Tuesday, August 28, 2012

Sold DUST Pre-Market @ $37.85


Enough excitement for me. I took a modest 2.9% and 5.7% gain on my two positions as I saw what looked like a freight train coming straight at me. 

Fortunately the buyers were looking the other way. OUCH!

My TSI Trading record has been updated.

Sunday, August 26, 2012

Real-Time TSI Trading System Test


Over the past few weeks I have developed a True Strength Index (TSI) related indicator/strategy that shows great promise when run through numerous back test parameters. At this point I would like to find out how it behaves in real-time. In the quest to satisfy my curiosity, I intend to update the table below for new signals generated by the system after each day's trade has closed.

At the end of this 3-week experiment I should have a sense for whether further real-time testing is needed to draw a conclusion about the system, or whether it is either a pure dud or an inspired strategy (unlikely, but I can hope)

And if you choose to follow the daily updates I am quite sure you have your own opinion of the system, which I invite you to share.



Here are 56 Futures Contracts available to me using the ThinkorSwim trading platform.

I have created a new indicator/strategy that back tests well but I do not know how well it tests in real-time.
My intention is to update this table after each day’s close for a period of 3 weeks. I expect that this real-time
documentation will help me determine how well the system works.

THIS IS AN EXPERIMENT – DO NOT TRADE THESE SIGNALS AS I HAVE NO IDEA HOW RELIABLE THEY WILL BE!

I will only enter new data within a cell if there is a new signal. Cells that are blank mean the existing signal remains
in effect. Red = Sell, Green = Buy

At the conclusion, assuming I can keep up with this for 3 weeks, I intend to summarize the findings of this EXPERIMENT - for both the good
and the bad outcomes, and offer an opinion about the system’s reliability and profitability.

John
tsiTrader@gmail.com                                                                                                                           Most recent update:  Saturday September 1



