Joined Nov 11, 2007
1,458 Blog Posts

US Economic Indicators Calendar for Week of September 8th

Dow Jones US Economic Indicators Calendar
All dates are in ET/GMT

Indicator Date Time
Jul Consumer Credit Sept 8 1500/1900
ICSC Chain Store Sales Index For Sep 6 Sept 9 0745/1145
Redbook Retail Sales Index For Sep 6 Sept 9 0855/1255
Jul Wholesale Trade Sept 9 1000/1400
Jul Pending Home Sales Sept 9 1000/1400
ABC/Wash Post Consumer Conf For Sep 7 Sept 9 1700/2100
Initial Jobless Claims For Sep 6 Week Sept 11 0830/1230
Jul Trade Balance Sept 11 0830/1230
Aug Import Prices Sept 11 0830/1230
DJ-BTMU Business Barometer For Aug 23 Sept 11 1000/1400
Aug Retail Sales Sept 12 0830/1230
Aug Retail Sales, Ex-Autos Sept 12 0830/1230
Aug Producer Price Index Sept 12 0830/1230
Aug PPI, Ex-Food & Energy Sept 12 0830/1230
Jul Business Inventories Sept 12 1000/1400
Mid-Sep Reuters/U Mich Sentiment Index Sept 12 1000/1400

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Nasdaq 100 Breaks Down from Triangles

The Nasdaq 100, arguably one of the strongest indexes since the March bottom, has broken down from symmetrical and descending triangles. Dogwood highlighted the developing triangle not too long ago. This is a bearish development, but I’m not convinced that now is the time to get short.

Actually, I’m going to establish one long position tomorrow. I’m looking for another bounce, of a few days length, soon.  I’m not telling anyone to go long here, unless you have a clearly defined exit for profit-taking and loss-accepting. As many have witnessed, the market has been de-banking many traders. The action has been brutal. I’m fairly sure that it is time to whipsaw some shorts for a little bit, before the NDX tests the March lows.

One thing that does have me concerned is today’s candle, and the last week or so leading up to it. If one will look at the chart above, and observe the action in late December and early January, I find it frighteningly similar to recent action. While I am positioning for some bounce action, it appears that a cliff-dive of epic proportions could be underway. Caution is definitely important here.

My only position over this past week has been [[SMN]] .

I have enjoyed watching this one position push my Covestor widget to a new YTD high. Keep in mind the account began trading on May 19th, 2008. If full disclosure is important, all of my trades in that account are available for review at Covestor.

I have been working on some short strategies, in order to get a good balance across the strategies I’m trading. I have mentioned it before, but I’ll say it again: Developing short strategies that work, is very difficult. I am curious if any traders out there would mind contributing their favorite indicator/oscillator for short entries, or would give a brief, preferably quantifiable description of their short setups. I would love to have some ideas to backtest. I will be happy to share the backtest results with anyone who contributes something that works.

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Buy the SPY? More System Trading for the Leeches

Alright folks. So you want the secret sauce? The je ne sais quoi? I will share with you a brand new system, which to my knowledge has never been published on the internets. The system is triggering an entry tomorrow. Feel free to erode the edge.

The Setup

The rules for this system require you to set your Chaikin Money Flow indicator to a 2 period setting. 

With a two period setting, CMF(2) needs to have crossed below -0.5 from above.

The [[SPY]]  must have closed above its 50 Day Moving Average.

If these 2 conditions are met, a buy of the SPY is triggered for the next open.

The Exit

Sell the position when RSI(2) closes above 80, or a stop is hit.

The Results

These results are with $10,000 per trade and an 8% stop. The stop was hit 3 times.

The green dots mean a new equity peak was hit.

Below is the equity curve for the strategy, without the 8% stop. Without the stop, the max trade drawdown hits -$1,175. However, the max drawdown is significantly less without a stop, at -$506.72 compared to      -$1304.41 with a stop.

And finally, here is what the setup looks like on the current SPY chart:


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Recent Trading Results from a New System

I am extremely torn, as I am very excited about this new system, and would love nothing more than to write all about it. I used to not worry so much about divulging strategies. In order for any edge to be eroded, many other traders would have to take the exact same signal and use the exact same exit strategies. I know from my limited experience with mechanical system trading that the system has to be closely matched to one’s personality, psychology, and risk profile, in order for him to trade the system successfully over a long time frame. So what are the chances that there are enough traders out there that will follow the system closely enough to erode the edge? I honestly do not know the answer.

And there is also the issue of scalability…This strategy may not be able to be traded by the hedge fund manager with 100 million in capital. So maybe I’m just paranoid, or over-cautious, in my secrecy.

What I do know is that I’m in this to become filthy rich, and not so much to brag, so why take any chances? And then there is the fact that 2 other traders have spent a significant amount of time helping to develop this system. Anyway, for these reasons, I will not divulge the strategy.

