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.