e-mini S&P Daytrading Journal

brownsfan019 · Jul 4, 2006

Quote from JimmyJam:

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
More...

Jimmy - I basically thought what you put together, but I was really surprised at "SmartStart". Ouch... I can do that myself, I don't need to pay for that! Perhaps the results will change b/c if you look at the rockwell website, the equity curve sure looks great!

Thanks for the posts. I thought I was the only one reading these and having questions. Like my first post here said, doing something like this can be great or not-so-great depending on how the reports go.

BenMillane · Jul 5, 2006

Question: Would you say the gains/losses since you've posted are typical? 
No.As most systems, EaglePro and SmartStart struggled with the extremely volatile markets in May and June 2006 caused by the uncertainty about inflation and interest rates and many other factors (see my commentary for June 19th at <a href="http://www.elitetrader.com/vb/showthread.php?s=&threadid=70221&perpage=6&pagenumber=3" target="_blank">http://www.elitetrader.com/vb/showthread.php?s=&threadid=70221&perpage=6&pagenumber=3</a>). 
And as you might know, even the big Hedge Funds had trouble with the abnormal markets in May and June. In May most of them gave back half of their gains for 2006, and I wouldn’t be surprised if that continued in June. 
Last Thursday the Fed indicated that they may pause raising interest rates on their next meeting in August. This was a relief for many traders and it seems that markets return to normal. But it’s too early to celebrate since we are just coming out of a long holiday weekend. Let’s see what happens the next couple of days, and I’ll update you. Ben

BenMillane · Jul 5, 2006

Market Commentary and System Update for July 5th, 2006
This morning we had just one economic report:<ul><li>Factory Ordersat 9:00am CST</li></ul>May factory orders rose stronger than expected 0.7% (consensus +0.1%).Today traders were concerned about geopolitical developments as North Korea provocatively test-fired two missiles, and in the first two hours of trading the market was moving down. At around noon the market bounced back, but with oil prices trading higher than $75 per barrel (+1.6%) and hitting their highest level since reaching a record $75.35 on April 21 and April 24, the market struggles to move higher. Oil prices close up 1.7% at new all-time high of $75.19 per barrel. 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> entered a long position at 1277.50. The more conservative <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">trading system SmartStart</a>realized a profit of 3.5 point (=$175), while our more aggressive <a target="_blank" href="http://www.rockwelltrading.com/system/eagle_pro.php">trading system EaglePro</a> made 5.5 points in profits (=$275).

BenMillane · Jul 6, 2006

Market Commentary and System Update for July 6th, 2006
This morning three economic reports were released<ul><li>Initial Claims at 7:30am CST</li><li>ISM Services at 9:00am CST</li><li>Crude Oil Inventories at 9:30amCST</li></ul>Initial claims fell 2K to 313K, close to the consensus of 315K. However, the data have had little impact on trading as investors remain more focused on tomorrow's influential June employment report.ISM Services for June came in at 57.0%, after four solid months of above 60% growth - the slowest pace since January. This number supports the argument that the Fed might pause at the next FOMC meeting on August 8th, and the stock market started moving up. But in the afternoon the market retraced, and overall the e-mini S&P closed only 3 points higher than yesterday.After Crude Oil Inventories were released, oil prices were trading below yesteday's all-time high, but towards the end of the trading session they were back above $75 per barrel. We might see gas prices climbing as high as $3.00 a gallon nationally next week, since the summer driving season in full swing. Both trading systems  <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">EaglePro</a> and <a target="_blank" href="http://www.rockwelltrading.com/system/smartstart.php">SmartStart</a> went short, and in the afternoon it was nerve-racking. Did you squeeze your screen as hard as I did? Between 1:14pm and 1:34pm prices touched our profit target several times. At 1:35pm prices finally moved further down, and we realized a profit of $175 for SmartStart and $387.50 for EaglePro. That a profit of $562.50 for the <a href="http://www.rockwelltrading.com/system/combo.htm" target="_blank">Combo</a>.

BenMillane · Jul 7, 2006

This morning the eagerly awaited employment reports were released (all at 7:30am CST):<ul><li>Average Workweek</li><li>Hourly Earnings</li><li>Nonfarm Payrolls</li><li>Unemployment Rate</li></ul>Non-farm payrolls rose a less than anticipated 121K, hourly earnings rose 0.5%, above economists' forecast of 0.3%, and the unemployment rate held steady at 4.6%This morning Oil prices were up 0.6% at a new all-time high of $75.60 a barrel.The high oil price, the less than expected rise in nonfarm payrolls and a larger than expected 0.5% jump in hourly earnings that could create wage-inflationary pressures put some pressure on the stock market today. Not even crude oil prices falling 1.4% from record highs was enough to get investors excited, and the e-mini S&P closed 8 points lower than yesterday. Ou trading system  <a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">EaglePro</a> started early this morning, went short with 2 contracts and took a quick gain of 7.25 points (=$362.50) when the market dived. <a target="_blank" href="http://www.rockwelltrading.com/system/smartstart.php">SmartStart</a> went long after the dive, and benefited from the quick recovery of the stock market: The system made a profit of 3.75 points (=$175). That's a total profit of $537.50 for the <a href="http://www.rockwelltrading.com/system/combo.htm" target="_blank">Combo</a>. It seems that markets are less nervous since the Fed accounced a possible break in interest hikes last Thurday, and our trading systems did well since then: <ul><li><a target="_blank" href="http://www.rockwelltrading.com/system/smartstart.php">SmartStart</a> made $425 in profits</li><li><a href="http://www.rockwelltrading.com/system/eagle_pro.php" target="_blank">EaglePro</a> made $1,300 in profits and</li><li>The <a href="http://www.rockwelltrading.com/system/combo.htm" target="_blank">Combo</a> made $1,725 in profits.</li></ul> Have a great weekend!

subq · Jul 9, 2006

That spreadsheet looks nasty. If all trades are being posted here it sure isn't matching up with the webpage. If not all trades are being posted here, seems more like marketing.

