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Preview: A Capital View

A Capital View



A glimpse into the workings of our trading methodology. Our trend-following system has averaged better than 25% annual returns each year for the past 20 years, and has had only one down calendar year in that time. All trades and open positions are post



Updated: 2015-09-16T12:25:58.445-04:00

 



4 Comments

2007-04-21T13:34:59.796-04:00

It's been a while, with some system issues taking up most of my time, but I'm back with (hopefully) regular updates again.

The System B model has been performing well over the past month, with our core position in Copper continuing to help our performance numbers. Virtually no positions have changed since our last post on 7/29, with several exceptions. We covered our short in Cotton on 8/3, for a gain of $3,365, and we sold our long Crude position on 8/14 for a loss of $3,850. Finally, yesterday, we sold 1 Contract of cotton on the close (again).

Good luck and have a great evening!



0 Comments

2006-07-28T16:56:36.850-04:00

I will be out of the Office for two week starting Tuesday, 1 August. I will update all trades when I return on the 15th.This morning's GDP report seemed to cheer US stock and bond markets, raising expectations that the Fed is either done tightening, or very close to being done. It is an interesting sign that reports of a slowdown in growth combined with the highest core inflation rate since 1994 could have the positive reaction that it did.In other markets, Copper caught a late day bid resulting from nervousness ahead of the Escondida copper mine strike (the vote should be tallied by tonight, but the earliest a strike would happen would be Aug 7th). The grains didn't do much, but there were reports in the market about a widening problem in Florida with Asian Soybean Rust. Gold rallied, Silver was down on the day.Our TNR model was calling for a Trending day in ES, and that is what we saw. We put on one trade in the morning pop, and rode it all the way to our 4:00 exit. Monday we are looking for a Neutral day in both contracts.Today's TNR trade: Entry Entry Exit Exit Entry Time Price Exit Time Price Contracts P/L Sell 10:50 1502.75 ES Cover 16:00 1487.50 2 $578.00 System B positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P 0 $0 0 @KC.P -1 $606 42 @FV.P 0 $0 0 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $5,980 75 @JY.P -1 -$2,038 7 @GC.P 0 $0 0 @CD.P 0 $0 0 @SI.P 0 $0 0 @C.P -4 -$200 5 @HG.P 2 $81,475 289 @W.P 0 $0 0 @LB.P -1 $4,728 48 @S.P -3 $1,188 7 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $91,739 Total Closed Trades -$56 Total $91,684 Good luck, and have a relaxing weekend![...]



0 Comments

2006-07-27T18:27:15.016-04:00

Let's see... we have Nigerian unrest in addition to the ongoing situation in the middle east combining to prop up crude today... Threats of a strike or walk-out in a south american copper mine helping out copper prices... continued good (growing) weather in the mid-west hitting soybean prices... and the normal uncertainty around the U.S. economy playing havoc with the dollar and U.S. equities.Our TNR model was calling for a Trending day in ES and NQ, and we finally got what we were looking for. We hit quite a slump in July, but maybe this is the end of it. Tomorrow we are looking for another Trending day in ES, and Neutral in NQ.Today's TNR Trades: Entry Entry Exit Exit Entry Time Price Exit Time Price Contracts P/L Sell 10:50 1274.50 ES Cover 16:00 1268.25 2 $593.00 Buy 09:55 1511.50 NQ Sell 10:50 1502.75 2 -$382.00 Sell 10:50 1502.75 NQ Cover 16:00 1487.50 2 $578.00 System B positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P 0 $0 0 @KC.P -1 $1,581 41 @FV.P 0 $0 0 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $6,190 74 @JY.P -1 -$1,000 6 @GC.P 0 $0 0 @CD.P 0 $0 0 @SI.P 0 $0 0 @C.P -4 -$300 4 @HG.P 2 $77,950 288 @W.P 0 $0 0 @LB.P -1 $4,420 47 @S.P -3 $1,563 6 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $90,404 Total Closed Trades -$56 Total $90,348 Good luck, and have a great evening![...]



