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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: +19.64% We are currently above the S&P index by 22.85% |
| Market Action
Weekly Profit (P/L): -($1050) | | During a 10 day vacation the system (3.3) ran continuously without interruption, but a LONG only event was triggered; however, we hedged during the vacation period especially with the COT showing little conviction. The market was extremely difficult after the non-farm payrolls report selling off 2.5% and then gaining all of it back on the same day! The following week showed extremely positive overnight Asian hours with heavy sell-offs late afternoon European hours. In general the market was little moved during "normal" hours and very active during overnight hours and wreaked havoc on our 3.3 strategy which does not actively trade during these times.
This last week was extremely difficult for the bulls as the market plummeted in a 6% range! Though the algorithms took a hit overall, the hedging strategies performed adequate. Some additional modeling to account for heavy activity may require us to update version 3.3 and 3.6 in light of such heavy movement in the market during overnight hours.
This week calls for a possibly rebound as we continue to hedge according to the stock trader's almanac. Our algorithms have a "hedging" scenario which has been little changed since July 1, its been a very difficult summer for all of wall street.
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| 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:
No guesswork here, if the number comes in below expectations look for a test of 1080 and additional downside. If the number comes in above expectations, look for 1120 to be tested.
True to form the market did test 1080 and is currently slightly below it. A strange non-farm payrolls had the market rally 2% off of its sell-off lows on the Friday report, with a subsequent market decline of 6% from its near 1130 high. Extremely difficult trading for many we would imagine.
The COT continues to show a SHORT bias for the short term but the longer term is starting to turn around in the "pit" contract though it too is showing a short bias albeit a small one (but declining in conviction and becoming less bearish). With market participants seeing the 1080 mark again, look for buyers to come into the market as reward in treasuries is very little other than a safe-haven to "not lose money."
Any negative news from China and/or Europe should be taken seriously since it appears almost all earnings were positive due to Asian receipts.
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| Overnight Hours
A market unto its own |  Its becoming extremely difficult as of late to see the market for anything other than a vacuum as of late in overnight trading. Its almost a daily return to the "flash crash" wherein markets move in large ranges with little volume only to not move at all during the regular session.
Over the last decade or so the "normal" hours have been from 9:30 to 4:15 or so, but lately the overnight trading has had huge impacts on performance. Our models are not equipped to handle these large moves and for the most part they don't happen very often, but, it appears these moves are happening more frequently, especially this week when we were unhedged for most of the overnight hours after a SHORT strategy took profit and exited. We will have to make adjustments since this appears to be a new normal. I would expect a flash crash at some point in the near future during overnight hours that calls into question new rules for afterhours trading. The moves didn't seem warranted in many cases and in general the normal session move the market back to the open leaving the entire day's range little changed. The pit contract chart looks like an empty volume chart with large gaps and little movement during the day, in fact, if we take out the overnight moves, the market would still be at roughly 1100 if not higher. Yes, things are changing and the new "regular" session might simply be the 4:30PM to 8:30 AM session. We will be releasing a new software version to handle this activity in the near future. On a personal note, my vacation was very good but its good to be back in the United States. |
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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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