Friday, June 11, 2010

RVS ES Daily Income begins a short position and SP500 system overview

Whether or not the markets require more work to resolve the dynamic of the last weeks...any upside follow through on monday will likely lead to some pullback. If that pullback were to become something more extreme it would not surprise me. However, as I indicated, and counter to many bearish views, until the swing systems take shorts, I am not looking for a major inflection point on the upside just yet. I have stated before that it would be uncharacteristic for the SP500 swing systems not to catch a big short if one were setting up. I stand by that view.

Below are the charts of what is happening with some primary systems I trust for market moving triggers. I've also included the trade for trade equity curves. The ES swing system dates back to the inception of the futures contracts and is capitalized with around 20,000$ per trade. Please understand that to trade this system $20,000 represents an allocation amount and therefore represents a portion of an account.

RVS ES Daily Income
Dufus of dufuses...I have this model programmed to trade reversals but had the capability turned off. That has been updated on the trade servers and is in the latest release - so we WILL get reversal trades in live trading starting Monday. Below is the chart with reversal trades enabled. Obviously, we missed a trade. Also, below is a P&L for this Income system since inception of the ES e-mini futures (1999) with 10% of the profits reinvested. Starting risk capital is around $25,000.

RVS ES Daily Swing
Below is the same system with 10% of the profits reinvested. Starting weighted risk capital is around $25,000 for both PL's. All trades end of day market-on-close.

RVS SSO Daily Swing

Market has a deep bid going on

If this is true then my previous right shoulder situation looks probable...given the demand for leveraged risk...this paints an interesting picture...RISK ON looks like its back for a little bit...could be a couple of weeks required to set this right shoulder...from my previous WEDNESDAY, JUNE 9, 2010 post: Click here to refer to it.

The market is not obligated to go up...but until the RVS daily swing systems take shorts...up or sideways is the path of least resistance near-term.

11:30 pm: I wanted to add one thing to this post...and that is  that what bothers me about this is that the buying demand for levered risk was just too strong/extreme. It was really strong and it has me wondering what's or who's motivating this move...though we can probably guess that JP and Goldman tax ad putting some that that fresh Fed/Government money to use. How surprising?

Oil Spill Propganda

June 10, 2010 - CBS marketwatch
Scientists studying how much crude BP PLC's blown oil well has poured into the Gulf of Mexico offered startlingly higher estimates Thursday than those noted earlier, perhaps topping 40,000 barrels a day.
 June 6, 2010 - New York Times
Government estimates put the daily flow rate at 12,000 to 19,000 barrels (or 840,000 to 798,000 gallons).
May 29, 2010  - m3 Financial Analysis
Maybe the US press can continue to promote the 5,000 barrels a day theory regarding our oil spill while suppressing professional testimony several weeks ago that suggests its more like 95,000 barrels a day. I wonder how many other facts are being managed... 
May 21, 2010 - m3 Financial Analysis /The Real News
Click for video regarding the oil spill in the gulf if you do not see it below its not 5,000 barrels a day leaking from the spill in the Gulf its 95,000. That's quite a big difference...I have not seen anything of that sort being discussed in the press.  
May 12, 2010 - New York Times
Two weeks ago, the government put out a round estimate of the size of the oil leak in the Gulf of Mexico: 5,000 barrels a day.
The figure of 5,000 barrels a day was hastily produced by government scientists in Seattle.
May 2010 - BP, General Media and Government
The flow rate at about 5,000 barrels, or 210,000 gallons, a day.
The reality just like Bernake and Obama etal think that by stretching lies out over an extended period of time they create a manageable lie and people do not notice...well, that is the approach with the BP distaster and not just from BP but with the specific assistance and manipulation of the media by the special interests and government...does this remind you of anything?

Wednesday, June 9, 2010

SPY is currently trading cheap and leverage is expensive

People are paying a premium to go leveraged long right now...

ES 1 minute HLA back for nearly a year...

Its not usual for me to post just an equity curve...but I thought that given that this shows the robustness of the HLA through different and crazy markets I would post it. This is the ES (SP500 futures model that I will be implementing in production as soon as multicharts has release the newest update). The PL incorporates no reinvestment of profits and an average allocation of 30,000$ per trade. Account requirement is roughly 125,000 to 150,000$ to trade this monster. When using trade reticulation for risk, size and slippage management the results are significantly better (double actually) but this represents the pure trading decisions for about 10 months of 1 minute data. The data is 1 minute data from the GLOBEX session going back to the summer of 2009 on ES. Ironically, the crash months were the best for this model and May this year was just exceptional. The system represents a huge and extremely deep market with in which to operate large size trades...and with trade reticulation our operation is one even knows we are there. I will post more about the reticulation trading methods soon.

