e-mini S&P Daytrading Journal

JimmyJam · Jul 13, 2006

Quote from BenMillane:

Both our trading system  <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 long this morning, and the stop loss of both systems was triggered avoiding the worst when the market continued to plunge.

You put a lot of work into these posts.

You also need to put some work into posting the Wins and Losses in a consistent fashion so we can accurately determine the real profitability of the systems (not: we had 3 winning days for a total of $2,500 for both systems, while discounting the previous 2 weeks of breaking even/losses totalling $2,975).

Best,

JJ

BenMillane · Jul 14, 2006

Market Commentary and System Update for July 13th, 2006
Whow, what a day. The e-mini S&P dropped another 21 points! This morning things didn't look too bad. Admitted, the market started on a negative note, but for the first 4 hours of trading the market traded around the opening price. But then Oil prices soared to an all-time high near $77 per barrel amid escalating tensions in Middle East and explosions on Nigerian pipelines. And mounting geopolitical concerns in the Middle East added to the nervousness: World powers are only a day away from agreeing to send Iran back to the U.N. Security Council for possible punishment over its nuclear ambitions, and the escalating unrest between Israel and Lebanon shook the confidence of investors, so in the afternoon session the market dropped like a rock. However, our trading systems <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">EaglePro</a> and <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart</a> did very well: <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart</a> went long this morning and realized $175 in profits, and <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">EaglePro</a> made $350. :-)

steve46 · Jul 14, 2006

Well I have had enough. This is obviously a marketing train wreck in the making

No responses to very simple questions. Strange inconsistencies in reporting results and frankly crappy performance of these mystery systems.

I will be crossing you folks off my list at this point. But hey, you feel free to continue with your fantasy. Its your nickel.

Steve

BenMillane · Jul 15, 2006

Hi Steve, Hi JimmyJam, I had a bunch of meetings yesterday and only took care of the updated post.I'm going to add a "month to date" figure attached to every day's market comment.In addition I will post the daily wins and lossesof our trading systems in points as well in dollar amountper contract - this should help, too.For everyone who doesn't want to wait for my posts to see how our trading systems did, we implemented a live tracking of our systems on our website.Here is the link for everyone who's interested: <a href="http://www.rockwelltrading.com/tracking/charts.php" target="_blank">http://www.rockwelltrading.com/tracking/charts.php</a>Have a great weekend :-)

Ben

BenMillane · Jul 15, 2006

Market Commentary and System Update for July 14th, 2006
As expected this morning, it was an interesting trading day. Six economic reports were released today:<ul><li>Export Prices ex-ag.at 7:30am CST</li><li>Import Prices ex-oil at 7:30am CST</li><li>Retail Sales at 7:30am CST</li><li>Retail Sales ex-auto at 7:30am CST</li><li>Mich Sentiment-Prel. at 8:50am CST</li><li>Business Inventories at 9:00am CST</li></ul>June retail sales unexpectedly fell 0.1% (consensus +0.4%), while sales ex-autos rose 0.3%, matching forecasts; then University of Michigan's preliminary read on Consumer Sentimentchecked in with a surprisingly weaker-than-expected read of 83.0 (consensus 85.5), and Business Inventories came in higher than expected at 0.8% (consensus 0.4%). And of course there are major geopolitacal concerns, as there is no end in sight regarding the conflict between Israel and Lebanon. This morning oil prices already hit a new record above $78 per barrel, and in the afternoon they closed around $77 a barrel. More news today: As expected, the Bank of Japan raised then overnight lending rate for first time in six years to 0.25%, and becomes then latest central bank to validate rising inflationary pressures. Traders were digesting the news, and trading was biased: There's speculation that a weaker-than-expected read on total retail sales and higher energy prices could make some Fed officials rethink and maybe raise rates again for an 18th straight time in August. On the other hand some investors think that the recent sell-off is overdone and that a short-term bottom has finally formed.  And it WAS a volatile day: In the first three hours of trading the e-mini S&P dropped more than 13 points. During lunchtime the market bounced back 8 points and remained in a 6 point trading range for the remainder of the trading session. Our trading systems <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">EaglePro</a> and <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart</a> went long this morning and did ok for the first two hours of trading. It seemed that yesterday's pattern was repeated and we already saw some profits. But we didn't hit our profit target, and when the market tanked both trading systems were stopped out with a loss: $687.50 for<a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">EaglePro</a>and $400 for <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart</a>.Month to Date for July 2006 (per contract): <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">Eagle Pro: $650 ( +13pt )</a> and <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart: $250 ( +5pt )</a> Have a great weekend,Ben

