timaru69's Blog

[timaru69]

Vantagepoint signals for 25 August 2005

Adjustments to open positions. No new signals for today.

Adjustments

1. Tighten up stop on DXU5 to 87.72 as VP indicating a trend change.

2. Tighten up stop on SFU5 to 79.42 for same reason as above

3. Tighten stop on SBV5 to 9.92.

4. Tighten stop on ECU5 to 12299.

 

[timaru69]

Vantagepoint Signals 26 Aug

No new signals.

Adjusted following positions

Lift stop on HGU5 to 164.25

 

[hornblower]

Can you post the profits you have made ?
and losses

 

[timaru69]

Vanatgepoint Signals 29/8

No signals for today

Total P&L to COB 26/8 Loss of $576.

Have had a request for trades profits and losses to date.

Unfortunately the table hasn't posted that well but hopefully you can read it .

Note that this is total P&L on closed and open positions and includes commission and $32 per RT


Sum of Net P&L
Sector Contract Total
10 Yr Note TYU5 2,754
10 Yr Note Total 2,754
CHF FX SFU5 (795)
CHF FX Total (795)
Coccoa CCU5 2,112
CCZ5 272
Coccoa Total 2,384
Copper HGU5 (889)
Copper Total (889)
Corn CU5 (2,035)
Corn Total (2,035)
Euro FX ECU5 (157)
Euro FX Total (157)
FTSE LFTU5 1,183
FTSE Total 1,183
Gold GCV5 564
Gold Total 564
Lean Hog LHV5 (1,664)
Lean Hog Total (1,664)
Live Cattle LCV5 560
Live Cattle Total 560
Nikkei NKU5 (1,671)
Nikkei Total (1,671)
Sugar SBV5 211
Sugar Total 211
USD Index DXU5 (1,022)
USD Index Total (1,022)
Grand Total (576)

 

[timaru69]

Vantagepoint for 30/8

No new signals today.

 

[timaru69]

Vanatgepoint 31/8

No new signals today.

Currently researching the 2 day predicted MA for use as an entry signal.

Early results are a looking a lot better than using the 4 day predicted MA.

Will post results when finished.

P&L to date $1700 (4 day PTM)

 

[timaru69]

Vanatgepoint 1st September

No new trades today but there some adjustments to stops on open positions as VP is indicating a trend change.

LFTU5 - adjust stop Loss to 5325
CCZ5 - adjust stop loss to 1390
LCV5 - adjust stop Loss to 81.90

Total P&L for August net of commission $638.

If somebody tells me how to paste a picture to this journal I will show the P and L by contract.

Initial thoughts are

1. one month , system showing small return in choppy markets

2. The entry signals posted are only for trend changes as opposed to confirmation of an established trend. Vanatgepoint can be used to do this but that is not the purpose of this particular exercise. As such continued trends in energies and the like have not been exploited. e,g Coffee, Natural Gas, Light Crude Oil etc

3.too early to tell if it "works" or not. Capital has been preserved and losses kept within maxium levels. 2% of account balance per trade.

4. Continuing investigation of using the 2 day predicted MA for trade entry. This appears to give earlier indication of a trend change and therefore gets you in at a better price but at the expense of more whipsaws, cost benefit of the approach to be assessed. Examples tested so far .

Coccoa using 4 day predictated MA $1471 profit to date vs $4,880 using 2 day predictated MA. Also Copper 4 day $839 loss vs 2 day $464 loss

5. Commission included in P and L and is caluclated at $32 per RT which id the level that Sucden charges here in the UK.

Commission value to date $1312.

Any questions let me know

Cheers

T

 

[timaru69]

August results - Thanks Jilly B

 

[timaru69]

Vantagepoint Signals 2/9

Some new signals for today and adjustments to open positions

Signals

1. Close out short GCV5 (October Gold) contract on open and buy 1 GCV5 contract on open. Set Stop loss 12.8 pts from entry.

Wide stop due to recent volatility so hence only one contract.

2. Sell 1 October Live Cattle contract at open (LCV5). Set stop 2.57 pts above entry.

3. Coffee is showing a borderline cross to the upside, however as the trend has been down we will wait for a true cross before entering the market.

