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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. Bi-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: +28.50% We are currently above the S&P index by 24.00% |
| Market Action
Bi-Weekly Profit (P/L): +1403 | | Its hard to keep a bull market down. Similar to the last newsletter, its difficult to imagine the market going up with a disappointing non-farm payrolls (-95,000 jobs) and housing in an awful place. And as we have stated before, these bull markets can just keep going higher and higher especially if your chance of return is better than 0.00% which is basically any treasury return (safe haven).
Overall, the move higher to 1160 seemed destined after the test and break of 1140, and 1200 isn't out of the question. Earnings season's expectations are so low that anything better than horrible will move the market higher.
The euphoria should be tapered since the electronic COT for the S&P has been heavily geared towards a significant retracement. But, until that time occurs we will ride the tide and pad our P/L for the retracement.
Of special note should be the increase in our percentage vs. the increase in the S&P. The S&P gained 1.5% roughly while we gained 3.5%. We are also closing in on 30% gains since March and including January and February (though we didn't actually trade it) we would be roughly 35% at this moment.
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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 the prior COT analysis:
Much of the rally over the last three weeks can in fact be contributed to the commercial hedger, in fact most of the rally is due to this. This chart has not bee seen since 2007 when only 36% professional traders were net long. Hedgers protecting against UPSIDE gains is very disturbing with the added contrarian signal that the small Green trader is mostly wrong. Much of what may be happening here is an expectation that 3rd quarter results may not come in as well as 2nd quarter results. Though a rally may be in force at the moment, there are many things to consider and the most probable is that the market will rally for a bit and head into October on a positive note, but it certainly is setting up for something big one way or another. The variable here is the November election and is difficult to model.
The Electronic COT continues to show a "short" position and the market continues to climb higher. In contradiction, the pit traded contract is showing a raging bull market. In general, there is much confusion on what to believe; however, you have to ride the existing market until she bucks you. Non-farm payrolls came in below expectations (95,000 jobs lost) and housing is in an all out disaster. A good read on the housing market is Michael Lewis' book "The Big Short" which describes in all its glory what happened.
The electronic COT is showing that the hedgers (red) and the professional traders (blue) are starting to get in sync with the pit traded contract by becomes less "short" in their positioning (hedgers going short and professionals going long) but this could take some time as the electronic professionals simply appears to move their stop losses higher as the market moved against them.
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| 30%
Finding it difficult to believe |  Family, friends, associates, and professionals are not giving this algorithm any credit. I realize its a single strategy, but its easily moved to other instruments. I am currently reviewing the Forex Euro vs. Dollar and the Forex Future of the same instrument and the strategy works there as well. Dow, Nasdaq, Oil, and other instruments are all available and we will tackle them, but its apparent this is going to take some time to capitalize. Assuming we have 100,000 in capital earning 33% annually, in 10 years we would have 1,3000,00, returning 1,200,000 on the initial 100,000. There are only handful of money managers that have done this, even in a single year and I do realize we need to have several years before you can really have faith in the numbers, but at this point disbelief, much like the recent market move higher seems to be the norm. |
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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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