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<s> JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 30 Days toMarketMastery i JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 Founded in 1807, John Wiley & Sons is the oldest independent publish-ing company in the United States. With offices in North America, Europe,Australia and Asia, Wiley is globally committed to developing and marketingprint and electronic products and services for our customers’ professionaland personal knowledge and understanding. The Wiley Trading series features books by traders who have survivedthe market’s ever-changing temperament and have prospered—some byreinventing systems, others by getting back to basics. Whether a novicetrader, professional or somewhere in between, these books will provide theadvice and strategies needed to prosper today and well into the future. For a list of available titles, visit our Web site at www.WileyFinance.com. ii JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 30 Days toMarketMastery A Step-by-Step Guide toProfitable Trading JACOB BERNSTEIN iii JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 Copyright C(cid:2) 2007 by Jacob Bernstein. All rights reserved. Published by John Wiley & Sons, Inc., Hoboken, New Jersey.Published simultaneously in Canada. Wiley Bicentennial Logo: Richard J. Pacifico No part of this publication may be reproduced, stored in a retrieval system, or transmitted in anyform or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise,except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, withouteither the prior written permission of the Publisher, or authorization through payment of theappropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers,MA 01923, (978) 750-8400, fax (978) 646-8600, or on the Web at www.copyright.com. Requests tothe Publisher for permission should be addressed to the Permissions Department, John Wiley& Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011, fax (201) 748-6008, or onlineat http://www.wiley.com/go/permissions. Limit of Liability/Disclaimer of Warranty: While the publisher and author have used theirbest efforts in preparing this book, they make no representations or warranties with respectto the accuracy or completeness of the contents of this book and specifically disclaim anyimplied warranties of merchantability or fitness for a particular purpose. No warranty may becreated or extended by sales representatives or written sales materials. The advice and strategiescontained herein may not be suitable for your situation. You should consult with a professionalwhere appropriate. Neither the publisher nor author shall be liable for any loss of profit or anyother commercial damages, including but not limited to special, incidental, consequential, orother damages. For general information on our other products and services or for technical support, pleasecontact our Customer Care Department within the United States at (800) 762-2974, outside theUnited States at (317) 572-3993 or fax (317) 572-4002. Wiley also publishes its books in a variety of electronic formats. Some content that appearsin print may not be available in electronic books. For more information about Wiley products,visit our Web site at www.wiley.com. Library of Congress Cataloging-in-Publication Data: Bernstein, Jacob, 1946–30 days to market mastery : a step by step guide to profitable trading / Jake Bernstein. p. cm. – (Wiley trading series) Includes index.ISBN 978-0-470-10987-8 (cloth)1. Futures. 2. Futures market–Examinations, questions, etc. I. Title. II. Title: Thirty days to market mastery.HG024.A3B4748 2007332.64(cid:3)52–dc22 Printed in the United States of America. 10 9 8 7 6 5 4 3 2 1 2006036782 iv JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 Contents Preface Acknowledgments Introduction LESSON 1, DAY 1 The Structure of a Trade LESSON 2, DAY 2 Setup, Trigger, andFollow-through: The Basics LESSON 3, DAY 3 Seasonality and High-OddsSeasonal Setups LESSON 4, DAY 4 The Seasonal Trigger LESSON 5, DAY 5 Follow-Through LESSON 6, DAY 6 Trading the Power MomentumFormula (PMF) LESSON 7, DAY 7 Power Momentum Formula(PMF) Trigger LESSON 8, DAY 8 PMF: Follow-through: Part I ix xi xiii 1 9 21 31 41 51 61 69 v JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 vi CONTENTS LESSON 9, DAY 9 PMF: Follow-through: Part II 77 LESSON 10, DAY 10 Using the Moving AverageChannel: Part I LESSON 11, DAY 11 Using the Moving AverageChannel: Part II LESSON 12, DAY 12 Three Powerful PricePatterns: Part I LESSON 13, DAY 13 Three Powerful PricePatterns: Part II LESSON 14, DAY 14 Three Powerful PricePatterns: Part III LESSON 15, DAY 15 The Eight-Bar Open/ClosePattern and How to Use It LESSON 16, DAYS 16–17 Understanding and Using theCommitment of TradersReport: Part I LESSON 17, DAYS 18–19 Commitment of TradersReport Part II: Triggers LESSON 18, DAYS 20–21 The Advanced 30-MinuteBreakout for S&P andE-Mini Trading 85 91 99 109 117 125 133 141 151 LESSON 19, DAYS 22–24 How to Structure Your Trading Portfolio for Maximum andConsistent Gains 159 JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 Contents LESSON 20, DAYS 25–27 Diversification LESSON 21, DAY 28 Putting It All Together LESSON 22, DAYS 29–30 The Psychology andDiscipline of Trading Index vii 167 173 177 195 JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 viii JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 Preface L iving in a capitalist