Quote from JimmyJam:

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 [/B]
More...

JimmyJam · Jul 9, 2006

Quote from subq:

That spreadsheet looks nasty. If all trades are being posted here it sure isn't matching up with the webpage. If not all trades are being posted here, seems more like marketing.
More...

Hey subq.

That question has occured to me, and to be quite honest with you, I don't know what the correct answer is. I find it difficult to believe that the systems are being run exactly the same as they were before the spreadsheet was posted.

Hey, maybe so ... but I'll just leave-it-be as a caveat emptor to any prospective buyer(s). Over on the Franz Shoar thread there's a lot of talk about crooked operations in this business, it seems that people tend to belive that to be a one-way-street ... it isn't.

Later,

Jimmy

BenMillane · Jul 10, 2006

Market Commentary and System Update for July 10th, 2006
This morning two economic reports were released:<ul><li>Wholesale Inventories at 9:00am</li><li>Consumer Credit at 2:00pm</li></ul>Neither report is expected to have any impact on the market's behavior today, since the Fed policy makers have made it clear that they will base monetary policy on "incoming" data. Shortly after trading the market is gaining some momentum from lower oil prices (off 0.7% near $73.50 a barrel amid reports Saudi Arabia could unlock huge crude reservoirs with new technique). Later today oil prices closed down 0.6% near $73.63 a barrel May wholesale inventories rose a stronger-than-expected 0.8% as sales jumped by twice that amount - 1.6%. This result is a new record low inventory-to-sales ratio of 1.15 months, but as expected the market reacts modestly to this news. Overall it was a very mixed trading session. Not much going on, but that was perfect for our trading systems: Both 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 short this morning. <a target="_blank" href="http://www.rockwelltrading.com/system/eagle_pro.php">EaglePro</a> realized a profit of $387.50 today, and <a href="http://www.rockwelltrading.com/system/smartstart.php" target="_blank">SmartStart</a> made $175. Since the markets came back to "normal" since since the Fed accounced a possible break in interest hikes on June 29th, our trading systems did very well in the past couple of days:<ul><li><a href="../../system/smartstart.php" target="_blank">SmartStart</a> made at least $600 in profits</li><li><a target="_blank" href="../../system/eagle_pro.php">EaglePro</a> made $1,687.50 in profits and</li><li>The <a target="_blank" href="../../system/combo.htm">Combo</a> made $2,287.50 in profits.</li></ul> Important Note: Some customer reported an additional fill for SmartStart on Friday, and one additional fill for EaglePro today. Both trades were winners! Since these fills happened ON the limit price, we didn't count them in our tracking: As promised, we are reporting a"worst-case scenario", and many customers achieve better results than we report.

BenMillane · Jul 11, 2006

Market Commentary and System Update for July 11th, 2006
No economic reports today,...and trading was quite boring for most of the day.Oil prices were trading above $74 per barrel this morning after Iran president reportedly said they are determined to complete uranium enrichment. Since that was the only news so far this morning, prices were heading down a few points, but around lunchtime prices the market retraced and was trading around the opening price.Oil prices closed up modestly at $74 per barrel, and the market moved down again. But then traders found some support, and late in the trading session the market suddenly woke up and we saw a 14 point rally in the e-mini S&P, letting the market close 5.25 points up. Both 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> didn't place any trades today due to the lack of volatility in the market. We need some trading action to make money, and this morning we haven't seen any. So we're taking a break and enjoy the profits of the past couple of days.

BenMillane · Jul 13, 2006

Market Commentary and System Update for July 12th, 2006
At 7:30am CST the Trade Balance was released and at 9:30am CST we heard more about the Crude Oil Inventories (again).The Commerce Dept. reported that the U.S. trade deficitwidened slightly in May to a smaller than expected $63.8 bln (consensus -$65.0 bln), but this didn't have much of an impact on stocks.Oil prices are climbing to $74.50 per barrel ahead of the weekly inventories data, but this didnt' have much of an impact either.But then crude oil prices were trading session highs near $75 per barrel amid reports that World Powers have agreed to send Iran back to the U.N. Security Council for possible punishment over its nuclear ambitions. Traders didn't like this news, especially with the Fed concerned of elevated energy prices' potential to sustain inflation pressures, and the market started to slide. Then JP Morgan lowered its revenue estimates for IBM, UBS lowered its EPS estimates for DELL and Credit Suisse said it expects APPLE "to guide revenue below consensus". All these factors let the market dropped like a rock and all three major averages are down at least 1.0% and closed near session lows. 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.