Another tough day for the TNR model. Although the ES didn't do a lot of trending, there was so little movement that we wound up just being short most of the day. we did get one winner at the end of the day, but it was too little too late, and we finished down $446 on the day. Tomorrow, NQ is set up for a reversion day - let's see how the model does.

Many of our positions in our System B - trend following model also moved against us today, on the back of a strong dollar. Fortunately, our short yen position and our short grains positions help out a little. Regardless, this of course is a longer term model, and daily fluctuations really are nothing more than noise.

Here are our positions:

Contract	ctrcts	Open P/L	days on		Contract	ctrcts	Open P/L	days on
@US.P	0	$0	0		@NG.P	0	$0	0
@TY.P	0	$0	0		@KC.P	0	$0	0
@FV.P	0	$0	0		@SB.P	3	$2,118	26
@EC.P	0	$0	0		@CT.P	0	$0	0
@JY.P	-1	$4,038	25		@GC.P	3	$4,660	37
@CD.P	2	$2,160	55		@SI.P	0	$0	0
@C.P	-4	$5,650	54		@HG.P	2	$19,000	105
@W.P	-3	-$88	1		@LB.P	0	$0	0
@S.P	0	$0	0		@ES	0	$0	0
@CL.P	0	$0	0		@YM	0	$0	0
@HO.P	0	$0	0		@NQ	0	$0	0
			Total		$37,538

'
Good luck, and good trading!

The TNR model remains somewhat out of synch with the market, hitting us with some additional losses today. We had two trades - the first made us $162 going long, but we then reversed short at 11:50, and were stopped out near the highs of the day. Net losses on the day were $396. Despite these weak results, we are going to keep trading the model. Things should synch up soon.

System B seems to be treading water right now as well, with markets churning around, but no sector showing much leadership. The weakness in Wheat resulted in us selling 3 contracts at the close, at 197 3/4. The position won't show up until Monday's post...

Contract	ctrcts	Open P/L	days on		Contract	ctrcts	Open P/L	days on
@US.P	0	$0	0		@NG.P	0	$0	0
@TY.P	0	$0	0		@KC.P	0	$0	0
@FV.P	0	$0	0		@SB.P	3	$3,059	25
@EC.P	0	$0	0		@CT.P	0	$0	0
@JY.P	-1	$3,363	24		@GC.P	3	$7,030	36
@CD.P	2	$2,840	54		@SI.P	0	$0	0
@C.P	-4	$5,500	53		@HG.P	2	$19,450	104
@W.P	0	$0	0		@LB.P	0	$0	0
@S.P	0	$0	0		@ES	0	$0	0
@CL.P	0	$0	0		@YM	0	$0	0
@HO.P	0	$0	0		@NQ	0	$0	0
			Total		$41,242

TNR is indicating a reversion day for ES on Monday

Have a great weekend!

The TNR model setup for a trend day today on ES today, and we were rewarded with a $643 gain, going short 2 contracts at 1188.25 at 1:25, and riding it all the way down, covering at 1181.50 at 4:00.

TNR is showing Neutral for ES tomorrow, but a reversion day for NQ. I'll post the trades after the close tomorrow.

Our trend following model had mixed gains and losses, finishing close to where we closed yesterday, and nothing of major interest to report.

Contract	ctrcts	Open P/L	days on		Contract	ctrcts	Open P/L	days on
@US.P	0	$0	0		@NG.P	0	$0	0
@TY.P	0	$0	0		@KC.P	0	$0	0
@FV.P	0	$0	0		@SB.P	3	$3,630	24
@EC.P	0	$0	0		@CT.P	0	$0	0
@JY.P	-1	$3,175	23		@GC.P	3	$7,270	35
@CD.P	2	$3,920	53		@SI.P	0	$0	0
@C.P	-4	$5,350	52		@HG.P	2	$18,650	103
@W.P	0	$0	0		@LB.P	0	$0	0
@S.P	0	$0	0		@ES	0	$0	0
@CL.P	0	$0	0		@NQ	0	$0	0
@HO.P	0	$0	0		@YM	0	$0	0
			Total		$41,995

Good luck and good trading!

The TNR Model had us long in the morning, reversing to short around Noon. ES was whipsawed a little in the afternoon, going long again at 2:00, but NQ stayed the course, riding it all the way down into the close. We finished with at $296 loss in ES, and a $482 gain in NQ, for a net of $186 on the day... ES is again setting up for a trend day tomorrow.

Commodities are still showing some intraday volatility, with big reversal occuring regularly. However, our long term model continues to ride a number of trends that seem to be continuing.

Contract	ctrcts	Open P/L	days on		Contract	ctrcts	Open P/L	days on
@TY.P	0	$0	0		@NG.P	0	$0	0
@US.P	0	$0	0		@KC.P	0	$0	0
@FV.P	0	$0	0		@SB.P	3	$3,630	23
@EC.P	0	$0	0		@CT.P	0	$0	0
@JY.P	-1	$3,463	22		@GC.P	3	$6,490	34
@CD.P	2	$4,020	52		@SI.P	0	$0	0
@C.P	-4	$5,250	51		@HG.P	2	$19,350	102
@W.P	0	$0	0		@LB.P	0	$0	0
@S.P	0	$0	0		@ES	0	$0	0
@CL.P	0	$0	0		@YM	0	$0	0
@HO.P	0	$0	0		@NQ	0	$0	0
			Total		$42,203

good night and good trading!

