Up gaps on 1st of the month

Today is the first trading day of February.  Further to the first of the month bias post, we are now trading well above yesterdays close.  Below is a equity curve of a strategy that shorts any up ES gap on the first trading day of the month.  The strategy exits at gap fill or end of the day.

As you can see this has been a losing strategy historically.  Only 49% of gaps have filled, which is well below historical norms.

Stats on Monday after OPEX

Friday was opex day and we closed up for the 3rd consecutive session, with $spx cash daily range contracting on each occasion.  Over the last 10 years this has happened on 16 occasions.  on 14 occasions we went on to hit my fist short target (for ES), currently 1304 for todays market, at some point during the next session.

100 day high on opex wed

Over the last 10 years the ES emini contract has made 100 day highs on wed of opex week on 18 occasions.  For the next session, the ES contract traded down to my first target, equivilant to 1300 in todays market, on 14/18 times.  The target was hit on 18/18 times over a 5 day period.

Good luck with any trades tomorrow.

1000 views on Collective2

It took 15 months, 91 trades, 83.5% profitable, 1.9 profit factor, peak to trough drawdown of 6.3%, 25% annual return, but finally got 1000 views on collective2. 

Tough crowd :)

Any questions, please feel free to ask.

New Equity highs

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.

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

The S&P market is still in bullish mode, with normal volatility.  The FED POMO has finished, so the system will be trading cautiously in July.

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.

Good luck with your trades in June.