George II - Notices (2006)

(12/26/06)

Another good trade in ER2 took us up to 12 pts and since we have only 3 more trading days left this month, we can already say that this will be yet another winning month in this market.

(12/20/06)

We are now up about 6 pts in ER2 after 8 trades, but down almost 5 pts in ES with 7 trades.

(12/4/06)

The month started very well for this system when it comes to ES as after two winning trades we are up about 10 pts. In ER2, we recorded a nice winning trade today (of ca 12 pts) and with two trades we are up about 9 pts for the month.

(11/14/06)

Here is really good news: the filters implemented in the new version of the system for ES have worked so well this month so far that we are still about 5 pts up for the month in this market with only one trade while with the original version of the system (no filters) we would have been 18 pts down with 5 trades. Today was yet another day when we avoided a significant loss. Unfortunately, we were not so lucky in ER2 where we lost 3.5 pts and we are now down about 10 pts in this market for the month.

(11/9/06)

Finally, we have had first winning trades in both markets this month, which is particularly good for ES as that was the second winning trade in a row in this market and so it is not out of the question that we put in a bottom in the system equity curve.

(11/8/06)

Three trades in ER2 this month have produced only losers giving us the total loss of slightly over 10 pts. In ES no trades have been called so far this month.

(10/27/06)

Finally a winning trade in ES this month, out of seven total as of now. Well, better late than never, but the chances to break even in ES this month are very small. On the other hand, the last two days added another two losses to ER2 and we are now slightly below 20 pts for the month in this market. The good news is that no matter what, we will close the month with a decent profit in ER2.

(10/25/06)

The last two days brought us two maximum losses in ER2, so we are now again below 30 pts for the month. No trades in ES, but we have been sitting on 6 losses and no wins in this market for the month, which is singularly bad.

(10/20/06)

After two losses, we regained the ground with two wins and posted a new peak in the equity curve. Well, that's good news which has to do with ER2. In ES, we posted the sixth consecutive loss this month, even if relatively small. In tiny ranges, in a market as meandering as ES, it is impossible to make money with this system.

(10/17/06)

Another trade in ER2, the fifth in a row this month and the first losing one, but by less than 1 pt. No trade in ES again.

(10/12/06)

Boy, am I a prophet or what? We did add well over 10 pts to the total monthly score in ER2 and we are now up over 31 pts for the month in this market. Moreover, we have exceeded the previous peak in the system's equity curve by exactly 5 pts. Yes, this Georgie boy is on a roll, ladies and gents. Unfortunately, we did not get a trade in ES as the market had jumped over the entry point and the yesterday's high and did not return to it during the daily session. In cases like that, an auxiliary entry at the breakout of the first hour range makes sense as I mentioned here on several occasions. Had we entertained this trick, we would have scored almost 6 pts.

(10/11/06)

Another small profit added to the total tally in ER2. At some point we were up over 9 pts only to end up with a profit of less than 3 pts after a strong V reversal. Chances are we will add to this profit tomorrow if this reversal continues.

(10/10/06)

Yet another loss in ES even if relatively small. In narrow ranges, this system stands no chance to produce profits and narrow ranges have been pretty common in the last few weeks. Unfortunately...

(10/09/06)

We added a small profit to the total profits in ER2 in the second trade this month, but the last two trades in ES have produced a total loss of about 2 pts and we are now sitting on four losses for the month. Ouch!

(10/04/06)

That was another great day for this system in ER2, where we scored well over 15 pts, but in ES it was another sad day due to a somewhat accidental loss of 5.5 pts.

(10/02/06)

Not the best start of the month for this system in ES. The first trade was a loser and increased the current drawdown beyond the recent maximum drawdown in this market. We are now 38 pts down from the most recent peak in the system equity curve.