BenMillane · Jul 17, 2006

Market Commentary and System Update for July 17th, 2006
This will be a volatile week: CPI, PPI, Fed Chairman Bernanke testimony, FOMC Minutes - and of course the overshadowing conflict in the Middle East. This morning we had three economic reports: <ul><li>NY Empire State Index at 7:30am CST</li><li>Capacity Utilization at 8:15am CST and</li><li>Industrial Production at 8:15am CST</li></ul>The July NY Empire State Index checked in at lower than expected 15.6 (consensus 21.8), June Industrial Production rose 0.8% (consensus 0.4%), and Capacity Utilization checked in at 82.4% (consensus 81.9%), But today was a rather quiet day: The e-mini S&P closed ONE point below the open this monring. Investors stand on the sidelines in anticipation of tomorrow's PPI data and Wednesday's influential CPI figures. Oil prices bounced off 1.8% and are now trading below $76 per barrel. Our<a target="_blank" href="http://www.rockwelltrading.com/system/eagle_pro.php"> trading system EaglePro</a> realized two winners this morning for a total profit of $575 ( 11.5pt ) per contract. <a target="_blank" href="http://www.rockwelltrading.com/system/smartstart.php">SmartStart</a> went short today and realized $175 ( 3.5pt )in profits.Month to Date for July 2006 (per contract): <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">Eagle Pro: $1225 ( +24.5pt )</a> and <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart: $425 ( +8.5pt )</a>

BenMillane · Jul 19, 2006

Market Commentary and System Update for July 18th, 2006
It was a very volatile tradig day today as the return of inflation fears, volatile oil prices, mixed earnings news and ongoing unrest in the Middle East had investors scrambling to decide whether or not oversold conditions warranted owning stocks ahead of important CPI data and two-day tstimony on the economy from Fed Chairman Bernanke. This morning's focus was the PPI and Core PPI report, both being released at 7:30am CST. The total PPI rose a larger than expected 0.5% (consensus 0.3%) in June, but the more closely watched core rate (ex-food and energy) rose 0.2%, matching economists' forecasts. Investors see this as a positive signal, since the PPI data are generally much more volatile than tomorrow’s more influential CPI data. An-line core PPI does provide some indication that inflation is not increasing and may be holding steady. And a steady inflation might let the interest policy makers pausing on the next Fed meeting. So the market was starting on a positive note. But shortly after the lunch hour the market started to move down and the e-mini S&P dropped 12 points. In the afternoon session prices bounced back 15 points, and after a very volatile day the the market closed 2.25 points higher than it opened this morning. Our more agressive <a target="_blank" href="http://www.rockwelltrading.com/system/eagle_pro.php">trading system EaglePro</a> went short this morning with two contracts, and realized $412.50 (8.25pt) in profits. <a target="_blank" href="http://www.rockwelltrading.com/system/smartstart.php">SmartStart</a> went long, but it didn't survive the sharp down move during the lunch break and got stopped out with a $400 (8pt) loss.Month to Date for July 2006 (per contract): <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">Eagle Pro: $1637,50 ( +32.75pt ) </a>and <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart: $25 ( +0.5pt )</a>

BenMillane · Jul 19, 2006

Market Commentary and System Update for July 19th, 2006
This was a very interesting trading day today. This morning we had five economic reports: <ul><li>Core CPI at 7:30am CST</li><li>CPI at 7:30am CST</li><li>Housing Starts at 7:30am CST</li><li>Building Permits at 7:30am CST and</li><li>Crude Inventories at 9:30am CST</li></ul>And then we heard Fed Chairman Bernankes testimony before the Senate Banking Committee starting at 9:00am CST. But let's start at the beginning: When the reports came in early, it was bad news: The total CPI rose 0.2% in June, 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 fourth straight month to leave a 2.6% annual rate, suggesting the Fed may have to keep raising rates to fight inflation. Separately, June Housing Starts fell 5.3% to 1.85 mln units (consensus 1.90 mln) while Building Permits fell to 1.862 mln units (consensus 1.92 mln). But then the market started to jump up on good news: Bernanke's comments suggested there is room for moderation in the current rate hike cycle and calling for a gradual decline in inflation in coming quarters has underpinned a much improved sentiment. So instead of confusing investors he's giving rather clear signs about the interest policy, especially for the August meeting: It seems to be more likely that the Fed will finally pause raising interest rates (after 17 consecutive interest hikes). The optimism about a possible pause was echoed in fed funds futures, which were implying a roughly 90% chance of a 1/4% rate increase to 5.50% on August 8th following the CPI report, but moved back to pricing in only a 68% chance of another hike and are no longer pricing in any tightening at the three FOMC meetings thereafter. Then oil prices spiked lower and were trading near $72 per barrel following unexpected builds in weekly gasoline and crude oil inventories. With Bernanke recently saying that "much of the upward pressure on overall inflation this year has been due to increases in the prices of energy," the pullback in crude oil prices has been welcome news for a market that has been dramatically oversold over the last few weeks due to such concerns. The  <a target="_blank" href="http://www.rockwelltrading.com/system/eagle_pro.php">trading system EaglePro</a>went long this morning and realized $275 (+5.5pt) in profits. <a target="_blank" href="http://www.rockwelltrading.com/system/smartstart.php">SmartStart</a> went short and got stopped out with a $400 (-8pt) loss when the market jumped up. Overall today's development is very postive: Bernanke's comments eased many investors, and it is highly likely that the markets will continue to trade "normally" as they did since the last Fed meeting. And this has been good for our trading systems.Month to Date for July 2006 (per contract): <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">Eagle Pro: $1912,50 ( +38.25pt ) </a>and <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart: -$375 ( -7.5pt )</a>

