It took a while, but I am please to announce the eminiglobex system has hit new equity highs. Please see this link for independently verified trading results.
Happy thanksgiving.
Thursday 24 November 2011
Monday 11 July 2011
June 2011 review
There were 7 trades in June 2011 for the eminiglobex system, 5 longs and 2 shorts. The system made a profit of 16.75 ES emini points, less commission and other fees. This was an above average monthly return
Monday 13 June 2011
May 2011 review.
There were 12 trades in May 2011 for the eminiglobex system, 9 longs and 3 shorts. The system made a profit of 8.5 ES emini points, less commission and other fees. This was an average monthly return, both in terms of returns and trade frequency. 11 out of the 12 trades were profitable, but it was another frustrating month as, for the losing trade, the system was stopped out on the low tick of the day.
The S&P market is still in bullish mode, with quiet volatility. The FED POMO is scheduled to finish at the end of June 2011 and this represents further risk to the market imo.
Wednesday 4 May 2011
April 2011 trade review
April was a below average return for the system, both in terms of performance and the amount of signals generated. The system took 6 trades, 5 long and 1 short. The system made a loss of -11 points, less any commissions and trade fees. The 28th April trade was particularly frustrating as it missed the profit target by 1 tick and ended up closing out at the end of day for a hefty -7.75 ES points. It happens, but is a normal part of trading.
The S&P 500 remains in a bullish trend and low volatility environment. The Fed stimulus, QE2, is scheduled to finish on June 30th 2011.
Wednesday 27 April 2011
Market update and fed day bias
This market continues to frustrate, with few tradable signals for the eminiglobex system, which has resulted in the equity curve pretty much flat lining over the last month or so.
Today is Fed day, with all eyes on the new style press conference. The fed day bias has been discussed on the blog here. However, the system had several bearish signals also, which again produced no overall signal.
Today is Fed day, with all eyes on the new style press conference. The fed day bias has been discussed on the blog here. However, the system had several bearish signals also, which again produced no overall signal.
Wednesday 13 April 2011
Trade review and POMO
On Tuesday April 12th the eminiglobex system was long 1 contract of ES emini and was stopped out for a loss of 12.25 points or $612.50 per contract. As with all eminiglobex trades, there was excellent historic expectation for this trade and combined with the positive bias of April opex week, I was happy with the entry. There was a slight wildcard in that it was the beginning of earnings season. Earnings season has the potential to change the tone of the market, but whilst AA results slightly missed, the markets reaction was muted, so this was not a concern.
I spend a lot of time reviewing losing trades, and one thing I noticed was that there was no Fed POMO activity on April 12th. After some research, other recent dates with no POMO activity were 10th Feb, 10th March, 11th March, 15th March, April 1st, April 8th. With the exception of April 1st (which has its own bullish seasonal bias) all of these dates had some selling pressure at some point in the session, with some heavy selling on March 10th, March 15th and April 12th. Whilst it is to few instances to draw any major conclusions, it may be indicative that a lack of POMO activity is impacting the market. The fed activity (QE2) is currently due to end in June 2011, so this could have a huge impact on markets.
The POMO schedule can be seen here . There is no POMO activity on 21st April, 22nd April or 27th April. The next schedule release will be at 2pm on May 11, 2011.
I spend a lot of time reviewing losing trades, and one thing I noticed was that there was no Fed POMO activity on April 12th. After some research, other recent dates with no POMO activity were 10th Feb, 10th March, 11th March, 15th March, April 1st, April 8th. With the exception of April 1st (which has its own bullish seasonal bias) all of these dates had some selling pressure at some point in the session, with some heavy selling on March 10th, March 15th and April 12th. Whilst it is to few instances to draw any major conclusions, it may be indicative that a lack of POMO activity is impacting the market. The fed activity (QE2) is currently due to end in June 2011, so this could have a huge impact on markets.
