Mar10 P/L%

For the past month the fund have soared 11 and a half ES points. But on account of risk management system fault in the middle of the march and contracts mislead, occurred yesterday, during the same period of time the fund have slided near 9 percent. Still, since the beginning of the fund on 1st february in total it have soared more then 10 percent.

31/03/10

During the morning hours opened long position, because 1) materials (ones the strongest and the leading reason of the market slide tens of minuted before) did post lower low, but ES not reacting any more, even further 2) ES didn't made lower low unlike it had made its peer, Nasdaq Composite futures index. Soon fixed on the reason of financials, unlike majority sectors, was not making higher highs. Plus internals were mixed so it seemed that the day would likely become range type.

434th, already evening, short trade was opened on the reasons of: 1) no industrials (one of the weakest sectors at that moment) higher high; 2) internals were in favor w/ 5 $ticks above +800 and zero below -800 and finally 3) $tick didn't confirmed recent /es lower low. But in fact, ES didn't manage to back above VWAP and continued to slide. Stop loss order fixed the trade. Want to not following notes in this case:

1) Strong bearish momentum brought ES below VWAP. So in the market environment when bears became really strong for since a time before till present, micro diver that have appeared right before 434th trade entry was not as strong as it should be to react on. Overall, it was just to early entry;

2) I did opened last session trade when one of the weakest sectors haven't managed to make fresh interim low. But the leading strong sectors, have continued to slide. So the conclusion is that, only when the weakest and strongest sectors move in the same direction (w/ weakest sectors superiority when it is an upside move and vise versa, w/ strongest sectors more actively selling when it is downside move), the move will carry over the broad U.S. stocks markets.

30/03/10

431st trade today brought to the fund one of the hugest losses during the past almost two month. It doesn't have any reasons of entry neither exit. It was opened cause of my fault, better say mistake. And btw it was not ES contract. It was Nasdaq Composite futures, ER. But indeed, w/ my mistake one serious risk management trouble have revealed.

432nd trade, unlike previous, have a reasons. It was opened because: 1) bullish divergence on ES minute chart w/ $tick confirmation have appeared, plus 2)energies (the weakest sector) initially didn't post lower low. Fixed, cause bearish news about, again, Greece were at a place. Plus previous trade was still opened w/ the huge loss so to concentrate on the new trade was an an easy target.

On behalf of the todays huge drowndown made by risk management fault, for now, during the march, the fund have slided some 8 and a half percent. So, in a matter that tomorrow is the last month session, it's unlikely that I'll complete last fridays target to make at least modest but profit in the 2nd year month.

In deed, I'm not upset of todays session slide that have harmed all the bets to make 2nd plus month. The 1st issue is that practice shows, my trading approaches do work. And the maority of huge losses were fixed only because of risk management troubles. And the 2nd point, today I do revealed very solid risk management mislead. And after afterhours work I do think, risk management will be substantially safer for the fund execution.

29/03/10

Rushed into the short, because: 1) energies, materials (the strongest sectors during the past session) w/ Russell 2000 futures have posted lower lows, while 2) Nasdaq Composite futures have made fresh session low. Soon fixed, cause financials as well as consumer discretionary sector (the weakest) have started to recover (plus they didn't post huge losses while other sectors and U.S. indexes did, when I had entered the trade). Overall, I was not correct to open short position against bullish divergence (even not so strong, no $tick confirm) during the range session (w/ neutral internals).

26/03/10

Solid session trade entry was based on: 1) materials (the strongest sector during the day) posted lower low, plus market internals were in favor w/ no $ticks above 1k and 4 $ticks below -1k. The short position was closed by take profit order, placed within couple of ticks before ES globex session overnight low - the support level that could stop the market falling further. Over more, before the trade entry, $tick have posted new session low below -1.2k. Usually it's ulikely to see sellers posting in futher $tick minus, so bears pressure have to wane. The result is plus near 3 percent for only 3 minutes.

