Current SPX Position: Short at 1646.69
Next Action: Stop above 4hr resistance at 1652.46
System Score: 0.5=Bearish=Trend Score + Turn Score=4-3.5
Proposed New Score: 22%=Bearish=Trend Score + Turn Score=16+6
The Score is one of the most bearish we've had. If the SPX falls or consolidates, we'll see the Score gradually move towards neutral over the next day or two. Bears are in striking distance of causing a mini-panic below the 50dSMA and November uptrend line at 1618ish, but, if they don't do it by Friday morning, we may triangulate sideways for a new setup next week. If they do manage to retest 1590-1600 before SPX bounces much, I suspect we'll either get a cascading ride lower or a dead-cat bounce with another bearish setup. The ideal scenario would be a large gap down below 1618 that runs. Either way, the black and yellow patterns that I charted a couple days ago have been followed very closely, and they are separated by what SPX does at 1615-1625.
The System is now up 326pts since 8/21/2012 for a 27-28% annualized unleveraged gain not counting a couple missed profitable trades that were documented late. Frankly, a rough patch is due for the System, but I'd love readers to tell me if they know of any other free or paid unleveraged S&P/Dow service out there (not trading individual stocks, commodities or other indices) that has done better while documenting every trade in advance (or virtual real-time) because I'd like to compare and track it. It's one thing to see a system work in backtesting, but it's another to see it work in live trading because this particular system has a small subjective component as it relates to stops under certain conditions and we've encountered a few minor holes/tweaks in the rules such as large gaps over 4hr s/r. I've been pleasantly surprised thus far and hope I haven't jinxed it for the next 2 months. Good fortune.
I have been following your blog since ast year. Your system has done very well. I don't know about other free or paid service so can't give any input on comparasion. But may I give you a small suggestion here. Base on my observistion most of your lost trades for this year are short side trade. I think the major reason of that because we have a strong up trend this year. If you hadn't taken those trades which were against the longer time frame trend your system return might be even better. May be you can consider to add an rule for not trade against major trend ( daily trend since your system trade hourly timeframe). Would like go back your trading log to see whether this rule can improve your system return?
ReplyDeleteGood morning - I wanted to thank you for your wonderful analysis you post everyday. I start my morning review by reading your insight. I do have a question when you say "Stop above 4hr resistance at 1652.46" or "we've encountered a few minor holes/tweaks in the rules such as large gaps over 4hr s/r". Your reference to 4 hour is this a 4 hour moving average or 4 hours into trading hours? If the reference is trading hours is this day session (9:30 am - 4:15 pm) or 4 am as part of Globex session of the ES?
ReplyDeleteAgain thank you for your wonderful blog.