Adjustments

Rolled Sept Copper to December contract yesterday. Forgot to post this.

 

[Tomerep]

good call

 

[timaru69]

Vantagepoint 5th September

Hi, some new trades and a follow up to the coffee picture I posted previously.

Don't expect anybody to understand it but if you have any questions PM me.

Have almost completed the August results for the 2 day predictative MA. Currently they are looking much much better than those using the 4 day.

However before I post the results I need to clarify a couple of points re margin and position sizing as well as the currency futures contract trading times as this could impact the amount of slippage that one may experience.

So far I haven't factored in slippage but I think that while a number needs to be accounted for it is a very judgemental process and I would like to get more results on the table before I made a call.

Also I found an error in the August file. I had opened 3 TYU5 contracts when It should have only been 2. This means we had a small loss of about $1000 for August instead of the small profit shown.

Ok 1 new trade order for Monday. No adjustment to open positions


1. Sell 1October Lean Hog (LHV5) contract at open with stop 3.42 above entry price

P&L to date $1977 including commission.

P.S The VP indicator is shown on a seperate report so you will not see it on this graph.

 

[timaru69]

Vanatgepoint 7/9

Hi all

No new trades today. Am thinking of tightening stop on my T - note trade as VP index as gone from 1 to 0.

Aim to have August results for the 2 day Predictive MA posted today or tomorrow.

Results are looking very good using this indicator hence I want to double check them before I post.

Cheers

T

 

[timaru69]

Vantagepoint 8/9

Hi all

Adjustments

1. Adjust TYU5 stop to 112.15. This locks in a profit of $3,400.

No New Trades

We have a signal to go short the November Light crude contract but the risk we would take on would exceed my money management rules.

If I was using the 2 day predictive avarage the signal to get in would have been given on the 6/9.

Still hoping to post August 2 day predictive results by end of this week.

P and L to date incl commission a loss of $784

 

[timaru69]

Vantagepoint 11/9

No new signals today.

Struggling with a hangover at the moment but will try to get 2 day indicator results for August posted this afternoon.

Cheers

 

[timaru69]

2 Day predictive MA results for August

These are the prelim results using the 2 day instead of the 4 day predictive Vantagepoint MA.

As you can see results are significantly better than those for the 4 day previously posted.

Will attach further commentary later.

Cheers

 

[timaru69]

VP signals for 11/9

Two signals and one adjustment to open position.

New Signals

1. Sell 1 Dec Coffee (KCZ5) at open. Set Stop 4.55 pts from entry price.

2. Sell 1 Dec Copper (HGZ5) at open stop at 5.3 pts above entry.

Adjustments

Raise stop on CCZ5 to 1505.

Resukt to date equals Loss of $3691 incl commission approx $1400

Will continue to monitor 2 day vs 4 day VP MA's . 2 day looks to get you into trades a lot earlier so you get the move that is needed to confirm the 4 day.

Too early to tell if 2 day outperforms 4 day as only have 1 month of results.

 

[timaru69]

Vantagepoint 13/9

Signals for today

1. Sell 2 december 10 year Tnote contracts (TYZ5) at open. Set stop .72 pts from entry.

2. Buy 1 Deecmber Dollar Index contract (DXZ5) at open. Set stop 1.10 pts below entry.

3. We have a sell signal on EUR FX as well however thsi exceeds our risk rules.

PandL to date Loss of $5091.

 

[timaru69]

Vantagepoint 14/9

Now new signals today apart from December Coccoa but I do not like the R/R so will leave this trade for the moment.

 

[timaru69]

Vantagepoint 15/9

Very late today but will post the trades that would've happened today.

1. Sell 2 December Cotton at open. Stop 1.46 pts above entry.

2. Sell 2 December FTSE at open. Stop 44 pts above entry (think this one ended up a loser today)

Starting to draw some conclusions re trading VP. Overall I think it does work but using a different strategy to this one. Will continue to post trades using 4 day predictive MA until end of month then will draw some conclusions.

 

[timaru69]

Vanatgepoint 16/9

No new signals today

Loss to date $2567.