FUTURES
CONTRACT
TICKER
SYMBOL
BEGIN

WEEK 1

WEEK 2

WEEK 3
Aug 24

Aug 27
Aug 28
Aug 29
Aug 30
Aug 31

Sep 3
Sep 4
Sep 5
Sep 6
Sep 7

Sep 10
Sep 11
Sep 12
Sep 13
Sep 14
1.
Australian Dollar
6A
8/13
1.0487

1.0351
1.0358
1.0332
1.0277
1.0314












2.
British Pound
6B
8/24
1.5802

1.5796
1.5814
1.5832
1.5787
1.5877












3.
Canadian Dollar
6C
8/22
1.0083

1.0087
1.0114
1.0105
1.0071
8/31
1.0144












4.
Euro FX
6E
7/25
1.2166

1.2502
1.2569
1.2533
8/30
1.2508
8/31
1.2585












5.
Japanese Yen
6J
8/1
0.012758

8/22
0.012733
0.012741
0.012711
0.01272
0.012777












6.
Mexican Peso
6M
8/13
0.075725

0.075675
0.0757
0.075025
0.07485
8/31
0.075675












7.
New Zealand Dollar
6N
8/7
0.8133

0.8073
0.8036
0.7997
0.7974
8/31
0.8025












8.
Swiss Franc
6S
7/25
1.0135

1.0409
1.0471
1.0437
8/30
1.042
8/31
1.048












9.
Cocoa
CC
8/13
2388

8/27
2472
2584
2580
2613
2611












10.
Light Sweet Crude Oil
CL
8/23
96.04

95.69
96.14
95.18
94.77
8/31
96.56












11.
Cotton
CT
8/10
73.02

76.04
75.85
76.53
76.94
77.26












12.
U.S. Dollar Index
DX
7/13
83.44

81.71
81.36
81.58
8/30
81.725
8/31
81.195












13.
E-Mini Euro FX
E7
7/25
1.2158

1.252
1.2568
1.2534
8/30
1.251
8/31
1.2584












14.
E-Mini S&P MidCap 400
EMD
8/23
966.7

968.9
972.7
971.9
965.3
971.5












15.
E-Mini S&P 500
ES
8/23
1400

1408
1407.75
1407.5
1396.25
1404.75












16.
Gold
GC
7/25
1603.5

1666
1669
8/29
1658.7
1657.6
8/31
1692.6












17.
Eurodollar
GE
8/22
99.5925

99.6
99.605
99.605
99.6025
99.6125












18.
Feeder Cattle
GF
7/18
137.2

8/27
143.95
8/28
144.525
145.0
145.2
146.825












19.
Libor one-month
GLB
8/6
99.77

99.7675
99.7675
99.7675
99.7675
8/31
99.775












20.
Lean Hog
HE
8/13
77.1

73.1
73.125
73.85
74.225
74.1












21.
Copper
HG
8/3
3.365

3.4675
3.461
3.438
3.442
3.4615












22.
Heating Oil
HO
8/3
2.9289

3.1303
3.1257
3.1295
3.14
3.1815












23.
E-Mini Japanese Yen
J7
8/22
0.012728

0.012703
0.01274
0.012721
0.012725
0.012778












24.
Coffee
KC
8/24
163.1

166.75
167.9
165.95
163.7
164.35












25.
Random Length Lumber
LBS
8/16
309.5

290.8
286.5
286.9
288
289












26.
Live Cattle
LE
8/16
125.425

123.35
123.825
8/29
125.625
125.8
126.125












27.
E-Micro AUD/USD
M6A
8/13
1.0488

1.0351
1.0359
1.0334
1.0279
1.0314












28.
E-Micro GPB/USD
M6B
6/4
1.538

8/27
1.5794
8/28
1.5818
1.5827
8/30
1.5782
8/31
1.5879












29.
E-Micro EUR/USD
M6E
7/25
1.2167

1.2501
1.2568
1.2529
8/30
1.2509
8/31
1.2583












30.
Natural Gas
NG
8/21
2.83

8/27
2.664
2.608
8/29
2.691
2.76
2.802












31.
Nikkei 225 Stock Average Index
NKD
8/22
9085

9100
9100
9065
8905
8895












32.
E-Mini Nasdaq 100 Index
NQ
8/23
2762.75

2783
2783
2781.25
2754.25
2770.5












33.
Frozen Concentrate Orange Juice
OJ
8/24
119

113.7
113.7
117.85
117.95
118.65












34.
Palladium
PA
6/29
582.2

649.5
649.5
8/29
631.4
620.25
629.9












35.
Platinum
PL
6/29
1452.1

1543
1519.7
8/29
1517
1508
1540.9












36.
miNy Natural Gas
QG
8/21
2.83

8/27
2.665
2.608
8/29
2.695
2.76
2.80












37.
NYMEX miNY Light Sweet Crude Oil
QM
8/23
96.05

95.725
96.125
95.25
94.825
8/31
96.575












38.
RBOB Gasoline
RB
8/24
2.9069

2.9553
2.9359
2.922
2.915
8/31
2.9715












39.
Sugar
SB
7/24
23.48

19.59
8/28
20.16
19.69
19.81
19.78












40.
Silver
SI
5/17
28.015

30.67
30.85
30.775
8/30
30.49
8/31
31.79












41.
Russell 2000 Index  Mini-size
TF
8/23
805.2

809.6
813.8
814.1
805.9
811.1












42.
Ultra T-Bond
UB
8/22
166’21

166’18
167
166’17
167’06
169’17












43.
Mini-sized Gold
YG
6/29
1598.2

1666
1669.3
8/29
1658.7
1658.1
8/31
1694.1












44.
Mini-sized Silver
YI
6/29
27.43

30.67
30.821
30.725
8/30
30.461
8/31
31.767












45.
Mini Dow Jones Industrial Average
YM
8/21
13199

13104
13086
13086
12985
13082












46.
30-Year U.S. Treasury Bond
ZB
8/22
148

149’23
150
149’26
150’12
151’21












47.
Corn
ZC
7/23
785.5

800.25
796.25
8/29
814
808
8/31
800












48.
5-Year U.S. Treasury Note
ZF
8/22
124’130

8/27
124’030
124’045
124’050
124’100
8/31
124’225












49.
Soybean Oil
ZL
8/9
53.17

56.6
56.4
57.38
57.25
56.96












50.
Soybean Meal
ZM
8/15
493.7

519.6
523
529.6
534.7
533












51.
10-Year U.S. Treasury Note
ZN
8/22
133’165

8/27
132’220
132’270
132’250
133’025
8/31
133’260












52.
Oats
ZO
8/16
383.75

387
382.25
396.75
395.5
396.5












53.
Thirty-Day Fed Funds
ZQ
8/14
99.86

99.87
99.865
8/29
99.865
99.865
99.865












54.
Soybean
ZS
8/15
1634.5

1720.75
1724.25
1752
1761.25
1754












55.
2-Year U.S. Treasury Note
ZT
8/22
110’065

110’067
110’067
8/29
110’06
8/30
110’072
110’095












56.
Wheat
ZW
8/20
879.75

881.5
876
906.5
903
888.75