Friday, 25 May 2012

There's been some tumbleweed blowing through this way of late.

I've been backtesting a different trading strategy, looking at data from 1st Jan to 11th May this year.  It's using a combination of two indicators I developed, working together, each acting as a filter for the other.

Trading strategy II

At first, I wasn't particularly impressed with this, on the other hand, based on the period studied, it looks consistent, and that's a useful trait if that replicates when I trade it.

What I also looked at, was the relationship between the results and the time each signal was given.  In order to test this I reordered the signals given from the data range, to list signals in time order during the day, then charted them.  So each subsequent signal of the next chart occured at a time later on during any given trading day.

Trading strategy II (Signals sorted by time - earliest first)

Signals from 7 to 45 represent 2pm to 4pm (UK time), and are clearly more favourable then after 4 pm.  After 4pm the signals become less consistent.

What I also did was to look at previous test data for the previous trading strategy in exactly the same way, to see if the same type of result would be found (signals occuring between 2pm and 4pm (UK time) providing more favourable trading results);
Trading strategy I (Signals sorted by time - earliest first)

Broadly the same pattern is found, signals 5 to 43 represent 2pm to 5pm, so again the US morning session provides the most favourable period to trade, based on both strategies.

I start trading Strategy II from next week, although trading may be sporadic since I'll be married by then and may have to pay some attention to my newly minted wife.

Monday, 21 May 2012

It's champagne all round on monday, Ms PositiveDeviant and I are getting married!

Friday, 11 May 2012

Orange Juice


The last 3 years.  From the high of $226.95 on 23rd January OJ has crashed down to as low as $112.3, more than a 50% decline.

Sentiment is desolate;

Chart from


You may need to stay that way, a search of an ETF database didn't release any juice.  Still, there's always futures...

How things change, I bookmarked this article back in January;

Excerpt from Telegraph;

"Orange juice will soon be 'luxury'

Orange and apple juice, an integral part of many people's breakfast, could    become an unaffordable "luxury", according to a report, which    highlights how the price of fruit juice has rocketed.  
                                                                                                                                                                                                                                                                                                         The price of orange juice has more than doubled on the commodity markets Photo: Fran Stothard / SWNS.COM                                                                                                                                                                                                                                                                 A series of bad harvests from Florida, America to Shandong Province, China,    combined with increased demand from Asian countries, has forced up the price    of orange and apple juice on the world market. Supermarkets have started to    react in Britain by pushing up the price of a carton of juice.

  The Grocer, the industry trade magazine, reported prices are set to    climb even higher making most juices a "luxury".

  Experts predicted factory prices could rise by as much as 80 per cent for    orange juice and 60 per cent for apple juice in 2011.

  This would place further pressure on retailers to increase the price of orange    and apple juices on shop shelves even though they have already gone up    sharply. Over the past year, the price of a one-litre carton of Tropicana    fresh orange juice across the five major supermarket chains has risen 22 per    cent, from an average of £1.80 to an average of £2.19, while a one-litre    carton of own-label apple juice from concentrate has gone up an average of    21 per cent, from 87p a year ago to £1.05 now.

  Fruit juices are just the latest key household staple to be hit by the spike    in global commodity prices, which has affected everything from a litre of    unleaded petrol to a loaf of bread.

      The Office for National Statistics has calculated that inflation, based on the    Consumer Prices Index, increased from 3.3 per cent in November to 3.7 per    cent in December, with food prices driving much of this jump. Food increased    in price by 6.1 per cent during last year, with butter, fruit, lamb, tea and    juices particularly badly hit.

  Orange juice has been particularly affected by the bitterly cold winter in    Florida last year, the main orange growing area in the world and which at    one point was colder than Alaska. Cold weather in China, too, wiped out 40    per cent of the apple harvest in some parts of the country. China has become    one of the main producers of apples in the world.

  Richard Hall, chairman of food consultancy Zenith International, said orange    and apple juice producers were already the world's largest, most efficient    juice producers, so there was little room for them to absorb cost increases.

   "Pricing for orange and apple juice this year could see the most radical    change," he said.

  Adam Pritchard, chief executive of drinks maker Pomegreat, which makes    pomegranate and other juices, said costs had gone up 40 per cent and his    company would have to pass on about 10 per cent increase.

   "Part of the problem is the upward shift in demand from places such as    China and India, who are spending more money on expensive drinks. This is    putting pressure on the world markets."

Wednesday, 9 May 2012

Very interesting set up looking at the Fib retracement ratios, I'm only testing this out using sim trading at the moment but it allowed me to short at the high today;

Entry on the NASDAQ;

There was a 1.618 retracement of the move lower, that culminated in the completion of a bearish butterfly pattern;

I'd also started looking at these patterns on the dollar index at the same time;

I've highlighted the equivalent point in time on the dollar index chart.  What was interesting was that at the completion point for the butterfly, (point D where I entered the trade), the dollar index was at a point where two 1.618 retracements converged, along with two 0.886 retracements.  All of these happening at the same time led to the decision to short.

This is approach worth researching further, looking for key retracement levels on the NASDAQ and Dollar Index at the same time.

The great thing about this is that my time can be spent monitoring how the market is developing, looking at the retracement ratios for rational entries, since all of these lines and ratios are automatically calculated and drawn by the system.

Thursday, 3 May 2012

Currently in the middle of backtesting another strategy, in the meantime I'm also looking at whether I could incorporate some of Pesavento's patterns into my trading;

Here's one I made earlier, I've highlighted the Gartley.  I may test this for a while on sim.