Thursday, May 31, 2012

Both systems hold...

Both systems will remain out of phase, with the JTSystem holding the long position and the CCI remaining short.

This keeps me on the sidelines... Made some good progress on updated CCI system today.

Take care!

May Sigs...

J-T System
CCI System
Apr 25 HoldShort57.70
Apr 26 ShortHold59.21
May 1
May 2
May 3
May 4
Buy #2
May 7
May 8
Half StopHold53.93
May 9
May 10
May 11
May 14 HoldHold
May 15
May 16
May 17
May 18
May 21
May 22
May 23
May 24
May 25
May 28
May 29
May 30
May 31

Tuesday, May 29, 2012

CCI update...

There are several members who are eagerly awaiting a thorough CCI post, complete with stats and strategies. This post will be the first in a series of CCI updates over the next several days... I just wanted to bring you up to speed with what I've been working on these past few weeks. I want the CCI system to kick serious butt, however as I've been pouring over these stats, all I see is a system that is heavily biased toward mean reversion and can get absolutely crushed in an irrational, trending market. It doesn't happen often, but once or twice a year (each and every year like clockwork) the system will take a major beat-down and it spends the rest of the time booking solid gains to get back to even or better. So while it's true the winning rate is just under 90%, the 10% worth of losing trades were capital killers. I've been wresting with how to manage those scenarios and minimize losses. The short signals were particularly risky. I've looked at several different techniques. The first one I considered was averaging in on a position. Not bad... The second technique involved stop losses. (For those that don't know, I hate stop losses.) This method definitely minimized losses, but left way too much profit on the table. After more testing and deliberating, I think I've come up with the perfect solution with no need for stop losses and no need to average into a position. The best part is that it incorporates the trend into the equation.

Here is how it will work. I will use a CCI moving average (currently set at 21, but it may change depending on current testing) to determine whether the market is uptrending or downtrending, depending of course whether the 21ma line is above or below zero respectively. The day it flips from positive to negative or vice versa, the system will initiate a 50% position in the direction of the flip and hold that position until it flips the other way. The other 50% will follow the signals generated by the system, which again tends toward mean reversion. This will minimize risk and maximize profits, particularly in a trending market. I hope to have this finished prior to June 1st, at which time we will switch to the new methodology. I'm still in testing mode, so I don't have too much else to report today. More tomorrow, hopefully. Thanks for you continued patience with this new system. Feel free to post your thoughts.

Double Short...

Both systems are moving to short signals today. The JT System sells the long position (finally) and goes 100% short TNA. CCI also takes a 100% short position using TNA. Thanks!

Friday, May 25, 2012

CCI Sell.

Jtsystem is a hold signal. Cci moves to a sell and goes to cash. Have a good weekend! See ya tues.

As I mentioned yesterday, today is a key day for both systems. First off, and this really has no bearing on the current Jtrader position, but the system could flip to healthy mode if SPY closes green today. I doubt it gives a sell signal, but I'm not sure at this point.

Meanwhile, the CCI system is probably going to give a sell signal today. (It is not quite giving a short signal.) All that has to happen for the sell signal is for the white line CCI(14) to close above its 21-day moving average. Right now, it is... I will return later with the official signals.

Thursday, May 24, 2012

Hold confirmed.

Nothing new today with either system. They both remain long with hold signals. Tomorrow will be a key day for both systems, which I will detail later today or possibly tomorrow. See ya then!

Wednesday, May 23, 2012

Hold confirmed.

What a trip. Down ~20 SPX points to positive territory? This market's wacky... is that usually a good thing? Probably not. Regardless, both systems are holding the long position yet again. Good luck to us... Take care.

Tuesday, May 22, 2012

Hold confirmed.

Both models once again are generating hold signals, keeping them 100% long. Not the most ideal intraday action today, but another push up is still expected.

Monday, May 21, 2012

Holding longs...

Both systems will continue to hold the long position. I am now fairly certain of 2 things at this point. 1) The rebound is not done yet. I expect TNA to hit ~50 within the week. 2) The low Friday will be revisited sometime in the next 2 weeks.

Take care and thanks!

Sunday, May 20, 2012

Draw down...

First off, please pardon my absence this weekend - it was a hectic weekend. Also, Friday afternoon found me on-the-go once again with spotty internet access. I was surprised my tweet actually transmitted. Anyway, I'm back now and recharged to battle this coming week. Some may be losing (or completely lost?!?) faith in my systems and I'm fine with that, but don't lose faith in me. I am here for the long haul and have no intentions of hiding when things don't go my way. Yes, this draw down sucks hard but better times are on the horizon. They have to be. All traders need to keep the hope that their trading techniques or systems will perform as desired. Without hope, what do we have?

Tonight as I'm reflecting on the lackluster (to say the least) performance of my system lately, I'm trying to stay positive by reminding myself how it performed following the melt-down in August. For those that weren't here or haven't looked at the 2011 stats page, it performed brilliantly...almost flawlessly. I'm not really expecting to see that kind of performance again, but I'm hoping for the best. In the meantime I've relaxing with a cold Yuengling in one hand and bottle of room temperature Merlot on standby. :) Stay well and I'll see you back here tomorrow.

Thursday, May 17, 2012

Hold confirmed.

Great, so it is August all over again... Both models remain on hold signals.

Wednesday, May 16, 2012

Hold confirmed.

Both systems are producing hold can only hope this is not early August all over again. I'm keeping the faith.

Tuesday, May 15, 2012

Buy signal confirmed.

