BFTR (Big Frigging Trading Range)


Stock indexes have been in a BFTR since July 17th and our energy sector symbols have been sideways range-bound since July 28th. AlgoLab earns profits when markets are moving up or down, not when they are moving sideways.

The chart attached shows the ES (S&P 500) 60 minute continuous contract since July 17th. Today the ES contract is down over 21 points and if it breaks down further, we could start earning profits on the short side. AlgoLab SuperSystem uses a trend filter to switch between long and short bias trades. The blue line in the plot is a 1500 period moving average. AlgoLab SuperSystem restricts all new trade entries to long-only if current price is above the 1500 hour moving average. If below, AlgoLab will start to submit short-only orders. So we could be switching to short bias if ES were to fall below 2435 or so. Then again, we are at the bottom of this trading range, and the long term trend is still UP, so we do have long stop limit orders in place for breakouts to the upside.

My bet is to not count this bull out yet.

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AlgoLab Capital Management, Ltd. is registered with the CFTC as Commodity Trading Advisor and is listed as an NFA member (NFA # 523700). This web site has been published in the United States and is not intended for use by, or to provide any information to, residents of Canada.