Daily Commentary - Posted on Friday, December 4, 2009, 10:59 AM GMT +1

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Dec Friday 4

Jobs Report Friday (Friday – December 4, 2009)

I’m a bit busy these days with some private (building and moving into a new home in a couple of weeks) and business matters, so blogging (and Twitter updates) were (and will probably remain for a couple of days and weeks) light. I am sorry for any inconvenience.

On today’s Friday we’ll get the government’s November jobs report at 8:30 a.m. EST. Recently the ES E-MINI S&P 500 showed a significantly above-average tendency for closing higher (on 11 out of the last 13 occurrences, with one lower close in Oct. ’09 only) after a regularly rough start into the session (see first hour vs. previous close).

Table I below shows the ES E-MINI S&P 500’s intraday performance (since 11/01/2008) concerning the open, the end of the first hour vs. the previous close, the start of the last hour vs. the end of the first hour, the last hour of the session (between 03:00 p.m. and 04:15 p.m.) and the close on the last 13 Jobs Report Fridays.

2009-12-03-ES-Sx

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Bottom line:

At least based on historical probabilities and odds and the market’s recent performance on Jobs Report Friday, the outlook concerning the ES E-MINI S&P 500′ performance with respect to the final hour of the session and the close on Friday, December 4 is positive, but at least some follow-through of Friday’s weakness during the first part of the session seems likely.

A favorable short-term opportunity on the long side of the market would be provided in the event of any weakness during the first hour of today’s session (see stats above) targeting a positive second part of the session and a potential (probable) higher close as well.

Successful trading,
Frank

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Summary of potentially tradable edges for Monday – November 30, 2009

DATE TIME WHAT ACTION WHY ENTRY
STOP 1)
Pos. Size 2) 3)
12/04/2009 ? E-MINI S&P 500
see setups above ? ?

1) the STOP may represent a buy or a sell stop ; on a long position a STOP above the ENTRY will represent a limit order (profit target achieved), a STOP below the ENTRY a stop loss order ; the inverse applies to a short position respectively
xx
2) For position sizing, optimal f (by Ralph Vince) is utilized;

optimal f = ([( win/loss ratio + 1 ) * probability of a winning trade ] – 1 ) / ( win/loss ratio ) ;
win/loss ratio = avg. gain on a winning trade / avg. loss on a losing trade ; /% simplified version ;
Pos. Size (in $) = MAX [Intraday / Overnight Initial Margin ; Maximum Losing Trade (in $) / optimal f ] ;

Margin requirements:
ES E-MINI S&P 500 (ES): Intraday Initial Margin = $2,250 ; Overnight Initial Margin = $5,625 ;
ES E-MINI Nasdaq 100 (NQ): Intraday Initial Margin = $1,750 ; Overnight Initial Margin = $3,500 ;
Russel 2000 Mini Futures (TF): Intraday Initial Margin = $2,500 ; Overnight Initial Margin = $5,000)
xx

3) Position size in units per $xxx of marginable equity; if the E-MINI S&P 500, the E-MINI NASDAQ 100 or Russel 2000 Mini Futures are utilized, the number in brackets equates to the number of contracts, otherwise to the number of leveraged Exchange-Traded Funds (ETFs) of 300% of the (inverse) performance of the underlying index, assumed a fixed marginable equity of $100,000

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Disclaimer: No position in the securities mentioned in this post at time of writing.

The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

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  1. […] Today is Jobs Friday.  Check out TradingTheOdds's report. […]

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