Fri Apr 11, 2008 4:55 pm (clock time)
BOUGHT
HSI23600MBLeCW080429
0.585 - 72 lots
REASON no 1 (Futures are green)

Thu Apr 10, 2008 4:46 pm (clock time)
Bought - none - Reason: (Dow/Europe futures mixed)

Wed Apr 09, 2008 4:39 pm (clock time)
Bought - none - Reason: (Dow/Europe futures mixed)
--------------------------------------------------

Wed Apr 09, 2008 10:09 am (clock time)
Sold
HSI22400MBLePW080429
0.175 100 lots
loss = 1.5k
Accumulated Profit : 24.0k

Tue Apr 08, 2008 4:09 pm (clock time)
Sold
HSI23600MBLeCW080429
0.59 90 lots
loss = 61.2k - 53k = 8.2k
Accumulated Profit : 25.6k
---------------------------------------------------
Tue Apr 08, 2008 4:06 pm (clock time)
Bought
HSI22400MBLePW080429
0.19 100 lots
REASON no 2 (US/Eur Futures are Red)
---------------------------------------------------

Mon Apr 07, 2008 4:55 pm (clock time)
BOUGHT
HSI23600MBLeCW080429
0.675 - 50 lots
0.68 - 20 lots
0.69 - 20 lots
REASON no 1 (Futures are green)

Fri Apr 04, 2008 4:35 pm (clock time)
Bought - none
-
Reason: (Dow/Europe futures mixed)

Thu Apr 03, 2008 4:43 pm (actual clock time)
Bought - none
-
Reason: (Dow/Europe futures mixed)

Wed Apr 02, 2008 4:53 pm (actual clock time)
Bought - none
-
Reason: (Dow/Europe futures mixed)

Wed Apr 02, 2008 10:47 am (clock time)
Sold 100 lots
HSI23600MBLeCW080429
0.605
Gain = 14.75k
Accumulated Profit : 33.80k
-----------------------------------------------

Tue Apr 01, 2008 2:48 pm (clock time)
BOUGHT 100 lots
HSI22400MBLePW080429
0.45
REASON no 2 (Dow Red & Europe likely Red)
------------------------------------------------
Tue Apr 01, 2008 4:25 pm (clock time)
SOLD 100 lots
HSI22400MBLePW080429
0.375
Loss 7.5k
------------------------------------------------
Tue Apr 01, 2008 4:33 pm (clock time)
BOUGHT
HSI23600MBLeCW080429
0.455 - 50 lots
0.46 - 50 lots
REASON no 1 (Dow / Eur futures turned green dramatically)
------------------------------------------------

Tue Apr 01, 2008 10:04 am (clock time)
SOLD 100 lots
HSI22400MBLePW080429
0.41
Loss 5.5k
Accumulated Profit : 26.75k
--------------------------------------------------------------------------------

Mon Mar 31, 2008 12:23 pm (clock time)
Sold 100 lots
HSI23600MBLeCW080429
0.40
Loss 5.5k
Accumulated Profit : 38.15k - 5.7k = 32.45k
------------------------------------------------------
Mon Mar 31, 2008 4:09 pm (clock time)
BOUGHT 100 lots
HSI22400MBLePW080429
0.465
REASON no 2 (Dow Red & Europe likely Red)
------------------------------------------------------

Fri Mar 28, 2008 2:08 pm (clock time)
BOUGHT
HSI23600MBLeCW080429
0.455 100 lots
REASON no 1 (Dow Fut green & Europe likely green)
---------------------------------------------------------

A Warrant Trading System

THESE POSTINGS ARE CUT DIRECTLY FROM LKB POSTINGS IN CHANNELNEWSASIA FORUM (CNA) DISCUSSION ON THIS TOPIC, UNDER CATEGORY: SINGAPORE MARKET TALK

Posted: Sun Dec 02, 2007 2:52 pm

Not an inducement to trade, just sharing the
Buy-Close Sell-Open technique of warrant trading,
of which I am using. It is risky business.
Don't try it if you are not ready to lose.

Have been doing this for some months now.
Sometimes it worked , sometimes it doesn't,
let's see how things will turn out eventually......
Let's start from where I can still remember, last Thursday.
---------------------------------
28nov07
Bought
HSI30000MBLeCW071228
0.175
100 lots
4.45-5.00PM
Reason - Dow/Europe futures all up >30 points
---------------------------------
29nov07
Sold
0.235
100 lots
around 9.30AM (+/- 15mins)
Profit 5.8k
Bal 5.8k
---------------------------------
29nov07
Bought
HSI30000MBLeCW071228
0.255
100 lots
4.45-5.00PM
Reason - Dow/Europe futures all up green
-----------------------------
30nov07
Sold
0.29
100 lots
around 9.30AM (+/- 15mins)
Profit(approx) +3.3k
Bal(approx) +9.1k
-----------------------------
30nov07
Bought
HSI30000MBLeCW071228
0.30
100 lots
4.45-5.00PM
Reason - Dow/Europe futures very strong >60pts
----------------------
Posted: Mon Dec 03, 2007 9:25 am Post subject: Reply with quote
Sold
0.325
100 lots
Profit(approx) 2.3k
Bal(approx) 11.4k
-------------------------
Posted: Mon Dec 03, 2007 4:41 pm Post subject: Re: A Warrant Trading system Reply with quote
Bought
STI 3400SGAePW80130 (Put Warrant)
0.33
100 lots
Reason - Dow/Europe futures all red -30 pts or more.
-------------------------
Posted: Tue Dec 04, 2007 9:34 am Post subject: Re: A Warrant Trading system
Sold
0.345
100 lots
Profit(approx) +1.3k
Accumulated Profit/Loss (approx) +12.7k
------------------------------------
Posted: Tue Dec 04, 2007 4:45 pm
Bought - none
Reason - Dow/Europe futures neutral, up/down less than 20 pts.
---------------------------
Posted: Wed Dec 05, 2007 4:25 pm
Bought
HSI30000MBLeCW071228 (Call)
0.36
100 lots (multi)
Reason - No. 1
----------------------------
Posted: Thu Dec 06, 2007 9:31 am
Sold
0.46
100 lots