0 Comments

2007-04-21T13:38:11.540-04:00

Rains and promise of cooler weather in the midwest helped to deflate grain prices today. Also, hawkish comments coming out of Japan put the dollar into a bit of a tailspin, and bonds resumed their steady march upward. The precious metals rallied, but Copper couldn't keep up, closing below yesterday's mark. Try this or this. Our TNR model wanted a trending day in NQ today, but it looked much more like a reversion day. Tomorrow we are looking for a Trending day in both ES and NQ.Today's TNR trades: Entry Entry Exit Exit Entry Time Price Exit Time Price Contracts P/L Sell 09:40 1491.50 NQ Cover 12:30 1497.50 2 -$272.00 Buy 12:30 1497.50 NQ Sell 16:00 1498.75 2 $18.00 Today's TNR P/L: -$254YTD TNR P/L: $5651System B open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P 0 $0 0 @KC.P -1 $2,069 40 @FV.P 0 $0 0 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $6,610 73 @JY.P -1 -$625 5 @GC.P 0 $0 0 @CD.P 0 $0 0 @SI.P 0 $0 0 @C.P -4 $50 3 @HG.P 2 $76,500 287 @W.P 0 $0 0 @LB.P -1 $4,530 46 @S.P -3 $400 5 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $89,534 Total Closed Trades -$56 Total $89,478 Good luck, and have a great evening![...]



3 Comments

2006-07-25T17:51:13.316-04:00

Copper rallied and Crude had kind of a weak showing today. US Treasuries sold of today, but the dollar was strong across the board. Corn and Soybeans opened real strong, but gave almost all of the morning gains up by the close, while Wheat was weak all day. Lumber faded again. Not much of a real pattern in any of our markets right now, just a lot of give and take. Maybe its just those summer doldrums. Even the VIX is settling down to the levels we saw prior to the latest outbreak of mid-east hostilities.Our TNR model was calling for a reversion day in ES, but the late day rally did us in again. We started the day with two money-makers, but wound up getting stopped out for a loss on the day. Tomorrow we are calling for a neutral day in ES and a Trending day in NQ.Today's TNR Trades: Entry Entry Exit Exit Entry Time Price Exit Time Price Contracts P/L Sell 10:05 1268.00 ES Cover 10:40 1266.25 2 $143.00 Buy 10:40 1266.25 ES Sell 12:35 1266.75 2 $18.00 Sell 12:35 1266.75 ES Cover 15:20 1273.50 2 -$707.00 Daily TNR P/L: -$546YTD TNR P/L: $5905Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P 0 $0 0 @KC.P -1 $2,219 39 @FV.P 0 $0 0 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $6,520 72 @JY.P -1 $163 4 @GC.P 0 $0 0 @CD.P 0 $0 0 @SI.P 0 $0 0 @C.P -4 -$650 2 @HG.P 2 $77,075 286 @W.P 0 $0 0 @LB.P -1 $4,684 45 @S.P -3 -$125 4 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $89,885 Total Closed Trades -$56 Total $89,830 Good luck, and have a great evening![...]