(9/20/06)

Today there were no trades in either market, although we got very close to the entry in both. There was no trade in ES because the system does not enter when situations of this kind arise. They are very rare, anyway, and belong to the borderline. Had we entered though, the result would have been positive despite the uncertainty surrounding the Fed day. I mention this because it is a clear sign that after a heavy drawdown the system is recovering. However, without luck things usually take longer. In ER2 the entry was hit but not penetrated and so I am not counting it as you should know by now. The result would have been very, very positive, though. If you got lucky and got filled, enjoy it: the good thing about my systems is that you can get better results than I report. In both these cases it was literally a matter of one tick as sometimes is with mechanical systems, at least those featured on this site.

(9/19/06)

What started as a very good day, ended as just a fine one. At some point we were already over 14 pts in the profits for ER2, and almost 10 pts for ES, but the late afternoon (the 2 o'clock reversal) changed things dramatically. Still, we ended in a very positive territory, but nothing really to brag about. The only good thing about today is that the recent slide in ER2 (three losing trades in a row) has been stopped. The same applies to ES where the recent losing streak has been quite long (8 losers in a row) and brought us very close to the previous maximum drawdown, but hopefully we are now on a course to reverse it. We are still close to the recent maximum drawdown in ES, so now it is a good time to start trading this system. If you do not own it yet, please consider taking advantage of my special discount.

(9/12/06)

The best day in ER2 so far this year, where a new record of well over 16 pts has been set today. Yes, I have been saying for a while that this is a good system for this market and that's yet another proof. Over $1600 in one trade in one day with only one contract! Just because I don't hype this system or just because I do not charge for it hundreds of dollars does not mean that this system is worse than many overpriced and overhyped systems on the market. I don't hype it because trading systems do not run on hype. It's suckers that do. And I do not target suckers, if only because the competition in this field is way too big... So far this month we have had no trades in ES, which is not bad news either. In ER2 we are now up almost 19 pts for the month, 7 pts away from a new peak in the system equity curve.

(9/6/06)

A nice day in the ER2 market, where we scored over 9 pts, but we did not get a trade in ES. It was one of those days when the market moves so far away from the entry that the daily session open is outside the previous day range. On days like that, one can enter on the breakout of the first hour range as last mentioned here on 6/5/06 (see below). A similar situation took place the first day of this month and this kind of entry would have been successful as well, even if marginally.

(8/29/06)

And it just exceeded yesterday's record... Now, it's oficially over for this version of the system. The previous maximum drawdown has been exceeded over 2.5 times and in a case like that, it's better to forget about the whole thing. In fact, this had already happened yesterday, even if barely. The enhanced version of the system was very unlucky today: a trade was triggered only 1 tick off the threshold value of one of the filters that would have otherwise eliminated this trade saving us a 5.5 pt loss. Well, Mr. Market, that really was a novel practical joke, I have to give it to thee... This version of the system is now in a drawdown that is deep enough (a bit over the half of the previous maximum drawdown) to provide a good starting point for trading this system. The ER2 system has not suffered today in any way.

(8/28/06)

Unfortunately, the original version of the system for ES has just set a new drawdown record. I was too optimistic about its potential, but fortunately the enhanced version has done over 20 pts better this month and is down only about 11 pts. That's yet another testimonial to the power of selective trading. The ER2 system is coping much better than its ES counterpart. Its drawdown has been stopped recently and the system seems to be on a rebound.

(8/18/06)

The drawdown just got worse in both markets. In ES, the original version of the system is only 1.5 pts from exceeding its recent lowest point in the equity curve recorded in May. Things in ER2 are still within the confines of the previous maximum drawdown and it would take at least 2 losing trades to exceed it.

(8/14/06)

What started very well ended up with another 3.5 pt loss in ER2, and a loss for ES in the original version of the system. The enhanced version of it stayed on the sidelines today. Unfortunately, that means that the drawdown continues to grow for the ER2 system.

(8/11/06)

After heroic efforts of the ubermensch kind, the system posted a profit of slightly over 1 pt in ER2, stopping the losing streak. We were not so lucky in ES, where a tiny loss was meted out to us.