society provides us with numerous opportunities and methods by which we can multiply our money. As capitalismslowly—but ever so surely—continues its seemingly inevitable ad-vance to all countries in the world, investment opportunities grow as well.We no longer live in a world of disconnected economies; rather we live in aworld of intricately intertwined and interdependent economies. A change inChinese interest rates reverberates throughout the financial world, impact-ing stock and commodity markets as well as foreign currency relationships.A potential banking problem in Russia sends shock waves across all mar-ket sectors as stocks in the United States reflect the possible impact of thenews. OPEC ministers agree to cut oil production by a larger than expectedamount and prices in the crude oil futures pits surge higher. Stocks on majorworld exchanges drop on fears of inflation due to increased oil prices andinterest rate futures drop sharply in response to concerns that inflationarypressures may cause central banks to raise interest rates. At the same time,gold and silver futures push higher as investors rush to buy these inflationsensitive markets. Volatility and large daily price swings have become the norm as interna-tional economic growth and market participation have expanded. While theopportunities provided by volatility have opened the door to huge profits,they have also brought with them substantial and heretofore unheard ofrisks. This has caused many individual investors and traders in stocks andcommodities to withdraw from the markets for fear that they may lack ei-ther the expertise and/or the risk tolerance to participate in the developingmarket moves. Many investors have, therefore, chosen to entrust their hard-earnedmoney to the supposedly capable hands of professional money managers.They have enlisted the assistance of investment bankers, financial plan-ners, hedge funds pension fund or retirement fund managers, mutual fundsor more conservative investment managers who use such vehicles as cor-porate bonds or government issued treasury securities as their preferredinvestment areas. Unfortunately, many of us have been disappointed by the ix JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 x PREFACE experts. All too often the cost of having our money professionally managedis too high given the seemingly low returns. In recent years, some profes-sionally managed programs—in particular hedge funds—have actually lostmoney for their clients. If you have ever looked at the performance of your investments and said,“I could do better,” it is very possible that you are right. With the right tools,sufficient money, motivation, persistence, and consistency, I believe thatmany individuals can do just as well or even better than some professionalmoney managers. I believe that this holds true for the futures markets aswell as the stock markets. I believe that you can do it on your own and thatyou do not need a degree in finance, banking or economics to achieve yourgoals of financial freedom. In fact, too much education and knowledge infinance could prove to be a detriment to making money in the markets. The lessons presented in this book are designed to take you to a levelthat will facilitate your chances of success in the futures markets. This isnot to say that futures trading is without risk. Futures trading is, in fact, theriskiest game in town. My goal is to reduce the risk and increase the oddsof success using solid tools that I have developed over the last 35 years. Butthe tools presented here are not applicable to futures trading alone. Mostof them are equally applicable to stocks. Hopefully, you will learn tools thatwill assist you for many years to come whether you’re a commodity or stockinvestor. ORGANIZATION Although the 22 lessons that follow can be completed in 30 days time, youmay want to take longer with your studies. Lessons 1 through 15 can becompleted in the first 15 days. Take longer with lessons 16 through 18. (Isuggest two days for each.) Lessons 19 and 20 should be given three dayseach. Give Lesson 21 one day and spend two days or more on Lesson 22. Inall, the process can be completed in 30 days but, of course, you are advisedto move at your own pace. ANSWERS TO QUIZZES I have provided a quiz at the end of all but two of the lessons. You canget the answers at my Internet Web site at the http://www.trade-futures.com/30DaysKey.html. I can be reached by e-mail at [email protected]. JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 Acknowledgments T he following people and organizations provided me with the highest caliber of assistance in the completion of this project. I thank all ofthem for their efforts, encouragement, input, support, and help. (cid:2) (cid:2) (cid:2) (cid:2) (cid:2) (cid:2) (cid:2) Emilie Herman at John Wiley & Sons was a pure pleasure to have workedwith on this project. She made me look good.Lynn Doherty, at my office, spent many hours organizing, reorganizing,and reformatting my charts and tests. I thank her for her assistance.To my wife, Linda, I give thanks for the hours I borrowed from our timetogether.Thanks to my office staff for screening phone calls and helping me maketime for this project.My right-hand associate and organizer, Marilyn Kinney, who has beenwith me for over 30 years and through every one of my books, knowswell by now how to keep me on course for my deadlines, and I thankher deeply.To