e-mini S&P Daytrading Journal

BenMillane · Jun 29, 2006

Market Commentary and System Update for June 28th, 2006
The only report this morning were the Crude Oil Inventories at 9:30am CST.They report an unexpected drawdown in weekly gasoline inventories and a larger than expected decline in crude oil supplies. Therefore oil is now trading at $72.50 a barrel.The higher oil prices let the market spike down, but at around noon we were trading around the unchanged mark again. In the afternoon prices started to move up, probably driven by Hedge Fund managers in order to polish their portfolio results, since there are only 2 days left in the second quarter.But look at the daily charts: Since everybody is focusing on the Fed meeting, the market probably remains in a typical holding pattern until 1:15pm CST tomorrow.This morning the market was too quiet for our trading systems to trade. Both systems <a target="_blank" href="http://www.rockwelltrading.com/system/eagle_pro.php">EaglePro</a> and <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart</a> placed trades, but the market never went far enough to fill our orders.

brownsfan019 · Jun 29, 2006

Ben - how did Mon and Tue of this week do?

Are we allowed to ask questions here? They seem to be ignored.

BenMillane · Jun 30, 2006

Hi Brownsfan,Both trading systems didn't trade on Monday as there wasn't enough volatility during the first market hours. EaglePro realized a small profit on Tuesday (+$25) while SmartStart got stopped out later that day with a $400 loss.Brownsfan, for further questions please do not hesitate to contact us directly at: <a href="www.support.rockwelltrading.com">www.support.rockwelltrading.com</a> - we host a continously growing knowledge base :-)

BenMillane · Jun 30, 2006

Is it finally over?It seems that the Fed may finally take a breather after two years of interest rate increases.As expected, the Fed raised rates another 1/4% to 5.25%, representing the seventeenth consecutive rate hike since its first bump in June 2004. Higher rates obviously aren't good news for stocks and the language of the policy statement was essentially the same, but the statement says that "inflation expectations remained contained" and that "the moderation in the growth of aggregate demand should help to limit inflation pressures over time". These comments gave investors hope thet the Fed may be inclined to pause at the next meeting in August.Therefore the stock market ralied as soon as the news hit the wires.What else happened today?This morning we had two economic reports: <ul><li>GDP - Final at 7:30am and</li><li>Initial Claims at 7:30am</li></ul>The final read on Q1 GDP rose to 5.6%, matching economists' expectations. Initial claims rose 4K to 313K (consensus 310K). However, the FOMC decision was the focal point today, and therefore neither report has had much influence on trading early this morning.In the first 30 min. of trading the market was moving up. Since the second quarter is coming to a close tomorrow, some end-of-the-quarter portfolio rebalancing/short covering is mainly responsible for the buying efforts: Hedge Fund managers try to drive up prices to polish their Q2 portfolio results. But this rally was short-lived, and at around noon the market was trading around the opening price. After the short 5-point rally of the hedge fund managers our trading systems <a target="_blank" href="http://www.rockwelltrading.com/system/eagle_pro.php">EaglePro</a>
and <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart</a> went short, andSmartStart realized a 3.5 point profit (=$175). EaglePro had a more ambitious profit
target of 5.25 points, and prices came very close. But then the Fed policy statement came out and the system got stopped out. It seems that now the uncertainty of the past couple of weeks is over and the markets should calm down and come back to normalcy.

BenMillane · Jun 30, 2006

Market Commentary and System Update for June 30th, 2006
This morning four economic reports were released:<ul><li>Personal Income at 7:30am CST</li><li>Personal Spending at 7:30am CST</li><li>Mich Sentiment (rev.) at 8:50am CST</li><li>Chicago PMI at 9:00am CST</li></ul>The economic data is good:Both personal income and spending for May were up 0.4%,  versus expectations for increases of 0.2% and 0.4%, respectively. This gave the stock market a short boost in the opening.Later the revised consumer sentiment report from the Univ. of Michigan checked in at 84.9.  That was above the consensus estimate of 82.5 and the prior reading of 82.4. But It has had little effect on trading activity. Overall it was a boring day: The market was trading in a tight trading range with low volume, since participants were in vacation-mode ahead of the Fourth of July holiday.  As a reminder, the stock market is open Monday, but will close early at 1:00 pm ET and will remain closed through the Fourth of July holiday (see <a target="_blank" href="http://www.cme.com/trading/res/cch/2006independence_day828.html">http://www.cme.com/trading/res/cch/2006independence_day828.html</a>). The last half hour of the trading session became a little bit more interesting as the Russell indexes were rebalanced: Prices were moving all over the place, but the market closed at the unchanged mark. Our trading system <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">EaglePro</a> placed 2 trades today for a total profit of $275.<a target="_blank" href="http://www.rockwelltrading.com/system/smartstart.php">SmartStart</a> placed only one trade, and we closed it with a $50 loss before the market started to react crazy to the rebalancing of the Russell indexes.Have a great weekend.

