Today was a ‘rotation’ day for the MST program – across most assets – on the back of weak service PMI at 10am EST, which initiated trend changes across the futures markets. I do not trade news, fundamentals, nor do I speculate on that – this program/site is focused on deriving implicit market-generated momentum-type days that may suggest or imply short term trend changes. In the FI space, GBM ‘seasonal’ trading began on Aug 18th and generated its first trade today. As far as getting long the FI space – with NIRP in place – I would prefer to be on the long side of FI, with emphasis across the Euro-FI space. This long signal today was broad based, as French Gov Bonds signaled long (OATs), as did the Swiss 30yr bond. Across the pond, the short-intermediate duration in the US also went long today (5s + 10s) – but not the 30yrs.
The continuous futures chart looks like this:
with the most recent grey arrow indicating the signal. There appears to be a ‘double bottom’ at the 188 level – so anything below this on a daily closing basis would suggest I am on the wrong side. Overall, there’s ~4pts of risk = $4000/contract – and this looks to me like a bracketing set up with the upside at 196-198. There’s a lot of ‘technical’ space on the chart below 181 level, but the chart is moving to the upper right side, despite the ‘lofty’ feel of the FI space YTD.
We can also examine the historical seasonal trade below as follows:
We have trades dating back to 2007;
40 total signals. 53% win rate. Trading a 3 lot, MST has generated 8/10 profitable years during this time frame. The BUXL market ‘personality’ trades quite intuitively as a program system. Lets see how goes.
Futures Trading 