Kevin Commins at John Wiley & Sons, who gave me the opportunityto write yet another book for Wiley, I extend thanks!Finally, the very good people at Genesis Financial Technologies(http://www.genesisft.com) are owed a very special word of thanks forproviding the outstanding charting and analysis software that helpedmake this book, my research, and my trading possible. xi JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 xii JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 Introduction F inancial markets throughout the world have changed their nature and structure dramatically since the 1970s. High-speed computers, pow-erful analytical software, the declining cost of commissions, instanta-neous communications via the Internet, rapid dissemination of financiallyrelated news, business radio and television, the emergence of second- andthird-world powers as significant financial and monetary forces, and thegrowing world dependence on fossil fuel have all combined in one grand“machine” to change the face of the markets. Events that affect the Chinesecurrency can and will have a ripple effect on currencies and markets theworld over. Stock prices can be influenced dramatically by trends in un-derlying commodity prices. Daily price volatility has exploded in virtuallyevery sector of the financial markets. This has created more opportunityas well as more risk. It has also narrowed the differences between stockand commodity markets. Indeed, in recent years there has been a growingparticipation by hedge funds, pension funds, and investment companies inthe commodity markets. The search for effective and consistent trading information has takentraders in many directions, some productive, most of them dead ends. Mygoal in this course is to give you some solid tools that you can implement intoyour trading plan whether in stocks, commodities, or both. I have providedexamples of my methods in stocks as well as in commodities. Some methodsare exclusively geared to commodities; however, most are applicable toboth. In the event that you have questions, comments or corrections pleasee-mail me: [email protected]. Jake BernsteinHighland Park, IllinoisSeptember 2006 xiii JWPR004-FM JWPR004-Bernstein February 21, 2007 8:6 Char Count= 0 xiv JWPR004-01 JWPR004-Bernstein February 16, 2007 20:24 Char Count= 0 L E S S O N 1, D A Y 1 The Structureof a Trade INTRODUCTION The stock and futures markets have several functions. In stocks, the mar-ket allows corporations to raise funds for expansion of their businesses.In futures, the most important function is to provide a means by whichproducers—such as farmers, mining companies, banks, and the like—andend users—such as manufacturers, food processors, petroleum processors,and the like—can market what they produce and buy what they need. By farthese two groups of market participants comprise most of the transactionsthat occur in futures. However, the third major group, traders or investors,provide a buffer between the two major groups and also constitute a goodportion of market activity. Figure 1.1 shows the general structure of futures market participantsand their orientation to the markets. This model does not apply to the stockmarket, where the structure is not as complicated. THE PURPOSE OF TRADING OR INVESTING As speculators or traders, we have only one purpose or goal in trading andthat is to make money. There is no other goal! If you are in the futures markets for any other reason, then you are doing this for the wrong reason. 1 JWPR004-01 JWPR004-Bernstein February 16, 2007 20:24 Char Count= 0 2 30 DAYS TO MARKET MASTERY ProducersFarmersMining companiesBanksPetroleum companiesMoney managersMortgage companiesCan be buyers or sellers, but are primarilysellers for the purpose oflocking in a profit Traders/InvestorsShort-term tradersDay tradersPit brokersHedge fundsMoney managers End UsersGrain processorsPetroleum “crackers”Food processorsMeat processorsBanks and mortgage companies Can be buyers, sellers Are primarily buyers because or on both sides usingspreads (to be explained) they need the product in orderto run their businesses but theycan also be sellers at times FIGURE 1.1 Futures market participants. THE PURPOSE OF THIS COURSE The purpose of this lesson is: (cid:2) (cid:2) (cid:2) (cid:2)(cid:2) (cid:2) To teach you the specific structure you will need in order to trade thefutures markets objectively.To give you a solid education in the most effective way to structure atrade.To teach you trading tools and methods that are 100 percent objectiveand that eliminate vague decisions and unclear trading signals.To show you several methods of proper risk management.To elucidate and emphasize the major importance of profit maximizingstrategies.To provide you with the proper organizational, analytical, and behav-ioral skills that are vital to consistent success in trading. Without the proper structure for a trade, you have nothing!If you truly want to succeed, then you need to structure every singletrade correctly. If you do not, then you will likely lose money—and if youmake money, then it will be out of sheer dumb luck. Making money bychance is a hit or miss proposition that does not bring lasting success.Furthermore, it does not teach you anything. If that is how you want totrade or invest, then you might as well buy a lottery ticket. Your chances ofmaking money are about the same as they are if you trade without the properstructure. JWPR004-01 JWPR004-Bernstein February 16, 2007 20:24 Char Count= 0 The Structure of a Trade 3 WHAT IS “STRUCTURE”? Every trade must have three aspects to it. These three aspects, or steps,comprise the structure of a trade. Structure in trading is necessary becauseit decreases the odds of random or emotional decisions and it brings vitalorganization to your trading. The three steps are: 1. Setup, which consists of a high probability repetitive pattern. 