0 Comments

2006-07-24T17:14:26.870-04:00

Crude started the day with a $73 handle and that got the equity market's juices flowing. No one wants to miss that countertrend rally when things settle down in the mideast, and with Condi's surprise visit to Beruit it looked like something was happening. We ended the day with Crude trading well above $75, but equities were able to sustain the rally, finishing the day quite strong.Our TNR model was looking for a Trending day in NQ, but we reversed out of our long at the mid-day sell-off. When the rally started back up in earnest we were on the wrong side, and were stopped out with a money management stop. Tomorrow we are looking for a reversion day in ES and a neutral day in NQ.Today's TNR Trades: Entry Entry Exit Exit Entry Time Price Exit Time Price Contracts P/L Buy 09:50 1474.25 NQ Sell 13:10 1478.00 2 $118.00 Sell 13:10 1478.00 NQ Cover 15:15 1489.75 2 -$502.00 Today's total P/L: -$384YTD TNR Total P/L: $6451Our open System B trades: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P 0 $0 0 @KC.P -1 $2,613 38 @FV.P 0 $0 0 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $5,365 71 @JY.P -1 -$150 3 @GC.P 0 $0 0 @CD.P 0 $0 0 @SI.P 0 $0 0 @C.P -4 -$550 1 @HG.P 2 $73,125 285 @W.P 0 $0 0 @LB.P -1 $4,552 44 @S.P -3 $175 3 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $85,130 Total Closed Trades -$56 Total $85,074 Good luck, and have a great evening![...]



0 Comments

2006-07-21T17:47:36.963-04:00

It was a pretty tough week for our models - Copper slid hard, the bonds rallied (not good for our short position) and even Cotton moved against us. On the plus side, our Lumber position continues to gain ground and our Soybean short moved decidedly in our favor today.The continued strength in Bonds have finally taken its toll. We covered our Five year note position (4 contracts) and our Ten year note position (2 contracts) today at the close. In addition, the continued grain weakness has us selling short 4 contracts of September Corn today at the close. All of these new positions will be reflected in Monday's reports.Our TNR model had another tough day, getting short first thing in the morning, and then reversing long, only to be whipsawed down and stopped out at 12:50.Today's trades: Entry Entry Exit Exit Entry Time Price Exit Time Price Contracts P/L Sell 09:45 1254.25 ES Cover 11:00 1252.00 2 $193.00 Buy 11:00 1252.00 ES Sell 12:50 1245.50 2 -$682.00 Today's P/L: -$489TNR YTD P/L : $6833Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 -$950 61 @KC.P -1 $2,031 37 @FV.P -4 $5,800 118 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $6,100 70 @JY.P -1 -$738 2 @GC.P 0 $0 0 @CD.P 0 $0 0 @SI.P 0 $0 0 @C.P 0 $0 0 @HG.P 2 $70,175 284 @W.P 0 $0 0 @LB.P -1 $4,068 43 @S.P -3 $1,113 2 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $87,599 Total Closed Trades -$4,506 Total $83,094 [...]



0 Comments

2006-07-20T16:36:16.776-04:00

Bonds up, dollar down - sounds like business as usual, but the equities and interest rate markets do seem to be decoupling a bit in here. Maybe there really is something to this idea of a slowing economy. The metals all were hit today, with copper fading in a fairly large way.Our TNR model wound up making a very small amount on three trades. The reversion action worked well in the morning, but the afternoon swoon, with no reaction rallies, hurt us a bit. Tomorrow we are calling for a Trending day in ES and a neutral day in NQ.Today's trades: Entry Entry Exit Exit Entry Time Price Exit Time Price Contracts P/L Buy 10:00 1264.50 ES Sell 11:05 1267.25 1 $121.50 Sell 11:05 1267.25 ES Cover 13:45 1261.50 1 $271.50 Buy 13:45 1261.50 ES Sell 16:00 1255.75 1 -$303.50 Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 -$1,075 60 @KC.P -1 $1,956 36 @FV.P -4 $5,613 117 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $8,005 69 @JY.P -1 -$175 1 @GC.P 0 $0 0 @CD.P 0 $0 0 @SI.P 0 $0 0 @C.P 0 $0 0 @HG.P 2 $74,500 283 @W.P 0 $0 0 @LB.P -1 $3,881 42 @S.P -3 $25 1 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $92,730 Total Closed Trades -$4,506 Total $88,224 Good luck, and have a great evening![...]



