10/29/2009 9:15 am update: NQ

• i am using this morning's rally to lighten up the NQZ09 discretionary swing position...
• the losses are painful, but capital preservation is a must...
• i still envision new swing highs in the NQ and the ES perhaps by the end of 2009, and an even higher liklihood by the end of Q1 2010...
• however, due to the persistent downtrend of the past 4 days, the intermediate term may have changed...
• at the close of trading yesterday, the discretionary swing trading position was long 5 contracts at avg 1728.00...
• first trade: exited at 1687.50: -40.50 NQ points/contract...
• second trade: exited at 1696.50: -31.50 NQ points/contract...
• i will be looking to add more contracts at lower levels, however i am not sure what those levels are yet...
• offering 1 contract out at the following levels: 1707.50, 1716.50, 1725.00

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***

10/28/2009 6 pm update: NQ

• had to go to the gym to work off all of the stress!
• what an ugly day for the bulls...
• a lot of studies i follow were suggesting a bullish setup for today, but we got quite the opposite...
• i added a 5th NQZ09 contract at 1695.75, bringing my 5 contract avg to 1728.00
• on two separate occassion later in the day, i went long a 6th contract, with a tight stop below the entry...both of these entries were stopped out...
• first stop out: -5.00 NQ points/contract, 1 contract closed...
• second stop out:  -8.00 NQ points/contract, 1 contract closed...
• today's trades: -6.50 NQ points/contract, 2 contracts closed..
• this represents the rare discretionary swing trading day with a realized loss for me...
• however, i am sitting on some significant unrealized losses in the 5 contract NQZ09 position...
• if the NQZ09 continues to head lower, i plan on adding more contracts, with relatively tight stops...
• there will be a bounce at some point, and i will use that bounce to lighten up on my position, and if we then head lower, to lower my avg entry price...
• even if we have put in an intermediate term top, i still envision the NQZ09 rallying back up into the low to mid 1700's within the next few weeks...
• i continue to remain bullish longer term, and believe that if we don't see new swing highs by the end of 2009, we will see them by the end of Q1 2010...

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***

10/28/2009 10:10 am update: NQ

• more weakness this am...
• added a 4th NQZ09 contract at 1708.00 to my discretionary swing long position...
• this brings my 4 contract avg to 1735.06...
• offering out 1 contract at the following levels:  1733.50, 1745.00, 1757.50, 1767.50
• no bids at this point...
• my 'Halloween' systemic trading model is scheduled to generate a long entry signal for today's close, so i am reserving some buying power for that...
• XLF showing rw, SMH showing rs...
• i have been adding to my discretionary swing long position in the FAS...

Disclosure: Long NQZ09, 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...trade at your own risk***

10/29/2009: 'BTD Index' generated an Entry Signal for Today's Close.

'BTD Index' generated an Entry Signal for Thursday's Close, 10/27/2009. This is another one of my favorite models. The last six trade's from this model were profitable, each one generating a new high for the Equity Curve. The last five have occurred since this past June.

The premise of the model is mean reversion, such that when the NDX is in a longer term uptrend, buy the shorter term dips. Clearly defining the 'longer term uptrend', the 'shorter term dip', as well as the price target exit and the money management stop (which is time based, not price based), is key to this model's success.

Here are some of the model's Performance Statistics:

• Model Tracking Vehicle=NDX
• Start Date=11/1/1985
• Number of Trades=124
• Average Trade Return=1.70%
• Average Winning Trade Return=2.71%
• Average Losing Trade Return=-2.51%
• Win Rate=81%
• Ratio of Average Win/Average Loss (RAWAL)=1.08
• Profit Factor=4.51

The Average Winning Trade is just a bit more than the Average Losing Trade (RAWAL=1.08), but this model generates 81% winners.

Historically, this model has incurred a very high open and closed trade drawdown (20% and 12% respectively). This drawdown is so high, that I will only trade a small position when an entry signal is generated. At 4pm today, I went long 1 NQZ09 contract at 1719.25.

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 somewhat weaker performance data. Nonetheless, I still trade this model with the NQ and when executed according to the plan, it has generated consistent profitability for me.


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***