e-mini S&P Daytrading Journal

BenMillane · Jun 14, 2006

Market Commentary and System Update for June 13th, 2006
This morning there are five economic reports:<ul><li>PPI</li><li>Core PPI</li><li>Retail Sales</li><li>Retail Sales ex-auto and</li><li>Business Inventories</li></ul>The data is mixed: <ul><li>Total PPI rose a less than expected 0.2% (consensus 0.4%) in May, </li><li>The more closely watched core PPI (ex-food and energy) rose a larger than expected 0.3% (consensus 0.2%) </li><li>May retail sales rose 0.1% and </li><li>Retail sales, ex-autos, rose 0.5%, </li></ul>Retail sales are both relatively in line with forecasts, which underscores that consumer spending remains solid but is not growing too fast to raise inflation concerns. But the market remains extremely nervous about tomorrow's Core CPI Report. And you can see the nervousness of the market: Shortly after the opening the market spiked up 12 points and immediately retraces back to the opening price. Then in the afternoon tradin session the market drops 12 points and recovers almost immediately, only to drop another 15 points going into the close. Today Oil prices fell 2.5% to three-week low below $69 per barrel and gold recorded biggest decline (-7.2%) in 15 years. But even the good news from the commodities front couldn't stop the market from moving down again, and we face the seventh consecutive down-day. Our trading system <a target="_blank" href="http://www.rockwelltrading.com/system/eagle_pro.php">EaglePro</a> went short this morning, and the first trade was stopped out during the sudden run-up ($-400). The second trade was closed profitably ($212.50) and we recovered most of the losses of the first trade. EaglePro finishes the day -$187.50. Shortly after the opening <a target="_blank" href="http://www.rockwelltrading.com/system/smartstart.php">SmartStart</a> went short, too, and got stopped out when the market spiked up. The system tried to enter a second time to recover some of the losses, but the late morning the market lost its volatility and the orders were cancelled, so the day ended -$400 for SmartStart.

BenMillane · Jun 14, 2006

Market Commentary and System Update for June 14th, 2006
As expected, today's trading was heavily influenced by the CPI Report that was released at 7:30am CST this morning.Total CPI rose 0.4% in May, matching the consensus, but the closely watched core rate (ex-food and energy) rose a larger than expected 0.3% (consensus 0.2%) for the third straight month. So it seems that the Fed will have to keep raising rates to fight inflation. That will be the 17th consecutive raise of interest rates.Overall trading was quite choppy today: At first prices dropped when the CPI report was released, but then they quickly recovered. For most of the day trading has been sideways, but in the close finally bulls took over and the market closed close to its best levels. It seems that a worst case scenario was already priced into the market. After all, the Dow, SnP 500 and Nasdaq were down a hefty 6.3%, 5.3% and 7.0%, respectively, since the last disappointing read on core CPI (April) rocked stocks across the board on May 17th. Not even more hawkish commentary from two more Fed officials -- Fed Governor Bies and Dallas Fed President Fisher -- and a Beige Book report showing some signs of a slowdown were enough to prevent bargain hunters from thinking that a short-term bottom has been put in place.Our <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">trading system EaglePro</a> did three trades today; all of them winner. The total profit for EaglePro was $887.50. The <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">trading system SmartStart</a> did well too and realized a profit of 3.75 points (=$175) on a short trade this morning.

BenMillane · Jun 16, 2006

Market Commentary and System Update for June 15th, 2006
We have a bunch of economic reports today, most of them were released before the markets opened:<ul><li>Initial Claims (7:30am CST)</li><li>NY Empire State Index (7:30am CST)</li><li>Net Foreign Purchases (8:00am CST)</li><li>Capacity Utilization (8:15am CST)</li><li>Industrial Production (8:15am CST)</li><li>Philadelphia Fed (11:00am CST)</li></ul>And again the data was mixed:<ul><li>Initial claims fell 8K to 295K (consensus 320K) </li>
<li>June NY Empire Index checked in at 29.0 (consensus 11.0) </li><li>May Industrial Production fell 0.1% (consensus 0.2%)  and</li><li>Capacity Utilization unexpectedly fell to 81.7% (consensus 82.0%)</li><li>The Philadelphia Fed Index fell to 13.1 in June, from 14.4 in May, but that was still strong. </li></ul>All major foreign markets are rebounding today, and that inspired the e-mini S&P, too. In the afternoon Fed Chairman Bernanke said in a prepared speech that "the economy has shown underlying strength and resiliency despite the drag from higher energy costs". By also reassuring investors that "in the long-term, the impact of higher energy prices will probably be manageable," traders have used his testimony as the latest justification to keep on buying. So maybe the market really found its bottom today. Prices ralllied into the close and closed 20 points higher than they opened this morning. Both our trading systems went short this morning, and until Bernanke's speech they were trading around the break-even point. As we all know from the past week, Bernanke's comments could have sent the market in either direction. Today it was "up", and therefore both our trading systems got stopped out.

