The Noise Is The Signal

[WinLoseOrDraw]

final placeholder...

the NoiseBox is an automated trading program combining both short term non-monotonicity and long term trend-following models. from time to time there may be ongoing live trading "experiments" for the purpose of illustrating some nature of market mechanics. the trading vehicles are various equity index, debt, and commodity futures. as with all futures trading, there is ALWAYS the risk of extremely rapid account blow up.

some good reference material.

http://quantnotes.com/fundamentals/
http://www.smartquant.com/references.php

NoiseBox positions and trade log...


YM (Dow30 mini Future $5/pt/contract)
03.17.04 long YM 10265 exit 03.26.04 10226 - 39
03.18.04 long YM 10245 exit 03.25.04 10197 - 48
03.22.04 long YM 10043 exit 03.22.04 10090 + 47
03.22.04 long YM 10040 exit 03.25.04 10165 +125
03.28.04 long YM 10205 exit 10.29.04 10256 + 51
03.29.04 long YM 10302 exit 03.30.04 10333 + 31
03.30.04 long YM 10284 exit 03.30.04 10333 + 49
03.31.04 long YM 10329 exit 04.01.04 10368 + 31
04.02.04 long YM 10445 exit 04.04.04 10485 + 40
04.06.04 long YM 10487 exit 04.06.04 10507 + 20
04.07.04 long YM 10499 exit 04.08.04 10547 + 48
04.08.04 short YM 10531 exit 04.08.04 10480 + 51
04.08.04 long YM 10426 exit 04.13.04 10536 +110
04.13.04 long YM 10430 exit 04.16.04 10434 + 4
04.14.04 long YM 10311 exit 04.14.04 10361 + 50
04.20.04 long YM 10355 exit 04.20.04 10255 -100
04.21.04 long YM 10245 exit 04.21.04 10291 + 46
04.27.04 short YM 10502 exit 04.27.04 10479 + 23
04.28.04 long YM 10398 exit 05.03.04 10284 -114
04.29.04 long YM 10199 exit 04.29.04 10222 + 23
04.29.04 long YM 10263 exit 04.30.04 10294 + 31
05.05.04 long YM 10319 exit 06.07.04 10339 + 20
05.07.04 long YM 10222 exit 05.14.04 10031 -191
05.10.04 long YM 9964 exit 05.12.04 10052 + 88
05.10.04 long YM 9964 exit 05.14.04 10010 + 46
06.07.04 short YM 10339 exit 06.10.04 10380 - 41
06.12.04 short YM 10395 exit 06.14.04 10364 + 31
06.15.04 short YM 10395
06.15.04 YM 50% short
06.15.04 YM mode : fade everything

NQ (NDX100 e-mini Future $20/pt/contract)
existing full-load short from 1460
03.22.04 cover 25% NQ 1385 +75 -> +300
03.22.04 cover 25% NQ 1380 +80 -> +320
03.25.04 short 25% NQ 1400
03.25.04 cover 100% NQ 1426 -26 +34 +34 -> +168
03.26.04 long 25% NQ 1430
03.29.04 long 25% NQ 1443
04.01.04 sold 100% NQ 1453 +23, +10 -> +132
04.02.04 long 33% NQ 1480
04.05.04 long 33% NQ 1492
04.12.04 long 33% NQ 1496
04.16.04 long 33% NQ 1446
04.16.04 sell 33% NQ 1459 +13 -> +52
04.16.04 long 33% NQ 1454
04.20.04 long 33% NQ 1437
04.22.04 sell 40% NQ 1474 +37,+20 -> +235
04.22.04 sell 20% NQ 1483 +3 -> +12
04.22.04 sell 20% NQ 1489 -3,-7 -> -40
04.26.04 long 20% NQ 1490
04.28.04 long 20% NQ 1479
04.28.04 long 20% NQ 1462
04.29.04 long 20% NQ 1444
04.30.04 long 20% NQ 1420
05.04.04 sell 40% NQ 1427 +7,-17 -> -40
05.04.04 sell 60% NQ 1437 -15,-42,-53 -> -440
05.07.04 short 20% NQ 1413
05.12.04 cover 20% NQ 1390 +23 -> +92
05.17.04 short 20% NQ 1386
05.25.04 cover 20% NQ 1428 -44
05.25.04 long 33% NQ 1428
05.26.04 long 33% NQ 1452
06.07.04 long 33% NQ 1476
06.14.04 sell 66% NQ 1460 +32,+8
06.15.04 sell 33% NQ 1480 +4
06.15.04 NQ mode : neutral

ES (SandP500 e-mini Future $50/pt/contract)
existing full-load short from 1135
03.22.04 cover 25% ES 1097 +38
03.22.04 cover 25% ES 1092 +43
03.22.04 cover 25% ES 1087 +48
03.30.04 cover 25% ES 1124 +11
04.02.04 long 25% ES 1142 + 0
04.05.04 long 25% ES 1146 - 4
04.12.04 sold 100% ES
04.15.04 short 33% ES 1122
04.22.04 cover 100% ES 1132 -10
04.29.04 short 20% ES 1116
04.29.04 short 20% ES 1110
04.30.04 short 20% ES 1107
05.04.04 cover 66% ES 1116 -9,-6
05.04.04 cover 33% ES 1123 -7
05.06.04 short 20% ES 1104
05.07.05 short 20% ES 1098
05.11.04 cover 20% ES 1092 +6
05.12.04 cover 20% ES 1086 +18
05.17.04 long 20% ES 1086
05.19.04 sell 20% ES 1098 +12
05.19.04 long 20% ES 1091
05.24.04 sell 20% ES 1099 +8
05.24.04 long 20% ES 1093
05.25.04 sell 20% ES 1109 +16
05.25.04 ES flat
05.25.04 ES mode : neutral

VBI (Volatility Index Future $1000/VIX pt)
05.10.04 http://investorshub.com/boards/manage_msg.asp?message_id=3047261
05.11.04 VIX long 33%

SSSLO Experiment
05.14.04 http://investorshub.com/boards/read_msg.asp?message_id=3085597

Chris's Options Experiment
03.26.04 +QAVDH 1.75
04.05.04 -QAVDH 3.50 +100%