The JT System moves back to a 100% long position with a relatively rare unhealthy buy signal. Risk is elevated with this trade as there is no definitive stop loss. The CCI system is holding the long position as well. Good luck to all... feels like we need it.

Monday, May 14, 2012

Holding longs.

Both models once again are maintaining the long position with hold signals. I'm waiting for the JTSystem to give an unhealthy buy signal before committing more capital on the long side. Hopefully a bounce is coming soon. Sentiment seems bearish enough for a bounce to occur this week. Take care.

Friday, May 11, 2012

Hold confirmed.

Both systems are producing hold signals keeping them long over the weekend. Have an enjoyable one.

Thursday, May 10, 2012

Hold confirmed.

Both systems are generating hold signals today - hopefully indicating more upside in the short term. Time will tell. CCI remains 100% long. JT remains 50% long. See ya tomorrow.

Wednesday, May 9, 2012

CCI Buy signal.

3:45pm: CCI system moves to a buy. For stats, I will track TNA but any long ETF that correlates reasonably well with SPY makes for a fine trade. Profit Factor for all long trades is 3.13 (TNA) and 3.23 (SPY).

JTSystem is on a hold signal and remains 50% long TNA.

Take care!

We are likely getting a CCI buy signal today. (I will confirm later) The JT system will remain 50% long with a hold signal.

The CCI system has been tweaked to maximize profits...and to go long in a "short-biased" environment. No longer does it have a 90% winning rate on long trades, it is only 83%. :) But it produces more trades now and has a better profit factor.

I will break down all the stats in a dedicated post, but since the CCI is going long today I wanted to post a little snapshot.

Average return (SPY) on all long trades: 0.81%.
Average return (SPY) of just the winning trades: 1.43%
Average return (TNA) on all long trades: 3.26%
Average return (TNA) oj just the winning trades: 6.04%

Gotta run...will post profit factors later today! Thanks!

Tuesday, May 8, 2012

Half stop on close.

355pm: Hold signal on the JTS, but half the position is officially stopped. This rebound today is exactly why we wait 'til the close to stop rather than having a firm stop price.

In other news, I'm making some good headway on CCI stuff!


With SPY currently dipping below the 4/23 swing low of 135.94, the system flips to unhealthy mode. Officially, half of the long TNA position will be exited on the close today. The other half will continue to ride long, as there typically is a short-term bounce when this flip occurs.

More later...

Monday, May 7, 2012

Daily Update

Both systems are generating HOLD signals today. The original JTrader system remains 100% long TNA. The new CCI system remains sidelined in cash.

From now on, I will likely refer to the systems as the JT system and the CCI system.


A comprehensive CCI post is still in the works. Still finishing up the website redesign...

Saturday, May 5, 2012

CCI wins again.

The relatively simple CCI system rules (for new visitors - a "just for fun" system that is 100% unrelated to my system that I track here everyday) produced yet another winner on Friday. It went short on April 25th (which I nonchalantly mentioned in the post that day) and finally covered the short on the close yesterday. It remains in "short-only" mode.

The last short signal it produced was back on 11/30/11, which resulted in a big winner (+11.48% TNA) when it covered 12/14. (It produced several winning long trades more recently) This latest short winner was +7.26%. The winning rate (winners:losers) of the CCI system remains above 90%. (!!!) It is proving to be a solid system. Here is my question to you... would you like me to officially track the CCI system on this page? That would entail dedicating some space in the boxes on the left side of the page, keeping separate stats, posting charts on occasion, and incorporating the signals into my daily system pre-close posts and tweets. Sounds like a lot of work, but it probably won't be that bad since CCI trades are less frequent (which means extra patience is required to follow! Hey, I know how impatient we humans can be. lol). Or, will you find having 2 systems here too confusing and/or cluttered? Please feel free to speak your mind below in the comments.

Getting back to reality, we're in yet another draw down period with my system. While our short signal did ok earning us over 4% in 5 days, I can only dream of the sweetness that could've resulted from holding my shorts just 1 more day. I will be the first to tell you my system is not perfect, but it still irritates me that it didn't produce a hold signal on Thursday. Lest this not happen again or I will ditch my system completely in favor of the simpler and easier to follow CCI signals. Haha... I jest, sort of.

We remain in healthy mode, although SPX is only ~10 points away from flipping this market back to unhealthy and stopping out half the long position. Can't argue with capital preservation.

BTW, stats have been updated (not including this draw down, which hopefully will be erased next week.) Enjoy the rest of the weekend. I should be around to answer any questions. Peace!

Friday, May 4, 2012

Buy #2 if...

The system dials up a 2nd buy signal if SPY closes 137.20 or lower. I will add to my long position only if we close below that value. The system itself is already 100% long, so it has no chance to improve it's dollar cost average.

Thursday, May 3, 2012

Buy signal confirmed.

3:30pm Update: If SPY closes 139.75 or lower, we'll have a strong buy signal. The system will cover the short position and take a 100% long TNA position on the close. If we manage to close above 139.75, it will be another hold signal with more downside expected in the short-term. Good trading!


Current status (if the market closed right now): Strong buy signal.

More to follow as we head into the close...

Wednesday, May 2, 2012

Hold confirmed.

Another hold signal today keeps us 100% short. I had hoped to post some of my thoughts last night but once again life got in the way. I'll try to give it another shot tonight. You're thinking yeah, right... :)

Tuesday, May 1, 2012

Hold confirmed.

I'm mobile today and haven't had a chance to add more email requests. Sorry bout that. What looked bad earlier has certainly improved this afternoon. The system remains 100% short. Ill post more later this evening. See ya!