Saturday, August 7, 2010

RVS System Reference Performance Data for major index futures

For reference, below are a few of primary trading m3 vehicles and their performance analysis and allocation mapping. The systems are based on $100,000 max trade size though we are trading them with very large allocations. These systems are designed to trade very large position sizes without negative effects from slippage or prohibitive execution costs. We have factored excessive slippage and execution costs into the performance results for these systems with almost indiscernible effects on the final results - this is due not only to the high win rates but also the high win dollar ratios and high point gains of the trades. For example, the average win on the ES Swing System is nearly 25 ES points. Factoring 2 to 3 points of slippage (which is highly improbable for this market) does not impact the system's ability to trade profitably nor does  factoring in transaction costs of $20 per contract impact the systems ability to trade profitably.

The SSO Swing system for example uses an average trade size of $29,600. This same system runs with 94% accuracy on the SPY since its inception nearly 20 years ago. We will be enhancing the reports and updating them monthly as the new performance data is generated. These links will remain valid will automatically update to reflect the incoming data as it is added.

Thursday, August 5, 2010

World ending and recovering...which one is it?


The chart affirms my previous statements...the 10 year treasury hit highs in 2008 on sheer panic. It has traded very technically and just broke out over a cycle - this puts it in trend mode if that 121 22/32 holds. But what the market is not reflecting is panic. What we are seeing is de-leveraging. Expect de-leveraging to continue and make market dynamics to continue to be unpredictable. 

Why not rally on terrible jobs data based on clearly fraudulent/optimistically biased government statistics published at the most optimistic values possible and constantly revised downward, GDP, ISM, Jobs, Housing - you name it and the government is publishing the best numbers they can imagine and subsequently revising them down for several months or quarters thereafter. Notice they never understate any numbers and subsequently revise them upwards. The numbers are singularly too optimistic...everytime. This kind of consistent distortion has all the probabilities of 4 major banks not having a single losing trading day in 63 trading days without priority dealings involved.

The distortion is a coordinated effort. Coordinated by whom? By the same guys who think Maiden Lane Holdings portfolio of bankrupt Bear Stearns hotel assets can be marked as worth 67 billion dollars - fully 6 billion higher than the initial overstated number they say it was worth when they took the assets on. JP Morgan would have nothing to do with these assets and many of them are in receivership, yet the regulator is totally fine overstating their values...who is directing the charade? The fed of course...and Obama and congress are all beholden to these guys...

The same authenticity being applied to data is currently being applied to market prices...I mean non-market prices (not to mention OpEd pieces). It is not making things better either.

Wednesday, August 4, 2010

Congressional Relief...

"No man's life, liberty, or property are safe while the legislature is in session." - Mark Twain
Congress is going to go on break...market dislocations and decorrelations are testing peoples reserve to the max...the bankruptcies (deleveraging) on both sides of the trade are continuing...get ready for a free for all!

11:30 pm: I wanted to add that the free for all to me means more deleveraging...so, we need to expect shorts to pushed violently into submission and longs to be sorely hammered thereafter...I think most people are going to fail the trade...shorts will be broke prior to the short and longs will not have time to get out.

In any case, the 30 year bond is trading near the 2008 highs...and has barely pulled back...It is also in a trend mode break out if support at 126 holds. Overall, this is highly unusual behavior and is an example of the issues I have repeatedly stated with pair trading, correlation or arb trading. People who think treasuries rally when the equities go down and sell off when the equities rally are using selective historical information and are getting hammered. We had the same issue with Gold versus the Dollar index last month and the EURO vs equities at the beginning of the year to name just a few. These are examples of disorderly de-leveraging and I do not think that they will result in a pretty picture when the process in each security is fulfilled. $50 billion in retail investor money has come out of the equity market while it has been at fairly high levels. Most of these people have not made back what they lost...so why are they selling? Delveraging would be the right answer...people need to convert their assets into cash and reduce their exposure to economic stress so they can buy dinner and pay bills. That ultimately means anything not glued down will be sold it does not matter if the Fed and their buddies want to levitate prices. For now, we can see it demonstrated in these correlation blowups that are taking people out on stretchers.

Still alive...

Well, I am still alive...I have been working on a very sophisticated release that is now finally in UAT mode after months and months of work. So, I have been totally overwhelmed. Additionally, there have been no market events that have played out unexpectedly so far, so not much to update there. We are still long the hedges that were put on relative to our short futures trades. I will post when we close that position and am also working on a post regarding this type of trading and its psychological basis, foundations and potential.

The market is indeed interesting here...Bonds screaming deflation. In fact, I see the Bonds Up/Sock Market up - bond/equity arb blow up as a major influence on the market dynamics right now. Correllations are either extremely tight or breaking down...these are natural symptoms of de leveraging but very unnatural to trade and difficult to accept. While all this is happening Geithner is now writing Op-Ed marketing pieces for his screenplays in the New York Times and Bernake apparently is getting into the hedge fund business properly by planning entities to purchase worthless assets and mark them fraudulently until he can figure out how to compensate for the 40% drop in the volume in money over the last year. Stimulus is creating lots of new street building projects we don't need and paying unions that we also don't need while disrupting already fragile businesses on the streets that did not really require the work to begin with. That is happening all over miami...Obama and company just get it right everytime. Good thing Obama works for Bernake...What a bunch of losers these guys are.

All interesting stuff and interesting times.

I am working a few new feature posts...so, be patient with me. One of the things that I like about trading swing systems is that you get breaks in between the trades and I have tried to use this last one to force this release into fruition. it is surprisingly difficult to concentrate fully when you have large positions on as we did in July...I was relaxed but the size of the trades was larger last month than usual which was certainly interesting. So. I apologize for my lack of posts the last few days, however, I have not had many free cycles left...and I am handicapped because I am not blessed with very many cycles to begin with. ;-)

Tuesday, August 3, 2010

 
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