0 Comments

2006-07-20T16:37:26.856-04:00

Today could easily wind up being an inflection point. Most of the interest rate sensitive sectors (bonds, equities, currencies) traced out substantial reversals after digesting Bernanke's remarks. Just looking at it in aggregate, it appears that the markets aren't taking Mr. Bernanke's inflation fighting credentials very seriously... If it was a staring contest between Bernanke and the market, Bernanke just blinked.We added two new positions today amid all the turmoil - we sold 3 contracts of September Corn short at the close (again) and we sold 1 contract of Japanese Yen short at the close. Those positions will be reflected in tomorrow's reports.Our TNR model was in neutral in both contracts today. Tomorrow we are looking for a reversion day in both contracts.Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 -$638 59 @KC.P -1 $1,450 35 @FV.P -4 $6,300 116 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $7,240 68 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 0 $0 0 @SI.P 0 $0 0 @C.P 0 $0 0 @HG.P 2 $83,700 282 @W.P 0 $0 0 @LB.P -1 $4,002 41 @S.P 0 $0 0 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $102,055 Total Closed Trades -$4,506 Total $97,549 Good luck, and have a great evening![...]



0 Comments

2006-07-19T09:18:36.996-04:00

We had some serious technical glitches today, so sorry for the late post... Bonds continued to show weakness for the second straight day, with worries about Bernanke's testimony to congress continuing to dominate. Crude and Gold were hit pretty hard despite the ongoing military action in Lebanon. This could be a buy the rumor, sell the news type of event (the knee-jerk buying on fears of a widening of the conflict, and then selling once the news is fully discounted).Just a bit more weakness in Soybeans and in the Japanese Yen could get us short those two markets in here.Our TNR model had a bad day, with three losing trades out of three. We are looking at a neutral day in both contracts for Wednesday.Today's trades: Entry Entry Exit Exit Entry Time Price Exit Time Price Contracts P/L Buy 09:40 1488.25 NQ Sell 10:15 1480.50 2 -$342.00 Sell 10:15 1480.50 NQ Cover 16:00 1483.00 2 -$132.00 Buy 09:45 1245.50 ES Sell 11:00 1238.75 2 -$707.00 Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 $456 58 @KC.P -1 $1,469 34 @FV.P -4 $7,738 115 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $8,035 67 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 0 $0 0 @SI.P 0 $0 0 @C.P 0 $0 0 @HG.P 2 $82,750 281 @W.P 0 $0 0 @LB.P -1 $3,749 40 @S.P 0 $0 0 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $104,197 Total Closed Trades -$4,506 Total $99,691 Good luck and have a great evening![...]



0 Comments

2006-07-17T18:55:09.480-04:00

Today was something of a reversal of Friday's moves. Investors seem to think that events in the middle east, while still alarming, aren't spiraling out of control as was feared going into the weekend. Notable moves today include sell-offs in Gold and Crude. There was some material weakness in the grains today again, particularly in Soybeans.Our TNR model was calling for a Trending day today, and we didn't see that. Tomorrow we are looking for a Trending day in both contracts.Today's Trades: Entry Entry Exit Exit Entry Time Price Exit Time Price Contracts P/L Buy 09:50 1481.00 Sell 15:15 1476.00 2 $(232.00) Sell 15:15 1476.00 Cover 16:00 1477.75 2 $(102.00) Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 -$450 57 @KC.P -1 $1,450 33 @FV.P -4 $6,550 114 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $10,150 66 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 0 $0 0 @SI.P 0 $0 0 @C.P 0 $0 0 @HG.P 2 $84,000 280 @W.P 0 $0 0 @LB.P -1 $3,837 39 @S.P 0 $0 0 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $105,537 Total Closed Trades -$4,506 Total $101,032 Good luck, and have a great evening![...]