Profit(approx) +9.8k
Accumulated Profit/Loss (approx) +22.5k
-------------------------
Posted: Thu Dec 06, 2007 4:43 pm
Bought - none
-
Reason No. 3
(Dow/Europe futures neutral, up/down less than 30 pts.)
--------------------------
Posted: Fri Dec 07, 2007 4:36 pm
Bought - none
-
Reason No. 3
(Dow/Europe futures neutral, up/down less than 30 pts.)
---------------------------
Posted: Mon Dec 10, 2007 4:33 pm
Bought
HSI29000MBLePW071228 (Put Warrant)
0.525 and 0.515
100 lots
Reason No. 2 (Futures red - UBS writedown)
------------------------
Posted: Tue Dec 11, 2007 9:33 am
Sold
0.445
100 lots
Loss(approx) -7.7k
Accumulated Profit/Loss (approx) +15.0k
-----------------------------
Posted: Tue Dec 11, 2007 4:51 pm
Bought
HSI32000BNPeCW080130 0.175 50 lots Call
HSI27000BNPePW080130 0.175/0.17 50 lots Put
This Yingyang Straddle
Reason No. 4 (Dow expected to surge up or down strongly)
------------------------------
Posted: Wed Dec 12, 2007 1:03 pm
SOLD
HSI32000BNPeCW080130 0.125 50 lots Call -0.050
HSI27000BNPePW080130 0.20 50 lots Put +0.027
Loss 1.45k (1.35k-2.5k-0.3k)
Accumlated Profit 13.55k
Phew! Really sweat to calculate and type this out.
Transactions Done around 12-12.30 noon
-------------------------
Posted: Wed Dec 12, 2007 4:49 pm
Bought : None
Reason No. 3 (Dow Green / Europe Red)
--------------------------
Posted: Thu Dec 13, 2007 2:37 pm
Bought
HSI29000MBLePW071228
0.615
100 lots
Reason No 2 (red dow , nikkei futures / europe futures likely to be red too)
---------------------------
Posted: Fri Dec 14, 2007 9:55 am
SOLD
0.66
100 LOTS
Profit/Loss +4.3k
Accumlated Profit 13.55k + 4.3k = 17.85k
----------------------------
Posted: Fri Dec 14, 2007 4:51 pm
Bought - none
Reason No. 3
(Dow/Europe futures neutral)
----------------------------
Posted: Mon Dec 17, 2007 2:12 pm
BOUGHT (puts only)
HSI27000BNPePW080130 0.30 50 lots
STI 3500BNPePW080228 0.215 50 lots
Reason No 2 (red dow , nikkei futures / europe futures likely to be red)
----------------------------
Posted: Mon Dec 17, 2007 5:19 pm
Just saw in my order processed (today) another bought done:-
HSI27000BNPePW080130 0.315 50 lots
----------------------------
Posted: Tue Dec 18, 2007 9:08 am
SOLD

STI 3500BNPePW080228 0.235 50 lots
PRofit : 0.8k
Accumulated Profit 17.85k+0.8k = 18.65k

Posted: Tue Dec 18, 2007 10:02 am
SOLD

HSI27000BNPePW080130 0.33 100 lots
PRofit : 2.0k
Accumulated Profit 18.65k + 2k = 20.65k
------------------------------
Posted: Tue Dec 18, 2007 2:48 pm
Bought
HSI28000MBLeCW080130
0.475
100 lots

Reason - Dow futures all up green / Europe likely green
------------------------------

Posted: Wed Dec 19, 2007 10:05 am
SOLD
HSI28000MBLeCW080130 0.51 100 lots
PRofit : 3.3k
Accumulated Profit 20.65k + 3.3k = 23.95k
---------------------------
Posted: Wed Dec 19, 2007 4:26 pm
Bought - none
-
Reason No. 3
(Dow/Europe futures neutral)
--------------------------------
Posted: Fri Dec 21, 2007 3:49 pm
BOUGHT
HSI29000MBLeCW080130
0.225
100 lots
Reason No. 1
(Dow/Nikkei/ASE very green, Europe likely to follow)
---------------------------------
Posted: Mon Dec 24, 2007 8:58 am Post subject:
SOLD
HSI29000MBLeCW080130
0.295
100lots
PRofit : 6.8k
Accumulated Profit 30.75k
--------------------------------------------------------------------------------
Posted: Mon Dec 24, 2007 12:11 pm
Bought - none
Reason No. 3
(Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Posted: Wed Dec 26, 2007 4:28 pm
Bought - none
Reason No. 3
(Dow/Europe futures not available due to boxing day)
--------------------------------------------------------------------------------
Posted: Thu Dec 27, 2007 4:42 pm Post subject:
Bought - none
Reason No. 3
(Dow/Europe futures very mixed)
--------------------------------------------------------------------------------
Posted: Fri Dec 28, 2007 4:22 pm
Bought - none

Reason No. 3
(Dow/Europe futures very mixed)
--------------------------------------------------------------------------------
Posted: Wed Jan 02, 2008 4:09 pm
Bought
HSI28000MBLePW080130 puts
0.30
100 lots
Reason No 2 - Dow/Europe futures all down around 30 points
--------------------------------------------------------------------------------
Posted: Thu Jan 03, 2008 9:37 am
SOLD
HSI28000MBLePW080130
0.34
100lots

