Frightening market for the bulls today on the last day of October on Halloween. The VIX has moved into the 23 handle. The Indexes were down on the day:
Nasdaq Composite = -2.76% Nasdaq 100 = -2.44%
S&P 500 = -1.86%
VIX = +13.81%
NVDA = -4.37% AAPL = -2.74% (bouncing around quickly in after hours on earnings)
The wild price action yesterday pre-empted the real trend that was revealed overnight and today. We continue to see a market that makes its net moves overnight and then chops during the day.
The One Million MNS was down early but recovered to around breakeven on the day. The 250K Portfolio was around breakeven as well. We ended the live trading down about -2% on the month. The net losses were mostly from yesterday's trade as we were close to breakeven for the month at the close on Tuesday. That pattern yesterday in the stock indexes seemed like a capitulation of chop but the real issue (since Federal Reserves massive liquidity injection during the pandemic) always seems to be that when there is a slight downtrend, the dip buyers create massive chop and perpetuate multi-year price distortion. I believe there are many layers of price distortion over the last few years. This can be seen in the massive Stock Market Cap to GDP ratio at record levels.
The Stock Index Portfolio 18 was the highlight having a good day at +6,205 per E-mini and +$617 per Micro, quickly bouncing off a quick dip below its worse case drawdown. Yesterday the Stock Index Portfolio 18 was in a -21,970 out of -27,162.50 worse case drawdown. That number is -15.7K today after a quick 11.5K jump in the last 5 trading days since it made its low.
The market has been incredibly challenging the last few weeks. The Nasaq futures monthly range is the 3rd narrowest monthly range of the year, behind, February and March. Narrow monthly ranges have been the most challenging months to trade this year. Although you cannot know if the current month that you are trading will be a narrow ranging month, we continue to look for more indicators that could hint at this type of market environment and give us an advantage in managing risk and finding the best strategies in what I consider more sloppy and random market conditions. I am seeking a sloppy market indicator.
I am working on some research for the upcoming month and have released a 120 strategy portfolio with a Sharpe Ratio of +3.0. It is shown in the latest Portfolio Calculator updated through yesterday. The latest Portfolio Calculator also includes the 129 strategy portfolio.
The 120 Strategy Portfolio is simply the One Million MNS 128 removing 8 strategies:
Tick Pulse V12
Adaptive MA ES 15m
DT-M4 Gap Continue I 2024 1m
Viper NQ
V-Reversal I
V-Reversal II
V-Reversal IV
We keep 3 of the 6 V-Reversals including the V-Reversal COMB 24. Each of these strategies could be traded individually but they are a reduced risk setup for the portfolio by removing some correlations.
Additionally, I just published this video to youtube and will have more details, reports, and files tomorrow for the top core Nasdaq trading systems going to the end of the year and how they work in a portfolio.
Yes good day for SI 18 for sure. Lets see how things are once the election and fed meeting are done!