The POMO schedule can be seen here . There is no POMO activity on 21st April, 22nd April or 27th April. The next schedule release will be at 2pm on May 11, 2011.
Friday 1 April 2011
March 2011 review.
March 2011 was an below average month performance wise for the eminiglobex system.
The system took 6 trades, 6 longs. 5 out of the 6 trades were profitable, but with an overall net loss of -$287.5 or -5.75 points per contract traded (less commission and autotrade fees if applicable). The system was long on 14/3, when the Nikkei crashed overnight, and was stopped out. These tail events are rare by their nature, but will happen from time to time. The conservative position sizing the system adopts meant the damage was not too serious.
There were fewer signals than average in March, due to the risk market filter.
The S&P market remains in a bullish trend, with short-term volatility returning to levels consistent with bull markets.
The system took 6 trades, 6 longs. 5 out of the 6 trades were profitable, but with an overall net loss of -$287.5 or -5.75 points per contract traded (less commission and autotrade fees if applicable). The system was long on 14/3, when the Nikkei crashed overnight, and was stopped out. These tail events are rare by their nature, but will happen from time to time. The conservative position sizing the system adopts meant the damage was not too serious.
There were fewer signals than average in March, due to the risk market filter.
The S&P market remains in a bullish trend, with short-term volatility returning to levels consistent with bull markets.
Monday 14 March 2011
Fed day bias
Tomorrow is Fed day. Historically this day has provided a upside edge at some point in the session. Below is an equity curve of a strategy that goes long 1 contract of es emini futures (at the open of the overnight session) and exits with a profit target equivalent to 4 points in today's market.
This is one of many signals that suggests an upside bias at some point for tomorrow. Whether this bias plays out is unknown, but I hope the info is of some use.
Please trade at your own risk.
Please trade at your own risk.
Monday 7 March 2011
Feb 2011 performance review
Feb 2011 was an average month performance wise for the eminiglobex system.
The system took 7 trades, 3 longs and 4 shorts. 6 out of the 7 trades were profitable and net profit was $397.5 or 8.75 points per contract traded. There were fewer signals than average in Febuary, due to the unusually bullish nature of the current market.
The S&P market remians in a bullish trend, with a pick in short term volatility.
The system took 7 trades, 3 longs and 4 shorts. 6 out of the 7 trades were profitable and net profit was $397.5 or 8.75 points per contract traded. There were fewer signals than average in Febuary, due to the unusually bullish nature of the current market.
The S&P market remians in a bullish trend, with a pick in short term volatility.
Tuesday 1 March 2011
William Eckhardt
This is a excellent article re trading and systems. http://www.futuresmag.com/Issues/2011/March-2011/Pages/William-Eckhardt-.aspx?page=
Monday 28 February 2011
1st of the month again.
It's that time again. Please see previous post for details.
This seasonal bias was strong in Feb. Lets see what happens tomorrow.
This seasonal bias was strong in Feb. Lets see what happens tomorrow.
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.
Monday 31 January 2011
1st of the month bias
Seasonal trends are one of many factors that influence my trade selection. Tomorrow is the 1st of the month. The seasonal stock market capital inflows that historically occur on this day has created a clear directional bias.
To demonstrate this, below is a equity curve of a simple strategy that goes long 1 contract of es emini futures on the open of the overnight globex session 1630 et and closed at the end of the session the next day.
Looking more deeply at the numbers, this strategy would have been profitable for 11 out of the 12 years in the test sample (2007 was a small loss overall for the year).
Whist there are many other factors to consider when taking a trade, this directional bias is worth being aware of.
To demonstrate this, below is a equity curve of a simple strategy that goes long 1 contract of es emini futures on the open of the overnight globex session 1630 et and closed at the end of the session the next day.
Whist there are many other factors to consider when taking a trade, this directional bias is worth being aware of.
Welcome
This purpose of this blog is to discuss trading concepts and ideas for my trading methodology.
Subscribe to:
Posts (Atom)