PRofit : 3.8k
Accumulated Profit 30.75k+3.8k = 34.55k
--------------------------------------------------------------------------------
Posted: Thu Jan 03, 2008 4:45 pm
Bought - none

Reason No. 3
(Dow/Europe futures very mixed)
--------------------------------------------------------------------------------
Posted: Fri Jan 04, 2008 4:45 pm
Bought - none

Reason No. 3
(Dow/Europe futures very mixed)
--------------------------------------------------------------------------------
Posted: Mon Jan 07, 2008 4:48 pm
Bought - none

Reason No. 3
(Dow/Europe futures not convincingly green)
--------------------------------------------------------------------------------
Posted: Tue Jan 08, 2008 4:32 pm
BOUGHT
HSI28000MBLeCW080130
0.335
100 LOTS
Reason No. 1 (Dow/Eur all green >30)

--------------------------------------------------------------------------------
Posted: Wed Jan 09, 2008 10:11 am
SOLD
HSI28000MBLeCW080130
0.30
100lots
Loss: 3.7k
Accumulated Profit 34.55k-3.7k = 30.85k
--------------------------------------------------------------------------------
Posted: Wed Jan 09, 2008 4:43 pm

Bought - none

Reason No. 3
(Dow/Europe futures vastly different)
--------------------------------------------------------------------------------
Posted: Thu Jan 10, 2008 5:08 pm
Bought : None

Reason No 3 (Dow/Europe futures mixed)

--------------------------------------------------------------------------------
Posted: Thu Fri 11, 2008 4:44 pm
Bought : None

Reason No 3 (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Posted: Mon Jan 14, 2008 4:34 pm
Bought - none
Reason No. 3
(Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Posted: Tue Jan 15, 2008 2:29 pm
BOUGHT
HSI28000MBLePW080130
0.40
100 lots
Reason No 2 (red dow , nikkei futures / europe futures likely to be red too)
--------------------------------------------------------------------------------
SOLD
HSI28000MBLePW080130
0.53 (50lots)
0.54 (50lots)
100lots
Profit: 13.2k
Accumulated Profit 30.85k + 13.3k = 44.15k

Last edited by Lee Kok Beng on Wed Jan 16, 2008 9:22 am;

--------------------------------------------------------------------------------
Posted: Wed Jan 16, 2008 2:11 pm

BOUGHT
STI 3500BNPePW080228
0.34
100 LOTS
Reason No 2 (Dow is extremely red / Europe likely follow)
--------------------------------------------------------------------------------
Thu Jan 17, 2008 9:14 am
SOLD
STI 3500BNPePW080228
0.315
100 LOTS
LOSS = 2.5K
Accumulated Profit 44.15k - 2.7k = 41.45k

--------------------------------------------------------------------------------
Posted: Thu Jan 17, 2008 3:36 pm
BOUGHT
HSI27600MBLeCW080228
0.285
100 lots

Reason No 1 (Dow very green, Europe likely to follow)

--------------------------------------------------------------------------------
Posted: Fri Jan 18, 2008 10:13 am
SOLD
HSI27600MBLeCW080228
0.21
100 LOTS
LOSS = 7.7K
Accumulated Profit 41.45k - 7.7k = 33.75k
--------------------------------------------------------------------------------
Posted: Fri Jan 18, 2008 4:40 pm
BOUGHT
HSI27600MBLeCW080228
0.28
100 lots
Reason No 1 (Dow very green whole day, Europe likely to follow, after clearing hangover from yesterday's heavy drop)

--------------------------------------------------------------------------------
Posted: Mon Jan 21, 2008 9:51 am
SOLD
HSI27600MBLeCW080228
0.225
100 LOTS
LOSS = 5.7K
Accumulated Profit 33.75k - 5.7k = 28.05k

--------------------------------------------------------------------------------
Posted: Mon Jan 21, 2008 3:17 pm
BOUGHT
HSI25600SGAePW080328 Put
0.53-0.54
50 lots
HSI24000BNPePW080429 Put
0.29
6 lots
Reason No 2 (Dow futures very red, rest likely to follow)
--------------------------------------------------------------------------------
Posted: Tue Jan 22, 2008 10:07 am
SOLD
0.73
0.40

PROFIT = 9.55K + 0.6K = 10.15K
Accumulated Profit 28.05k + 10.15K = 38.20K
--------------------------------------------------------------------------------
Posted: Tue Jan 22, 2008 4:10 pm
BOUGHT
HSI24000BNPePW080429 Put
0.4725
80 lots (limited)
Reason No 2 (Dow futures very red, rest likely to follow)

--------------------------------------------------------------------------------
Posted: Wed Jan 23, 2008 9:53 am Post subject:
SOLD
HSI24000BNPePW080429
0.37
80 LOTS
LOSS = 8.56K
Accumulated Profit 38.20k - 8.56K = 29.64K
--------------------------------------------------------------------------------
Posted: Wed Jan 23, 2008 4:10 pm
BOUGHT
HSI26600SGAeCW080328
0.21
100 LOTS
REASON no 1 (Dow & Europe very Green)
--------------------------------------------------------------------------------
Posted: Thu Jan 24, 2008 9:47 am
SOLD
HSI26600SGAeCW080328
0.25
100 LOTS
Profit = 3.8K
Accumulated Profit 29.64K + 3.8k = 33.44
--------------------------------------------------------------------------------
Posted: Thu Jan 24, 2008 4:30 pm Post subject:
Bought - none

