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E-Mini Index Futures:
SBV Indicator Example for the Russell 2000 E-mini.


July 11, 2006

We used the following simple four-rule trading system based on our SBV indicator:

  1. 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);
  2. 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);
  3. 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);
  4. 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:
  5. Use a six-point gain as the pre-determined, satisfactory profit target;
  6. Set a stop-loss level at 2 points;
  7. 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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