That being said, I do want to promote the idea of trading mechanical systems, to anyone who is interested. I have been making more money, and I am less stressed since I started trading almost 100% mechanically. When I wake up in the morning and see the futures up big or down large, I do not really care any more. If the trades stop out, who cares? I did not pick them, the system did!

There are other benefits, too. No more do I have to get frustrated after spending hours researching a trade, only to have the trade turn against me almost immediately. No more do I waste time considering when to sell a profitable position, and then kick myself for selling too early or too late.

What I find satisfaction in now is seeing a profitable system develop from infancy to implementation. It is especially nice when real profits start to roll in after looking at years of historic/hypothetical profits.

This system is being traded out of my Scottrade account, so I do not have the fancy graphics and reports that Tradestation generates. Here are the recent trades, without their symbols:

Symbol Date Entry Shares Cost Exit Date Proceeds  $ P/L % P/L Total P/L
XXX 13-Aug 52.08 75 3913 54.77 15-Aug 4100.75 187.75 4.80%
XXX 13-Aug 56.84 75 4270 56.61 15-Aug 4238.75 -31.25 -0.73%  
XXX 14-Aug 17.63 200 3533 18.115 15-Aug 3616 83 2.35%
XXX 14-Aug 28.13 150 4226.5 29.41 20-Aug 4404.5 178 4.21%
XXX 15-Aug 37.98 125 4754.5 37.74 26-Aug 4710.5 -44 -0.93%
XXX 19-Aug 40.23 125 5035.75 38.83 21-Aug 4846.75 -189 -3.75%
XXX 20-Aug 35 145 5082 35.65 26-Aug 5162.25 80.25 1.58%
XXX 20-Aug 44.94 110 4950.4 44.52 29-Aug 4890.2 -60.2 -1.22%
XXX 20-Aug 43.92 115 5057.8 44.56 26-Aug 5117.4 59.6 1.18%
XXX 20-Aug 31.89 150 4790.5 32.47 29-Aug 4863.5 73 1.52%
XXX 22-Aug 31.33 160 5019.8 32.59 26-Aug 5207.4 187.6 3.74%
XXX 22-Aug 32.96 150 4951 32.95 29-Aug 4935.5 -15.5 -0.31%
XXX 26-Aug 15.28 395 6042.6 15.94 28-Aug 6289.3 246.7 4.08%
XXX 27-Aug 33.24 180 5990.2 34.34 29-Aug 6174.2 184 3.07%  

Win percentage: 64.29%
Average Trade: $67.14
Average Trade %: 1.4%
Average Winner: $142.21
Average Loser: -$67.99

Commissions of $7 on each leg are included in the results.

Some thoughts about the results up to this point. First of all, two trades were botched. The loss I took on August 21st was from an erroneous entry of a sell-at-market order rather than a stop-loss order. The second error was made when I accidentally mis-typed the stop order amount, by one dollar. Of course, the stop was hit, and then I realized my typo. I did not really track the trades to see if they would have been gains or losses, had all the correct parameters been applied.

I started trading the system with smaller positions, with a stop loss on each trade of 6% from entry. This position sizing limited risk on each trade to about .35% of total equity. On the last two trades, I began ramping up risk to about .5% of total equity per trade. I will eventually settle in somewhere between 1-2% risk on each trade. Obviously, trading with 1% risk would have tripled the profits and losses above. That should provide a good idea about what kind of returns I’m expecting. CAGR in the backtested results is 47.35%, using 1% risk per trade. My current profits represent about 2.3% gain on the total account size, even though I was only fully invested for about 2 days out of the total period.

At $14 dollars per round trip, my commissions are about 21% of my profits. As I increase my position sizing and percent risk, percentage of profits relative to commissions will improve. Still, the ratio is too large, and the system will benefit tremendously by switching to a cheaper broker.

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SKF: High Probability Setup

I thought about giving this post the title of “Don’t Think; Buy SKF.” My superstitions got the better of me.

The facts are that this setup has appeared 15 times over the life of [[SKF]] . Had it been bought at the next market open following the setup, 12 of the trades would have been winners, for an 80% win rate. The rule has SKF sold the next market open after RSI(2) closes above 80.

Here are the stats from all the trades.

Each trade was 10,000 and a 10% stop was used. Note the average trade, both winning and losing, lasts about 5 days.

SKF is at a critical level here. If this trade fails, and SKF breaks support, it could get very ugly. A stop must be used.

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The Daily Breakout

After several days of no breakouts to speak of, today’s strength has created several picturesque charts.

The volume on the initial breakout in McAfee, Inc. [[MFE]] is impressive. The volume on today’s move is also notable.

Raven Industries, Inc. [[RAVN]]

Its all about the volume on Sapient Corporation [[SAPE]] .

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