2. Trigger, which confirms or puts into motion a setup. 3. Follow-through, which is the method used to minimize losses and, most important of all, to maximize profits. Now let’s define each of these more specifically. STEP 1: DETERMINE A SETUP As noted above, a setup (S) is a pattern that has shown a strong tendencyto repeat over time. There are literally thousands of setups, but few arereliable or accurate. The following are examples of setups: (cid:2) (cid:2)(cid:2) Chart patterns such as gaps, pennants, head-and-shoulders, support,resistance, flags, trend lines, reversals, key reversals, island tops, andbottomsFormations such as Gann, Elliott, Fibonacci, regression line analysisCycles, seasonals, ratios, anniversary dates The first setups I will teach you are based on seasonal key dates. Thismethod is highly reliable and constitutes one of the most effective ap-proaches that I know of to futures and stock trading. Table 1.1 is an exampleof a key date seasonal setup. As you can see, this setup or pattern has a very specific set of rules. Itis totally objective. It is not a matter of opinion, a theory, or an assumption.It is an exact statement of history. The vast majority of traders use marketentry and exit methods that have never been tested. They have no idea ofhow often their methods have been correct. They believe what they haveread in a book or heard from another trader. This is where and how themethods that I teach you differ dramatically from what you may now beusing or what you may have heard elsewhere. JWPR004-01 JWPR004-Bernstein February 16, 2007 20:24 Char Count= 0 4 30 DAYS TO MARKET MASTERY TABLE 1.1 Example: A Key Date Seasonal Setup Long MayCrude Light Enter:1/27 Exit:2/2 Stop %:4.00 P/L Ratio:6.0 Trade# 92541921 ContractYear Date In Price In Date Out Price Out Profit/Loss Total 198419851986198719881989199019911992199319941995199619971998199920002001200220032004 Trades:21Avg Prof:0.3821 27-Jan28-Jan27-Jan27-Jan27-Jan27-Jan29-Jan28-Jan27-Jan27-Jan27-Jan27-Jan29-Jan27-Jan27-Jan27-Jan27-Jan29-Jan28-Jan27-Jan27-Jan 29.6824.8620.7518.1716.5816.8721.5619.5119.4919.815.4617.817.0422.9817.3512.4725.5827.6520.4830.4932.61 2-Feb4-Feb29-Jan2-Feb2-Feb2-Feb2-Feb4-Feb3-Feb2-Feb2-Feb2-Feb2-Feb3-Feb2-Feb2-Feb2-Feb2-Feb4-Feb3-Feb2-Feb 29.8225.9319.7918.316.7517.1421.9419.5219.2420.0715.9918.1317.1923.2517.4212.5325.9629.6120.5631.3432.75 0.141.07−0.960.130.170.270.380.01−0.250.270.530.330.150.270.070.060.381.960.080.850.14 0.141.210.250.380.550.821.21.210.961.231.762.092.242.512.582.643.024.985.065.916.05 Losers:2 Winners:19Avg Loss: % Avg Prof:−0.605 1.66 Daily PF:0.0636 % Winners:90.48% Avg Loss:−2.95 What does the setup above tell us? It tells us that buying May crude oilfutures on the close of trading January 27 and exiting February 2 (or on theclose of business the next trading day if the market is closed on the givendate) would have been correct over 90 percent of the time since 1984 usinga stop-loss close of only 4 percent below the entry price. Note that this is only a setup. It is not a call to action. It is only the firststep. Even though this is a potentially excellent trade, we need to go to step2, which is the trigger. JWPR004-01 JWPR004-Bernstein February 16, 2007 20:24 Char Count= 0 The Structure of a Trade 5 STEP 2: USE A TRIGGER FOR EVERY SETUP The trigger is a method used to confirm or validate a setup. The methodsyou will learn in this course require a setup and a trigger for every trade.There are no exceptions to this rule! Triggers are similar to what most traders call timing indicators. Thetriggers I teach you are very simple and very specific. Remember, it isthe combination of setup and trigger that places you way ahead of mosttraders. In future lessons, you will learn specific combinations of setups and triggers that work well together. STEP 3: EVERY SETUP AND TRIGGERCOMBINATION MUST HAVE AFOLLOW-THROUGH METHOD The follow-through method is designed to: (cid:2)(cid:2) Manage and/or limit the riskMaximize profits Without both elements, you will likely be like most traders—you willhave many small victories that will be more than neutralized by a numberof large losses. Unless you are able to bank large profits, you will neversucceed at this game. In future lessons, you will learn specific follow-through methods de- signed to limit losses and maximize profits. REVIEW In this lesson, you learned the basic structure of each trade. The structureof every trade consists of three elements: 1. Setup 2. Trigger3. Follow-through Some specific examples were given.Please take a few minutes to answer the questions below. JWPR004-01 JWPR004-Bernstein February 16, 2007 20:24 Char Count= 0 6 30 DAYS TO MARKET MASTERY LESSON 1 QUIZ Instructions: Circle the correct answers. 1. The three major groups of participants in the futures markets are: A. Buyers, sellers, and speculators. B. Speculators, producers, and end users. C. Winners, losers, and spread traders. D. Setups, triggers, and follow-throughs. 