In summarize, the past friday's target to regain almost 12 percent loss of 12th year week is completely done. And as a result of the last, 13th 2010 week, the fund have soared some 14 percent (7 ES points profit) w/ 5 out of 5 sessions finished w/ the profit. In particular, the average profitable trade (5 out of 6 week's trades) was plus near 2.8 percent w/ median trade duration (time between transaction open and close) of almost 11 minutes.

For the coming 3 last sessions of the march, my new target is accurately, w/ no huge drawdowns, again to post solid number of a percentage profit. But not necessarily repeat today's finished week result of more then 10 percent profit. At least, I do wish to stay in a symbolic green zone as of march.

25/03/10

Betting on ES moving higher from the point of the trade entry, I do opened the first session positions w/ the reasons: 1) no materials (2nd weakest sector at that moment but the leading laggard during past hours) and the leading U.S. indexes futures lower lows, plus there was bullish divergence on ES minute chart (but w/ no $tick confirm). Soon fixed, as buyers did fail to push market higher and materials sector did post fresh session low.

As ES have posted new day low, one more bullish divergence on the minute chart have appeared w/, finally, $tick confirmation (no $tick lower low). But the second reading showed, that sellers did manage to post $tick lower low. So no difference between fresh pattern and the divergence posted tens of minutes ago was revealed. Thats why I have closed the trade as soon as that fact was disclosed. But the market did continue moving higher for a while. Though no regret of too early exit, cause I did stick w/ my strategy, that have not gave me appropriate reasons to stay in the position.

24/03/10

Opened long on the reasons: 1) $add relatively to $spx execution was improving, plus 2) ES as well as ER & NQ did post bullish divergence on at least minute chart. Close the trade, cause: 1) $add became bearish and 2) XLE (the weakest from most volatile sectors) started to weaken.

23/03/10

Opened long as: 1) energies (the weakest sector during the day) did strongly spike; 2) Nasdaq Composite futures posted new session high and 3) internals were in favor: only 2 $ticks below -800 at the moment of the trade entry w/ some 18 $ticks above +800. Fixed soon on the reasons: 1) energies (the cestor, that became one of the leading drivers of the recent leg higher) slided sharply, plus 2) there was no $tick confirmation of the ES fresh year high. But the market did continue to climb higher.

Overall, this trade is very similar w/ the position back to beginning of the current mouth. On 11th march, when ES also did struggle to make new year high, within few minutes before spike higher I have entered long position. Soon I have fixed the trade also on not so cool reasons and the market, again also, did continue to trend higher. The conclusion from that two similar patterns is not to focus on internals data when ES do breaking some principal levels. In response to particular market environment, when bulls and likewise bears do manage to break some very important level, that fact do prove that the momentum is enough strong not to care about internals data.

All at all, 7 minutes and plus almost three and a half percent. Grool!

22/03/10

Rushed into the long position on the reasons of: 1) $add, XLB (strongest at that moment) and lately XLE (weakest sector) have managed to post higher highs; 2) as well as Nasdaq Composite futures. But it's peer, Russell 2000, had posted even fresh session high, plus 3) internals were in favor. Sentiment was indeed very bullish w/ 18 $ticks above +800 and even zero below -800. While the market broadly got bullish momentum, ES had struggled hard to move one by one ticks higher. Soon fixed the trade, cause: 1) there was no sign of Russell 2000 futures (front driver of the current leg higher; the most bullish U.S. index) posting fresh session high and 2) bearish divergence on at least 5 minutes ER and ES chart was still at a place. That was really nice exit, because ER indeed soon have slided sharply and the broad market started to decline. Closer to the session finish, ES did try to make new highs, but should emphasize, no matter no $ticks below -800 during whole past day, late ES bulls attempts were useless.

