We didn't trade the last two days as we have paused for the rest of the year since we are up on the quarter and on the year and want to lock in gains.
We continue to observe what I consider to be stealth volatility that is difficult to measure. The VIX is relatively low and in the lower range on the year and the daily ranges have decreased. The number of reversals intraday as well as the speed of reversals create this stealth volatility factor. Programming a filter to identify this in real time trading and adjusting is challenging and a work in progress.
Right now, I continue to work on money management algorithms for portfolio stop losses, position sizing, as well as portfolio and strategy setups for 2023.
The hypothetical performance for yesterday's FOMC was -$8,370 while today's hypothetical results are +$14,880. The strategies are still within normal ranges for performance, but the standard deviation and sizes of daily P/L are very large. Cutting back to the Stock Index Portfolio 16 and removing the additional BLITZ 5 setup would be the "go to" portfolio for January 2 if we started today. The daily P/L's are still larger than normal for the Stock Index Portfolio 16 strategies.
Experiencing $10K+/- swings this frequently is not the goal when trading E-minis on a 200K account. It is the market environment we are in, so we have to find a way to trade it with daily stop losses, smaller position sizing, or fewer strategies.
My research for portfolio level daily stop losses, along with strategy research and position sizing will give us clarity for 2023. As a trader, finding the truth through data analysis is therapy.
I do believe that this market is unusual in how long it has taken to go down and remains propped up. Yesterday's FOMC statement and press conference was surprisingly (to the market and Wall Street) hawkish and therefore bearish, but the market closed higher than the 2pm EST price, when the statement came out. Today was the delayed follow through and justified sell off.
My website should be updated this weekend to be much more comprehensive and easier to follow. The format of the new website will also make it easier for me to publish and communicate with my subscribers and clients.
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