0 Comments

2006-07-14T19:18:03.046-04:00

Not a bad end to the week - most of our core positions moved in our favor today, with the exception of bonds and Lumber. Crude had a big day again, but we are not involved (yet). The flight to quality bid continues to flow into US fixed income, the US dollar, and other safe havens. Our system equity is looking good, closing the week over at $105,000, and combined equity (Sytem B and TNR) is almost $115,000 - a 57% return on our capital so far this year!Monday could prove to be a memorable day in the markets if anything big happens in the Middle East. Lets all hope that things settle down over there soon.Our TNR model was looking for a reversion day in ES today, but instead we had another decent sized slide. We put on one trade, and were stopped out for a money management loss of -$652. As you can see from the chart, we are up over $8000 in the TNR model YTD.Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 -$575 56 @KC.P -1 $1,038 32 @FV.P -4 $6,238 113 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $11,050 65 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 0 $0 0 @SI.P 0 $0 0 @C.P 0 $0 0 @HG.P 2 $89,650 279 @W.P 0 $0 0 @LB.P -1 $3,331 38 @S.P 0 $0 0 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $110,731 Total Closed Trades -$4,506 Total $106,226 Good luck, and have a great weekend![...]



1 Comments

2006-07-13T16:12:01.766-04:00

Israel-Lebannon conflict, Mumbai bombings, Iranian nukes and North Korean Missiles have all caused some uneasiness in the global financial community, and we are seeing not only a bit of a run on the energy complex, but a bit of a flight to quality bid to US treasuries as well. The uneasiness probably has had an impact on equity prices as well, with another difficult day for the U.S. indices.Our TNR model wound up making $256 on 7 trades today (5 ES and 2 NQ). The morning chop worked well for our reversion day setup, but the long slide in the afternoon stopped us out of our positions. Tomorrow we are looking for a Reversion day in ES and a neutral day in NQ.Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 -$388 55 @KC.P -1 $119 31 @FV.P -4 $6,675 112 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $9,775 64 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 0 $0 0 @SI.P 0 $0 0 @C.P 0 $0 0 @HG.P 2 $87,850 278 @W.P 0 $0 0 @LB.P -1 $3,452 37 @S.P 0 $0 0 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $107,483 Total Closed Trades -$4,506 Total $102,978 Good luck, and have a great evening![...]



0 Comments

2006-07-12T16:48:09.086-04:00

A mixed bag today, with dollar strength and bond weakness in the morning. Bonds strengthened througout the day, however, and we finshed just below yesterday's levels. Equities had a tough time all day today. Crude finished above $75 again, and corn continued to soar (some energy related, some drought related). Our TNR model was in Neutral today, so no trades. Tomorrow we are looking for a reversion day in both ES and NQ.Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 $19 54 @KC.P -1 $400 30 @FV.P -4 $7,238 111 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $8,725 63 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 0 $0 0 @SI.P 0 $0 0 @C.P 0 $0 0 @HG.P 2 $87,275 277 @W.P 0 $0 0 @LB.P -1 $2,363 36 @S.P 0 $0 0 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $106,019 Total Closed Trades -$4,506 Total $101,514 Good luck, and have a great evening![...]



0 Comments

2006-07-11T16:30:11.516-04:00

The bombings in India apparently had some kind of "flight to quality" bid for US Treasuries today. That eventually found its way to the equity markets, with US indexes reversing some decent sized mid-day losses, to end the day on the plus side. Crude and the precious metals also benefited from global turmoil...The continued sell-off in the Canadian Dollar has prompted us to liquidate our position, selling 3 contracts today at the close. That position will be reflected in tomorrow's reports.Our TNR model had a nice day, getting short in the morning, and reversing soon enough to catch the afternoon rally. We made $1011 on two trades. For tomorrow we are looking at a Neutral day in both ES and NQ.Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 $19 53 @KC.P -1 $456 29 @FV.P -4 $7,238 110 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $10,315 62 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 3 $130 57 @SI.P 0 $0 0 @C.P 0 $0 0 @HG.P 2 $85,775 276 @W.P 0 $0 0 @LB.P -1 $1,857 35 @S.P 0 $0 0 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $105,790 Total Closed Trades -$4,436 Total $101,354 Good luck, and have a great evening![...]



