SIM 50k TST Combine for May

Below are my sim results trading ZB in may. I used the 50k Combine parameters - the figures are for 10 days of trading from the 3/5/13 to the 28/5/13.
Other work commitments meant I couldn't sit at my desk everyday.
The reason for posting is the testimonial posted on Jigsaws site. Note the MFE (max favorable excursion) and MAE (max adverse excursion) numbers. These clearly show how reading the order flow accurately puts you in the trade at the right time.
Obviously I also used other indicators to identify potential trades but Jigsaws D&S DOM was my trigger - I think the results speak for themselves. I have received nothing from Jigsaw for this post - only good Karma !
 

Performance	All Trades	Long Trades	Short Trades
Total Net Profit	$6930.00	$2570.00	$4360.00
Gross Profit	$8490.00	$2570.00	$5920.00
Gross Loss	$-1560.00	$0.00	$-1560.00
Commission	$195.00	$55.00	$140.00
Profit Factor	5.44	99.00	3.79
Cumulative Profit	$6930.00	$2570.00	$4360.00
Max. Drawdown	$-483.75	$0.00	$-701.25
Sharpe Ratio	1.00	1.00	1.00
Start Date	01/05/2013
End Date	28/05/2013
Total # of Trades	47	12	35
Percent Profitable	87.23%	100.00%	82.86%
# of Winning Trades	41	12	29
# of Losing Trades	6	0	6
Average Trade	$147.45	$214.17	$124.57
Average Winning Trade	$207.07	$214.17	$204.14
Average Losing Trade	$-260.00	$0.00	$-260.00
Ratio avg. Win / avg. Loss	0.80	214.17	0.79
Max. conseq. Winners	21	12	17
Max. conseq. Losers	3	0	3
Largest Winning Trade	$588.75	$490.00	$588.75
Largest Losing Trade	$-483.75	$0.00	$-483.75
# of Trades per Day	1.81	0.67	1.35
Avg. Time in Market	38.3 min	47.9 min	35.0 min
Avg. Bars in Trade	0.0	0.0	0.0
Profit per Month	$8129.42	$4354.72	$5114.62
Max. Time to Recover	10.06 days	0.01 days	10.18 days
Average MAE	$68.06	$59.90	$71.02
Average MFE	$301.39	$333.33	$289.77
Average ETD	$153.94	$119.17	$165.20

 Fridays 14th December '12 setup

 From the bigger picture we can see the channel clearly broken to the downside yesterday - this is likely due to roll over / options expiration / holiday reversion to the mean (1412.5 POC cyan line on VP). I believe we would need to see a break of the long term support (blue parallel line) to see a failure of the current trend. Consider that the POC is the area at which most trade has been conducted and therefore by extension the value at which most traders are comfortable. A consideration as we approach the holidays.
Another consideration is the fact that many bigger market participants will be reducing exposure (covering longs) and will not be re-opening positions till the new year leading to what appears to be the start of a 'drop and pop' type setup which, in the new year and barring catastrophe over the holiday, may see us breaking the upper long term trend line and making new highs.
Either way our job is simply to continue taking opportunity as we see it until we ourselves also decide to break for the holiday.

Close-up

My inclination is that today we will see a rally back to the point of the break down or trend line break (green circle), shaking out weaker shorts (this is a classic pattern) and then we may see a fall to the long term support area (blue parallel lines) - this also coincides with the POC and in all represents about a 16 point range, same as yesterday and the 5 day ATR is 13 (in round numbers) so not a massive extension of the norm.
The yellow lines are S&R over the longer term and are at 1415.50, 1423 and 1429.25. Just areas that will provide trade opportunities today.

Only major influences on the market today would be a proclamation of a resolution to the 'Fiscal Cliff' debacle. Whilst announcements (CPI @ 7:30 cst and Ind' Prod' @ 8:15 cst) have the potential today to move the market I don't believe they will do anything other than support the prevailing short term momentum.

Barring any change in circumstances between this post and the open I will be short today from 1429.50.

Can see the spike crosses the trend line (magenta) that signaled the break down from the bear flag. Then price returned to the area it traded in before the news ! Classic HFT !!

