12/15/2009

• the NQ and the ES 'feel' like they want to break above their current resistance levels (NQH10 around 1815 and ESH10 around 1115)...
• with positive historical december opex week, and positive end of december seasonality, tomorrow's FOMC rate announcement at 2:15pm might be the catalyst to get the indices over these levels...
• if they do pop, i can envision them running up around 2-4%...
• however, many of the short term and intermediate term oscillators i follow are getting overbought, so i believe a smallish upside break in mid to late december will lead to a larger downside move sometime in january...
• for a discretionary swing trade, i will probably be looking to get long the NQ after the january move down...i am not sure if i will play a decemeber break above resistance to the longside in the NQ as a discretionary swing trade...
• my systemic swing trading models continue to get chopped up...
• i believe i may have found a setup and money management strategy that fits my personality over at 'team trading' (fka velez capital managment, llc)...i have been working on it for the past few weeks and have seen some positive results...still, there is much work to be done here...
• additionaly, i have joined the forex division of 'team trading' led by dr. todd hanson, and am currently going thru the initial 7 day training...
• lots of juggling right now: systemic swing trading the u.s. stock indices for my account, discretionary swing trading the NQ for my account, discretionary daytrading u.s. equities for my prop account, and discretionary/systemic swingtrading/daytrading forex for my prop account...yes, my head is spinning a bit...
• good trading to everyone!

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***

'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...

9/15/2009 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 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...

'NDX 1st DOM' generated a Long Exit Signal for Wednesday's Close, 9/2/2009

• 'NDX 1st DOM' generated a Long Exit Signal for Wednesday's Close, 9/2/2009...
• the position was stopped out shortly after the market open last wednesday morning...this is the 3rd stop in a row for this model...the equity curve high was hit on 5/4/2009...
• one of the great things about this model is its stop...it is only 0.50% below the entryprice, so being wrong is not that expensive...
• this stop puts the systemic swing trading portfolio about 13% below its all time high hit in the beginning of july 2009...

'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...***

'1 CT Spyder' generated a long entry signal for tonight's close (8/31/2009)

'1 CT Spyder' generated a long entry signal for tonight's close (8/31/2009).

The model was rebuilt as of today. The overall logic has remained the same. The parameter setting for the primary filter and for the dynamic stop size were tweaked just a little bit.

The model's equity curve flat lined from the beginning of 2006 through the beginning of 2008. In April of 2008 the model broke out to the upside followed by two additional trades and two additional equity curve highs.

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=SPY
• Start Date=2/2/1993
• Number of Trades=46
• Average Trade Return=0.63%
• Average Winning Trade Return=1.18%
• Average Losing Trade Return=-0.92%
• Win Rate=74%
• Ratio of Average Win/Average Loss (RAWAL)=1.29
• Profit Factor=3.65

The performance of this model is rather strong with a RAWAL of 1.29 and 74% winners. The dynamic stop is rather large though, currently at about 2.50%. The stop has been triggered during 2 of the 46 trades (4% of the time). If the stop is not hit intraday tomorrow, then the trade is due to be exited at the close on Tuesday.

Disclosure: Long ESU09.

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

8/28/2009 post close update

• wow, lots of swings...just had to let it go at 1645.00 for +6.50 points...
• currently flat the NQ...
• looking to re-enter at 1640.50 for the rest of the session...if not filled i will place an entry order for the sunday night session, but i am not sure for what limit price yet....
• so that makes +27 points for the day (4 contracts at 6.75 points per), and about 37 points for the week...
• no systemic swing trade entries for today or any day this week...i am expecting to get some entries soon as they tend to have periods of no activity and then periods of high activity...hopefully i will start to see some positive performance from them soon...

8/20/2009 post close update

• exited all NQU09 discretionary swing trading lots today: 1 @ 1607.50, 1 @ 1612.50, 1 @ 1617.50, for an average exit of 1612.50...
• this nets to +16.33 NQ points/contract with a holding period of 5 days...
• currently flat, looking to re-enter with 1 lot at limit 1607.50...
• todays daily range in the NQ was a bit narrower than i expected...
• great phone conversation with JE today...
• only made the time to rebuild one systemic swing trade model...
• no systemic swing trade entries were generated for today's close...
• happy to have finally booked some profits after the latest systemic swing trade stop loss...
• happy with my vcm daytrading process and results...

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' generated a long entry signal for today's close, 8/14/2009.

'SB IDX' generated a long entry signal for today's close, 8/14/2009. It is due to be exited at Monday's Close unless its Money Management Stop is hit intraday.

The model is currently trading just below its all time high. This is the third entry for the model in the past 2 weeks. With a bit of luck, this one will be the charm. Today's late day rally continued past the 4pm close all the way to the 415 futures close. The lot I purchased at 4pm rallied +0.63% to the 415 close. I am hoping that this end of day strength will continue on Monday. Its been nearly 6 weeks since a decent size gain has been booked by the systemic swing trading portfolio.

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=IDX
• Start Date=7/1/1994
• Number of Trades=50
• Average Trade Return=0.41%
• Average Winning Trade Return=0.77%
• Average Losing Trade Return=-0.62%
• Win Rate=74%
• RAWAL (Ratio of Average Win/Average Loss)=1.25
• Profit Factor=3.55

A strength of the model is the win rate of 74%. A weakness of the model is the Money Management Stop can be pretty high, currently 2.6%.