BenMillane · Jul 4, 2006

Market Commentary and System Update for July 3rd, 2006This morning two economic reports were released:<ul><li>Construction Spending at 9:00am CST</li><li>ISM Index at 9:00am CST</li></ul>Today's economic data suggested there has been a moderation in economic growth.  The ISM Index slipped to 53.8 in June (consensus 55.0) while construction spending declined 0.4% in May (consensus +0.2%). Today's releases are somewhat good news given that it is the Fed's view that a moderation in economic growth should help to limit inflation pressures over time.  Presumably, reports like this will raise the Fed's comfort level and pause at the August meeting. This news let the e-mini S&P move north, and the abbreviated trading session ended with a 6 point gain. Today's trading might have been influenced by "bargain hunters". It is not all that uncommon to see a new quarter start on a winning note, particularly when the market is coming off a quarter that saw some significant selling pressure and created a sense that there are some bargain hunting opportunities to be had. Keep in mind that the markets will remain closed through the Fourth of July holiday (see <a href="http://www.cme.com/trading/res/cch/2006independence_day828.html" target="_blank">http://www.cme.com/trading/res/cch/2006independence_day828.html</a>).Our trading systems <a target="_blank" href="http://www.rockwelltrading.com/system/eagle_pro.php">EaglePro</a> and <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart</a> didn't place any trades today, since the markets remained in a tight 3-point trading range in the first 90 min of trading.  
Happy 4th of July!

brownsfan019 · Jul 4, 2006

Quote from BenMillane:

Hi Brownsfan,Both trading systems didn't trade on Monday as there wasn't enough volatility during the first market hours. EaglePro realized a small profit on Tuesday (+$25) while SmartStart got stopped out later that day with a $400 loss.Brownsfan, for further questions please do not hesitate to contact us directly at: <a href="www.support.rockwelltrading.com">www.support.rockwelltrading.com</a> - we host a continously growing knowledge base

Ben - thanks for the reply. I assumed that if you are going to post updates at ET, then members of ET can ask questions here.

I had another question that was not answered - would you say the gains/losses since you've posted are typical?

Thanks.

JimmyJam · Jul 4, 2006

Quote from brownsfan019:

Ben - thanks for the reply. I assumed that if you are going to post updates at ET, then members of ET can ask questions here.

I had another question that was not answered - would you say the gains/losses since you've posted are typical?

Thanks.

... and btw, could you post a spreadsheet with the cummulative results BenMillane since starting the thread?

Thanks.

If you want a listing of automated trading systems, brownsfan, FuturesTruth has a whole listing of systems: www.futurestruth.com.

I'm not too sure I like this "make and give it back" routine myself.

Later,

Jimmy Jam

JimmyJam · Jul 4, 2006

Quote from brownsfan019:

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?

Hey brownsfan019, thanks for your probing questions.

I put together an analysis of the two systems' (SmartStart and EaglePro) performance for the month of June 2006 based on the Profit/(Loss) numbers posted on this thread.

It seems that EaglePro, with a sufficiently tighter stop might be a good performer (but I wouldn't put my money on it).

Whereas SmartStart, well, the numbers pretty much speak for themselves. You've probably already crunched the numbers for both systems, which is why you posed the question in the first place, but I wanted the information available to anyone who might choose to peruse the thread.

Later,

Jimmy Jam

porgie · Jul 4, 2006

putting the news reports in the middle of your trading is bad....daytrading emini's with news will soon be obvious to you that it is more harmful than helpful........either u have a mechanical system or u lose in the end.

e-mini S&P Daytrading Journal

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