As we move into December, our main focus will be to focus on more of what is working: the V-Reversal 2024 and Gap Continuation strategies in the Auto Trade Program . This is a Two Strategy Portfolio that made equity peaks on Monday. We will also look at what is not working to make revisions or updates. Additionally, I have developed a python tool that systematically selects strategies based on the stability of the drawdown curve. I have spent a lot of time in 2024 working on ways to systematically select trading systems and I find this approach unique and interesting. I have not implemented this yet. It will be the topic of much of our work and upcoming discussion very soon.
The One Million MNS 107 had one of its most difficult days since January. The morning downtrend was one of the smoothest we have seen lately (typically those selloffs are more choppy). In spite of the downtrend, we had more strategies taking long positions than we have had in a long time, as 11 E-mini S&P strategies were long at once since there were many bullish indicators. We have patiently waited for some favorable price action and worked to minimize our losses, looking for bounces in the equity. The harsh nature of this market environment accelerated against us today. In the larger portfolios, we have been out of sync on almost a daily basis since mid-October with a very low percentage of winning trades as well as a low percentage of winning days. The pre and post election cycle continues to generate noisy price action that remains extreme, nefarious, and reckless. Normal market relationships have been skewed.
The One Million MNS was down -3% today while the 250K Portfolio was down -$6,000, our worse losing day since January. We are down -4.2% on the month and -6.0% on the quarter, with the quarterly losses giving back about half the gains from the previous two quarters. We increased our position sizing for a bounce today, trading for an end of the month trade. We could not have been more out of sync. The length of this challenging cycle for the larger portfolios is surprising. The last time we had favorable price action was in August, which is a time period that I missed on medical leave and the strategies generated resulted that would have been about a 10% gain in the trading system signals (software subscription clients benefited but I missed). We are pausing the One Million MNS trading until we can sync up better with this market environment and either move past this noisy environment or find more "noise" trading systems or re-establish our understanding of the existing market relationships. The V-Reversal trading system has done well in this environment.
The Stock Index Portfolio 19 is another smaller portfolio, that is holding and is recommended as well. The hypothetical results for the Stock Index Portfolio 19 was -$2,420 per E-mini and -$241.50 per Micro.
Historically, we could typically count on some nice and favorable price action at the beginning or end of the month. This is the second month in a row where the worse trading day for the month occurred on the last day or second to last day. We were in a path of seeing the cyclical nature of the market generate some gains after a losing streak. The last two months, losing streaks accelerated into months end, regardless of adjustments. We only had 4 winning days out of 14 trading days this month with three of those winning days being very small. Next time there is an election cycle, in 2028, we may choose to trade a much shorter list of strategies while the market goes through entropy.
We could be seeing another regime change with a new president taking office on January 20th. The frequency of regime changes seems to be picking up in recent years so having a systematic tool that we mentioned in the first paragraph would make sense.
The market internals were bullish today and we continue to witness many days that represent bullish patterns with inverse market internals and bearish days with bullish market internals. Low VIX typically indicates more range bound markets. We are seeing low VIX readings before sell offs without a real move in the VIX. This new phenomenon is "tricking" some of the strategies.
It is interesting to see the number of pullbacks and mixed indexes in one of the strongest bull markets since last November. Additionally, we have seen the net gains for the stock index this year mostly in the overnight session. It has been a challenging year to have a day trade program.
Looking forward to your python script that looks at the drawdown curve. Glad you're still pushing the envelop in the drawdown! Sounds like you have a good idea of what is 'tricking' many of the strategies and the type of market we are in.
Im just a client so all I can say is I believe in your strategies long term! Go David! (and Im with you the drawdown sucks especially on a last day of the week/month) Happy Thanksgiving to you and your family David! Glad youre working to make your clients money over the long term!