The L/S is still up 200k since 2/12/01 but it continues to struggle the last 11 months. A profitable month though.
A number of swing systems including i-master, oddball, the l/s and others seem to be lacking performance for the past year as the market continues to not follow through. Congestion systems are doing well though.
In a seminar setting I was able to ask Keith Fitschen, the co-developer of I-Master, some questions about the market. We conversed about the change in volatility levels in '96 and whether the market is going through a similar transition now to explain why many systems are not performing well this year. Our conclusion in short was the change in '96 came about due to the introduction of globex and since globex is not going away for now this must just be a year in which the lack of follow through is inhibiting the performance of some index systems. After the trauma of going though such a massive bubble it will be interesting to see what the rest of 2003 and 2004 has in store for the characteristics of the index markets. Good trading.
Volatility continues to be quite low with daily AverageTrueRange levels in the 12 point area or just over 1%. This is particularly hard on the es traders with only 4 data points to trade at per point. The U.S. markets seem to continue in their choppiness making it difficult for some directional systems to profit. Systems trading the reversals are tending to do well, however. It is possible after today's fed meeting the market may tilt its hand. Good trading to all of you.
No kidding. It's still possible to do well, as with Wed, Thurs, and Fri last week, but you've got to be alert, you've got to be defensive, and you've got to be disciplined. All of which can be wearing for an all-day stakeout, one reason why I've started taking off earlier, then checking back in for the last hour.