Reason No. 3
(Dow/Europe futures very mixed)
--------------------------------------------------------------------------------
Fri Jan 25, 2008 4:15 pm
BOUGHT
HSI27600MBLeCW080228
0.32
100 LOTS
REASON no 1 (Dow & Europe up > 50)
--------------------------------------------------------------------------------
Mon Jan 28, 2008 9:47 am (Time shown on TV while typing this)
SOLD
HSI27600MBLeCW080228
0.235 x10
0.24 x30
0.245 x60
100 LOTS
Loss = 4.5K + 2.4k + 0.85k + 0.150 = 7.90
Accumulated Profit 33.44k - 7.90k = 25.54k
--------------------------------------------------------------------------------
Mon Jan 28, 2008 3:10 pm (CNA TV time)
BOUGHT
HSI24000BNPePW080429 put
0.33
115 LOTS
REASON no 2 (Dow & Europe likely very red)
--------------------------------------------------------------------------------
Tue Jan 29, 2008 10:26 am (CNA TV time)
SOLD
HSI24000BNPePW080429
0.295
115lots
Loss = 4.175k
Accumulated Profit 25.54k - 4.175k = 21.365k

--------------------------------------------------------------------------------
Tue Jan 29, 2008 4:34 pm
Bought - none
-
Reason No. 3
(Dow/Europe futures neutral.)
--------------------------------------------------------------------------------
Wed Jan 30, 2008 4:21 pm (TV time)
Bought - none
-
Reason No. 5
(Fed Meeting Announcement tonite.)
--------------------------------------------------------------------------------
Thu Jan 31, 2008 4:41 pm (TV time)
Bought - none
-
Reason No. 3
(Dow/Europe futures mixed.)
--------------------------------------------------------------------------------
Thu Feb 01, 2008 4:55 pm (TV time)
Bought - none
-
Reason No. 3
(Dow/Europe futures mixed.)
--------------------------------------------------------------------------------
Mon Feb 04, 2008 4:25 pm (TV time)
Bought - none
-
Reason No. 3
(Dow/Europe futures mixed.)
--------------------------------------------------------------------------------
Tue Feb 05, 2008 4:40 pm (TV time)
Bought - none
-
Reason No. 3
(Dow/Europe futures mixed.)
--------------------------------------------------------------------------------
Tue Feb 06, 2008 2:10 pm (SG time)
Bought - none
-
Reason: (Half Day trading)
--------------------------------------------------------------------------------
Mon Feb 11, 2008 4:50 pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Mon Feb 12, 2008 4:55 pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Wed Feb 13, 2008 4:55 pm (SG time)
BOUGHT
STI 3000BNPePW080228 put
0.14
100 LOTS
REASON no 2 (Dow & Europe less than -30)
--------------------------------------------------------------------------------
Thu Feb 14, 2008 9:06 am (SGtime)
SOLD
STI 3000BNPePW080228
0.10
100lots
Loss = 4.2k
Accumulated Profit 21.365k-4.2k= 17.165k
--------------------------------------------------------------------------------
Wed Feb 14, 2008 4:34 pm (SG time)
BOUGHT
HSI24800MBLeCW080228
0.285
100 LOTS
REASON no 1 (Dow & Europe > 30)
--------------------------------------------------------------------------------
Wed Feb 15, 2008 10:40 am (SG time)
SOLD
HSI24800MBLeCW080228
0.21
100 LOTS
Loss = 7.7k
Accumulated Profit 17.165k-7.7k = 9.465k
--------------------------------------------------------------------------------
Fri Feb 15, 2008 4:25 pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Mon Feb 18, 2008 4:40 pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Tue Feb 19, 2008 4:48 pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Wed Feb 20, 2008 4:15 pm (SG time)
BOUGHT
HSI23400MBLePW080328
0.67 40 LOTS
0.675 60 LOTS
REASON no 2 (Dow & Europe < -30)
--------------------------------------------------------------------------------
Thu Feb 21, 2008 11:15 am (SG time)
SOLD
HSI23400MBLePW080328
0.615
100 LOTS
Loss = 6.0k
Accumulated Profit 9.465k - 6k = 3.47k
--------------------------------------------------------------------------------
Thu Feb 21, 2008 4:48 pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Fri Feb 22, 2008 4:22pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Mon Feb 25, 2008 4:54pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Tue Feb 26, 2008 4:55pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Wed Feb 27, 2008 4:44pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Thu Feb 28, 2008 4:49pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures very mixed)
--------------------------------------------------------------------------------
Fri Feb 29, 2008 4:59pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Mon Mar 03, 2008 12:27 pm (SG time)
BOUGHT
HSI23400MBLePW080328
0.525
100lots
REASON no 2 (Dow & Europe super Red)
--------------------------------------------------------------------------------
Tue Mar 04, 2008 2:42 pm (SG time)
SOLD
HSI23400MBLePW080328
0.575
100 LOTS
Gain = 5.0k
Accumulated Profit 3.47k + 4.8k = 8.27k
--------------------------------------------------------------------------------
Tue Mar 04, 2008 4:59pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Wed Mar 05, 2008 4:20pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Thu Mar 06, 2008 4:16pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures very mixed)
--------------------------------------------------------------------------------
Fri Mar 07, 2008 4:30pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures very mixed)
--------------------------------------------------------------------------------
Mon Mar 10, 2008 2:59 pm (SG time)
BOUGHT
HSI23400MBLePW080328
0.62
100lots
REASON no 2 (Dow Red& Europe likely Red)
--------------------------------------------------------------------------------
Tue Mar 11, 2008 11:05 am (SG time)
SOLD
HSI23400MBLePW080328
0.645
100 LOTS
Gain = 2.50k
Accumulated Profit = 8.27k + 2.3k = 10.57k
--------------------------------------------------------------------------------
Tue Mar 11, 2008 4:39 pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Wed Mar 12, 2008 4:31 pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Thu Mar 13, 2008 2:14 pm (SG time)
BOUGHT
HSI23400MBLePW080328
0.55 60lots
0.555 40lots
REASON no 2 (Dow Red& Europe likely Red)
--------------------------------------------------------------------------------
Fri Mar 14, 2008 2:32 pm (actual clock time)
SOLD
HSI23400MBLePW080328
0.59
100 LOTS
Gain = 3.90k
Accumulated Profit = 10.57k + 3.7k = 14.27k
--------------------------------------------------------------------------------
Fri Mar 14, 2008 4:59 pm (actual time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Mon Mar 17, 2008 10:41 am (SG time)
BOUGHT
HSI22400MBLePW080429
0.86 100 lots
REASON no 2 (Dow Super Red& Europe likely Red)
--------------------------------------------------------------------------------
Tue Mar 18, 2008 10:53 am (actual clock time)
SOLD
HSI22400MBLePW080429
0.895
100 LOTS
Gain = 3.30k
Accumulated Profit = 14.27k + 3.3k = 17.57k
--------------------------------------------------------------------------------
Tue Mar 18, 2008 4:59 pm (actual time)
Bought - none
-
Reason: (FOMC meeting/announcement)
--------------------------------------------------------------------------------
Wed Mar 19, 2008 15:33 pm (clock time)
BOUGHT
HSI22400MBLePW080429
0.705 100 lots
REASON no 2 (Dow Red & Europe likely Red)
--------------------------------------------------------------------------------
Thu Mar 20, 2008 10:32 am (actual clock time)
SOLD
HSI22400MBLePW080429
0.90
100 LOTS
Gain = 19.3k
Accumulated Profit = 17.57k + 19.3k = 36.87k
--------------------------------------------------------------------------------
Tue Mar 20, 2008 4:33 pm (actual time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Mon Mar 24, 2008 4:59 pm (actual time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Tue Mar 25, 2008 4:54 pm (actual time)
Bought - none
-
Reason: (Dow/Europe futures mixed)
--------------------------------------------------------------------------------
Wed Mar 26, 2008 3:36 pm (actual time)
Bought - HSI24000BNPePW080429
100 lots 0.28cts
Reason: (Dow/Europe futures likely red)
--------------------------------------------------------------------------------
Thu Mar 27, 2008 10:06 am (actual time)
Sold - HSI24000BNPePW080429
100 lots
0.295cts
Gain = 1.3k
Accumulated Profit = 36.87k + 1.3k = 38.17k
--------------------------------------------------------------------------------
Thu Mar 27, 2008 4:50pm (SG time)
Bought - none
-
Reason: (Dow/Europe futures very mixed)
--------------------------------------------------------------------------------
Fri Mar 28, 2008 2:08 pm (clock time)
BOUGHT
HSI23600MBLeCW080429
0.455 100 lots
REASON no 1 (Dow Fut green & Europe likely green)
-----------------------------------------------------------------------------