BenMillane · Jun 16, 2006

Market Commentary and System Update for June 16th, 2006
Today was a quadruple-witching options expiration day, so we saw increased volatility and volume since traders drove prices all over the place.At 8:50am CST the preliminary reading of the Mich Sentiment was released and checked in with a stronger than expected reading of 84.2 (consensus 79.0). But this didn't impress the market, since there are concerns that stocks may have gone up too far too fast: Yesterday we had the biggest one-day rally in more than a year and the strongest two-day rally in two years: Since Wednesday then SnP 500 is up 2.7% and the Nasdaq gained 3.5%. Overall the market was struggling to find any directio today, and bounced back and forth. Our <a target="_blank" href="http://www.rockwelltrading.com/system/eagle_pro.php">trading systemEaglePro</a> already realized a winner this morning and made $175 in profits. The second trade turned out to be a "wash-trade" and we exited at our entry price. The <a target="_blank" href="http://www.rockwelltrading.com/system/smartstart.php">trading systemSmartStart</a> went long, too, and we realized $137.50 in profits. Please note: On our tracking servers both trading systems  SmartStart's and EaglePro's made an additional long trade resulting in a profit, but since they were filled at the limit price you might or might not have received the fills. Unless prices move through the limit order we will not count this trade in our monthly statistics. That's our way of being as honest as possible. Many other system vendors would consider these trades being filled. Have a great weekend.

BenMillane · Jun 19, 2006

Market Commentary and System Update for June 19th, 2006
There were no economic reports today, but at 8:30am CST Atlanta Fed President Guynn was speaking about the economic outlook. He observed that growth is starting to moderate and that core inflation is "beyond an acceptable range." His comments and a lack of conviction today let sellers take control again, and after a positive opening the market slipped into negative territory again.Today's report from the National Association of Home Builders (NAHB) showing that its June index of the housing market fell to an 11-year low drove the market further down. Currently the market is extremely nervous, and this nervousness and associated volatility of the market is extremely tough to trade. 
You probably noticed that even "big shots" in the industry are struggling: "Hedge fund managers gave up about half of this year's market gains in May, investors said. (Source: Bloomberg)".Just think about it:<ul><li>In May Gold reached a 26-year high and traded at $735, but it retraced almost as quickly and four weeks later Gold is trading around $570.</li><li>Interest rates are probably raised for the 17th time in a row.</li><li>Oil is at record highs, trading between $70 and $80 a barrel.</li><li>The dollar is trading at a one-year low against the Euro.</li><li>The NAHB housing index drops to 11-year low.</li><li>In May the Dow was close to its all-time high.</li><li>Last week we had the biggest two-day rally in the day for the past two years.</li><li>... and the list goes on.</li></ul>
If you followed this market commentary in the past couple of weeks, you saw superlatives all over the place. It's not a single factor, but the sum of several factors that make the markets as volatile as they are. And this volatility will continue until there is a clear sense of the Fed's ultimate stopping point with its tightening cycle. The next Fed meeting is scheduled for June 28/29, but it is almost certain that they will raise the interest rates again. It seems that we have to wait a few more weeks before we finally get some clear signals from the Fed. And the recent developments in Afghanistan, Iraq, Iran and North Korea add their share to the nervousness of the investors. Again a superlative: The USA was never involved in as many wars as they are right now. Therefore it's no surprise that we haven't seen markets like this before. Our <a target="_blank" href="http://www.rockwelltrading.com/system/eagle_pro.php">trading systemsEaglePro</a> and <a target="_blank" href="http://www.rockwelltrading.com/system/smartstart.php">SmartStart</a> went long this morning, and both got stopped out with a $400 loss each when the market slipped.