Disclosure: Long the EMDU09.

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 IDX, but I trade the model with the EMD e-mini. Actual trading results from the EMD usually differ from the model results of the IDX, 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...***

8/14/2009 morning update

• the NQU09 has been basing for 2 days in the upper portion of its 10 day range...after this morning's open, i moved my previous buy limit 1612.50 up to limit 1617.50...it didn't take long for this limit order to get filled...
• since i became a bit more aggressive on this entry, i am going to be a bit more conservative on the next entry...instead of buying limit 1603.50, i am buying limit 1595.00
• the first lot is sell limit 1628.50
• if the second lot gets filled, then my avg cost becomese 1606.25...i will then sell the second lot at limit 1622.50, and change the first lot from sell limit 1628.50, to sell limit 1627.50...
• no systemic swing entries for yesterday's close...

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...***

8/12/2009 post close update

• no systemic swing trade entry signals for today's close...
• looking to get back into the NQ discretionary swing trade toward the bottom of the base (limit 1603.50) or on a definitive break of the top of the range (1632.50), that then comes back down to test that breakout area...
• happy to have followed my discretionary swing trading plan and to have booked +32 NQ points/contract today...

8/5/2009

• no systemic swing trade entries for today's close...
• FAS continues to power on up, +8% today while the major market indices pulled in 0.40 - 0.90%...
• this puts the FAS positions in the IRA and custodial accounts up 38-71%...first sales level at 74 could be hit in the next few days...next level in the mid 80's, perhaps as soon as next week...unless the character of the market changes considerably in the next few weeks, i am confident these initial sales levels will be hit soon...

Disclosure: Long FAS.

8/4/2009

• no systemic swing trade entries were generated for today's close...
• FAS position in IRA and custodial accounts doing well, up 30-50%...looking to scale out of them at the following levles: 74, 84-88, 94-98, 106-108...if these levles get hit, then i will consider re-entering at lower levles then the sales...
• snorkeling in horseshoe bay bermuda...lots of beautiful fish...wondering what the organizing priniciple is for a school of fish...when i swim into the school, they move out of the way in an organzed manner and then reform so they can be as close together as possible while fitting into their rock and coral surrounding...there appears to be individual and group intelligence at work there...fun to watch...
• are there organizing prinicples for the stock market?
• if so, then this suggests to me that there is structure...perhaps all market patterns that have a critical amount of predictive power are an expression of market structure...

Disclosure: Long FAS.

7/29/2009 afternoon update

• 1 discretionary daytrade in my vcm account based on an opening gap...small profit...
• still holding the NQ discretionary swing long trade...entered at 1592.50, target 1625...additional buy orders at 1576.50, 1552.50...
• made some great progress coding up some components of the ES intraday system...
• no systemic swing trade model entry signals for today...
• i am going to check out a presentation tomorrow: 'Joe Bridges – of www.treasuryincomeengine.com is going to show EXACTLY how to data mine and build a valid - successful trading system'...
• i am not familiar with Joe's work, but i am always interested in how system builders go about constructing their models http://www.onlinetradercentral.com/presenter_090730.asp

7/28/2009 afternoon update

• no afternoon trades in the vcm daytrading account
• the NQ discretionary swing trade is in the money 10+ points (marked at the 4pm ny close of 1603)...my target continues to be 1625 for this lot...
• no systemic swing trading entry signals were generated at today's close...
• made significant progress coding a work around for a component of the ES intraday systemic model...overall there is still a lot of work to do, but progress is being made building the model's structure in the most robust manner that JE (http://myestradingjournal.blogspot.com/) and I can think of...
• oliver velez, a trading/teaching master, and founder of the daytrading firm i am with, is holding a conference call wednesday night at 415pm ny time...he will give his outlook on the market, review a few lucky conference call participants closed trades and evaluate stocks of your choice (http://www.vcmtrading.com/events.php#)...
• FAS -1% today...

Disclosure: Long NQU09, 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***

7/28/2009 morning update

• re-entered the NQ swing trade (at 1592.50) on monday morning just above the bottom of the friday afternoon's base...i thought the odds were good that we would continue to power on up, but just after my entry the NQ sold off to 1578.50...
• i have an order in to buy another lot at 1576.50 and at 1552.50...current target is 1625.00, and my exit order is sitting there...
• started late today, so i didn't trade any opening gaps in my vcm account today...yesterday, i played PXP and MYL to the short side from their opening gaps...made a tiny bit on both...the main vcm chat room moderator/trader/teacher also played MYL to the short side, and after MYL exhausted itself on the downside, he then traded it to the long side...he booked more than 10 R's on the trade...i was pretty amazed at how he handled the trade, and he talked us through it live...
• no systemic swing trades were generated for yesterday's close...its been 5 days since the last trade there...i imagine a new entry signal should be coming any day now...
• ran into some coding/EasyLanguage issues yesterday when i was working on the ES intraday systemic model...i thought of a work around for it last night, and will write up that code and test it this am....
• FAS tacked on a few percent yesterday...

Disclosure: Long NQU09, 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***