0 Comments

2006-07-10T17:04:19.110-04:00

The precious metals were off, but Copper rallied today - along with grain prices. Other than that, not much to report... Crude was off, NatGas was up, Coffee and Cotton rallied, Lumber was off... The Dow was up, the Nasdaq was off... ho hum - sounds like a lazy summer day to me.Our TNR model was looking for a reversion day in NQ. We caught the opening pop and drop, but we then hit our money management stop as the market continued to tank throughout the day. We lost a total of -$204 on two trades. Tomorrow we are calling for a Trending day in ES and a neutral day in NQ.Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 $425 52 @KC.P -1 $119 28 @FV.P -4 $7,738 109 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $10,840 61 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 3 $1,630 56 @SI.P 0 $0 0 @C.P 0 $0 0 @HG.P 2 $83,150 275 @W.P 0 $0 0 @LB.P -1 $2,011 34 @S.P 0 $0 0 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $105,912 Total Closed Trades -$4,436 Total $101,477 Good luck and have a great evening![...]



0 Comments

2006-07-07T16:19:37.846-04:00

The non-farm payroll numbers certainly fooled a few people this morning... weak number, equities rise, right?! Whoops - I guess a weak number is now means bad for the economy so we sell off. What do you mean you didn't get the memo?Overall, today was perhaps a bit deflationary - we did not have a single physical commodity that we track that rose in price today (currencies, bonds, etc are not physical commodities). Everything sold off. Let's hope that continues into next week!Our TNR model stunk today - we were calling for a trending day in both contracts, and although we did trend, we were whipsawed out of our positions for a net total loss of $-1,122. Monday we are looking for a neutral day in ES and a reversion day in NQ.Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 $456 51 @KC.P -1 $381 27 @FV.P -4 $7,738 108 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $11,470 60 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 3 $4,450 55 @SI.P 0 $0 0 @C.P 0 $0 0 @HG.P 2 $81,400 274 @W.P 0 $0 0 @LB.P -1 $1,417 33 @S.P 0 $0 0 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $107,312 Total Closed Trades -$4,436 Total $102,877 Good luck, and have a great weekend![...]



0 Comments

2006-07-06T21:44:41.513-04:00

Bonds closed around where they opened yesterday, with most likely a lot of position squaring ahead of tomorrow's non-farm payroll report. Not a whole lot of movement anywhere else, with the exception of the metals. Gold and Silver continued their rallies, and Copper caught a major updraft, finishing at it's highest level since the end of May.The grain rally has stopped us out of our short Corn position. We covered our 5 contracts at the close. That position will be reflected in tomorrow's reports.Our TNR model was calling for a Reversion day in NQ, and we had one winner before being stopped out for a money management stop. Net total losses on the day were -$351. Tomorow we are looking for a Trending day in both ES and NQ. Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 $1,175 50 @KC.P -1 -$763 26 @FV.P -4 $8,550 107 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $9,550 59 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 3 $4,600 54 @SI.P 0 $0 0 @C.P -5 -$2,888 14 @HG.P 2 $84,875 273 @W.P 0 $0 0 @LB.P -1 $1,131 32 @S.P 0 $0 0 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $106,231 Total Closed Trades -$1,348 Total $104,884 Good luck, and have a great evening![...]



0 Comments

2006-07-05T18:26:13.040-04:00

Bonds melted down on the stronger than expected ADP payroll data, which indicates stronger than expected non-farm payroll data on Friday. Fed Fund Futures have dramatically increased the implied liklihood of another Fed tightening in August as a result of that data. Higher rates hit the equities markets, along with higher oil prices. All in all, a messy day in the US financial markets.Our TNR model also didn't do very well, calling for a trending day, but not taking advantage of the early sell-off until too late. Net total, we lost $786 on 3 trades. For Thursday, we are calling for a Reversion day in NQ and a Neutral day in ES.Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 $1,675 49 @KC.P -1 -$913 25 @FV.P -4 $9,113 106 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $9,100 58 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 3 $5,020 53 @SI.P 0 $0 0 @C.P -5 -$1,513 13 @HG.P 2 $74,225 272 @W.P 0 $0 0 @LB.P -1 $1,142 31 @S.P 0 $0 0 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $97,850 Total Closed Trades -$1,348 Total $96,502 Good luck, and have a great evening![...]