Turtle Trading Explained

Turtle Trading Explained

"I always say that you could publish my rules in a newspaper and no one
would follow them.The key is consistency and discipline.Almost anybody
can make up a set of rules 80% as good as what we taught our people.What
they couldn't do is give them the confidence to stick to those rules
even when things are going bad." Richard Dennis, Father of the
Turtles.Mid 1983. Famous commodities (futures) speculator Richard Dennis
argues with his buddy Bill Eckhardt about whether great traders can be
trained, or whether it is an innate ability. To settle the argument of
nature versus nurture, they decide to try and teach 13 beginners to
trade, and if they can master the rules, fund them with large trading
accounts. These beginners, whittled down from over 1000 applicants, are
known as the 'Turtles'. Over the next four years, the Turtles earned a
collective compound rate of return of over 80%. Argument settled.

Turtle Trading - What Markets?
As they were trading million dollar-plus accounts, the Turtles had to
choose liquid instruments, including US Treasury Bonds, Coffee, Cocoa,
Sugar, Cotton, Gold SIlver, Coper, major currencies and Indices, and
Oils.

Turtle Trading - Position Sizing
All good trading systems pay strict attention to position sizing. The
control of risk is the elementary building block upon which good trading
is based, and Turtle Trading is no exception. The Turtles used
'Volatility normalization' - a fancy way of saying that the more
volatile an instrument, the smaller the trade, meaning that every
instrument would (hopefully) carry the same dollar risk.This is where
the much-talked-about 'N' comes from.
'N' is the 20-day exponential moving average of the ATR (true range).
The formula to calculate 'N' is:-
(19 x Previous Days N + TR) / 20
Next step - figure out the 'Dollar Volatility Adjustment'. This is
simply (N x Dollars per point). This was done so the size of a 'Unit'
could be calculated. Each 'Unit' would account for 1% of the trader's
equity, in other words, a Unit equals:-
1% of account / Dollar Volatility

As an example, assume an instrument that moves $100 per point. Assume
also that the account size is $10,000. For simplicity, assume N = 0.1.
A Unit then , is:-
(1% x $10,000) / (0.1 X $100)
i.e. $10.

Turtle Trading - Risk Adjustment
Turtles had 'notional' sized accounts - although an account might
notionally start the year at $1,000,000, in the case of a loss of 10%,
the size of this account would be reduced by 20%. In other words the
trader would have to trade as if he only had $800K, not $900, until such
time as the account had got back to the starting figure.

