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Hello and Welcome,
Welcome to the new Trizen Systems newsletter. This will be the new format for discussing our algorithmic trading systems and other information. Weekly updates will include Actual Profits/Losses, Commitment of Traders, Articles and Actual Trading screen shots. Pass this along to anyone that you feel would like to understand more about the financial markets, derivatives, and how to trade them successfully. Year to Date (YTD) Performance vs. the S&P 500:
Return on Initial Capital: 15.34% We are currently above the S&P index by 15.61% |
| Market Action
Weekly Profit (P/L): +$2,060 |  A strong rally from a bounce off of February lows sent the market upwards to test the 200-day moving average. This week started off dangerous but quickly bounced back as we headed into a holiday weekend and a 1st of the month strategy. The algorithms performed below par since programming for holiday weekends is currently not in the software and requires manual intervention; however, with manual holiday intervention on after profit targets retained the system performed well. Though volume on Friday was extremely high for a Friday before a 1st of the month, holiday weekend and Non-Farm payrolls week. Leaving the strategies on would have earned another 1-2% however, the risks heading into the holiday are typically bad for short strategies. Version 3.6 has been performing below par compared to its Version 3.3 counterpart mostly due to extreme reversals upwards during overnight hours. Since Version 3.3 does not trade overnight hours it has significantly outperformed its counterpart though both are significantly positive compared ot the S&P. Overall the algorithms are doing their part and doing well but holidays are difficult to program along with government announcements over weekends and afterhours.  |
| Commitment of Traders
Bulls-n-Bears | | The COT, or Commitment of Traders, represents a government report that collects all the open positions for all traders in the futures market. It breaks it out into Hedgers, Professionals, and Small Traders. Hedgers maintain large portfolio positions and will hedge their positions using the S&P (so they can protect against falling markets). Professionals speculate and tend to be on the right side of the market opposite the hedgers. In most cases the Small trader (Green) is a contrarian indicator.
Analysis: We are reviewing the S&P Pit COT this week as it shows a bearish pattern with the hedgers (red) going long in the S&P. this normally indicates that they are shorting their other main positions while the large speculator has been considerably short for the last few months (not buying into any of the bull market since about March 22nd. The e-Mini electronic COT (there are two versions of COT: a pit traded and an electronic traded) shows that the hedgers have poured on short positions and the speculator this last week was somewhat long but still very much uncommitted.
A bearish rally is in effect and is best to take advantage of any rallies to move investments into defensive positions.
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| 2% Swings the New Norm?
Trading Opportunities |  This seemingly "every other day swing from lows to market highs" with 30 point moves in the market can be difficult for most trading systems. But, if you have modeled it appropriately compared to the massive swings of 2007-2008 along with some fundamentals mixed in (market tendencies) they can be tamed or at least lessened.
It took nearly 6 months to climb from 1040 to 1212 in the S&P and only one month to crash through it. When markets shift, money managers dump all at once but will load up on positions slowly as markets climb higher.
The COT can give an early warning allowing individual traders to be more defensive but it may cut into profits as markets move higher; however, when markets move lower the defensive position pays off in protecting assets and possibly earning a small percentage. In other words insurance against negative market moves doesn't pay until it turns negative and is a small price to pay for protection.
The other major issue with 2% swings is dealing with insolvency. In bull markets algorithmic system can trade twice as many contracts as short markets because 2% swings are less frequent. In modeling the worst of many bear markets it is very clear that you can make and lose a lot of money in a relatively short period of time if you kept the same contract count during bull markets. In general you must scale back your contract counts during these swoons of pessimism and optimism otherwise the inevitable 5% swing can decimate trading accounts even though the market returns to where it left off 24 hours later (but taking your account to zero in the process). 2% swings do offer traders a very good opportunity to achieve profit targets in short periods of time but you must also be willing to take more stop losses trusting that the system will return to its normal return. In general there will be more profit targets reached AND stop losses hit during these times and as such you must trust your system and typical market action especially near 200-day moving averages, holidays, and weekends. |
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Sincerely,
Edward Zaremba
Trizen Systems, Inc.
Commodity Trading Advisor
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| | BladeTrader Version 3.6 | | Version 3.6 and 3.3 have been released. We will have four accounts for each side and version and seperate percentages. |
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U.S. Government Required Disclaimer - Commodity Futures Trading Commission Futures and Options trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures, stocks or options on the same. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this web site. The past performance of any trading system or methodology is not necessarily indicative of future results.
CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.
NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL, OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE DISCUSSED WITHIN THIS SITE, SUPPORT AND TEXTS. OUR COURSE(S), PRODUCTS AND SERVICES SHOULD BE USED AS LEARNING AIDS ONLY AND SHOULD NOT BE USED TO INVEST REAL MONEY. IF YOU DECIDE TO INVEST REAL MONEY, ALL TRADING DECISIONS SHOULD BE YOUR OWN. |
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