0 Comments

2006-07-03T17:37:55.823-04:00

It was a fairly quiet, low volume day prior to tomorrow's independence day holiday. Metals were mixed, bonds were off, equities were up. The grains continued their rally. Energy was mixed. Let's see what the second half of the week brings us.Today's rally in Soybeans hit our stop - we sold all three contracts at the close. That position will be reflected in Wednesday's reports.Our TNR model was calling for a trending day today, but we did not take any trades. Wednesday we are looking for a trending day again in both contracts. Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 $613 48 @KC.P -1 -$931 24 @FV.P -4 $7,800 105 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $9,505 57 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 3 $5,710 52 @SI.P 0 $0 0 @C.P -5 -$2,513 12 @HG.P 2 $71,775 271 @W.P 0 $0 0 @LB.P -1 $1,417 30 @S.P -3 -$4,963 5 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $88,413 Total Closed Trades $3,815 Total $92,228 Good luck, and have a great holiday![...]



1 Comments

2006-06-30T19:25:31.366-04:00

The bond market has found a new life, deciding that Bernanke and company are serious about the possibility of ending the tightening cycle sooner rather than later. The Dollar has of course done a complete about face in the past 36 hours, getting hammered again and again. Most commodities are higher if for no other reason than a weaker dollar buys less on the global markets. The precious metals in particular have had huge moves yesterday and today.How much of these rallies are short covering vs. a new perspective on valuations? I don't know, but I expect to find out after the 4th of July holiday. If commodities can stay up at these levels through the end of next week, we just might have another commodity bull on our hands...Our TNR model was looking for a reversion day today, but other than some morning chop we didn't get much action. We ended up losing $889 on two trades (one ES, one NQ). The model is calling for a Trending day on Monday in both ES and NQ.As you can see from the charts on the right, our TNR model has finally found itself in sync with the market this month. We end the month at over $10K in equity with TNR, and better than $90K in the System B model - that represents a 50% return on invested capital, with half the year still to go!Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 $456 47 @KC.P -1 -$31 23 @FV.P -4 $7,675 104 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $8,050 56 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 3 $3,670 51 @SI.P 0 $0 0 @C.P -5 -$638 11 @HG.P 2 $71,775 271 @W.P 0 $0 0 @LB.P -1 $1,802 29 @S.P -3 -$3,763 4 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $88,997 Total Closed Trades $3,815 Total $92,812 Good luck, and have a fantastic 4th of July weekend![...]



0 Comments

2006-06-29T18:54:41.966-04:00

The markets sure seemed to like the Fed announcement today! Equities had a monster rally, Bonds were up, Crude was up, everything is coming up roses! The dollar of course got hit pretty hard on lower rate expectations - everything seems to be focused on interest rate differentials in that market right now (which is not always the case). Our grain positions haven't been looking very good over the past few days - we need some good weather in the nation's breadbasket to help us with these crops!Finally, Copper had it's strongest day in several months. Technical covering, merger talk from earlier in the week, and a hope that the Fed may be done soon all helped to put a nice bid to the market.Our TNR model did OK today - we were long ES going into the Fed announcement, and were able to ride the wave all the way to our 4:00 exit, for a gain of $1747 on two contracts. Unfortunately, we were stopped out of our NQ long around 1:00, and missed that rally. Even so, net gains on the day were $1185. Tomorrow we are looking for a reversion day in both contracts.Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 $1,363 46 @KC.P -1 $813 22 @FV.P -4 $8,613 103 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $8,800 55 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 3 $5,440 50 @SI.P 0 $0 0 @C.P -5 $925 10 @HG.P 2 $70,075 270 @W.P 0 $0 0 @LB.P -1 $2,572 28 @S.P -3 -$2,038 3 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $96,562 Total Closed Trades $3,815 Total $100,377 Good luck, and have a great evening![...]