Turtle Trading - Trade Entries
Turtles entered trades based on two systems, a 20 day breakout system,
and a 55 day breakout system. To use the first system, if the market
traded during the day or opened thru the 20 day high or low, that would
be a signal to enter.One Unit would be bought/sold to initiate the
position.If the previous signal would have resulted in a successful
trade, this signal would be ignored, in an attempt to avoid
'whipsawing'.
The second system fired signals if price exceeded the 55 day high or
low, and these signals were always taken, irrespective of previous
success/failure.

Turtle Trading - Adding to Positions
Once in a position, Turtles would add a Unit every 1/2 'N' advance, up
to the maximum number of units they were permitted (4 in a single
instrument, 6 in 'Closely Correlated' markets, such as Oil and Crude, 10
units in 'Loosely Correlated' markets, 12 units overall in a single
direction).
The prime directive in all of this was CONSISTENCY. As the majority of
trades failed, it was essential to be in on ALL of them, so as not to
miss the few huge winners that made the profits.

Turtle Trading - Stops and Exits
No trade was allowed to incur more than 2% of the account equity in risk
- in other words the Turtles used mental stops no more than 2 'N' away
from the position.
To exit from a System 1 trade, if the 10 day high (short trade) was
broken, that meant close the trade. Likewise if the 10 day low (long
trade) was broken, close th etrade. To exit from a System 2 trade, a 20
day breakout in the opposite direction would signal the end of the
trade.

Turtle Trading - does it work?
The Turtle system undoubtedly works. However, it requires iron willpower
to follow the rules, and not to try and 'bend' the mechanics of the
strategy. Most people are not mentally equipped to deal with the
constant losses, even though they are handsomely offset by the
occassional huge winner. If you have that kind of personality, perhaps
Turtle Trading is for you!

Comments:
Paul Cote
Turtle System from Russel Sands book Turtle Secrets, Tradewins: Buy the
highest high of last 20 days with stop at lowest low of last 10 days.
Sell the lowest low of last 20 days and stop out on highest high of
last 10. The system works pretty well. It certainly beats moving
average systems I believe. I have tried optimizing and of course you
can curve fit a number for every commodity, for every time, but I think
the 20/10 works well enough. This leaves you flat part of the time.
From Lebeau and Lucas, this is a vast improvement over the stop and
reverse systems.


Manfred
Newsgroups: misc.invest.futures
From: "Manfred"
Date: Thu, 1 Jul 2004 17:23:25 -0600
Local: Fri, Jul 2 2004 7:23 am
Subject: Before you pay TurtleTrader.com

Here is an excerpt from Curtis Faith, one of the original Turtles trained by
Richard Dennis, et. al., concerning Michael Covel, the sole operator of
TurtleTrader.com. Faith offers the trading rules for free that Covel at
TurtleTrader.com offers for $1000. See the site, www.originalturtles.org
for additional details, in addition to the quote below:

One of the sad realities of the trading industry and futures trading in
particular is that there are far more people making money selling systems
and "ways to make money trading" than there are people actually making money
by trading.

There are many "famous traders" who don't make money as traders. They make
money selling new trading systems, seminars, home study courses, etc. Many,
if not all, of these so called "experts" can't trade and don't trade the
systems that they sell.

Yes, this is also true of those selling the Turtle Trading Rules. Consider
the major sellers: the first, a web site, TurtleTrader.com, and the second,
a former turtle. Here's what they won't tell you:

TurtleTrader.com - A web site run mainly by one guy (an admittedly talented
web marketer that also has a pharmacy site and a site that sells personality
tests), TurtleTrader.com purports to have the actual Turtle Trading Rules
and sells them to you for about $1,000. The site is filled with huge amounts
of information about trading and bills itself as the "No. 1 Source for Trend
Following Worldwide".

What they don't tell you is that the site is run by a guy who doesn't even
trade his own rules - or trade at all for that matter - has never been a
successful trader, yet purports to be an expert on the "Turtle Trading
Rules" and trend following.

His rules, while reasonably close to the actual rules, differ in material
ways from those taught by Richard Dennis.

You won't get any expert advice from the guy who runs TurtleTrader.com. All
you will get is the regurgitation of advice from other traders not tempered
by the experience of a successful trading career. Paying for advice from
this source is a lot like hiring a blind guide.

In the final analysis, TurtleTrader.com is not any better than the other
scams and system selling hucksters he warns about. It is a site run by a guy
who appears to be more interested in taking his customers money than he is
in their success with the system he sells; someone who misrepresents himself
as an expert in trend following without mentioning that he doesn't trade.

Before dropping your money at TurtleTrader.com, carefully read what's
available for free at www.originalturtles.org

TURTLE TRADING IS NO SECRET

If there is a Holy Grail of trading (a colossal "if" in the minds of many), then it most likely consists less of trading systems and more of a set of processes, procedures, and precepts: Ride your winners and cut your losers short. When you are trading well, bet biggest, and when you are trading poorly, pull back or stop trading altogether. And last but not least, don't fight the trend.

While there are modifications and stylistic differences among traders as to the best way to execute this process - from scalpers who cut their winners short to top/bottom pickers who seek to ride trends from their origins (as opposed to profiting from what trend-followers refer to as "the meat in the middle") - few have fundamentally challenged these general trading concepts.

At the same time, few have embraced these general trading concepts as strongly as those who follow the Turtle trading methodology developed years ago by traders Richard Dennis and William Eckhardt. Although by now a legendary story in the annals of trading lore, the Turtle experiment is worth recalling for those who are unfamiliar with just what happened. Here, Richard Dennis explains the origins of the Turtle experiment in an interview with Jack Schwager in Schwager's excellent Market Wizards:

I have a partner who has been a friend since high school. We have had philosophical disagreements about everything you could imagine. One of these arguments was whether the skills of a successful trader could be reduced to a set of rules - that was my point of view - or whether there was something ineffable, mystical, subjective, or intuitive that made someone a good trader.

