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.

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.

 Good luck with your trades for May 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. 

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.

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.

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. 

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.