Market update

I would like to reiterate the status of the market is BIAS SHORT. However, we are at major support levels, if they hold then the systems are setup to short a significant bounce. That bounce, ironically would be a right shoulder. I am watching these daily swing systems closely. I believe that when they call the short it will be  doozey...I will post that short when it are the charts for your reference.

I would like to point out that for some reason in the trade stats...I lost the margin requirements therefore the position sizes are not reflected correctly....meaning avgSize and minSize and maxSize...all else is correct. I have included a chart which reflect the system stats correctly below. Click on it for a detailed view.

Monday, June 7, 2010


What's the purpose of posts like this one? (referring to my post: EURO 1 minute HLA no losing trades at all today...What are you selling? Yourself? Your system? You mix some really interesting posts with stuff like this...are you trying to establish some credibility with it? - Anonymous
I would like to thank Anonymous for posting this question. First, I would like to suggest that you read my here. Second, I would like to tie things together.

A most interesting thing has happened repeatedly in my life, and I think it relates to music (if you do not know I am a pianist and composer) and to trading. When you absolutely need to perform, you just absolutely definitely have to perform - you don't. You underperform. When you absolutely need that winning trade your mind is too wound up in getting it to let things go somewhere else than you are looking. For me, hoarding my systems was a past-time. I shared next to nothing and, in my opinion, my work suffered because of the inherent conflicts that self destructive, introverted and selfish behaviour can facilitate. On the other hand, if you follow the markets or a performance where they need to go, they become interesting and take to you new places and opportunities. My expression and openness about my work encompasses that view and goal.  I am not trying to sell - as it is, I have enough interest in the technology I have licensed to hedgefunds and institutions and additionally, I have the MQ38 project that is rapidly building its momentum.

I have consistently found that risking doing the opposite of what you think you REALLY should be doing is an interesting and productive journey at the least and often the exact right thing to do. This attitude has definitely impacted me and definitely for the better.

This brings me to another point, I do have quite a few clients and they want to know what's going on. I do run systems on behalf of these clients and they look at my posts here with a fine tooth comb and check the posted trades vs actual trades in their books or seek to understand new innovations I am working on. I get a lot of feedback from them because of my posts. Additionally, I like the fact that people are checking on me and yes I do I think there is a credibility element that is gained when you do post things that have occurred in peoples trading books and that have to stand up to the light of day type smell test.

Also, publicly displaying this stuff might just be an inspiration or influence on someone who may just need it. When I was struggling to get to this level, I certainly appreciated any bit of inspiration I could get. Perhaps, some of my work is a motivator for others.

Though I am not egocentric about my work, (I tend to believe that I am mostly fortunate to be standing where I am when some good idea happens and fortunate to be a part of it) I am rather proud of my work and am constantly looking for ways to improve and evolve. My blog is an integral part of the expression and evolution of all those things.

Oil and Politics...alive and well in the gulf

EURO 1 minute HLA no losing trades at all today...

We used around $100,000 for the largest trade today in this account and returned 10% on the max captial required intraday. The system on a trade basis meaning after fully closing all the trades had not one losing trade. There are losing entires, but I am concerned with my overall position price relative to the overall exit price. We are currently trading 300 contracts in this system. This is an actual live system that ran today with 100K however. The return since yesterday evening, the start of the trading week, is roughly $11,000. after expenses.

Sunday, June 6, 2010

Fake Jobs numbers...what else is new?

Dubai in Decline

Anyone who would even think to build all these monstrosities is nuts. Clearly the government and banks are all nuts too they approved all this crap...and there are the stats according to the developer:

Here are a few stats from Dubai Properties, the overall developer of the project:

- Every day between 10,000 and 14,000 people "walk The Walk"
- The 36 towers of residential apartments are "78 per cent occupied"
- Out of 305 retail spaces, there are 290 stores 
What they don't tell you is that they are losing their shirts on every transaction...36 Towers wow! That's a lot of towers to lose money on. This is one hell of a top for the world I think. People have simply lost it!
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