Friday, June 29, 2012

Hold confirmed.

No new signals today. The composite system will remain half short. Enjoy the weekend.

June 2012 Signals

JT CompositeTNAJ-TraderCCI
May 29
May 30
Jun 1
Jun 4
Jun 5
Jun 6
Jun 7
Jun 8
Jun 11
Jun 12
Jun 13
Jun 14
Jun 15
Jun 18
Jun 19
Jun 20
Jun 21
Jun 22
Jun 25
Long47.03Buy (#2)
Jun 26 Long
Jun 27 Cash49.67SellSell
Jun 28 Half-Short49.53HoldShort
Jun 29 Half-Short53.87HoldShort

Thursday, June 28, 2012

Composite going half short...

It's a mess this afternoon, but the CCI is going short and the JTS is holding in cash. That puts the composite half short, half cash.


Wednesday, June 27, 2012

Correction: Composite goes 100% Cash!

Prices shifted between 4pm and 415p and the result is that my JTSystem has flipped to a sell signal as well. This shifts the JT Composite to 100% cash. Sorry for the delayed notice...this is a rare occurrence, but it does happen. I will be selling my entire long position here in after-hours. Selling tomorrow is always an option of course. But I'm feeling a bit impatient this afternoon. :)

Thanks again.

Composite sells half...

The CCI is taking profits here, producing a sell signal. (no short) The JTS will continue to hold the long position. This moves the JT Composite System to 50% long TNA and 50% cash. Thanks!

Tuesday, June 26, 2012

Hold confirmed.

JTS and CCI will hold their long positions today. JT Composite remains 100% long.

Also, FYI... we will be going on our annual TN vacation all next week. I will try to post signals in a timely fashion, but I can't make any guarantees. I will update the page daily but signals may not come until after the close or even later during the evenings. I'll resume regular postings July 9th. Thanks!

Monday, June 25, 2012

Composite system going long.

With the CCI system moving to a buy signal, and JTS already on a buy signal (and producing 2nd buy signal I might add), this puts the composite system in long mode.

Friday, June 22, 2012

Composite: Hold Cash

Both systems are holding their respective (yet opposing) signals. This keeps the composite system sidelined until next week.

I may be able to assemble a weekend post... if so, I'll send a notification. Thanks and have a good weekend.

Thursday, June 21, 2012

Composite moving to 100% cash.

Bam! Nice to see the first official Composite signal turn into a winner. I was sweating it. The JTrader model will go 100% long today. It loves to see this big of a drop in a healthy market. In a healthy market, it assumes we'll resume the up move tomorrow and thus today gives us a great entry price . However, before we get frisky on the long side, the CCI is saying "be patient" as it hasn't reached it's exit criteria just yet. It will remain short. Add it all up, and the composite will move to 100% cash with conflicting underlying signals. Thanks and see ya tomorrow!

Wednesday, June 20, 2012

Still short...

Both systems are holding the short position. This keeps the composite system 100% short. I added to my short position today. See ya tomorrow.

Tuesday, June 19, 2012

Status quo...

The Composite System will continue to hold the 100% short position. Both systems are producing hold signals again. Days like today require some extreme patience, but I'm hoping this short signal pays off later this week. Time will tell. Big day tomorrow... Take care.

Monday, June 18, 2012

Holding shorts...

The new JT Composite System will continue to hold its 100% short position today as neither of the 2 underlying systems are doing much of anything (besides producing "hold" signals).

I will answer all your questions from the previous post this evening when I get home. You asked some good ones... Currently however I am having trouble getting the comment form box to load properly while I'm tethering. Check back tonight, or tomorrow AM. Thanks!

Sunday, June 17, 2012

Introducing: JTrader Composite System

I'm excited to bring to you a new, very profitable (backtested, at least) trading system, which offers the best of both of my current systems. I'm calling it the JTrader Composite System which essentially merges my 2 systems into 1. Here is how it works... I think it's fairly intuitive.

1) If CCI is long and JTS is long, the new system is 100% long. (TNA or SPY doesn't matter, I will post stats for both...)

2) If CCI is short and JTS is short, the new system is 100% short.

3) If one system is long and the other is short, the system is 100% cash.

4) If one is long or short and the other system is cash, the system will be 50% long or short and 50% cash. So once again we are dealing with partial positions.