19/03/10

Got into the short position cause of: 1) $add unlike $spx posted lower low and 2) mkt internals were in favor w/ no $tick above +600 vs 7 $ticks below -800 at the moment of the entry. But ES w/ its peers on behalf of ER & NQ did not manage to post lower low. Even further, soon ES did break above 50 EMA on the minute chart, so the downside trend day was broken and I have left out of the trade.

More than two hours before market close I have entered long on the reasons: 1) bullish divergence on ES at least minute and 5 minutes charts w/ $tick confirmation; 2) no $add lower low unlike ES as well as 3) no lower lows of XLE, XLF and FLB - the weakest sectors during the session. Against were very bearish internals w/ more then 10 $ticks below -800 and no $tick above +800. That's why I have placed take profit order right at the VWAP line. ES did pushed to VWAP within only one tick, 0.25pts ES, after what it had slashed down. Unfortunately, there was no trade exit near VWAP, so plus near 10 percent profit were not fixed.

Soon there was trouble w/ broker connection. Some of my past buy orders have inexplicably executed and all I have left was to fix loss (cause of the commission expenses).

Overall, the past 13th 2010 week was extremely unlucky for the fund. Just to note offensive exits from the trades: 414th, 415th and 417th; failure to fix nice profit cause of troubles w/ broker of 417th trade, plus wrongful no take profit order action of the recent 419th, 420th dual position.

But to tell the truth, some principal risk management system faults were also revealed. And while previous system troubles during 8th year week did harmed fund capital not so much, current fault have brought considerably larger loss.

During the past week the fund have slided almost 12 percent. But in respect to ES points it have lost only 0.5pts. Charts below nicely depicts it.



That luck of correlation was investigated by me earlier. Briefly, the solution of the problem is to work w/ a single position size, no matter perception, internals and other key market environment factors. Only w/ such resolution, the fund execution in term of the dollars or percent profit/loss will be twin w/ ES points trading result.

Generally, the whole weekend is ahead. So I do have enough time to fix all risk management system troubles and psychologically to get ready to regain past week loss before the month finish.

18/03/10

Entered short postilion right the session have started. Reasons were: 1) bearish divergence on minute and 5 minutes ES chart w/ lower high back to latest overnight high; 2) Materials sector (the strongest at that moment) w/ Nasdaq Composite futures sliding sharply and finally 3) $add was at the level of -200 while $spx was at zero. Fixed as ES twice failed to push mkt lower w/ no $tick below even -400.

Opened long trade hour and a half before the closing bell on: 1) Russell 2000 futures posting higher high, plus 2) internals were in favor w/ 5 $ticks above +800 and only 2 below -800. Market indeed pushed higher. I was already willing to exit the trade but technical error have happened. There was trouble w/ broker connection. As ES again dipped below VWAP connection again have appeared. But soon was out of the position as: 1) ES seemed one more time fail to strongly break above VWAP and was going to slide because 2) $add unlike ES did post lower low. But again unfortunately, as I have exited, market stated to recover.

Risk management investigation: trades size case

Small profit - huge loss. During the past session ones again it have been revealed, that no matter smart trades execution, I do make very huge losses. According to the chart below, it is apparently to see the difference between my trades P/L in term of the ES points versus cash results.



You can see that during the current month, from the 1st february 10' to the past session the fund have gained some 7 ES points profit. But w/ real money things are going not so good, w/ near 85$ loss or minus 3 percent.

In the summarize of the past week I have emphasized, that ES points P/L result was plus 0.5pts. In comparison, during the same period, 11th 2010 week, the fund have slided 6 percent. Chart below nicely depicts it.



But the story not came to the end. Now it just repeats ones again. Since the beginning of the current, 12th 10' week, the fund for now is loosing 4 percent. But in term of ES points the result is again positive - plus 1.0pts.



The only initial conclusion I can make from here is to start work w/ almost the same size of the contract, no matter perception, internals or other market environment factors.

