One of the most interesting data points for today is the VIX is only down about -0.23 on the week.
Today, the market gapped up higher than it has in more than a decade after yesterday's FOMC meeting. During the FOMC policy statement and press conference yesterday, the intra-day price action was very wild and choppy and indicated more of a sell on the news. The bullish trend was delayed until 9:30 pm EST (12 hours from the next day's open) yesterday evening when the light liquidity in the evening session made it easier to push the bullish agenda and move the markets when there was less contentious price action. The trend higher overnight from 9:30 pm EST was very strong and very smooth.
A massive gap up, and the largest in over a decade post FOMC, can essentially "use up" all of the trend price action for the day. We are day traders, and the chart below shows the day session price action in the E-mini Nasdaq. In spite of all the hype about the trend, the day session was very "sideways".
Many of our strategies are countertrend and mean reversion, so we don't depend on the trend. I anticipate the market will continue to be choppy intra-day through the November presidential election. It is possible, we could see nighttime trends followed by day session chop. We are setup for this type of price action with 73% countertrend strategies and only 27% trend strategies in the One Million MNS 128.
Today, we were out of sync with the extra-large gap up.
The One Million MNS 128 was -0.17% on the day and the 250K Portfolio was down -$340. Based on the risk to worse case drawdown being nearly 5%, and the large gap up today, we scaled back to a portion of the Stock Index Portfolio 18, mainly trading the V-Reversal 2024 COMB 24 E-mini Nasdaq for live trading.
The hypothetical trading system signals for the Stock Index Portfolio 18 were -$4,850 per E-mini and -$485 per Micro. The Stock Index Portfolio 18 was in a -$13.1K drawdown going into the session per E-mini and is in a -$18K drawdown at the end of the session. The drawdown entry alert started at 10K. We prefer to start or add contracts after a drawdown.
Re-calibration was the most used new word at the FOMC press conference yesterday and was used 9 times.
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