The resolution of this argument between Dennis and Eckhardt was the famous Turtle trading experiment in which 23 nontraders spent less than a month in training before being turned loose to trade based on the principles Dennis and Eckhardt prescribed. The results, according to Dennis, were average returns of 100% per year.

Too good to be true? Perhaps. But thanks to the efforts of subsequent generations of "Turtle traders," those who have been interested in, tantalized by, or just plain curious about how well the Turtle trading method works can find out for themselves.

SOME TURTLES ARE MORE EQUAL THAN OTHERS

All great successes beget both successors and imitators, and the Turtle trading methodology is no exception. Indeed, there are probably more websites and individuals trading off the Turtle trading reputation than any other single trading methodology. Fortunately, in TurtleTrader.com, aspiring traders have access to the real McCoy: the complete Turtle trading method as originally taught to Dennis and Eckhardt's first group of 23 aspiring traders. Not only does this website offer the Turtle trading course, but it also goes out of its way to educate visitors about the reason why trend-following - one of the mainstays of the Turtle trading method - is so successful, producing what they call "big picture, huge gains."

The educational sections of the website are valuable to anyone who trades - from beginners to veterans, and from stocks to commodities to Leaps? (long-term options). Nowhere else does a website take the time to explain what trend-following is and why it works - including examples of real-life, trend-following traders such as John W. Henry, whose results correlate strongly with the Turtle trading approach. More than a set of simple entry and exit rules, TurtleTrader.com also provides a great deal of information on the critical aspects of money management - from position sizing to handling profits and losses. Some have gone so far as to suggest that the success of the Turtle trading method is largely based on its unique money-management algorithms - perhaps even more than its strategies for getting into and out of markets. As such, the website features a section specifically devoted to the topic of money management.

While not giving away any secrets, TurtleTrader.com provides numerous articles on the statistical discoveries of real-life traders (and Bell Labs scientists) that support aggressive commitment to not just sound but strategic money management - a hallmark of Turtle trading.

Other sections include testimonials from trading houses like Galt Capital and Mulvaney Capital, as well as brief interviews with successful Turtle traders and clients like Tom Arnold of Plimsoll Capital and John Goodman of Pagnell Capital. Each of these profiles underscores the notion that "Turtle trading is brutal reality," as the website boasts. An even more entertaining testimonial is provided by TurtleTrader.com's section on, well, companies and institutions that (often unwittingly) found themselves on the opposite side of the Turtle trader - which means on the wrong side of the trend. If it is illuminating to read how a trader like Bill Dunn found great success trading with the trend, then it is equally fascinating to read how a Barings Bank or an Enron or a Metallgesellschaft found great failure in trading against it.

HYPE, HOPE, AND SECRETS

The bear market in stocks that began in 2000 provides an interesting context for all traders, and trend-followers are no exception. For all the methodologies that found such great success in the bull market, trend-following strategies are among the few that have been equally effective in the bear market. It is difficult to think of many other websites that sponsor a specific trading methodology and are as open about their methods, results, and returns as TurtleTrader.com. For example, the Market Proof section on the website provides data on trend-following gains in 2002, recent big Turtle trading wins, and examples of 10-year returns for various traders using either the Turtle trading approach or similar, correlated methods.

An entertaining aspect of TurtleTrader.com is the way it discusses and comments on the hype that surrounds trading and the world of Wall Street. Whether lambasting those who have pooh-poohed trend-following or pointing out the fallacies of traders for whom long-term luck has become a substitute for a winning market methodology, TurtleTrader.com serves a quasi-journalistic function in the world of contrarian financial commentary (I know, I know: How can trend-following ever be really contrarian?). Buy and hold, breakout chasing, the talking heads of CNBC ... all these baubles of the bull market just ended come in for regular skewering by the clear-eyed, take-no-prisoners mentality of TurtleTrader.com.

So what do you get for your money? The TurtleTrader.com website is free and includes an e-mail newsletter that will alert its subscribers to changes on the site, additions to the Turtle trader course, and discussions and commentaries on the world of trading. The Turtle trader course itself is $999 plus shipping - the same price as it was in 1996, when the course was first offered. The course includes a 200-page instruction text that covers all aspects of the Turtle Trading System, money management, an explanation of Richard Donchian's trading system (which supports the Turtle trading methodology), as well as information about client support, data on relevant hedge fund performance, offshore banking opportunities, and a guide to account management. In addition, the course provides an audio CD-ROM companion to the instruction text, and a data CD with historical volatility information for stocks and commodities. There is also a relatively new offering that consists of the same basic Turtle Trading System course, plus a module dealing with trading Leaps. This course is available for $1,699 plus shipping.

While TurtleTrader.com is obviously devoted to the Turtle trading method, what makes the method work is not the genius of the website developers, nor the genius of Richard Dennis or other traders identified with Turtle trading. In some ways, the secrecy to which many original Turtles were sworn has confused the issue of Turtle trading, making the methodology seem more clandestine and complex than it really is, while providing an unfortunate platform for less scrupulous promoters to offer the "secret" of Turtle trading to aspiring, yet unsuspecting, traders.

As one of the administrators of TurtleTrader.com suggested in e-mail, all Turtle trading amounts to, in the end, is trend-following. Indeed, there were successful trend-followers long before Richard Dennis and William Eckhardt's Turtle trading experiment, according to that administrator:

To some degree, we see the question as a continuation of the secrecy hype first revealed in Schwager's books. Great books, indeed, but the secrecy part of Turtles and trend following was misleadingÉ Given that so many other trend-followers were kicking butt at the same time of the Turtles' creation É

Turtle trend-following is not a secret. It simply takes proper teaching.