BenMillane · Jun 20, 2006

Market Commentary and System Update for June 20th, 2006
This morning we had two economic reports:<ul><li>Building Permits and</li><li>Houssing Starts</li></ul><fontsize="2" face="Arial, Helvetica, sans-serif">Both reports were released at 7:30am CST,  one hour before the markets opened. May Housing Starts rose 5.0% to 1.95 mln units (consensus 1.87 mln), while Building Permits fell 2.1% to 1.93 mln units, slightly below an expected 1.95 mln. And again the market is searching for clues whether the Fed has gone too far with its tightening efforts or not. This morning investors find some indication that maybe they didn't, since there is  an increase in housing starts after three months of declines. At around noon oil prices were trading at session lows at $69 a barrel. This spurred more buying interest and stocks were reaching new highs. But then again the market went down almost 10 points. In the afternoon we saw lackluster trading, and the market closed 0.75 points above the open this morning. <a target="_blank" href="http://www.rockwelltrading.com/system/smartstart.php">SmartStart</a> established a short position shortly after the opening and went for a quick gain of $175. Our more aggressive <a target="_blank" href="http://www.rockwelltrading.com/system/eagle_pro.php">trading system EaglePro</a> went short this morning with two contracts. In the afternoon we were lacking direction and prices could have move anywhere. So the system closed the first position with a $125 loss. With the remaining position we were waiting for the market to move further down, but since prices continued to lack direction we exited the trade 30 min. later for a small loss of $75. Going into the close the market moved down, but at this time it was a gamble since based on the chart formations it could have gone in either direction. And as you can see, the market did move down, but then bounced back.

BenMillane · Jun 22, 2006

Market Commentary and System Update for June 21st, 2006
This morning there was only one report:<ul><li>Crude Oil Inventories at 9:30am CST</li></ul> A bunch of strong earnings reports dictated the market direction shortly after the opening:<ul><li>Morgan Stanley more than doubled its Q2 bottom line and</li><li>FedEx  grew Q4 profits by 27%</li></ul>Further Ford's CEO stated that the company shall recturn to profitability on 2008. All these news helped the market to start on a positive note. At around noon investors pushed all inflation concerns aside and focused on the good company news, and the market continued to climb up. Especially the impressive growth of FedEx profits helped pushing the market higher: Since FedEx was able to dramatically increase its profits despite higher gas prices for its entire fleet, investors now think that higher energy prices do not have such a large impact on economy as feared.. So even higher oil prices at $70.25 a barrel (up 1.4%) didn't affect the market today as it usually does: After FedEx earnings report nobody seems to care about higher energy prices any more, and the e-mini S&P closed 9.5 points higher after climbing up more than 15 points today. Both our trading systems <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart</a> and <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">EaglePro</a> went short this morning, expecting a pull-back after the short start, but both systems got stopped out.

BenMillane · Jun 22, 2006

Market Commentary and System Update for June 22nd, 2006
Today we had two economic reports: <ul><li>Initial Claims at 7:30am CST</li><li>Leading Indicators at 9:00am CST</li></ul>Initial claims rose 11K to 308K (consensus 305K), leaving the 4-week average at 311,250. The May index of leading indicators plunged 0.6% -- the strongest decline since the hurricane-driven dive in September. There were no notable earnings reports today, and so investors focused (again) on rising oil prices (up 0.6% to $70.75 a barrel this morning) and concerns of rising interest rates. The increase in initial claims and the decline in the leading indicators drove prices down. But today we didn't see a lot of volume, and in the afternoon bargain hunters started to move prices up. This didn't last long, and in the last hour of trading  prices were in a tight three-point range. Overall it was a very sluggish trading session. Our <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">trading systems Eagle Pro</a> and <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmatStart </a>went long this morning, and in the afternoon we closed the positions with small losses: SmartStart lost only $50, and EaglePro, which entered the market with two postions this morning, closed out with a $225 loss, well below the predefined stop loss.

brownsfan019 · Jun 22, 2006

Ben - would you say the recent amount of stop losses are typical and to be expected? It's hard to tell on some of them as the $ amounts are not listed, but at first glance it looks like there has been some good losses here.

Just curious if you are happy with the performance and if someone were to purchase a subscription, is this to be expected?

BenMillane · Jun 23, 2006

Market Commentary and System Update for June 23rd, 2006 
This morning we had just one economic report:<ul><li>Durable Orders at 7:30am CST</li></ul>Unfortunately May durable goods orders unexpectedly fell 0.3% (consensus +0.4%). That's quite a shock, since investors hoped that the report will show that the economy can keep growing in a rising interest rate environment. The decline in durable good orders destroyed that hope, and in the first 30 min of trading the market is heading south again. Shortly after the lunch break the bulls make an effort to drive prices up, but the rally is short-lived: In the afternoon prices dropped back to the opening price. An eventless Friday, especially during summer months, invites increased volatility, and that's exactly what happened today. Overall another sluggish trading day, and the market closes 1 point below yesterday's close. Our <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">trading system Eagle Pro</a> went long this morning and realized a quick gain of $100. <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmatStart</a> went short this morning and got stopped out by 1 tick when bulls tried to drive prices up. Enjoy your weekend.