2. A setup is: A. A bad tip given to you by a broker.B. A winning trade.C. A losing trade.D. A pattern that repeats over time. 3. A trigger is: A. A trade that has over 90 percent probability of being correct.B. A market that makes large moves based on weather.C. The trading system used by all successful speculators.D. A method that validates or confirms a setup. 4. Follow-through: A. Consists of risk management and profit maximizing strategies.B. Is not necessary in cases of 90 percent odds.C. Is used only by losing traders.D. Consists of three moving averages. 5. For our purposes the goal of futures trading is: A. To help your children through college.B. To help brokers generate more commissions.C. To learn new systems and methods of trading.D. To make money. 6. End users in the futures markets: A. Are primarily buyers. B. Always trade commodity spreads. JWPR004-01 JWPR004-Bernstein February 16, 2007 20:24 Char Count= 0 The Structure of a Trade 7 C. Are generally uneducated in futures trading methods. D. Take advantage of small traders. 7. Proper structure of every trade is: A. Necessary since it decreases the odds of random or emotional deci- sions. B. An effective way of taking delivery on futures contracts. C. Not possible because of low margin requirements. D. Use by commercials as a tool for helping farmers. 8. Without the proper structure of a trade: A. You will take small losses and large profits.B. You will be forced to use a computer when placing your orders.C. Traders will have to rely on tips for good trades.D. You have nothing. JWPR004-01 JWPR004-Bernstein February 16, 2007 20:24 Char Count= 0 8 JWPR004-02 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 L E S S O N 2, D A Y 2 Setup, Trigger,andFollow-through:The Basics INTRODUCTION The market structure presented in Lesson 1 will be explained in greater de-tail in this lesson. Specific examples of setup, trigger, and follow-through(S, T, and F, respectively) will be given. In reading the material in this les-son, do not forget that the most important part of any trade is the structure.If you stray from the structure, you decrease your odds of success, increaseyour odds of making a mistake, and increase your odds of an emotionalresponse. None of these are acceptable and they are inconsistent with prof-
trading
30 Days to Market Mastery: A Step-by-Step Guide to Profitable Trading
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0
itable trading. COMMON SETUPS Many traders confuse setups with triggers. A setup is an indication that agiven market is developing a pattern that could or should lead to action.While there are many patterns in the markets, there are only a handful thatare reliable. The sad fact is that most traders follow patterns that are notreliable. Ask yourself the following questions about the methods you arecurrently using: (cid:2)(cid:2) How often has the pattern or method you are using been correct?Is the pattern completely objective and specific, or does it require youto make a judgment call? 9 JWPR004-02 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 10 (cid:2)(cid:2) 30 DAYS TO MARKET MASTERY Does the pattern have specific entry and exit rules?Does the pattern or method give you an idea of risk and/or reward? If your answer to any one of these is no, then I respectfully submit thatyou are either losing money with the pattern or if you are making moneywith it your luck will not last. The performance statistics of some commonly used trading tools mightinterest and disappoint you. For example, the daily reversal signal is oneof the most widely followed price patterns and it comes in two forms—upand down—defined as follows: (cid:2) (cid:2) Daily reversal up. The market drops below the previous daily low andcloses above the previous daily close as shown in the simple examplein Figure 2.1.Daily reversal down. The market goes above the previous daily high andcloses below the previous daily close as shown in the simple examplein Figure 2.2. I programmed these two patterns on the computer for the S&P 500futures. The computer examined all the instances of these two patternsfrom 1982 to 2004 and then I asked the following question: How often after this pattern could a profit have been achieved the nextday if a position was taken on the close of trading on the day of thereversal? Figure 2.3 shows the results. S-200507: Soybeans CBT (Pit) Jul 2005 (Daily bars) Simple reversal up 06/16/05 06/30/05 07/15/05 FIGURE 2.1 Simple reversal up.Source: Courtesy of www.GenesisFT.com. www.GenesisFT.com 07/12/2005 = 682 2 (-6 ∧ ∧ 0) 755∧0750∧0745∧0740∧0735∧0730∧0725∧0720∧0715∧0710∧0705∧0700∧0695∧0690∧0685∧0682∧0680∧0675∧0670∧0665∧0660∧0655∧0650∧0 JWPR004-02 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 Setup, Trigger, and Follow-through: The Basics LC-055: Live Cattle (Pit) Cont 1st (Daily bars) www.GenesisFT.com07/12/2005 = 78.400 (+0.325) Simple reversal down 11 82.6 82.4 82.2 82 81.8 81.6 81.4 81.2 81 80.8 80.6 80.4 80.2 80 79.8 79.6 79.4 79.2 79 78.8 78.6 78.400 78.2 78 06/16/05 06/30/05 07/15/05 FIGURE 2.2 Simple reversal down.Source: Courtesy of www.GenesisFT.com. OverallTotal Net Profit: Total Trades: Average Trade: Avg #of Bars in Trade:Avg #of Trades per Year:Max Closed-out Drawdown: Account Size Required:Open Equity:Current Streak: Winning Trades Total Winners:Gross Profit:Average Win:Largest Win: Largest Drawdown in Win:Avg Drawdown in Win:Avg Run Up in Win:Avg Run Down in