Trading Pairs

Trading Pairs
by Douglas S. Ehrman

Article Contributed by Active Trader Magazine

Pairs trading is a non-directional strategy that identifies two companies (or futures contracts) with similar characteristics whose price relationship is outside of its historical range. The strategy simply buys one instrument and sells the other in hopes that relationship moves back toward normal. The idea is the price relationship between two related instruments tends to fluctuate around its average in the short term, while remaining stable over the long term.

For example, the price relationship between Bank of America and U.S. Bancorp (BAC/USB) has remained relatively stable at a ratio of 1.5 over the past four years. During that period, its price ratio has been as high as 1.8 and as low as 1.35. The goal is to identify these stable relationships and buy the stock lagging the historical average and sell short the one leading it.

When trading pairs, you’re not concerned with how the individual stocks perform, but with their relative performance. As the market rises, both long and short stocks appreciate, so the pair’s overall value remains constant. Similarly, if the market declines, each stock drops. However, the pair profits as long as the long stock outperforms the short one.

Simply going long (or short) limits forecasting to a single direction, which means you can’t take advantage of the relative
values of all the instruments you track. Assume, for example, that you expect two stocks in the same industry to perform
much differently — one is expected to have a higher-than-average return and the other a lower-than-average return.

If you’re limited to going long, you’d buy the more attractive stock and ignore the one that’s expected to underperform.
In a pairs trade, however, you could enter a long position in the attractive stock and enter a short position in the less attractive one, which uses all available information and exploits the relative performance of both stocks.

2/20-day EMA breakout system

2/20-day EMA breakout system defined
by David S. Landry

Buy alert: If today's low and yesterday's low is greater than the 20-day EMA. This signal remains valid until the low touches or falls below the 20-day EMA.

Buy entry: Place a stop order 10 ticks above the two-day high. This will help ensure buying with the new trend and help to avoid false signals. Keep order until filled or as long as the buy alert is still valid.

Long exit: Place a stop equal to the 20-day EMA. Continue to update this stop daily to form a trailing stop.

See Graph


Sell alert: If today's high and yesterday's high is less than the 20-day EMA. This signal remains valid until the high touches or rises above the 20-day EMA.

Sell entry: Place a stop order 10 ticks below the two-day low. This will help ensure that you will sell with the new trend and help to avoid false signals. Keep order until filled or as long as the sell alert is still valid.

Short exit: Place a stop equal to the 20-day EMA. Continue to update this stop daily to form a trailing stop.

Channel-based Scalping

Moving average based trading systems still exist and work very well still, even today. Here is a basic scalping setup based on average range channel, which in turn is based on simple moving average, that works very well for many years.

A Channel Based Scalping Setup

Instead of jumping into the next topic of another usage combination based on simple moving average and average range, I will continue from where we left off in Part 2.

Here is the background info - emini S&P 45-minute bar time frame, 9 period simple moving average, average range channel offset by 2 times the average bar range. Not something very complex.

Isn’t scalping gets in and out of a position very quickly? With 45-minute bars, you sit on a position for at least 45 minutes. That is not scalping, isn’t it? Before you jump up and down complaining, just think - if you can get a significant bias at your side within the next 45 minutes trading S&P future, I think many of you will figure out your way to scalp within that 45-minutes.

My job here is to show you that even if you sit on a position based on the setup for the whole 45-minutes, you will still be profitable.

Here is the setup, we will go long if

1. The up side channel is broken

2. No matter it works out or not, we’ll exit by the end of the 45-minute bar

3. Being a person who has many things to do in life, I prefer trading in the morning only, so the setup will trade in the morning only

The complete version of the formula indicator Average Channel Scalper can be download here. You can also use the automatic Installer.

The actual code is very simple, just 6 lines.

makeindicator (avgbarrange, avgrange, data1, param1);
makeindicator (channel, avgrangechannel, data1, param1, param2);
$time_range := time >= maketime (9, 30, 0) and time < = maketime (12, 0, 0);
long_signal := $time_range > 0 and c >= channel.p2;
longatmarket (long_signal, defaultordersize, “Long”);
longexitnextclose (true, defaultordersize, “LExit”);

So how does the setup fair since 1998, here it is,

It works fairly well already, but not as consistent as we would like it to be. There is definitely room for further improvement on the raw system.

A Very Profitable Targeting Technique

Most beginners set position targets based on variation of the amount winning at the moment. For example, percentage of equity gained, percentage of gains to keep from the best level, or simply a fixed amount. That, will not help you capturing short and powerful moves.

For daytrading, time is your enemy (see article) thus you must take time into account when you are working on production trading systems. Within one 45-minute bar, what tools do we have to improve the performance? The answer is the average range of the bars. By cutting short the time to stay within the 45-minute bar using exit technique that close the postion early based on average bar range, we effectively lock in the possible profit within the bar and avoid staying on board where the possibility of a reversal is highly possible.

So, by adding an exit rule to get out based on the opening price of the 45-minute bar and a certain percentage away from that open, we have a new system.

The extra exit rule takes one extra line of code,

longexitnextopenoffsetlimit (true, avgbarrange * param3 / 100, defaultordersize, "LTarget");

Lets compare the following equity curve performance against the original one,

It performs a lot better than the raw system, isn’t it?

The system is not complex at all if you just take a closer look at the chart,

Summary

Do not underestimate the power of simple but statistically significant indicators. With properly constructed indicators, you will be able to find good trading setups everywhere. It takes time and patience to discover them.

I hope this example system will give you a head start.

Disucss this article.

1. It would be interesting to filter this system with volume considerations sort of in the style of market profile. High volume with breakout above/below the channel could produce effective results.