The market moved higher all week until it took out last week's (and this months) highs today. We benefited from the moves this week. The intra-day price action was very spiky and choppy. It feels like the market wants to go parabolic and run stops against short term longs at the same time, with sharp 50-100 point moves lower and then quickly rebounding. It was an ideal week to catch small reversal trades as well as the big reversal trade on Wednesday.
The live results for the One Million MNS 128 was +$500 while the live results for the 250K Portfolio was $100. It was a positive week. The hypothetical results for the Stock Index Portfolio 18 was -$830 per E-mini and -$81 per Micro.
CNBC's perma-bull Tom Lee has been calling for a 50% move in the Russell 2000 by the end of the year. Today looked like another one of those rotations from growth to value with the Russell 2000 up over 2%. In July, the Russell 2000 surged, followed by a complete mean reversion in August, and now another attempt to runup into the end of the year.
The Russell 2000 is lower than where it was 3 years ago. The Russell 2000 represents small cap stocks or small businesses who are more affected by higher interest rates. We are keenly aware of this pattern and the possibilities of applying our algorithms to the Russell 2000 futures. Backtesting strategies in the Russell 2000 don't appear to be so great over the last few years but it is one of those scenarios where we could see strategies in the Russell 2000 start to perform.
We have a rollover alert for stock indexes to the December contract for Monday's trade. Simply change the U to a Z on data 1 in all symbols.
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