Monthly Archive for July, 2007

Tuesday, July 31, 2007 $220.60 @ 6 contracts

Gross:

$ 235.00

Fees:

$ (14.40)

Net:

$ 220.60

Contracts:

6

 

Short day today coupled with high patience = low volume for me today. I did very well on six contracts though, can’t complain about keeping fees down. I am trying very hard to wait for the markets to very clearly be out of balance before entering; and when I enter, there has to be clear indication that the market will correct back to the VWAP for me to enter.

Monday, July 30, 2007 $661.60 @ 16 contracts

Gross:

$ 700.00

Fees:

$ (38.40)

Net:

$ 661.60

Contracts:

16

 

So today I played with longer term trading again (5 minute time frame) and was more successful. As you can see most of my profits were made off a single swing on the ES with three contracts. I am playing with Button Trader to learn how to use trailing stops as my end condition, as I feel my large swings could be even more profitable if I let them ride. I need to determine how to differentiate a swing day from a trend day before I could take this strategy live.

Friday, July 27, 2007 $(145.20) @ 48 Contracts

Gross:

$ (30.00)

Fees:

$ (115.20)

Net:

$ (145.20)

Contracts:

48

 

So today I learned a big lesson in catching longer swings. I have been trying to scalp a couple of ticks here and there, and started out doing ok on this, but lately have been doing terribly. Today, midway through my trading, I noticed again that the VWAP and the prices tend to converge, so when I noticed that the ER2 was well above the vwap, and began a decent, I shorted two contracts and made $640 on a single trade. This almost dug me out of my hole from the morning. See my equity chart for what I mean. I will be writing a program to track the ER2 premium, and see if this triggers any buy/sell programs.

Thursday, July 26, 2007 $0.00 @ 0 Contracts

Gross:

$ (0.00)

Fees:

$ (0.00)

Net:

$ (0.00)

Contracts:

0

 

No time to trade today, had to run to work early, here is a screen shot though – the markets were insane today – would have liked to try my hand at it.

Wednesday, July 25, 2007 $(820.00) @ 50 Contracts

Gross:

$ (700.00)

Fees:

$ (120.00)

Net:

$ (820.00)

Contracts:

50

 

So today is another day I am glad to be a paper trader. I kept calling bottoms and tops prematurely. The noise on the ER2 is very large for the scalping strategies I am deploying. I may be better off on the ES, and deploying a higher frequency tick signal, as the S&P is heavily dependent on the top volume stocks.