What Do We Trade?

The positions that are posted each evening use the Tradestation symbols for the different commodity contracts we track and trade.

We basically trade the three most liquid markets in each of the 7 main sectors: Interest Rates, Currencies, Grains, Energy, Tropicals, Metals, and Equities.

Int Rates	Currency	Grains	Energy
US - 30yr bond	EC -Euro	C - Corn	CL - Crude
TY - 10yr bond	JY - Yen	W - Wheat	HO - Heat Oil
FV - 5yr bond	CD - Canada	S - Soybean	NG - Nat Gas
Tropicals	Precious Metal	Industrial/Building	Equities
KC - Coffee	GC - Gold	HG - Copper	ES - S&P 500
SB - Sugar	SI - Silver	LB - Lumber	NQ - Nasdaq
CT - Cotton			YM - Dow Industr.

When we run our analytics each evening, we use the continuous, back-adjusted contract in each market. So, for example, instead of looking at the December 2005 Copper contract (HGZ05), we look at @HG.P - Tradestation's symbol for the back-adjusted pit traded Copper contract.

This allows us to look at past price action in the front month (which is generally the most liquid - hence the most efficient in terms of price discovery) over whatever length of time we are interested in.

Of course, you cannot trade a continuous contract - they don't exist in the real world! When initiating a trade, we buy or sell the specific contract that has the most open interest (usually the front month) and we roll that position to the next month as soon as open interest in the following month exceeds the current month - and ALWAYS prior to first notification day (which is the first day you can be notified to TAKE DELIVERY of your commodity - nightmare scenario!)

Options Expiration is behind us, which could leave us with slightly less choppy markets for a few weeks at least. Happily, our short straddle position finished in the money - we sold 1000 spy at the market close @118.13. We should get 1000 shares put to us over the weekend at 119.00, closing out that position for:

$2800 (sale SPY JO and SPY VO)
- $870 (sale of SPY shares)
=$1930 net gain

Also, our TNR trades worked out with a gain today of $770. Lets hope that model is back in synch with the market again. TNR is showing neutral for monday.

Finally, our futures trend following model continues to chug along in the background. Copper staged a pretty dramatic comeback, after being down almost 7 cents in early trading, it finished the day with a gain. The dollar also demonstrated some resiliency, closing at 1.1951 after trading through 1.2075 in early morning trading, and gold staged a late day comeback as well, closing at 468.70.

Contract	ctrcts	Open P/L	days on		Contract	ctrcts	Open P/L	days on
@US.P	0	$0	0		@NG.P	0	$0	0
@TY.P	0	$0	0		@KC.P	0	$0	0
@FV.P	0	$0	0		@SB.P	3	$3,698	20
@EC.P	0	$0	0		@CT.P	0	$0	0
@JY.P	-1	$3,575	19		@GC.P	3	$5,320	31
@CD.P	2	$1,580	49		@SI.P	0	$0	0
@C.P	-4	$4,600	48		@HG.P	2	$18,100	99
@W.P	0	$0	0		@NG.P	0	$0	0
@S.P	0	$0	0		@ES	0	$0	0
@CL.P	0	$0	0		@YM	0	$0	0
@HO.P	0	$0	0		@NQ	0	$0	0
			Total		$36,873

That's it for tonight, have a great weekend!

Equities gave up everything they made yesterday, and then some. How much of this is option related remains to be seen, but it certainly isn't fundementals driving this kind of action.

Our TNR model was calling for a reversion day today, but instead we got a mirror image of yesterday's action with some churning in the morning and a trend down all afternoon. We hit our money management stop on ES twice, with one win in the AM for a net of -$621.00, and NQ had 1 losing trade and two winners showing a net -$144.00

TNR is again pointing to reversion for tomorrow in both ES and NQ.

We exited our long HO position at the close today - so we are out of the energy complex entirely. Here are the trend following positions:

Contract	ctrcts	Open P/L	days on		Contract	ctrcts	Open P/L	days on
@US.P	0	$0	0		@NG.P	0	$0	0
@TY.P	0	$0	0		@KC.P	0	$0	0
@FV.P	0	$0	0		@SB.P	3	$3,126	19
@EC.P	0	$0	0		@CT.P	0	$0	0
@JY.P	-1	$3,088	18		@GC.P	3	$3,550	30
@CD.P	2	$3,040	48		@SI.P	0	$0	0
@C.P	-4	$4,350	47		@HG.P	2	$18,100	98
@W.P	0	$0	0		@LB.P	0	$0	0
@S.P	0	$0	0		@ES	0	$0	0
@CL.P	0	$0	0		@NQ	0	$0	0
@HO.P	1	$6,100	78		@YM	0	$0	0
			Total		$41,354

Good luck and good night!