It's that time again. Please see previous post for details.
This seasonal bias was strong in Feb. Lets see what happens tomorrow.
Monday 28 February 2011
Tuesday 22 February 2011
VIX rallies over 20%.
Today we saw a huge "risk off" trade across the board. VIX rallied over 20%. This is a rare setup. Below is an equity curve of a strategy that goes long 1 contract of ES emini futures on the start of the overnight session (1630 ET) and takes profits equivilant to +3.25 ES emini points in todays market when this has occured, suggesting we should see some 1317.25 printed in this session.
Please note small sample size. Trade at your own risk.
Monday 21 February 2011
Just like the 1970's?
In the 70's we saw low economic growth, high unemployment with surging prices (stagflation) and an oil crisis. Today we have the same stagflation developing in western economies and a potential oil crisis in the middle east.....it seems like we've been here before.
From a chart perspective I would like to share a fractal I have been following for the past few years. There are huge similarities between the 1974 bottom and today's market, as seen in the below monthly SPX chart.
Here we see the 1974 bottom. We declined by approx 50% in the 1973 -74 bear market. We then rallied sharply for a few years, in a 3 wave move, retracing approx 75% of the previous decline.
Sound familiar.
Below is a chart of the recent bear market. There are similarities in both time and price. In the 2007-2009 bear we decline over 50% and we have now retraced, in a 3 wave move, approx 75% of the previous decline.
Where we go from here nobody knows, but I hope these charts are of some interest.
Wednesday 16 February 2011
200 day closing high on wed of opex week
Today we closed at 200 day highs, and it is Wednesday of opex week. This has occurred only 8 times in the last 12 years. On 8/8 occasions we traded the equivalent of +2.5 ES points in today's market in the next session. On 5/8 occasions we traded the equivalent of -2.5 of ES points in the next session. Please note sample size v.small.
However, I have a confluence of signals indicating a -2.5 print in the next globex session is a high probability trade.
Please trade at your own risk.
However, I have a confluence of signals indicating a -2.5 print in the next globex session is a high probability trade.
Please trade at your own risk.
Friday 11 February 2011
"Don't be a sucker" Jesse Livermore
The best trading quote imo.
"
In Jesse Livermore's time, the stock market was similar to today's - it was full of suckers losing their money (and all too often other people's money too).
Livermore talked frequently about suckers. Several times he admits to actions that lost him a lot of money and which, with hindsight, he realized were the actions of a sucker.
The difference between Livermore and a real sucker, however, was that Livermore mostly admitted his mistakes and learned from them.
He recognized different grades of sucker:
First of all there's the complete beginner who knows nothing about anything and is aware of his ignorance.
Second, and more dangerous, is the semi-sucker. The semi-sucker has read books about trading - usually written by yet higher grade suckers - but he does not realize that reading books is not the same as trading experience. This type of sucker can quote all sorts of wise sayings about the operations of the stock market. He does not lose money as quickly as the beginning sucker because he has learned some of the most rudimentary trading rules. Livermore said:
"It is this semi-sucker rather than the 100 percent article who is the real all-the-year-round support of the commission houses. He lasts about three and a half years on an average, as compared with a single season of from three to thirty weeks, which is the usual Wall Street life of a first offender. He knows all the don'ts that ever fell from the oracular lips of the old stagers-excepting the principal one, which is: Don't be a sucker!"
From http://www.jesse-livermore.com/trading-lessons-suckers.html. For the full atricle please see the link
"
In Jesse Livermore's time, the stock market was similar to today's - it was full of suckers losing their money (and all too often other people's money too).
Livermore talked frequently about suckers. Several times he admits to actions that lost him a lot of money and which, with hindsight, he realized were the actions of a sucker.
The difference between Livermore and a real sucker, however, was that Livermore mostly admitted his mistakes and learned from them.
He recognized different grades of sucker:
First of all there's the complete beginner who knows nothing about anything and is aware of his ignorance.
Second, and more dangerous, is the semi-sucker. The semi-sucker has read books about trading - usually written by yet higher grade suckers - but he does not realize that reading books is not the same as trading experience. This type of sucker can quote all sorts of wise sayings about the operations of the stock market. He does not lose money as quickly as the beginning sucker because he has learned some of the most rudimentary trading rules. Livermore said:
"It is this semi-sucker rather than the 100 percent article who is the real all-the-year-round support of the commission houses. He lasts about three and a half years on an average, as compared with a single season of from three to thirty weeks, which is the usual Wall Street life of a first offender. He knows all the don'ts that ever fell from the oracular lips of the old stagers-excepting the principal one, which is: Don't be a sucker!"
From http://www.jesse-livermore.com/trading-lessons-suckers.html. For the full atricle please see the link
Monday 7 February 2011
Mondays closing above 200 day high.
Today the S&P cash index closed again above its 200 day high. Historically, when this has happened in the past on a monday there has been some weakness in the next session. To demonstrate this, below is a equity curve of a strategy that sell short 1 contract of the ES emini futures contract and takes profits equivalent to 3.25 points in today's market.
Sunday 6 February 2011
When Friday closes above 200 day high.
On Friday the S&P 500 cash index closes above the previous days 200 day high. When this has happened historically, there has been a mild upside bias at some point in the next session. To demonstrate this, below is an equity curve of a strategy that goes long 1 es emini contract on the open of the Sunday's session and takes profits equivalent to 3.25 points in today's market.
Friday 4 February 2011
NFP day in a bull market
Today is NFP/Jobs report day. When we have been in a bullish market (like we are now) historically there has been an upside bias at some point in the day. To demonstrate this, below is an equity curve of a strategy that goes long the es emini contract in a bullish market (proprietary definition) on the open of the overnight session prior to nfp day and takes profits equivalent to 3.5 points in today's market.
Whilst this alone is not enough to generate a trade, it's a historical bias worth being aware of.
Good trading all.
Whilst this alone is not enough to generate a trade, it's a historical bias worth being aware of.
Good trading all.
Thursday 3 February 2011
January 2011 - Trade review.
Each month I will do a brief review of the months trades.
January was an above average month performance wise for the eminiglobex system.
The system took 16 trades, 12 longs and 4 shorts. 13 out of the 16 trades were profitable and net profit was $1,379 (after commission) or 28 es emini points per contract traded.
The S&P market remains in a bullish trend and low volatility. The fed stimulus (QE2) appears to be having the desired effect with risk assets making gains across the board and for now buying the dips appears to be the best way to trade this market. We are extended to the upside by many technical measures and one needs to remain alert to pullback. With regard to the system trades, the system will only take high probability set-ups and let the odds play out. Good trading all.
January was an above average month performance wise for the eminiglobex system.
The system took 16 trades, 12 longs and 4 shorts. 13 out of the 16 trades were profitable and net profit was $1,379 (after commission) or 28 es emini points per contract traded.
The S&P market remains in a bullish trend and low volatility. The fed stimulus (QE2) appears to be having the desired effect with risk assets making gains across the board and for now buying the dips appears to be the best way to trade this market. We are extended to the upside by many technical measures and one needs to remain alert to pullback. With regard to the system trades, the system will only take high probability set-ups and let the odds play out. Good trading all.
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