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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.
2011 Year To Date (System): +2.00%
2011 Year To Date (Aggressive): +8.00%
2011 Year To Date (Actual): -(2.40)%
2011 S&P: 6.01%
BladeTrader Performance Against S&P: -(8.41)%
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| Market Action
FUTURES - Bi-Weekly Profit (P/L): 0
FUTURES - Bi-Weekly Profit Aggressive Strategy: +1000
OPTIONS - Liquidation Value: +1700
OPTIONS - Premium Taken In: +9,000.00
DISCRETIONARY (Strategy Testing): 0 | |
When following the system's rules, things tend to work out for the better. It was a good two week period of applying the rules to the markets. As a reminder, the options premium is not taken "in" until expiration which is still two months out, this is a one-time profit/loss event until the next Short Straddle. If we were to liquidate this position, this is the amount we would take in as profit. Only the FUTURES profit and loss is taken into consideration until expiration of the OPTIONS.
The markets have bounced very high on any good news by any bellweather company and haven't really dropped on bad news. In other words, good news is unexpected and bad news is baked in. However, we are seeing some issues with reporters and some divergence between similar reporting companies.
Though this system is less about the fundamentals and more about the mechanics, one must be cognizent of the summer's "Sell in May and Go Away" until August or so. Overall the market has very strong bounce back capabilities as investors and traders buy the dips, sell-offs have simply been non-existent and three weeks of losses have been minor losses in comparison to weekly gains. The market has been extremely difficult to trade, with many huge gains and losses taken over the last three months as the market struggles to determine whether a recovery is turning into expansion or the recovery may lead to recession.
Corporate profits are unmistakably doing well, if we are to believe the news media; however, corporate America seems to be exhibiting signs of the American population: The have's and the have nots. A few companies have all the wealth.
The Dollar/Euro unwind? Well if you consider an unwind from 1.50 to 1.40 an unwind, then this was big news over the last few weeks.
A 1300 bounce looks to be in the cards given the past performance over the next two weeks.
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| neralueCommitment 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:
"The market exploded to its yearly high of 1373 and then tumbled to 1325. We are stuck in a volitle trading range and it has been extremely difficult for trending systems over the last three months. The COT is showing divergence between PIT contracts and Electronic contracts, with the PIT being somewhat LONG while Electornic (below) being somewhat SHORT. It makes for very volatile trading. Look for tests against 1300 and 1350 to continue as QE2 winds down and the earnings season closes out. Though most companies have been analaysts expectations (which is at this point a given for every company it seems) guidance was showing inflationary concerns."
The market appears to be headed towards a test of 1300 again. Don't look for this to change much in the near term. This type of market really wreaks havoc and trending systems as we have been caught in counter-trending rally after each significant move, most notably on the LONG side as market participants buy the dips (any and all).
The PIT and ELECTRONIC contracts continue to show divergence, and this will continue to cause issues in the overall market place. The electronic hedger (RED) and the professional (Blue) are both net long in the electronic contract, but recent history has shown this to be a rare occurance with sell-offs ensuing. These two markets are undergoing significant change in their investor profiles it seems.
To make a guess here is purely speculation, but it would be safe to assume that entities other private participants are in play. Governments themselves, if they can intervene in money markets, are at play in the futures and commodities markets. The only other explanation is large currency players entering the market as hedgers, but on the right side of the market which differs from "hedger" definition of the past. In general the profile of the market has changed, it is no longer about proper hedging against stocks, but hedging against all types of risk that may be opposite to the original term. In the electronic contract, the RED hedger is getting it right.
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| June Fund Opening
Just one last item | |
 It took a while to confirm that the system and its proper hedging strategies were sound. These tests can only be placed into a "live" market. The hedging strategies are in place, and though we cannot hedge out all risk, the hedging system has been turned into a "sell the vol" system while we exit our normal futures contracts (and sit on the side lines).
I look forward to releasing a new website over the next few weeks, and I hope everyone will enjoy what it offers. This will mark the opening of the fund to all current shareholders.
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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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