Two trades today, 1 win, 1 loss for a gain of 40 per contract

DJIA futures


4 trades today, 2 wins, 2 losses for a gain of 80 per contract.

So at the weekend I finished an analysis of trading signals over a 3 month period, using data from two different providers. The technique shows a positive expectancy that looks worth pursuing. What I intend to do is test it using a SIM account in order to check if the results from the backtest are replicated in live testing.

Interestingly the best results come by having a profit target that is only 67% greater than the amount risked per trade.

The ideal scenario is that this is done over a clean consistent period of months however we are off on holiday to the Côte d'Azur for 18 days in August so it may well be that I need to extend the testing period to be sure to arrive at a statistically valid result.

So I started with the live testing yesterday;

I will be trading the strategy using DJIA futures.

I will be annotating 1 chart per day traded, with all trades.

3 trades on 29th July, 2 wins and one loss for a gain of 140 per contract.

Short yesterday on NASDAQ futures for an 8 point gain;

Unfortunately I've not been trading much lately due to work.

Went long Dow Jones futures at 17:37;



Market rallied and retraced a couple of times before rallying higher, closed out for a 20 point gain.



Oh and by the way, happy Fibonacci day to my american friends!  050813

The monk

Picture of disagreement

Similar picture of disagreement between the primary stock index futures;

Discretionary trading

It's been a while since I've traded intraday, I seem to be pretty busy but know that I need to make time for it.

I haven't settled on a strategy per se, so in the meantime I'm going to see if I can carve out a style all of my own, using a discretionary approach, something I've not really tried before...

I'll be doing this on a SIM account for now.

Earlier looking at NASDAQ futures compared to EUR/USD, AUD/JPY and AUD/USD some divergence appeared suggesting a potential turn down;

1 month timeframe chart


The divergence on the above chart suggested focusing on the downside.

Looking at the intraday chart for NASDAQ futures, I went short on a trendline break at 2868.  The NASDAQ was also weakening relative to DOW 30 futures;


The market sold off 5 points, I closed the position.  The market rallied to another area that I felt may offer resistance at 2867, and was rejected by the next trendline therefore I went short again, the market sold off another 5 points before I closed the position. 

Up 10 points for the day.

Our perceptive friend, Peter Campbell over at M3 Financial Blog, posted this;


"Everything is MORE Wronger…here is another time this happened...
VIX UP
Bonds Up
Dollar Up
Market Flat or Up and near highs




Are we going way back to 2008?

More on Median Line analysis;

Dow Jones futures big picture, large structure going back to July last year;


And closer, showing recent bounce off median line;



Meanwhile Peter Campbell of M3 financial sensethinks today's action has set a trap;

Statistics

I've just signed up for a introductory course on descriptive statistics offered by UC Berkeley via a www.edx.org, from the website;



"ABOUT edX

EdX is a not-for-profit enterprise of its founding partners Harvard University and the Massachusetts Institute of Technology that features learning designed specifically for interactive study via the web. Based on a long history of collaboration and their shared educational missions, the founders are creating a new online-learning experience with online courses that reflect their disciplinary breadth. Along with offering online courses, the institutions will use edX to research how students learn and how technology can transform learning–both on-campus and worldwide. Anant Agarwal, former Director of MIT's Computer Science and Artificial Intelligence Laboratory, serves as the first president of edX. EdX's goals combine the desire to reach out to students of all ages, means, and nations, and to deliver these teachings from a faculty who reflect the diversity of its audience. EdX is based in Cambridge, Massachusetts and is governed by MIT and Harvard."

It's the first part of a 3 part course that initially goes into regression, standard deviation, scatter diagrams, and my goal here is to be able to pick up some techniques to be able to assess data (ie results from trading) in a scientific way that will lead to meaningful conclusions.

There are quite an eclectic mix of courses offered - you can check them out athttps://www.edx.org/courses. 

Andrew's pitchfork

Yesterday I started looking at a different type of analysis work that gives structure and context to a market, its called median line and involves using Andrews pitchforks and looks very interesting indeed. Indeed I noted what looked like a good position to short, 6 am yesterday then had other plans for the day and later saw it was an excellent point to have shorted equity markets.


NASDAQ futures 


Interestingly it meshes well with another type of analysis I do that compares equity markets to currency markets.

Highly intriguing for the positively deviant. 

Pairs trading strategy - nil point

I finished an assessment of my futures pairs trading strategy, not only does it just show a minimal edge but there was also a flaw in the construction in the indicator, (this probably explains the minimal edge). When the indicator was reconfigured with the correct formula, the amount of trade signals given was very low, so I've put that strategy on the shelf for now, I may come back to it at some point.

I've been on a bit of a mission lately upgrading my system to make it run at it's best.  I started upgrading the 4GB memory to 8GB and that did speed things up a bit however the machine was running in 32 bit, rather than 64-bit and I only had Windows Home Premium 32-bit (however my processor is 64-bit).  So I got Windows Ultimate 64-bit and a 160GB solid state drive, backed up all my important data, installed the Solid State Drive,  set about re-installing Windows, then upgraded to the latest 64-bit version of Multicharts.  

What a fantastic difference it made upgrading to 64-bit and getting the Solid State Drive.  It now runs as a computer should, silently, no hard drive access sounds.  It's very quick, you start an application it starts up very quickly.  For example in iTunes if you double click a song it plays immediately.  It's essentially like I have a completely new machine, and I only spent a few hundred pounds.

Multicharts, (trading system) starts up quicker and allows me to interrogate data/charts so much quicker. 

Siming

Another profitable trade on SIM, I went long the NASDAQ DOW futures spread;


I previously always scoffed at using a SIM account, always trading my live account, and only ever used the SIM to try out the occasional new idea or order type, I never took the SIM seriously.  As a result the balance in the SIM account was steadily depreciating however now it is steadily appreciating it does appear to be pretty useful, when it's used properly.  If I can see consistency here I'll switch back to trading my actual account.

Over the next few days I'll be trialing a new idea I have for trading futures spreads, so far it looks interesting.  At the weekend I'll go back over 100 days to check consistency.


There were a couple of trades yesterday (both SIM) and both were good trades;

Up and down

NASDAQ 100 futures on top and Dow Jones futures below (with the value weighted spread in the middle)


Shorted the NASDAQ 100 Dow Jones spread again today, the trend was down.  Typical quiet Friday trading - not much - took a small profit before the close.

Does everyone understand what I'm doing here?  Red/Green marker on futures charts (black/white candles) indicates going short/long the future.  Whereas the chart in the middle, the black line is the spread between the two.  Red marker on that indicates selling the spread, green marker indicates buying it.

NASDAQ 100 futures on top and Dow Jones futures below


The NASDAQ was going up in a strong trend, I thought it would crack before the close, accentuating the difference in performance for the day between the NASDAQ 100 and Dow Jones futures.

Got into this at 5.30pm and although the spread fluctuated back and forth it didn't continue lower as per earlier in the day, got out before the close for a flat trade.  This is a new type of trading I'm exploring where I'm not using stops close to the price.  I do have stops but they are 50 - 100 points away from the price of each future, and are simply in place in case I get a power outage / phone lines go down etc.

Although the trendline was broken in the NASDAQ it wasn't in any meaningful way therefore this trade didn't act in the way I thought it might. 

Running!

Thats me covered over 4000 kilometres now, having ran 12K earlier this evening;



That's the equivalent of running from Brisbane on the east coast of Australia over to the west coast of Australia.