17/03/10

First session trade, long position, opened on: 1) XLF & XLB (2nd & 3rd strongest sectors during the session) were at the past or new ssn highs; 2) $add made hh and 3) internals were in favor w/ $tick: 0t < -600 vs 7t > +800. But soon have to fix the trade. ES w/ its peers, ER w/ NQ, didn't post session high and started to slide sharply. The reason was fundamental factor, not technical. Volker w/ Bernanke started to testify before the Senate panel.

Last two trades were opened w/ the single background: 1) ES failed to push above VWAP and have to slide more, plus 2) $add bulls lost its momentum. 414th position was fixed cause I thought ES did finally manage to break VWAP - it soared two ticks above that principal level. Exit from 415th trade was caused by lack of confidence w/ the reasons of short position reenter. Overall, that past two trades were very unlucky, because just after couple of minutes after the last position exit, ES did slide sharply lower.

But at the background of the todays misfortune, there is some trouble w/ risk management policy, concerning trades size. See my investigation.

16/03/10

Entered long on: 1) XLB (the strongest among 8 leading sectors during the session) and XLF (3rd strongest) posting higher highs, plus 2) ES failed to push below VWAP. Soon fixed, cause there was no $tick upside move confirmation.

But it seems like today was just the repeat of yesterdays session w/ market posting fresh highs w/ no $tick confirm. Nevertheless, later, $tick & $add did post higher highs. On behalf of that, plus XLB (strongest) finally posted higher high, I have reentered long. Fixed on: 1) no NQ confirmation at a place and 2) not so bullish internals to continue strong upside move.

15/03/10

Opened 406th & 407th trades because: 1) $add line unlike ES w/ $spx did post higher high, plus 2) XLF (most volatile during the session) and XLE (the weakest sector) managed to make higher high. Fixed, on supposition of high pullback probability cause: 1) $tick didn't confirmed fresh ES w/ $spx highs and 2) bearish divergence on ER & NQ minute charts was still at a place.

After couple of minutes it seemed, according to volume data, that upside move would continue, no matter $tick non confirmations. So I have reentered long position. Closed trade by take profit order placed one tick below 1146.00pts (of ES june 10' expiration contract) - corresponds to be overnight trading high - potentially strong resistance level.

12/03/10

First morning trade was opened on: 1) XLB (the strongest sector) & NQ trending to post lower lows plus 2) internals were in favor ($tick: 3t<-800 vs 2t>+600). But ES failed to post ll and ER w/ NQ strongly break above 50 EMA. It was time to fix.

But soon I decided to reshort: internals were staying bearish plus ES unlike NQ w/ ER didn't post higher high. Soon have to fix, cause internals started to improve sharply as well as ES peers. In fact, the reasons of both entry's were very weak. But from bad to worse.

Closer to the session finish I again opened short position because: 1) XLF was posting fresh session low and 2) internals were unchangingly bearish. ES did slide for a while, but have failed to post new session low on what I was betting on. Soon ES pitched VWAP and it became obvious it would be soon broken to the upside. Fixed. To tell the truth, the reason of the trade open was even more controversial. But the last session trade entry reason was just offensive.

Less then 10 minutes before session close entered short on the reason that ES peers in the name of ER and NQ did posted lower lows. Trade inevitably entered afterhours trading when I soon have fixed it.

All at all, it was one of the worst sessions, in term of loss, back to 1st february 10', when the fund have stared. Even more, it have pared all the profit I manage to make during previous four sessions of the past 11th 2010 week w/ the summarized loss of near 6 percent. Btw, in term of ES points P/L, the result for the past week is plus 0.5pts. So, if i have managed to work only w/ single size trade, I would make profit.

11/03/10

I did splashed down into the trade because: 1) $add during last couple of hours was strong relatively to $spx; 2) $trin was bullish (near 0.7) and finally, already few minutes after my entry 3) NQ posted higher high. Trade was close by the take profit order, placed earlier on the reasons: 1) irresponsibly sharp (relatively to session internals) upside move; 2) 1147.5p ES (one tick above my tp order) was yesterdays last highest point when bulls failed to post fresh year high - strong resistance level. All at all, ES was now at a phase of trying to post fresh year high. It's too volatile, rare and risky moment so it was better to pass it through.

