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E-Mini Index Futures:
SBV Indicator Example for the Russell 2000 E-mini.
July 11, 2006We used the
following simple four-rule trading system based on our SBV indicator:
- Once
the SBV indicator declines below minus 33% (the SBV indicator will now
show green), we enter a short position (if we are not already short);
- Once
the SBV indicator advances above minus 33% (after having been below that
level), we will enter a long position (the SBV indicator still shows
green);
- Once
the SBV indicator rallies above plus 33% (the SBV indicator will now
show red), we enter a long position (if we are not already long);
- Once
the SBV indicator declines below plus 33% (after having been above that
level), we will enter a short position (the SBV indicator still shows
red).
We have added the following rules to protect profits and
cut losses:
- Use a
six-point gain as the pre-determined, satisfactory profit target;
- Set a
stop-loss level at 2 points;
- Exit
positions by the end of the session.
Chart 1: Trading the SBV indicator
by using 4-rule system.
Russell 2000 E-mini. 1-day view. VMA1 = 15-min

|
Date |
Trade
Motivations |
Index |
Decision |
date |
Trade Motivations |
Decision |
Index |
Profit
(points) |
07/11/06
10:16 |
Rule #2 |
707.70 |
Buy |
07/11/06
10:54 |
Rule #6 |
Sell |
705.70 |
-2.00 |
07/11/06
12:20 |
Rule #3 |
707.70 |
Buy |
07/11/06
12:27 |
Rule #4 |
Sell |
707.40 |
-0.30 |
07/11/06
12:27 |
Rule #4 |
707.40 |
Sell Short |
07/11/06
12:58 |
Rule #2 |
Buy to Cover |
705.90 |
+2.50 |
07/11/06
12:58 |
Rule #2 |
705.90 |
Buy |
07/11/06
14:28 |
Rule #4 |
Sell |
714.10 |
+8.20 |
07/11/06
14:28 |
Rule #4 |
714.10 |
Sell Short |
07/11/06
14:47 |
Rule #2 |
Buy to Cover |
712.40 |
+1.80 |
07/11/06
14:47 |
Rule #2 |
712.40 |
Buy |
07/11/06
15:43 |
Rule #4 |
Sell |
719.10 |
+5.70 |
07/11/06
15:43 |
Rule #4 |
719.10 |
Sell Short |
07/11/06
15:56 |
Rule #2 |
Buy to Cover |
718.70 |
+0.40 |
07/11/06
15:56 |
Rule #2 |
718.70 |
Buy |
07/11/06
16:14 |
Rule #7 |
Sell |
720.60 |
+1.90 |
|
Total:
|
+18.20 |
Important: The 33% trigger level for the SBV
indicator,
6 points a satisfactory profit target and 2 points the stop-loss level
were determined in relation to the prevailing market conditions at
the time the examples above were selected. In order to establish the optimal
critical levels for the SBV indicator, profit target and stop-loss level a trader should consider
his/her personal trading style and risk tolerance as well as review the current
market situation and scroll a chart history of prior volume surges including
their magnitude (i.e., the level the SBV indicator reached).
More Examples:
| Date |
E-mini |
Number of Trades |
|
April 23, 2007 |
Russell 2000 E-mini |
1 "Short" trade |
|
April 17, 2007 |
S&P 500 E-mini |
3 "Long" and 3 "Short" trades |
|
February 17, 2007 |
S&P 500 E-mini |
3 "Long" and 3 "Short" trades |
|
February 2, 2007 |
S&P 500 E-mini |
4 "Long" and 4 "Short" trades |
|
January 23, 2007 |
Russell 2000 E-mini |
3 "Long" and 4 "Short" trades |
|
December 19, 2006 |
S&P 500 E-mini |
3 "Long" and 2 "Short" trades |
|
December 11, 2006 |
Russell 2000 E-mini |
2 "Long" and 2 "Short" trades |
|
November 29, 2006 |
Russell 2000 E-mini |
4 "Long" and 4 "Short" trades |
|
August 11, 2006 |
S&P 500 E-mini |
2 "Long" and 1 "Short" trades |
| July
19, 2006 |
Russell 2000 E-mini |
4 "Long" and 5 "Short" trades |
| July
18, 2006 |
Russell 2000 E-mini |
5 "Long" and 6 "Short" trades |
| July
17, 2006 |
Russell 2000 E-mini |
2 "Long" and 3 "Short" trades |
| July
11, 2006 |
Russell 2000 E-mini |
5 "Long" and 3 "Short" trades |
| July
10, 2006 |
Russell 2000 E-mini |
4 "Long" and 5 "Short" trades |
| July
7, 2006 |
S&P 500 E-mini |
3 "Long" and 3 "Short" trades |
| June
28, 2006 |
S&P 500 E-mini |
1 "Short" trade |
| June
26, 2006 |
NASDAQ 100 E-mini |
1 "Short" and 1 "Long" trade |
| June
23, 2006 |
S&P 500 E-mini |
1 "Short" trade |
| June
22, 2006 |
S&P 500 E-mini |
1 "Long" trade |
| June
21, 2006 |
S&P 500 E-mini |
1 "Short" trade |
| June
20, 2006 |
S&P 500 E-mini |
1 "Short" trade |
| June
19, 2006 |
S&P 500 E-mini |
1 "Long" trade |
| June
14, 2006 |
Russell 2000 E-mini |
1 "Long" and 1 "Short" trade |
| June
13, 2006 |
S&P 500 E-mini |
1 "Short" trade |
| June 9, 2006 |
Russell 2000 E-mini |
1 "Long" trade |
| June 8, 2006 |
S&P 500 E-mini |
1 "Long" trade |
| June 7, 2006 |
S&P 500 E-mini |
1 "Short" trade |
| June 6, 2006 |
S&P 500 E-mini |
1 "Long" and 1 "Short" trade |
| June 2, 2006 |
S&P 500 E-mini |
2 "Long" trades |
| May 17, 2006 |
Russell 2000 E-mini |
2 "Long" and 3 "Short" trades |
| May 5, 2006 |
S&P 500 E-mini |
2 "Short" trades |
| April 26, 2006 |
Dow E-mini |
1 "Long" and 1 "Short" trade |
| March 30, 2006 |
NASDAQ 100 E-mini |
2 "Long" trades |
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