0 Comments

2006-06-28T17:27:18.806-04:00

We had kind of an interesting day today - many of our positions started out looking pretty grim - Copper down, CAD down, Lumber up, Bonds up... but then things turned around and we finished the day with some nice gains.Our TNR model was in neutral today, but we are looking for a trending day in both contracts tomorrow. It could get interesting with a bit more uncertainty around the Fed meeting (25 or 50 basis points).Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 $2,019 45 @KC.P -1 $719 21 @FV.P -4 $9,675 102 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $7,990 54 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 3 $2,530 49 @SI.P 0 $0 0 @C.P -5 $1,550 9 @HG.P 2 $63,375 269 @W.P 0 $0 0 @LB.P -1 $2,451 27 @S.P -3 -$1,550 2 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $88,759 Total Closed Trades $3,815 Total $92,574 Good luck, and have a great evening![...]



0 Comments

2006-06-27T16:14:26.276-04:00

What a difference a day makes! Everything that seemed to be going right yesterday moved the exact opposite direction today. Grains had a strong showing thanks to some revised weather reports showing dry growing conditions to persist in the intermediate term. Bonds were up on weaker than expected housing data, and Copper fell along with the rest of the metals. The metals had a very poor showing, opening up and then collapsing after Gold failed to breach the all important $600/oz level.Our TNR model was calling for a Trending day in both ES and NQ, and that is what we saw. Our NQ model was whipsawed a bit at the end of the day, but we managed to make a total of $877 on one trade in ES and 3 in NQ. Tomorrow we are calling for a Neutral day in both contracts.Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 $1,581 44 @KC.P -1 $1,619 20 @FV.P -4 $9,113 101 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $9,025 53 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 3 $2,650 48 @SI.P 0 $0 0 @C.P -5 $1,738 8 @HG.P 2 $58,325 268 @W.P 0 $0 0 @LB.P -1 $1,472 26 @S.P -3 -$1,475 1 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $84,047 Total Closed Trades $3,815 Total $87,862 Good luck, and have a wonderful evening![...]



0 Comments

2006-06-26T21:09:48.316-04:00

Corn and Soybeans got hit pretty hard today on the back of favorable weather over the weekend, and good forecasts going forward. Energy was up, and Cotton and Corn were down. Cotton has certainly started looking like it wants to trend down again, after almost washing us out of our trade about 10 days ago.The weakness in Soybeans has prompted us to (again) sell short 3 contracts at today's close. That trade will be reflected in tomorrow's reports.Our TNR model was looking for a trending day in both contracts. We wound up dropping -$234 on two trades. Tomorrow we are again calling for a Trending day in both contracts.Our open positions: Contract ctrcts Open P/L days on Contract ctrcts Open P/L days on @US.P 0 $0 0 @NG.P 0 $0 0 @TY.P -2 $1,956 43 @KC.P -1 $1,900 19 @FV.P -4 $9,488 100 @SB.P 0 $0 0 @EC.P 0 $0 0 @CT.P -3 $9,100 52 @JY.P 0 $0 0 @GC.P 0 $0 0 @CD.P 3 $2,320 47 @SI.P 0 $0 0 @C.P -5 $2,300 7 @HG.P 2 $65,675 267 @W.P 0 $0 0 @LB.P -1 $1,142 25 @S.P 0 $0 0 @ES 0 $0 0 @CL.P 0 $0 0 @YM 0 $0 0 @HO.P 0 $0 0 @NQ 0 $0 0 Total Open Trades $93,881 Total Closed Trades $3,815 Total $97,696 Good luck, and have a great evening![...]