ES may have found some support at S1 on the monthly pivot.

Bob, you're talking about the 90,000 - 100,000 ES contracts traded just after noon yesterday, right?  That's a big trade!

Can you share any thoughts about how one might interpret that trade, either in how it might influence the rest of trading yesterday, or might impact today's session? 

Hi Bob, I've been watching this week (the EC).  Really nice trending movement.  Lovely entries and exits.  Absolutely perfect for your style of trading.

One of the things I'd especially like your feedback on is on which futures markets tend to trend more than others. 

Hi Matt, I'm not trading it, though I have it set up on one of my workspaces.

I'm using the standard Tradestation Pivot Reverse (long and short) strategy on a 3 minute chart using the input strength value you recommend. 

Even if I take out the commission and the slippage I only get 7.9% and 12.1% returns for November and December.

I'm not sure what you're doing to get something better, but I'm curious. 

By the way, I very much like the idea of the systems and have made really good money trading them, but I've turned them off in the last few months as volitility has receeded and returns have flattened.

PS  I'd love to know what your strategy does that mine doesn't.

I just started running the BIDU mechanical system a few days ago (not posted in Premium Content section - private message Matt for more details), and I'm trying to make sure it's all working as it should.

So if there is anyone else trading this, can you confirm that the system reversed and went long this morning at about 10:27:53 at around $429.

Thanks! - Lee

Matt, Steve, Community,

Wondering if/when you all deem the SRS #2 Swing system (non scale out system) to be under performing to the point of turning it off. 

It's down over 14% so far this month and the trendline on the equity curve looks close to being breached. 

- Lee

For all you folks that trade Direxions leveraged ETFs, this change, outlined below in a newsbrief, will NOT have any affect on leveraged ETF (e.g. FAZ, FAS).  I also confirmed this with a Direxcion representative.

   By Ian Salisbury 

   Of DOW JONES NEWSWIRES 

 

NEW YORK (Dow Jones)--After months of criticism, some mutual funds that magnify investors' bets on the direction of the stock market are being scaled back.

On Wednesday, Direxion Funds said its so-called "leveraged" mutual funds will double investors' bets on the direction of the stock market on a monthly - rather than a daily - basis.

The change will apply only to Direxion's conventional mutual funds and not to its exchange-traded funds that, along with those from Bethesda, Md.-based ProShares ETFs, have provoked the most controversy.

Leveraged mutual funds and ETFs, which have collected billions of dollars in the past few years, use complex investments like swaps and futures contracts to give investors a more convenient alternative to moves like trading stocks on margin or short selling.

For example, on a day when the stock market rises 1%, a triple-leveraged long fund might rise 3%, while a leveraged short fund would fall 3%.

While such tools appeal to a wide range of investors, many use them to make bets that last longer than a single day. In that case, results can be disappointing, especially in volatile markets when compounding daily returns tend to work against fund investors.

For instance, while the Russell 2000 was up about 2.6% over the first six months of the year, the effect of daily compounding meant the Direxion Daily Small Cap 3X Bull ETF was not up 7.8%, but down about 21% during that span.

Funds that aim for monthly rather than daily returns could still produce similar discrepancies, but the longer time frame would give investors more time to react.

Andy O'Rourke, head of marketing at Direxion, says the funds' new goal may be a "better fit" for investment managers using leveraged mutual funds to hedge other bets or get exposure to a certain slice of the market over the medium term. Day traders may continue to favor the ETFs.

-By Ian Salisbury, Dow Jones Newswires; 212-416-2241; ian.salisbury@dowjones.com

I've been having the same problem lately with trades not going through quickly.  I think it has something to do with Tradestation holding the trade. 

Under the Tradestation Trademanager window, check out the the "strategy orders" tab.  There is a column called "order held".  I think there may be something in the Easylanguage code or the way a certain strategy is constructed that prevents it from being sent immediately. 

I've reviewed the tradebullet log and its communication with Interactive Brokers and that all seems to be working perfectly, and quickly (milliseconds).

I'd love to resolve this and would appreciate any thoughts/ideas you all have.

Hi Matt, do you plan to post when you're turning on/off the AIG pivot system? 

If I understand correctly you're using an equity curve indicator to help you avoid "the chop" - like on days like this (so far), thus allowing you to be much more nimble than those who would simply leave the system on and incur consecutive days of losses. 

- Lee

Matt, given the code that you use, and therefore the backtesting results that you highlight in the daily/weekend updates, did your SRS 15 minute system take the 9:30am buy today?

I see whether or not to have taken the buy at the open today as completely and only dependent upon the "code" one uses (tradestation easylanguage in my case), not being discretionary. I guess in my mind if the trade is discretionary, it's not really a "system".

Some of the users have suggested that since this is an "end-of-day" system, one would not take the trade at the open since it is triggered by a EMA cross from the prior day.

I can of course code it either way, but I'd like to know whether BPT views a cross on the last candle of the prior day as a concrete signal to take a position on the open the next day.

This may seem a bit trivial, but with the usual volatility in these ETFs in the last 30 minutes, and more often in the last few minutes, these end of day crosses are acually not that rare.

Best, Lee

I've been testing/trading the EOD mechanical systems on Tradestation for the past few months with no major issues/problems.

Yesterday however I got a weird entry on QLD near the end of the day which made me rethink my code and how I set up my end of day exit. 

I'm hoping there is someone out there who is also using TS for these automated strategies who is open to chatting about this offline.  If so please private message me.

Thanks in advance for your help!