Win:Most Consec Wins:Avg # of Consec Wins:Avg # of Bars in Wins: $39,250589$673,9325.4−$91,325$108,668 $01 Losses 447$578,200 $1,294$14,675−$3,375−$863$1,740−$863505.203.66 Profit Factor ($Wins/$Losses): Winning Percentage:Payout Ratio (Avg Win/Loss): Z-Score (W/L Predictability):Percent in the Market:Max Intraday Drawdown: Return Pct:Kelly Ratio:Optimal f: Losing TradesTotal Losers: Gross Loss:Average Loss: Largest Loss:Largest Peak in Loss:Avg Peak in Loss:Avg Run Up in Loss:Avg Run Down in Loss:Most Consec Losses:Avg # of Consec Losses:Avg # of Bars in Losses: 1.0775.9%0.34−4.939.5%−$91,35036.1% 0.05150.13 142−$538,950−$3,795−$15,025$10,788 $508$508−$3,79551.634.77 FIGURE 2.3 Results of a simple reversal-up buy strategy. JWPR004-02 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 12 30 DAYS TO MARKET MASTERY OverallTotal Net Profit:Total Trades: Average Trade: Avg #of Bars in Trade:Avg #of Trades per Year:Max Closed-out Drawdown:Account Size Required:Open Equity:Current Streak: Winning Trades Total Winners:Gross Profit:Average Win:Largest Win:Largest Drawdown in Win:Avg Drawdown in Win:Avg Run Up in Win:Avg Run Down in Win:Most Consec Wins:Avg # of Consec Wins:Avg # of Bars in Wins: −$15,175550 $284.7523.7−$97,875$115,218 $01 Wins 385$582,775 $1,514$21,225−$3,438−$949$2,242−$949283.474.11 Profit Factor ($Wins/$Losses): Winning Percentage:Payout Ratio (Avg Win/Loss): Z-Score (W/L Predictability):Percent in the Market:Max Intraday Drawdown:Return Pct:Kelly Ratio:Optimal f: 0.9770.0%0.42−1.144.6%−$97,900−13.2%−0.0182−0.02 Losing TradesTotal Losers:Gross Loss:Average Loss: Largest Loss:Largest Peak in Loss:Avg Peak in Loss:Avg Run Up in Loss:Avg Run Down in Loss:Most Consec Losses:Avg # of Consec Losses:Avg # of Bars in Losses: 165−$597,950−$3,624−$6,700$8,725 $555$555−$3,62461.506.26 FIGURE 2.4 Results of a simple reversal-down sell strategy. Look closely at the results and don’t let yourself get fooled by the 75.9percent winning trades. As you can see, the average trade made $67 afterdeducting $25 for slippage and commission. Note also that this methodwould have resulted in over $91,000 in draw down*, enough to wipe out mosttraders accounts. At best this is a marginal system. This record representedonly the buy reversals. The sell reversal historical record is shown in Figure 2.4.The other statistics contained in Figures 2.2 through 2.4 are not relevant to this course∗ As you can see, this approach revealed a 70 percent accuracy; but theprofits were abysmal. Never ask what the percentage accuracy of a tradingmethod is. This statistic is meaningless without knowledge of whether themethod is profitable! In spite of the poor performance, the accuracy isimpressive and there must be a way to take advantage of the pattern. Thereis a way, and that way is simple. All we need to do is to add a trigger to themethod. ∗Draw down: The maximum dollar amount of successive losses. JWPR004-02 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 Setup, Trigger, and Follow-through: The Basics 13 ADDING A TRIGGER What if we added a trigger to each of these patterns? Would that perhapsmake them more accurate and profitable? I took the simple reversal patternsand added one more variable as a trigger. Buy Reversal The buy-reversal pattern can be expressed as low of day 2 is lower than lowof day 1; close of day 2 is higher than close of day 1 and close of day 3 islower than the low of day 2, then buy on the close of day 3 and take profiton first profitable opening. You can see from the chart shown in Figure 2.5that this pattern is counterintuitive. In other words, it is not what you wouldexpect to see as a buy signal. It “looks like” it should be a sell rather than abuy. One of the key things I want to impress upon you is that you must thinkdifferently than most traders. You must rid yourself of common thinkingunless you want common results! Table 2.1 shows the historical performance of this pattern.Do you see a significant difference? Which pattern would you rather trade? Sell Reversal The sell-reversal pattern can be expressed as high of day 2 is higher thanhigh of day 1; close of day 2 is lower than close of day 1 and close of day 3 SP-067: S&P 500 Index (Pit) Cadj Liq (Daily bars) www.GenesisFT.com 07/15/2005 = 1231.2 (-0.5) 1238 Reversal up Exit on firstprofitableopening. Low below lowof previousday Buy on closebelow low ofreversal day. 06/07/05 06/21/05 07/06/05 07/20/05 FIGURE 2.5 Reversal Pattern with Trigger.Source: Courtesy of www.GenesisFT.com. 1236 1234 12321231.21230 1228 1226 1224 1222 1220 1218 1216 1214 1212 1210 1208 1206 1204 1202 1200 1198 1196 1194 1192 1190 11881186 JWPR004-02 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 14 30 DAYS TO MARKET MASTERY TABLE 2.1 Results of Buy Reversal with Trigger Summary—Long Trades Report Name: Jake’s Reversal Trades NewSymbol: SP-067 OverallTotal Net Profit: Total Trades:Average Trade: $79,513 Profit Factor 101$787 ($Wins/$Losses):Winning Percentage:Payout Ratio (Avg. Win/Loss): 5.134.4 Avg. No. of Bars in Trade:Avg. No. of Trades per Year:Max Closed-out Drawdown: −$16,075 Max. Intraday Drawdown:$35,593Account Size Required:$0Open Equity:7 WinsCurrent Streak: Return Percentage:Kelly Ratio:Optimal f: Z-Score (W/L Predictability):Percent in the Market: Winning TradesTotal Winners:Gross Profit:Average Win:Largest Win:Largest Drawdown in Win:Avg. Drawdown in Win:Avg. Run Up in Win:Avg. Run Down in Win:Most Consec