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.
Wednesday, 27 April 2011
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.
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