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Trading System Signals on 12/11/2023

The Portfolio 49 was up $2,917.50 on hypothetical signals today. Based on the latest Portfolio Calculator (updated through December 8th, 2023). This Portfolio is up about $5,400 since November 17th though today. We continue to wait for a drawdown in a stealth holiday melt-up (fabricated rally from my perspective). 


The Stock Index Portfolio 27 was up $2,262.50 with the Stock Index Portfolio 27 Micro with similar trades. I have not updated all the front months for these portfolios yet since I am working on releasing an update tomorrow. These results are based on the December contract.


Today was the first day of rollover so it is important to make sure all the data is loaded correctly by re-starting Tradestation after all the yellow PD's go away.


The price action was interesting today. The NYSE TICK stayed below +600 and the Advance Decline line was mostly negative amidst a persistently higher trend all day with the Nasdaq, S&P, and Russell all moving higher. The liquidity wants to drive the market up. The Nasdaq futures are less than 20 points from highs on the year. I'm anticipating a gap up with an effort to drive it higher and support the market above those all-time highs in an already overbought market. A gap fill with a sell off would be more realistic.


Tomorrow is CPI. Wednesday is PPI as well as FOMC. We plan on turning on the FOMC Trader for Wednesday's trade although I am not sure it will generate a signal with the narrow ranges.


If Jay Powell was more specific about how long "higher for longer" meant, I believe the market would correct and pullback. The market continues to anticipate big rate cuts for 2024 even though there is no evidence that would indicate the Fed Reserve will cut rates.


DRAWDOWN REFERENCE POINTS: The Stock Index Portfolio 34 that we stopped trading it live in September when it hit its hypothetical drawdown of 26k ultimately went into a 70k drawdown (without us trading it) and has rebounded to a 41k drawdown as of Friday 12/08/2023. It is still 15k below where we stopped it back in September. We are up about 9k since we stopped that portfolio with some of the trading we did in October and November. The current market has been extremely rangebound with narrow stealth bull market price action. The current Portfolio 49 was up about $2500 since we released it on November 17, 2023.  while the Stock Index Portfolio 27 E-mini is up about $4,800 since it was released on November 17, 2023. This drawdown reference calculation is based on Friday, December 8, 2023. These reference points are important from the perspective of actively managing and transitioning portfolios.


I have spent many hours the last few weeks working to update some of the trading systems. There are about 10 new strategies that have been added to the Portfolio Calculator. It has been updated through 12/8/2023. I am almost done with new portfolio updates to include some of the new strategies all normalized on 1 minute bars using stock index symbols without the .D. Some of the strategies have been updated to include more historical data prior to 2016 - 2017 to give us some more historical accuracy going back to 2008 as some of the strategies did not have a full data set. The latest Portfolio Calculator is more accurate with the updates and the use of 1 minute bars for the strategies in the new portfolios. It will take additional time to update every strategy to 1 minute bars.


I am looking at releasing the new portfolio setup that is similar to the current portfolio with the updates mentioned. It is also waiting for a drawdown. I plan on sending the latest portfolio updates out by tomorrow.

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