Fiscal Cliff + Holiday = Cautious Trading

(A lesson I have learnt to late)

Having thought I was at least 60% of the way to trading professionally I have, over the last 10 days or so, been humbled by the market. I can blame the market - I thought it would just plunge after the elections given all the issues with the US deficit, EU debt, decline in demand worldwide etc etc etc but we all should accept that we are responsible for our own actions - even if too late - it felt like the market had barely stayed afloat, flaying madly at the surface of a sea of woe and bad news before it eventually succumbed to the inevitable and shed 200 or so points. This may well still happen but with each day it doesn't it looks less likely and re-reading parts of Schwager's "Market Wizards" I was struck by an interview excerpt from William Eckhardt - lifetime trend-follower and all round mathematical genius who suggests (and I paraphrase) that if despite all the bad news a market manages to stay buoyant, it is likely due to (as yet unrevealed) underlying strength and will likely move to new highs when the current uncertainty, confining the move; has been resolved. With that in mind I started looking at the ES from a different perspective and noted the following -

 The above is a 14 day 5000T chart of the ES with a 31 day volume profile (tells us about the preceding month rather than some arbitrary non-relevant number like 200). The reason for using ticks is that it eliminates the distortion caused by long periods of time with little volume (overnight). We can instantly see that for the last 8 or 9 days we have traded at the top of the balance area around the point of control (cyan line on left). The trend channel is clear (magenta = 50%; red/green = 25 or 75%).

This is a closer look at the last 5 or so days - the image is self explanatory but note the RSI plot. The lows rarely fall below 30 and during pit hours consistently find support in the green zone. This all points to a desire within the market to maintain these levels until the current issues are resolved - the fact that we have not seen a selling or 'risk-off' scenario supports the theory of underlying but as yet unseen strength.

For the foreseeable future it may be prudent to trade only from these lines and ignore everything that you may wish to see in between them. I have unfortunately seen this too late for it to be of much help to me other than securing a combine rollover (if I'm lucky) - however i hope others may profit or at least prevent meltdown! In the mean time I have to write another lesson into my rapidly expanding tome of "hard knocks".

At the top of the ride

DISCLAIMER
I am fully aware that lines can be drawn anywhere on a chart and do not have magical predictive powers and therefore all who are blessed with the power of hindsight please desist from comment !

Just some random ramble or if you like a long term play, some reasons to be looking South !!

The first image is my weekly chart, the Fib extensions clearly show us trapped between 1465 and 1424 similar to the trap between 1391 and 1353 back in April - both around 40 points as well!
The first trap held us for 5 weeks before price dropped nearly 80 points - we are coming to the close of the 5th week in the current trap and we have convincingly broken the trend line on the momentum oscillator  The only possible positive I can see in this scenario is that price may rise sharply dragging the oscillator back to the diagonal trend line (Pink) before moving lower for the longer term - this is only a possibility due the impending presidential election / decline in the Dollar / FundaMENTAList's believing all they hear in the current reporting season - to do this it would also have to break the horizontal long term trend line (Green) which has marked all major turning points in the current up trend since April 2010.

More doom - note the 'rising wedge' formation formed by the trend lines in the smaller weekly chart below. Confirmation is the divergent oscillator and the overall economic situation in the US - USD declining/weakening (becoming a leader) ES to follow and current correlations are broken - new ones formed (it has been commented on recently 'Oil seems to have its own agenda at the moment' 'The Nasdaq (tech stocks) seems to be on a run of its own - nothing is following it up')
A rising wedge as you may be aware is an extremely reliable predictor of impending reversal. And notably we appear to be at the 'thin end' of it !!

In the immediate short term however - it looks like we might just scramble to around 1465 and the market may just hold, though be declining slowly, till Nov 6th. From then on the new incumbent may well be praying he hasn't got a share option in either 'Green-back' or the S&P as part of his pay deal !!

May I suggest that all who have an interest in the S&P watch the COT reports very carefully over the next 4 to 6 weeks to get a feel for how the institutions view firstly the presidential result and secondly the current levels, being as close as they are to the limits in 2007(within 6%). For a Fib fan but not a Math genius - that would be a 94% retracement of the decline from 2007 !

Below on the daily chart the decline in the oscillator has followed the trend line to date but hasn't yet reached the over-sold levels seen back in mid-May - my inclination is that; failing a miracle,  we are headed lower - a lot lower but when is still open for debate. After the election ? Certainly. Will we see a bid for the 2007 highs? I doubt we will get that high, too many people saying 'watch out - here it comes again'.
That leaves us with a turning point somewhere between 'here' and 1470 !!

There! That's my neck on the line !!

Here's a shot of the ES on a weekly time frame - think this is self explanatory but it becomes more significant when we show it side by side with the Daily.

As you can see the repeat of March - May activity is eerie !!

Short term conclusions - possible drop to the 1429ish level then a climb back to the 64ish level next week. This may then break during the week beginning the 22nd October out of the pattern - up - who knows ? Especially so close to an election - history suggests we have a better chance of up and the Fib extension suggests there is room. If the break is going to be down it may be around the 29th.  With all the negative news it looks like we could possibly be chopping this for some time yet. Possibly even till after the next President has been inaugurated !!

Rising wedge in ES as of 08/09/12 @ 11 am (est) - lower trend line broken as I post this. Hope its 

useful to some.

Updated 11.23 am (est) to show the break below lower trend line and the formation since close yesterday.