, i believe the 'fear of missing' psychology will kick in and we will see a huge equity market runup into the end of the year...
• i have been using a very small lot size for each addition to the discretionary NQU09 swing trade because of the possibility that the bottom of the range would break and we would push down to the mid or low 1500's...i only held the position because i believe this move up is not over, not over by a long shot!
• i added another NQU09 lot (third) at 1576.00 yesterday...i am now averaged in at 1596.17...i am looking to sell the third lot at 1607.50, the second lot at 1617.50, and the first lot at 1627.50...maybe it will take a week or a month to get back to these levels, but this is my current plan..
• i am also planning on adding more NQU09 if we go lower...however since we broke the bottom of the base that dates back to 7/23, and are now testing the bottom of the base that extends back to 7/22, i will be more discriminant with my future additions...
• looking to add more FAS at 61.50...

Disclosure: Long NQU09, long FAS.

***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...***

'SB IDX' gets stopped out for its largest historical loss.

'SB IDX' gets stopped out for its largest historical loss.

The Modeled position (IDX) posted a 2.59% loss, which is worse than the average losing trade return of -0.62%. The actual Trading position (EMDU09) posted a 2.67% loss (including commissions), slightly worse than the model.

This was the largest single trade loss for the model. Is the model broken or just going through a rough patch? I don't think this question can be answered yet. Still the loss was ugly and disappointing for a model that has performed so well historically.

8/12/2009 am update

• FAS lot sold at 75.58 was bought back this am at 66.64...this raises the average FAS cost in my IRA from about 42.50 to 49.41...
• looking to sell this newly added FAS lot at 76.65...
• FAS avg cost in custodial account (DB) is 48.12
• FAS avg cost in custodial account (GB) is 52.61
• bought some NQU09 yesterday at 1591.50 as a discretionary swing trade (bottom of current base)...looking to sell this lot at 1625.00 (towards the top of the current base)
• intraday systemic ES model hitting a rough patch...though the concept that came to me while on vacation appeared robust, testing has shown to be a scratch...there are still some things that i can test, though i am starting to believe there is not a robust systemic model here...
• looking to take some of my systemic swing models that only use price derivatives as filters (no calendar filters), and testing them on an intraday basis...

Disclosure: Long FAS, Long NQU09.

***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***