Ok, now let's look at some stats and profit charts. I've calculated TNA stats and SPY stats. Results are impressive, more so than either of my systems on their own. There are plenty of trades offered, which should satisfy the thirst of even the most active swing traders.

Before I get to the stats, I should mention the 2 caveats. 1) Stats only go back to Jan 2009...when TNA came into existence. 2) Stats may or may not benefit from over-optimization of the 2 underlying systems. There is no guarantee that future performance will equal past results.

SPY results first:
Compound Annual Growth Rate (CAGR): 37.10%

Overall win rate: 175 winners, 87 losers (66.79%)

Average Trades per year: 75

Return breakdown (per year):
2009: 28%
2010: 46%
2011: 56%
2012: 5%

Profit Factor (per year):
2009: 1.87
2010: 2.78
2011: 2.58
2012: 1.40

SPY Profit Curve 2009-Present

TNA Time... As you can imagine, considering the results above are with a non-leveraged ETF, the results for a 3x leveraged fund are going to get a bit crazy.

Compound Annual Growth Rate (CAGR): 249%

Overall win rate: 180 winners, 82 losers (68.70%)

Average Trades per year: 75

Return breakdown (per year):
2009: 135%
2010: 270%
2011: 560%
2012: 34.8%

Profit Factor (per year):
2009: 1.58
2010: 2.67
2011: 2.39
2012: 1.90

TNA Profit Curve 2009-Present

As you can see, much like the CCI profit curves, leverage and compounding caused the results to get a bit out of hand and unrealistic. But it's fun to look at.

I still have to work on some of the logistics. First, I'll have to modify the webpage once again and also may need to rethink how I send updates (ie, just tweet the Composite system signal, or transmit the 2 underlying signals and the resulting Composite signal). Tomorrow (Monday 6.18.12) I will post all the dates and trades the system has taken in an excel spreadsheet for your download and perusal. Please feel free to post your thoughts and comments...thanks! And Happy Father's Day!

Average return (%) per Trade (SPY): +0.43% (Median: +0.40%)
Best Exit: +5.96%
Worst Exit: -6.29%

Average return (%) per Trade (TNA): +1.87% (Median: +1.80%)
Best Exit: +23.76%
Worst Exit: -24.72%

Update #2 (Link to Excel Spreadsheet w/ all Composite Signals...if this link is broken, email me at jtrader21 at gmail and I will send you the spreadsheet...thanks)

Friday, June 15, 2012

Strong short signal.

My JTrader System moves to a strong short signal. With CCI also remaining short, I will take a large short position on the close.

Look for a weekend post detailing my findings on the merging of my 2 systems. I will tweet/email when completed.

Thanks and have a good weekend.

Posting old stats table.... Soon to be replaced...

Previous Months

Month %
Year %
Month %
Year %
+ 11.88%+ 26.96%+ 27.03%+ 31.12%
+ 0.90%+ 13.48%
+ 0.25%+ 3.25%
- 10.97%+ 12.58%- 1.61%+ 2.99%
+ 11.11%+ 26.45%+ 2.20%+ 4.68%
+ 17.06%+ 13.79%+ 25.00%+ 2.43%
- 2.79%- 2.79%- 18.06%- 18.06%

+ 11.40%+ 51.43%+ 7.33%+ 605.06%
Nov'11 + 7.35%+ 35.93%+ 28.55%+ 460.17%
Oct'11 + 19.67%+ 26.63%+ 5.64%+ 335.77%
Sep'11 - 0.81%+ 5.82%+ 60.83%+ 312.53%
Aug'11 - 29.44%+ 6.68%- 8.75%+ 130.98%
Jul'11 + 11.83%+ 51.21%+ 7.33%+ 151.75%
Jun'11 + 2.89%+ 35.22%- 0.76%+ 134.55%
May'11 + 12.99%+ 31.42%+ 38.78%+ 136.34%
Apr'11 - 3.83%+ 16.31%+ 4.48%+ 70.30%
Mar'11 + 8.75%+ 20.94%+ 14.20%+ 62.99%
Feb'11 + 6.60%+ 11.21%+ 14.34%+ 42.72%
Jan'11 + 4.33%+ 4.33%+ 24.83%+ 24.83%

- 6.10%+ 21.77%- 20.54%- 16.08%
Nov'10 + 1.74%+ 29.68%- 11.76%+ 5.61%
Oct'10 + 15.97%+ 27.46%+ 13.66%+ 19.68%
Sep'10 + 9.91%+ 9.91%+ 5.30%+ 5.30%

Thursday, June 14, 2012

Hold signals confirmed.