(8/10/06)

The drawdown for ER2 is now at 26.7 pts after yet another losing trade, the 8th in a row. This losing streak now matches the longest winning streak for this system in this market. The original version of ES also posted a loss today, but the enhanced one survived unscathed again.

(8/8/06)

The drawdown for ER2 just deepened by another 3.5 pts after the system had lost yet another trade in both markets. It was a Fed day, so this is hardly surprising...

(8/4/06)

The drawdown for ER2 is now 19.7 pts, which is more than the half of the previous maximum drawdown of 38.4 pts. Because of that, it's a good point to consider trading this system, except that this also requires a cushion of 2*39=78 pts, just to be completely safe, in addition to the margin. I doubt we will ever go lower than 40 pts in this or our next drawdown as the last one was formed under quite anomalous conditions. This drawdown is the result of a streak of 6 losing trades, the last three of those already this month. It is because of this that we are now 9.1 pts down in this market for the month. The original version of the system for ES is also down for the month showing the negative balance of 6 pts with 3 trades, 2 of which have been losers. The good news is that the enhanced version of the system is up 1.25 pt with one trade only. This shows how being selective gives you a winning edge, something that I really cannot stress enough on this site.

(7/28/06)

Yet another good day for this system in ES where the original version added over 10 pts to the balance which is now at 17 pts for the month and everything seems to indicate that we are finally bouncing from the bottom in the equity curve. The next two months are going to be critical. The system was not so lucky in ER2 as we got stopped out before the market moved in our direction for good. Yet, we are still up over 20 pts in this market for the month.

(7/24/06)

Another great day for this system, with the best trades in both markets so far this month. We are up slightly over 30 pts in ER2 and over 20 pts in ES for the month.

(7/18/06)

One of the filters that I introduced in the enhanced version of the system has already saved us 9 pts in three trades that it has eliminated so far this month. Today was another day when this filter was in action. Well, the bad news is that the winning streak for ER2 is over, which was confirmed with the second loser in a row today, but we are up about 20 pts for the month in this market so things are definitely not bad on the whole.

(7/12/06)

Who said it was a bad system?!! It just extended its winning streak in ER2 (now 8 winners in a row) with the second best trade of the month and made a new high in the ES equity curve (new version) as well. This version has had two trades this month, both nice winners, but the original ES version did well today too and it is up 10 pts for the month.

(7/11/06)

Yet another great day for the system in the ER2 market where a nice gain of some 6 pts was recorded today. The new version of the system did well in ES too by preventing a trade that would have wiped out almost 6 pts from the profits. It was the seventh consecutive winning trade in ER2 which matches the maximum number of consecutive losing trades in this market. We are up almost 20 pts for the month in ER2 and it would now take 6 consecutive losers to offset the positive monthly balance. Touch wood!

(7/7/06)

Georgie boy is on a roll! Today it made quite a run for a new peak in the ER2 equity curve and with an over 10 pt win in this market you can imagine that this peak is way above the clouds. In ES, this bad boy also nudged slightly above the previous high in its equity curve, but that applies to this system's enhanced version. Yet, the original version logged two nice gains this month and it looks ever more likely that the recent embarrassing dip in its equity curve is the thing of the past for good. Einstein once said that God is sophisticated, but not malicious. With Mr. Market it's just the plain opposite and so one can only hope that this system will not revisit the recent bottom in its equity curve, but one can never be sure. I do believe though that the chances for this are quite good. Let's see if I am right.

(6/20/06)

Today was one of these days when the market (ES) chooses to bounce off of the entry price after traveling towards it some 7-10 pts from the opposite side of the daily session range. This can happen from time to time, particularly when it takes place before the noon EST and especially if there was some resistance in the entry area formed the day before. That was precisely the case here. In such cases, it makes more sense to abstain from taking a trade and saving 5.5 pts. That would obviously be a purely discretionary action, but quite reasonable and pretty justified by observations of the past market behavior.