10/03/10

Was calling for fresh year highs on: 1) XLE, XLF (strongest), XLB (2nd weakest) posting higher high; 2) $add strng & pointing higher: 2) internals in favor ($tick: 5t<-800 vs 12t>+800 w/ 4t>+1k; $add: +700 w/ SP500: +0.25% at the moment of entry). But ES have stalled at the distance of near 2 ticks from january 10' highs level. It was real bulls/bears struggle w/ sellers become winners. ES finally break below VWAP & the trade met stop loss order. Overall, the week have already pasted its halfway point, but Im continuing to loose lots of opportunities as well as couple of a percents.

09/03/10

First trade opened on: 1) 20 EMA crossing below 50 EMA for the first time since the open bell (one of the indicators calling for breakout of the upside trend day); 2) XLE, NQ posting ll; 3) $add weakness relatively to $spx. Fixed by take profit order as ES breached VWAP. Contemplation is that no matter fresh $tick session lows, bulls were very strong during the day and they seemed to have enough power to pair their losses up from VWAP support level.

But bulls were not going to. Instead: 1) XLE posted ll while NQ, XLK (strongest for the day), XLB and etc were all at the brink to post lower low and btw 2) $add was continuing to stay very weak. So I opened long. But soon had to leave the trade, thanks to my broker. There was technical problem w/ connection w/ him. And as I got an opportunity to fix - I closed the trade. Thanks to broker, I lost 3-5 percent of possible profit if I stayed in the position. Conclusion - do not exit if such kind of situation will repeat again. As I do know, if I loose money cause of no connection to broker - no possibility to fix at a time - I have the rights to claim a compensation for the loss.

08/03/10

First morning trade opened because: 1) materials (XLB; the leading sector during first minutes) sliding sharply; 2) financials (XLF) no hhs during last 10 minutes; 3) Russell 2000 (ER) too reluctant - on the brink to pullback. Fixed on: 1) already too sharp drop; 2) perception, that the bulls nevertheless (according to last sessions execution) are stronger; 3) and the main - technical problems - no $tick, $add, etc data supply. Btw, plus near 1.2 percent for only one minute.

Second session trade, or 394th since I started to track, was opened on: 1) XLF posting ll w/ 2) internals in favor (3t>+400 w/ 1t<-400). To tell the truth, not the greatest reasons to risk money. Fixed, cause: XLE & ER were posting hh.

Next trade was based only on one reason - false bullish divergence, because RSI, 3/10 oscillator and $tick didn't confirm it. I was extremely wrong. Even XLB, XLE, XLF, NQ w/ ER didn't post divergence cause there were stronger then ES. Extremely do not proud of that trade. Not small loss it brings to the fund.

Last, 349th trade, was opened on: 1) NQ, XLB, XLF, XLE posting hh; 2) $tick posting fresh session high (nicely confirming upside VWAP breakout) and 3) internals were in favor ($tick: 6t<-600 w/ 11t>+600; $add: +400 w/ SP500 at zero percent). After two and a half hour, when bulls lost any superiority, staying in the long was useless and too risky.

05/03/10

Entered long because: 1) very bullish internals (w/ $tick at the momnt of entry: 0t<-400 & 2t>1k); 2) financials & cons.discretionary (XLF w/ XLY; one of the leading sectors) at the brink to post new session high. Fixed on: 1) no upside move continuation for more then 4 minutes; 2) $add was continuing to stay very bearish w/ no U.S. indexes highs confirmation. Made haste like couple of times during the sessions before. Nevertheless, plus almost 7 percent for the week or 5 and a half ES points profit. Overall, for the past 5 weeks since the fund have started plus near 30 percent.

