Saturday, June 11, 2011

CME Group (CME)

Even though I've never used the Directional Movement System to make a trading decision, I still like to see it align with what the Volatility System is telling me. For the CME Group, the -Directional Index (-DI), which measures downward price movement, crossed above the +Directional Index (+DI) back in second week of March. On top of that, the ADX bottomed out at 12 in the last week of April and has since climbed to 19 as the -DI/+DI spread has widened.

That gives me (maybe) one extra ounce of confidence in my short position.   



1. LONG the week of 4.21.03 at $48.14. Using a stop set at $39.95, my initial risk (R) on the trade was $8.19. Stopped out and reversed to short at $108.86 the week of 7.12.04. The percentage gain on the trade was 126.1%, and the reward-to-risk ratio was $60.72/$8.19 = 7.42.

2. SHORT the week of 7.12.04 at $108.86. With a $138.19 stop the R was $29.33. Stopped out and reversed to long at $134.13 the week of 9.7.04. The percentage loss on the trade was -23.2%, and the reward-to-risk ratio was -$25.27/$29.33 = -0.86. 

3. LONG the week of 9.7.04 at $134.13. The stop was $109.39, so R = $24.74. Stopped out and reversed to short the week of 3.28.05 at $171.35. The percentage gain on the trade was 27.7%, and the reward-to-risk ratio was $37.22/$24.74 = 1.50.

4. SHORT the week of 3.28.05 at $171.35. With a stop at $212.70 the risk was $41.35. Stopped out and reversed to long at $229.89 the week of 5.31.05. The percentage loss on the trade was -34.2%, and the reward-to-risk ratio was -$58.54/$41.35 = -1.42.

5. LONG the week of 5.31.05 at $229.89. The stop was $181.35, so R = $48.54. Stopped out and reversed to short the week of 1.14.08 at $529.89. The percentage gain on the trade was 130.5%, and the reward-to-risk ratio was $300.00/$48.54 = 6.18.

6. SHORT the week of 1.14.08 at $529.89. Setting a stop at $674.51, the R on the trade was $144.62. Stopped out and reversed to long at $268.68 the week of 5.11.09. The percentage gain on the trade was 49.3%, and the reward-to-risk ratio was $261.21/$144.62 = 1.81.

7. LONG the week of 5.11.09 at $268.68.  Using $170.09 for my stop, the R = $98.59. Stopped out and reversed to short at $281.05 the week of 1.25.10. The percentage gain on the trade was 4.6%, and the reward-to-risk ratio was $12.37/$98.59 = 0.13.

8. SHORT the week of 1.25.10 at $281.05. With my stop at $343.45 the R was $62.40. Stopped out and reversed to long the week of 4.19.10 at $329.35. The percentage loss on the trade was -17.2%, and the reward-to-risk ratio was -$48.30/$62.40 = -0.77.

9. LONG the week of 4.19.10 at $329.35. The stop was $275.87, so that means R was $53.48. Stopped out and reversed to short the week of 7.12.10 at $262.86. The percentage loss on the trade was -20.2%, and the reward-to-risk ratio was -$66.49/$53.48 = -1.24.

10. SHORT the week of 7.12.10 at $262.86. With the stop set at $321.90 my risk was $59.04. Stopped out and reversed to long at $281.35 the week of 10.18.10. The percentage loss on the trade was -7.0%, and the reward-to-risk ratio was -$18.49/$59.04 = -0.31.

11. LONG the week of 10.18.10 at $281.35. My stop was $233.66, so R = $47.69. Stopped out and reversed to short at $283.15 the week of 5.23.11. The percentage gain on the trade was 0.6%, and the reward-to-risk ratio was $1.80/$47.69 = 0.04.

12. SHORT the week of 5.23.11 at $283.15. Using a stop set at $322.60, the risk on the trade was $39.45. Closed yesterday at $268.27 with a $312.61 stop. The percentage gain on this trade is 5.3%, and the reward-to-risk ratio is $14.88/$39.45 = 0.38.

Bottom Line:
Winning Trades: 7 | 58.3% | $98.31/share avg.
Losing Trades: 5 | 41.7% | -$43.42/share avg.
Average Trade: Gain of 20.2% | $39.26/share | Reward-to-Risk Ratio (R): 1.07

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