Strategy Results for the Week

It was another difficult period to be buying strength, yet the strategy turned out another profitable week. It did register the first loss since May 19th, yet it was very small. I was uncomfortable being long, and therefore took half positions. I also closed out the trades early due to going out of town, and my overwhelming sense that the markets were going to tank. Obviously it turned out to be the right move to make. Had I not closed the trades out early, they would have stopped out for losses.

It is easy to see from charts that mean-reversion strategies will get killed during a significant market move one direction or the other. I am well aware of that reality and am glad that I used my override to ensure I did not stay long into a free fall.

TradeStation Performance Summary
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Â	All Trades	Long Trades	Short Trades
Total Net Profit	$87.99	$87.99	$0.00
Gross Profit	$155.39	$155.39	$0.00
Gross Loss	($67.40)	($67.40)	$0.00
Profit Factor	2.31	2.31	n/a
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Open Position P/L	$0.00	$0.00	$0.00
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Adjusted Total Net Profit	($69.55)	($69.55)	$0.00
Adjusted Gross Profit	$45.51	$45.51	$0.00
Adjusted Gross Loss	($115.06)	($115.06)	$0.00
Adjusted Profit Factor	0.40	0.40	n/a
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Total Number of Trades	4	4	0
Percent Profitable	50.00%	50.00%	0.00%
Winning Trades	2	2	0
Losing Trades	2	2	0
Even Trades	0	0	0
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Avg. Trade Net Profit	$22.00	$22.00	$0.00
Avg. Winning Trade	$77.70	$77.70	$0.00
Avg. Losing Trade	($33.70)	($33.70)	$0.00
Ratio Avg. Win:Avg. Loss	2.31	2.31	n/a
Largest Winning Trade	$140.00	$140.00	$0.00
Largest Losing Trade	($51.18)	($51.18)	$0.00
Largest Winner as % of Gross Profit	90.10%	90.10%	n/a
Largest Loser as % of Gross Loss	75.93%	75.93%	n/a
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Net Profit as % of Largest Loss	171.92%	171.92%	n/a
Select Net Profit as % of Largest Loss	171.92%	171.92%	n/a
Adjusted Net Profit as % of Largest Loss	(135.89%)	(135.89%)	n/a
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Max. Consecutive Winning Trades	2	2	0
Max. Consecutive Losing Trades	2	2	0
Avg. Bars in Total Trades	3.25	3.25	0.00
Avg. Bars in Winning Trades	3.00	3.00	0.00
Avg. Bars in Losing Trades	3.50	3.50	0.00
Avg. Bars in Even Trades	0.00	0.00	0.00
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Max. Shares/Contracts Held	n/a	n/a	n/a
Total Shares/Contracts Held	179	179	0
Account Size Required	n/a	n/a	n/a
Total Slippage	$0.00	$0.00	$0.00
Total Commission	$7.00	$7.00	$0.00
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Return on Initial Capital	0.18%	Â	Â
Annual Rate of Return	12.53%	Â	Â
Buy & Hold Return	0.34%	Â	Â
Return on Account	n/a	Â	Â
Avg. Monthly Return	$87.99	Â	Â
Std. Deviation of Monthly Return	n/a	Â	Â
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Return Retracement Ratio	n/a	Â	Â
RINA Index	n/a	Â	Â
Sharpe Ratio	n/a	Â	Â
K-Ratio	n/a	Â	Â
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Trading Period	5 Dys, 2 Hrs, 59 Mins
Percent of Time in the Market	98.58%	Â	Â
Time in the Market	5 Dys, 1 Hr, 14 Mins	Â	Â
Longest Flat Period	n/a	Â	Â
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Max. Equity Run-up(Daily)	$208.44	Â	Â
Date of Max. Equity Run-up	06/25/08 16:15	Â	Â
Max. Equity Run-up as % of Initial Capital	0.42%	Â	Â
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Max. Drawdown(Daily) Â
Value	($120.45)	($120.45)	$0.00
Date	06/24/08 16:15	Â	Â
as % of Initial Capital	0.24%	0.24%	0.00%
Net Profit as % of Drawdown	73.05%	73.05%	n/a
Select Net Profit as % of Drawdown	73.05%	73.05%	n/a
Adjusted Net Profit as % of Drawdown	(57.74%)	(57.74%)	n/a
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Max. Drawdown(Trade Close) Â
Value	($67.40)	($67.40)	$0.00
Date	06/25/08 14:29	Â	Â
as % of Initial Capital	0.13%	0.13%	0.00%
Net Profit as % of Drawdown	130.55%	130.55%	n/a
Select Net Profit as % of Drawdown	130.55%	130.55%	n/a
Adjusted Net Profit as % of Drawdown	(103.18%)	(103.18%)	n/a
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Max. Trade Drawdown	($120.52)	($120.52)	$0.00
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Due to Fly’s egregious decision to sell me short, I decided I had better update the blog to reflect that I am on vacation. I have internet access through Wednesday, but will be incommunicado Thursday through Sunday morning.

In the strategy account I am long [[QLD]], [[SSO]], [[DDM]].

In my account that has a longer time horizon, I am long [[DXD]], [[QID]], [[RIG]], [[SLB]], [[CRR]], and [[STLD]]. I also have puts on the Qs.

Everything has stops on.

I might have time for another post or two before losing communcations, but if not, good trading to everyone.

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The [[SPY]] is hitting the lower boundary of a downward sloping channel. A break lower beneath the channel line will change the current, rather benign downtrend into something decidely more serious.

Of course, my money is already bet on a bounce from here. A run to the upper channel line would be nice, but I am doubtful that the index will muster the strength for such a move.

The [[DIA]] may have already broken beneath its lower channel line, but I have drawn the lower channel line to the lowest low. If one goes back to the low of 6 days ago, and draws the line through it, Friday’s action looks like a break. Regardless, the Dow Jones’s slope is getting steeper. Note the bullish divergence in the MACD. Like the SPY, my bet is on a short bounce from here.

The Q’s are rolling over and look to me like a great opportunity for shorting. From here, if the ETF only retraces 3 points of its move to the lows at 41.00, I’ve made 6%. Still, if 47 holds for another few days, the [[QQQQ]] may offer a better short entry.

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Only two strategy trades placed this week. The trades are still open.

P/L for the week is ($62.61)

Results since Inception

Return on Initial Capital: 4.37%

Annual Rate of Return: 48.39%

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Not a trade for the faint of heart.

1/2 positions in both.

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Let’s see if any of this momo can continue through today…

[[EV]] Eaton Vance Corp., through its subsidiaries, engages in the creation, marketing, and management of investment funds in the United States. It also provides investment management and counseling services to institutions and individuals. Note the Golden Cross

[[JWA]] John Wiley & Sons, Inc., together with its subsidiaries, engages in publishing print and electronic products providing content to professionals, consumers, researchers, students, and educators. I believe this is the publisher that produces all the trading and investing books.

[[SDXC]] Switch & Data Facilities Company, Inc. provides colocation and network neutral interconnection services primarily to Internet dependent businesses in the United States.

Be careful here as this one looks due for a pullback.

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[[AP]] Ampco-Pittsburgh Corporation and its subsidiaries engage in the manufacture and sale of custom-engineered equipment in the United States and internationally

[[STLD]] Steel Dynamics, Inc., together with its subsidiaries, engages in the manufacture and sale of steel products in the United States.

I really like how this stock is just hanging around the pivot point, on declining volume. All signals are saying go.

[[MEOH]] Methanex Corporation engages in the production, marketing, supply, and distribution of methanol.

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