Wins:Avg. No. of Consec Wins: 92$132,363$1,439$9,900−$5,600−$1,384$1,879−$1,3842510.22 Losing TradesTotal Losers:Gross Loss:Average Loss:Largest Loss:Largest Peak in Loss:Avg. Peak in Loss:Avg. Run-up in Loss:Avg. Run-down in Loss:Most Consecutive Losses:Avg. No. of Consecutive Losses: 2.50 91.1%0.25 0.18.8%−$18,275223.4%0.54720.61 9−$52,850−$5,872−$7,400$2,175$782$782−$5,87221.13 Avg. No. of Bars in Wins: 5.29 Avg. No. of Bars in Losses: 3.44 is higher than high of day 2, then sell on close of day 3 and take profit onfirst profitable opening. Again, note that this is not what you would expect.But does it work as well as the buy pattern in the previous section? Take a look at the performance history of this pattern as shown in Table 2.2. As you can see, the sell pattern has been correct nearly 90 percent of thetime—but it fails to make money. Is that a problem? No! If the buy patternworks we will use it. Because the sell pattern does not work, we avoid it. It is all about knowing what works by adding a trigger and follow-through to a basic setup. In other words, it is about knowing what worksbefore you put money on it. Ask yourself some important questions. Do you JWPR004-02 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 Setup, Trigger, and Follow-through: The Basics 15 TABLE 2.2 Results of Reversal-down Pattern with TriggerSummary—Short Trades Report Name: Jake’s Reversal Trades NewSymbol: SP-067 OverallTotal Net Profit: Total Trades:Average Trade: $338 Profit Factor 115$3 ($Wins/$Losses):Winning Percentage:Payout Ratio (Avg. Win/Loss): 1.00 87.8%0.14 Avg. No. of Bars in Trade:Avg. No. of Trades per 9.415.0 Z-Score (W/L Predictability):Percent in the Market: 0.018.4% Year: Max. Closed-outDrawdown: −$29,450 Max. Intraday Drawdown: −$32,450 Account Size Required:Open Equity:Current Streak: $49,768$02 Wins Return Percentage:Kelly Ratio:Optimal f: 0.7%0.00260.00 Winning TradesTotal Winners:Gross Profit:Average Win:Largest Win:Largest Drawdown in Win:Avg. Drawdown in Win:Avg. Run-up in Win:Avg. Run-down in Win:Most Consecutive Wins:Avg. No. of Consecutive Wins: Losing TradesTotal Losers: 101$114,488 Gross Loss:$1,134$11,000−$7,275−$1,300$1,535−$1,300357.77 Average Loss:Largest Loss:Largest Peak in Loss:Avg. Peak in Loss:Avg. Run-up in Loss:Avg. Run-down in Loss:Most Consecutive Losses:Avg. No. of Consecutive Losses: 14−$114,150−$8,154−$8,950$1,850$497$497−$8,15421.17 Avg. No. of Bars in Wins: 7.57 Avg. No. of Bars in Losses: 22.64 use methods like the Elliott Wave, Gann, or Fibonacci? Do you know if theywork? ADDING A FOLLOW-THROUGH Now let us take the first reversal pattern (the buy pattern) and add a fewfollow-through alternatives. In other words, we vary the stop-loss and theexit. The results shown in this section’s tables use two different stop-losses JWPR004-02 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 16 30 DAYS TO MARKET MASTERY TABLE 2.3 Reversal-up Pattern with Trigger and $2,500 Stop-loss Summary—Long Trades Report Name: Jake’s Reversal Trades New $2,500 stop-loss Exit on First Profitable Opening Symbol: SP-067 OverallTotal Net Profit: Total Trades:Average Trade: $38,138 Profit Factor 105$363 ($Wins/$Losses):Winning Percentage:Payout Ratio (Avg Win/Loss): 1.55 74.3%0.54 Avg. No. of Bars in Trade:Avg. No. of Trades per 3.774.5 Z-Score (W/L Predictability):Percent in the Market: 0.46.8% Year: Max. Closed-outDrawdown: −$17,450 Max Intraday Drawdown: −$17,475 Account Size Required:Open Equity:Current Streak: $34,793$01 Losses Return Percentage:Kelly Ratio:Optimal f: Winning TradesTotal Winners:Gross Profit:Average Win:Largest Win:Largest Drawdown in Win:Avg. Drawdown in Win:Avg. Run-up in Win:Avg Run-down in Win:Most Consecutive Wins:Avg. No. of Consecutive Wins: 78$107,413$1,377$9,350−$2,338−$743$1,788−$743173.71 Losing TradesTotal Losers:Gross Loss:Average Loss:Largest Loss:Largest Peak in Loss:Avg. Peak in Loss:Avg. Run-up in Loss:Avg. Run-down in Loss:Most Consective Losses:Avg. No. of Consecutive Losses: 109.6%0.26380.26 27−$69,275−$2,566−$3,250$3,400$254$254−$2,56641.29 Avg. No. of Bars in Wins: 4.01 Avg. No. of Bars in Losses: 3.07 and exit methods. As you can see, follow-through in the form of a stop-lossand exit method can make a big difference. Using a stop-loss of $2,500 with exit on the first profitable opening makes the results much less impressive, as you can see in Table 2.3. Now let’s change the exit method and the stop-loss to exit on the thirdprofitable CLOSE with a $4900 stop-loss. Table 2.4 shows the results. Notethat these examples are not recommended as trading strategies. They aremerely included as illustrations. As you can see, follow-through (also know as exit strategy) can make a major difference. JWPR004-02 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 Setup, Trigger, and Follow-through: The Basics 17 TABLE 2.4 Another Variation on Follow-through Summary—Long Trades Report Name: Jake’s Reversal Trades New $4900 stop-loss with exit on 3rd profitable close Symbol: SP-067 OverallTotal Net Profit: Total Trades:Average Trade: $94,113 Profit Factor 102$923 ($Wins/$Losses):Winning Percentage:Payout Ratio (Avg. Win/Loss): Avg. No. of Bars in Trade:Avg. No. of Trades per 5.224.4 Z-Score (W/L Predictability):Percent in the Market: 2.27 85.3%0.39 −0.49.1% Year: Max. Closed-outDrawdown: −$17,900 Max. Intraday Drawdown: −$18,225 Account Size Required:Open Equity:Current Streak: $35,543$03 Wins Return Percentage:Kelly Ratio:Optimal