(6/5/06)

Today, George II for ES has added to the recent huge profit of 16.5 pt. It matched it almost perfectly with a 16.25 pt gain in a strongly down-trending market. In the ER2 market, the system did not trigger the entry during the daily session and so per strict mechanical criteria, no trade was taken. However, since the entry was triggered before the daily session open, and the market did not return to it during the first 90 minutes of trading, a good way to handle a situation like that is by trading the 11:00 AM range breakout with a small stop-loss of 2 pts for ER2 and 3 pts for ES. Doing this would have resulted in a 16.2 pt profit in ER2, a cool $1600 per contract in a single trade! Situations like that do not happen very often (the previous one in both ER2 and ES took place on April 18th) and so they have not been incorporated into the system, but could still be traded using discretion. On April 18th, that very same approach would have given 12.9 pt for ER2 and 13 pts for ES. It's important that before the 11:00 AM range breakout, the market really forms a range, even small, so that the breakout takes place out of congestion. Breakouts like that tend to be more successful. Sometimes, the market can move far away from the entry price during the first hour of trading. If it moves also outside the previous day range, the breakout of the 10:30 AM range can be successful. This, for instance, was the case for ES on February 28th, but the ER2 breakout of April 18th could, in fact, have also been treated in the similar way as the said breakout in ES. Observations on how to handle this kind of situations using discretion will be added to the revised version of George II. One last note is that simple observations like that can lead to very robust if infrequent trades. There are not so many books out there that could inspire you to think in this way, but Trader Vic and Trader Vic II are certainly among them.

(6/2/06)

Unfortunately, George II has not done particularly well over the last 3 months, to put it very mildly. The month that just ended is the third losing in a row and that obviously stinks and it stinks rather bad. During the last month the system established a new maximum drawdown exceeding its previous maximum drawdown slightly over 2 times. I do not like trading systems that act like that at all.

Now, this is bad news. There is some good news though, too. First of all, the system ended May on a very upbeat note posting the second best result this year: 16.5 pts in a single trade. If only results like that were more frequent! The other positive thing is that even during these very trying times the system has not done that bad comparatively speaking. Please take a look at the equity curve of Black Dog featured on the Collective 2 site. You will see that this apparently fine system developed a very deep drawdown as of late. This drawdown is easily at least 3 times larger than the previous maximum dip in its equity curve. In relative terms, it is thus larger than the recent drawdown of George II (which did not exceed its previous maximum drawdown even 2.5 times) and was developed over a much shorter period of time (2-3 weeks as opposed to over 2 months for George II). Black Dog is not necessarily some lousy exception here. I chose it as an example only because it has a very reasonable monthly subscription fee ($89, which is still 10 bucks more than the price of George II!), but you can see that CONSENSUS-TRADING.COM, another stellar performer of the last few months has had very similar problems recently. And if I really wanted to make George II look great I would compare it to this system ...

So what do we do now? How do we handle situations like that? There are two ways to do this. The first one is good for all practical (read: most common) situations and it boils down to aborting a system once it exceeded its previous maximum drawdown at least twice. Now, while this is a good approach in general, it's no good for handling anomalous situations that develop in the markets from time to time. It is not out of the question that the debacle of the last weeks and in particular of this May will be seen as an anomaly. My way of handling such situations is to allow a buffer zone of two previous maximum drawdowns on top of the cushion of a single drawdown. In practice, since I recommend that you start trading a system when it is down at least half of its previous maximum drawdown, this means that you would have to be able to withstand an adverse development of 2.5 times the last maximum drawdown. That can be a lot for some, but chances are that it will be enough this time around. Time will show if I am right. I would never want to risk more than 2.5 times the last maximum drawdown, an anomaly or not, and it is entirely up to you which approach you apply to your trading as different people have different risk tolerance.

Fortunately, now you can buy 2-3 systems from me and so you can be much better diversified.