6/15 Update: I just exited my XIV position here for a modest 3.5% gain. I still think it could go higher, but it's not worth the risk anymore. I'm back to 100% cash. Thanks.


Both systems hold their positions. CCI is short. Jt remains long. Thanks! See ya tomorrow.

Wednesday, June 13, 2012

JTSystem Buy signal.

Systems are opposing each other once again with the CCI System remaining short and the JT System generating a fresh buy signal.

I have a partial XIV position now underwater due to deviating from my plan. (That will teach me.) With opposite signals, I should be moving to the sidelines. I'm still testing the results of merging the two systems into one. So far, the results look promising but I've got much more data to sift through before I can make any definitive statement.

See ya tomorrow!

Tuesday, June 12, 2012

JTSystems sells... CCI still short.

Original JTrader system is selling the long position after only one day. No short signal, although it's close. The CCI is remaining short. Generally, this is where I would take a partial short position on the close, but I may hold onto XIV a little longer.

Thanks and good luck.

Monday, June 11, 2012

JTSystem = Strong Buy

CCI remains on a short signal and now the JT System is going long with a strong buy signal. I'm covering my shorts from Friday and heading to cash.

Friday, June 8, 2012

CCI goes short.

First, the Jtrader system flips to healthy mode and generates a hold signal keeping it 100% cash. The CCI sees this as a shortable bounce. Caution is warranted as the recent low has all the makings of an intermediate term bottom.

CCI stats were posted back to late 2010 alongside the JTS stats. Results in 2011 were stupid and not realistic. While I have faith in the system, I would never expect it to perform that well ever again. Annual results got carried away due to leverage and compounding. It is what it is...

Have a good weekend.

Thursday, June 7, 2012

Hold confirmed.

Sidelined in cash.

Wednesday, June 6, 2012

Sell signals confirmed.

Both systems will produce a sell signal today. No shorting here yet according to either system, too much risk for more upside. Thanks!

Tuesday, June 5, 2012

Hold confirmed.

Both models will maintain the long position for at least another day. In the event of another decent up move tomorrow, both will probably exit. Just a heads up. Take it easy!

Monday, June 4, 2012

Hold confirmed.

Both systems will hold the long positions. Thanks!

Sunday, June 3, 2012

CCI Stats and Profit Curves

Stats for the new(ish) CCI system are pretty much complete. I will be posting them over the next few days.

Updated 6.22.12

Here are the CCI Stats for SPY.

Compound Annual Growth Rate: 26.55%
Profit Factor (2008-Present): 1.52
Win/Loss record: 123 wins, 52 losses (70.90%)
Average return per Trade: 0.54%
Median return per Trade: 0.96%
Top 3 Max Gains: 17.95%, 10.17%, 8.50%
Top 3 Worst Losses: -22.69%, -12.71%, -11.77%

Profit curves section:
I should mention up front that the system performed blah in 2009 for some reason. I need to examine that further to see why and possibly find a fix. I mentioned the other day I was going to look into partial positions to account for trends, but that was blah, too. Too much whipsawing. I did stumble onto something, but that's for another post.

The system has 218 trades since mid 2008. It comes out to about 60 trades per year. Just over 1 per week, so this is a nice & easy swing trading system which requires little time and effort to follow. It favors mean-reversion and only very short term trends. The most recent short trade was a great example. Strong, steady, powerful moves in 1 direction are definitely its Achilles' heel.

If you can't stomach big swings, please avoid using leverage! :) You'll see what I mean when looking at the TNA curve. SPY offers a nice steady gain over time.

That's all for right now...Like I said, more coming soon... Happy Sunday!

Friday, June 1, 2012

All systems go...

CCI moves to a buy signal. With JTrader on a buy signal as well, I've taken a large long position in TNA. I've been waiting for a move down to the 200-day and now that it's here, it's time to execute the plan. Fear is not an option.... Good luck to all.

Look for a weekend update. ;)