04/03/10

Tough session. Just shoot me off! Morning trade opened on technologies as well as whole Nasdaq Composite futures index weakness. But later the sector w/ index have recovered. And no matter weakness in other sectors ES unfortunately did touch level of my stop loss order. After that it sharply pulled back.

Evening trade was opened because of no $tick & $add lower lows. Even further, after the entry, micro bullish divergence w/ NQ & ER confirmation have appeared. Volume was too low. Nevertheless, ES did manage to climb far above VWAP. Fixed w/ arguments:

1) Huge selling contracts, as hour and a half before, were at a place;
2) After $tick fresh session high bulls momentum, as it was during yesterdays evening, could be finished. Bearish divergence was likely to appear;
3) Internals not in favor & calling for range day. So, bulls leg higher could be finished.

But the fix was mistake. ES did continued to soar and I have lost a lot of profit. Indeed, my reasons of exit listed above were faulty:

1) I did say the plot - "as hour and a half before" - but didn't get it. Even there were huge sell orders, ES did climb higher. In summarize - do not pay attention on buy/sell orders;
2) Wrong. The likelihood of yesterdays repeat was not so much to count it in;
3) Internals indeed were pretty bullish during the last 2 hours of the session w/ no $tick below -500.

03/03/10

Reasons to enter shot were: 1) Nasdaq Composite & Russell 2000 futures (NQ w/ ER) were posting lower low as well as energies w/ finincials (XLE & XLF) minute after the trade open; 2) ES did break VWAP causing fresh session $tick lows below -800. Closed on: 1) perception of possible heavy overnight session lows support; 2) too sharp decline that sooner or little bit later had to be over w/ following pullback. Overall, bulls first two week sessions stubbornness waning.

02/03/10

Entered shot position on: 1) bearish divergence on 5 minute chart w/ $tick confirmation; 2) no financials (XLF; one of the session leading sectors) fresh day high. But soon fixed, because: 1) materials & energies (the leading sectors) w/ technologies (XLK; the weakest) were sliding sharply but ES as well as NQ & ER at the point of my trade exit didn't manage to post interim lower lows; 2) heavily bullish internals were staying at a place - there was almost no $tick below -600 when my trade was opened and the whole session period before. I do not regret to close the trade(s) so early today as well as yesterday. Market executes abnormally, unreasonably and extremely bullish during last two sessions. I do not buy this sentiment, think it could be denial phase.

01/03/10

Opened short position as the session began on: 1) energies (XLE; strongest sector during first session minutes) lower lows and 2) Nasdaq Composite (NQ) no higher high. ES did manage to slide below VWAP, but there was no selling pressure. Furthermore, during first 20+ minutes of the session there was no minus $tick. Fixed.

After U.S. indexes had posted fresh session highs & ES soon had pulled back to the VWAP level, I have again entered short, betting on 2nd bears try to push lower. But again, during near 5 minutes ES was oscillating near VWAP w/ no bears come in. It just seemed like nobody noticed: 1) strong dollar posting fresh session highs as well as 2) energies (XLE) & financials (XLF; the weakest sector) posting new session lows. I exited the trade after what ES did posted interim lower low but again, there was no real bears participation. All sellers have managed to do was to post only two $ticks below -600 after what U.S. indexes again started to trend higher.

In summarize want to point out that I do not "buy" market performance during last sessions. I do mean that market internals make me highly concerned over U.S. indexes movements, especially in response w/ the past session. On tuesday, 23rd february, we did have tremendously bearish consumer confidence data (46.0 vs 55.0 estimated) but after announcement there was only 3 $ticks below -800. The next day, on wednesday - very bearish new home sales (309k vs 354k consensus) - and guess what? No $tick below -800 after the announcement. And finally the past session. U.S. indexes executed very strong w/ almost only one $tick below -800 during whole session w/ few fundamentals basics for upside move. But of course that's personally my contemplation. All in all, I do see two scenarios here: 1) market is in the denial phase after the rally since last years march or 2) it's all about Plunge Protection Team or something like that.