Over the weekend I have been working on a few system related projects. For one I implemented an equity curve filter filter into Thor. If you’re not familiar with EC filters then please take a look at my pertinent post from two years ago. Having observed over a year of live Thor action now it seems to me that both sell offs and earning periods come in clusters. The idea here is to limit drawdown periods of course until market conditions are more favorable. It is an approach that has served us very well on CrazyIvan and I think it’ll work with Thor as well.
Talking of CrazyIvan – now that Scalpius is out of beta and appears to be running error free I am planning to offer CrazyIvan as a LAMM service as well. So if you’ve been trading CrazyIvan manually for the last two years and are tired of taking manual entries then this is your chance to take the easy route. I will probably keep the candle roll overs in the current custom session (i.e. 7:00am, 15:00pm, and 11:00pm) as this is what has worked. As the saying goes – if it ain’t broke, don’t fix it.
As you know CrazyIvan is a slow grinder of a system – it ain’t pretty and it’s a bitch to trade manually. But you can’t argue with the fact that it’s held up well in almost every tape imaginable. The live trade log is available here – I will add it to our system page later this week. Anyway, if you’re interested in trading CrazyIvan via the LAMM service then contact me at admin@ and I’ll put you in touch with Mark over at Vankar.
The E-Mini is still clinging to that daily NLBL at 1890. My long position was actually stopped out prematurely on Friday as I forgot that my strategy was set to close down on Friday night. So I just repurchased my long on a little dip lower this morning. There really is not much to do here right now. Three scenarios I see happen here:
- Soylent Green: We continue higher until about 1970, at which point most of the remaining longs would head for the hills and wait for instructions. Odds 40:%.
- Soylent Orange: We drop once more (just to drive everyone crazy) and then continue higher after most of the stops have ben touched (mine included). Odds 40%.
- Soylent Red: Straight down from here. Odds 20%.
Nothing that wets my appetite on the setup front this morning. The recent few weeks have made me extremely selective and unless I absolutely love a configuration right now I will give it a miss. This is not a market to be trifled with.