Archive for May, 2012

31 May 2012

Thursday, May 31st, 2012

Realized P/L for this contract (ES) = $-254.02   Return = -3.84%

 

30 May 2012

Wednesday, May 30th, 2012

Realized P/L for this contract (ES) = $145.98   Return = 2.25%

 

29 May 2012

Tuesday, May 29th, 2012

No trade today.

 

25 May 2012

Saturday, May 26th, 2012

Realized P/L for this contract (ES) = $245.98   % Return = 3.93

 

24 May 2012

Thursday, May 24th, 2012

No trade found today.

 

23 May 2012

Wednesday, May 23rd, 2012

Our first day with the S&P market came up with no trade. It was actually a winning day for this strategy, but we were kept out because the trade risk was outside our risk parameters.

 

22 May 201

Tuesday, May 22nd, 2012

Realized P/L for this contract (ZS) = $-80.36   % Return = -1.25

Given the considerable uncertainty introduced into the grains markets by the introduction of the extended electronic trading hours (extended from 0930-1315 to 0830-1400), I will switch to the S&P Surfer strategy for this blog account.

Note the light volumes during the 1st hour and last 45 minutes of the new session. It is to be expected that the volumes will increase as traders adapt to the new conditions, but the change could well result in some fundamental changes to the way these markets act.

 

21 May 2012

Tuesday, May 22nd, 2012

Realized P/L for this contract (ZS) = $-42.86   % Return = -0.67.

 

18 May 2012

Friday, May 18th, 2012

This is a nice trending day, but unfortunately we missed the signal. No trade.

 

18 May 2012

Thursday, May 17th, 2012

Realized P/L for this contract (ZS) = $-217.86   % Return = -3.24.

 

16 May 2012

Wednesday, May 16th, 2012

No Trade.

 

15 May 2012

Tuesday, May 15th, 2012

No trade.

 

14 May 2012

Monday, May 14th, 2012

No Trade

 

11 May 2012

Saturday, May 12th, 2012

No Trade.

 

10 May 2012

Thursday, May 10th, 2012

No Trade

 

9 May 2012

Wednesday, May 9th, 2012

Realized P/L for this contract (ZS) = $-335.72   % Return = -4.70.  A lot of slippage today…

 

8 May 2012

Tuesday, May 8th, 2012

No Trade.

 

7 May 2012

Tuesday, May 8th, 2012

Realized P/L for this contract (ZS) = $-292.86   % Return = -3.87.

 

4 May 2012

Friday, May 4th, 2012


Realized P/L for this contract (ZS) = $-180.36   % Return = -2.32.

 

3 May 2012

Thursday, May 3rd, 2012


Realized P/L for this contract (ZS) = $407.14   % Return = 5.49.

 

2 May 2012

Wednesday, May 2nd, 2012

Realized P/L for this contract (ZS) = $-168.

 

April 2012 Performance

Tuesday, May 1st, 2012

Here is the live statement covering April:

After five successive losing trades at the end of the month, we ended up with a loss for the month. However, given that we recorded just four wins against 10 losses over the period, a 5% loss was not too bad. It shows the value of ensuring that winning trades are bigger than the losing trades. This is generally (but not always!) the best approach.

 

1 May 2012

Tuesday, May 1st, 2012

Realized P/L for this contract (ZS) = $-235.72   % Return = -3.00.

 

30 April 2012

Tuesday, May 1st, 2012

Realized P/L for this contract (ZS) = $-361.