Friday, April 22, 2016

PTJ Strategy for SP500.

PTJ strategy is aimed to catch a mid/long term SP500 trend reversal and run the counter-trend  while increasing the leverage. Unlike Strategies 1/2 it is more difficult to formulate all the rules in terms of probabilities.
Let us try anyway.

1. SP500 is making a mid/long term price extreme, i.e. > 1SD on 1-3 months time scale. Ideally it should be a new all time high.
2. A birth of the counter-trend  should be watched out if a consecutive  short term 1hour, 1day counter-trend sparks  (>1SD) were observed.
3. The counter trend hunting starts using the minimal leverage ( 1ES contract in our case) and a stop loss at or slightly above the assumed pivot point.
4. Repeat if failed.

(Rule #3  has to be formulated using probabilities  and the amount of seed money.)

Rule#1 . I am not sure if it's a check. However PTJ is looking to counter the trend which is shown by the yellow arrow.

Rule #2. Check.

The yellow arrows show to consecutive countertrend moves of about 1SD.

Rule #3. Tonight or tomorrow  PTJ has to short 1ES contract with a stop loss around $2105.25 . The position has to be closed when a  new short term low is reached and reopened again when the price will bounce back.

4/22/16 There was no chance today to short the market.

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