|
|
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: +20.74% We are currently above the S&P index by 21.86% |
| Market Action
Weekly Profit (P/L): +$422 | | The market has again bumped into the 200-day moving average with positive earnings for internationals and a successful "Euro Stress Test." Our down, up, down, flat, flat was accurate until a strong move on Thursday with a break above 1100 on Friday.
Since we were hedged, the upside gain was offset by our short positions. Volume has been very weak early in the day and strong near close and though a LONG only has been triggered, we must retain our hedge positions since COT and 200-day make formidable headwinds. We will keep the hedge for one more day until it exits. We will look to hedge after this week as we head into the first two weeks of August.
International companies posted strong earnings, but on their international efforts. U.S. elements have been weak, but DOW components that report strong earnings can move the market significantly regardless of where their revenues come from.
The market may move higher, but the hedgers are loading up on the long side (pit traded). They aren't always right, but this has been a significant move in sentiment for this COT.
|
| 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: Lets review last week's COT analysis:
Our summary for this week will have a scenario of testing 1040 level with a down, up, down, flat, flat week ahead setting up for yet another short term rally with yet another lower high moving into August.
We tested 1050 but quickly moved to 1100, a nearly 5% move! Conviction by the Professional (BLUE) appears to be moving to the LONG side while hedgers (RED) may be adding to their short positions (protecting against downside risk). The PIT traded contract continues to show a Bearish pattern. In general the electronic COT is more about short term hedging whereas PIT Traded COT is about portfolio management. Again, a divergence between a 3 to 6 month outlook by portfolio managers (weak to flat rest of year in PIT Traded) and a short term bullish sentiment will have the market flip-flopping for a while. We expect to test 1120 this week heading into August. With subsequent retracement and test of 1080 as we move into Non-Farm payrolls in August and weakness after corporate earnings are digested.
|
| 2003
A turning point |  For those that know me, 2003 was a bad year. But there was one interesting thing that seemed to occur during this year that has made life a little bit more interesting for electronic trading. The electronic contract picked up significant volume and became a viable instrument to trade rather than PIT contracts. When modeling the last decade, this year represented a real turning point in modeling. All short term models failed prior to this year, though long term models didn't change much, 2003 represented the year in which the algorithm black boxes took over (or at least started too).
2003 also represented a year in which it seemed foreigners also stared actively trading our markets in evening (even now, major moves occur overnight as much as during regular hours). The electronic market has become a true 24 hour market starting at 8:00PM when Asia starts trading and then really picking up steam at 3:00AM when Europe comes on line. So, though 2003 was a disastrous year personally, the birth of the electronic market (though the S&P e-Mini was introduced in 1997) seemed to really occur during this year. I have watched volume go from 300,000 for an entire day to 3,000,000 on occasion. It truly is breathtaking to see such a number at the close of the day. |
|
|
Sincerely,
Edward Zaremba
Trizen Systems, Inc.
Commodity Trading Advisor
|
|
|
| | 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. |
|
|
|
|
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. |
|
|