BenMillane · Jul 21, 2006

Market Commentary and System Update for July 20th, 2006
This morning we had three  economic reports:<ul><li>Initial Claims at 7:30am CST</li><li>Leading Indicators at 9:00am CST</li><li>Philadelphia Fed  at 11:00am CST</li></ul>And it was Day 2 of  Bernanke's testimony and the FOMC Minutes of the June meeting were released at 1:00pm. Initial claims fell 30K to 304K (consensus 320K). But the reaction to this had been muted: At around 10:00am stocks continue to languish around the unchanged mark as there wasn't a strong sense of conviction on either the bullish or bearish side of the aisle. The stock market awakened after the lunch break when the FOMC meeting minutes were released, stating a "significant uncertainty" about future policy, but most members see inflation "likely to edge down". So while Bernanke's comments yesterday and today were encouraging a pause on August 8th, the FOMC minutes didn't confirm the hope of a break after two years of raising interest rates. Investors didn't like the tone of the meeting minutes and the e-mini S&P moved down 10 points. However, based on Bernanke's more recent testimony, we believe that the end of the tightening cycle is near. Though it was a slow morning, we saw enough volatility for our trading systems to place their trades. <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">The trading system EaglePro</a>tried to get short early this morning, but prices didn't move far enough to fill our entry price. Later then <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">EaglePro </a>approached the market from the other side and went long shortly after 9:00am. For most of the day prices were trading above our entry price and we saw some small profits, but not enough for the system to close the trade. In the afternoon, when the market started to move down, the system closed the trade using a time stop for a loss of 5.25 points (=$262.50), right before the market went down another 5 points (=$250) The more conservative trading system <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart</a> placed just one order and went long at 1264. <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart</a>'s profit target was less ambitious and most of our customers reported a fill around 10:15am for a profit of 3.5 points (=$175).Month to Date for July 2006 (per contract): <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">Eagle Pro: $1375 ( +27.50pt ) </a>and <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart: $175 ( +4pt )</a>

BenMillane · Jul 22, 2006

Market Commentary and System Update for July 21st, 2006No economic reports today. 
Therefore the focus of investors was on companies' earnings and geopolitical development. Microsoft (MSFT), Google (GOOG), Amgen (AMGN) and Schlumberger (SLB) posted better than expected earnings. But Dell (DELL) warned that Q2 results will miss Wall Street's estimates and investors didn't like that: Today Dell was down about 18% and at its lowest level since 2001, and concerns about slowing economic growth that rattled tech yesterday have returned and weighed heavily on overall market. Separately, fed funds futures early in the day were pricing in as little as a 35% chance of a hike on August 8th and are now pricing in a 45% likelihood, which is still significantly dismissing the possibility of more tightening. <a target="_blank" href="http://www.rockwelltrading.com/system/eagle_pro.php">The trading system EaglePro</a> went for a quick gain of 2.5 points (=$125) this morning by going short 1h before the market opened. Shortly after the opening prices moved up far enough to reach our small profit target this morning. After the market moved sharply down, EaglePro took a second shot by going long at the low of the morning trading session. This time EaglePro was shooting for an ambitious 11.5 point profit target (=$575). The high profit target was dynamically calculated considering the high volatility of the market this morning. It turned out that the market didn't honor EaglePro's braveness, and we close the seconds trade with a 0.75 point loss (=$37.50), leaving us with a modest profit of 1.75 points (=$87.50) for today. <a target="_blank" href="http://www.rockwelltrading.com/system/smartstart.php">SmartStart</a> waited for the opening and placed it's trades. The system tried to enter the market above and below the opening range. The long ordered was triggered first and the system assumed prices would quickly move up, as they did earlier for EaglePro. But then prices moved sharply down, and the rather small stop loss of SmartStart was triggered for a loss of 8 points (=$400). Same as EaglePro, SmartStart took a second shot by entering the market at the low of th morning session. SmartStart's profit target is more conservative than EaglePro, and so the system quickly realized a profit of 3.5 points (=$175). So SmartStart made back some of the losses we experienced after the first trade.Have a great weekend.Month to Date for July 2006 (per contract): <a href="http://www.rockwelltrading.com/system/eagle_pro.php"target="_blank">Eagle Pro: $1462,50 ( +29.25pt ) </a>and <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart: - $25 ( - 0.5pt )</a>