f: Winning TradesTotal Winners:Gross Profit:Average Win:Largest Win:Largest Drawdown in Win:Avg. Drawdown in Win:Avg. Run-up in Win:Avg. Run-down in Win:Most Consecutive Wins:Avg. No. of Consecutive Wins: 87$167,988$1,931$15,150−$4,850−$1,482$2,644−$1,482256.69 Losing TradesTotal Losers:Gross Loss:Average Loss:Largest Loss:Largest Peak in Loss:Avg. Peak in Loss:Avg. Run-up in Loss:Avg. Run-down in Loss:Most Consecutive Losses:Avg. No. of Consecutive Losses: −264.8%0.47780.39 15−$73,875−$4,925−$4,925$3,400$970$970−$4,92521.25 Avg. No. of Bars in Wins: 5.52 Avg. No. of Bars in Losses: 3.47 S-T-F: THE COMPLETE APPROACH To trade profitably you need to use a complete approach. Here are theelements of that approach: (cid:2)(cid:2)(cid:2)(cid:2) Specific entry and exit rules.100 percent objective follow-through.Statistical performance history.No interpretation needed. JWPR004-02 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 18 (cid:2)(cid:2) 30 DAYS TO MARKET MASTERY Independent of any fundamentals or analysis.Capable of being completely computerized and analyzed. This gives you a complete package that, in my view, places you way ahead of the vast majority of traders. REVIEW In this lesson, you learned a specific example of how we move through thesetup, trigger, and follow-through method using a simple pattern. While thepattern in and of itself is not profitable, adding a trigger improves its ac-curacy and adding a follow-through method further improves the potentialprofits. Now that you have seen an example of how we can take some commonly(but incorrectly) used setups and turn them into profitable methods, you’reready to move onto the first of five methods you will learn in this course.Lesson 3 introduces you to the first of these methods: the seasonal setup.Once you know how to find and evaluate the seasonal setups, we look atseasonal triggers and follow-through methods. LESSON 2 QUIZ Instructions: Circle the correct answers. 1. Most patterns in the markets: A. Make money.B. Lose money.C. Are used for hedging. D. Are based on weather. 2. A reversal up pattern occurs when: A. Traders quit for the day because the market goes limit up. B. A winning trade becomes a losing trade because a trader has become too emotional. C. A losing trade is closed out at the stop-loss on a Tuesday.D. The low of day 2 is lower than the low of day 1 and the close of day 2 is higher than the close of day 1. JWPR004-02 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 Setup, Trigger, and Follow-through: The Basics 19 3. A reversal down pattern occurs when: A. The high of day 2 is higher than the high of day 1 and the close of day 2 is lower than the close of day 1. B. Traders quit for the day because the market goes limit down. C. A losing trade becomes a winning trade because a trader has devel- oped a new trading method. D. A losing trade is closed out at the stop-loss on a Friday. 4. Common thinking in trading: A. Gets common results. B. Will help you be successful.C. Is a good method to use.D. Uses exponential moving averages to get good results. 5. It is best to think differently than most traders: A. Because most traders think the same way.B. Because different thinkers get better results.C. Because common thinking gets common results.D. All of the above. 6. Looking only at the percentage accuracy of a trading method: A. Is the correct thing to do.B. Is the method used by professional traders.C. Can help you discover excellent trading methods.D. None of the above. 7. Choose all that apply: The following are aspects of a total approach to trading: A. Specific entry and exit rules.B. 100 percent objective follow-through.C. Statistical performance history.D. No interpretation needed. 8. Proper structure of every trade consists of: A. Having the right newsletter(s).B. Discussing every trade with your broker before you enter.C. Using the right systems.D. Setup, trigger, and follow-through. JWPR004-02 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 20 JWPR004-03 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 L E S S O N 3, D A Y 3 Seasonality andHigh-OddsSeasonal Setups INTRODUCTION One of the most enduring and reliable patterns in the markets is seasonality.While some people believe that seasonality is a function of weather or theseasons, this is not entirely true. Seasonality is the tendency for marketsto move in certain directions during certain times of the year. These movesare caused by factors such as weather, harvest, planting, inventory buildup,holiday closing of mines, buying of building supplies prior to the build-ing season, quarterly mutual fund portfolio adjustment, summer demandfor meat, holiday demand for pork and poultry, summer unemployment in-creases, and a host of other variables. The reason or reasons for a seasonalmove can be obvious—or they may not. While some traders care about the“why” of market moves, I do not. I am only interested in the fact that manymoves are predictable to varying degrees of accuracy. Seasonals are foundin virtually all data including commodities and stocks. “Mine is not to reason why . . . mine is but to sell and buy.” It makes nodifference to me what causes markets to move as long as I can find reliablesetups with a solid history of predictability. I suggest that you do the same.Note that I am not opposed to the use of fundamentals (i.e., the study ofeconomic conditions that cause moves). I believe, however, that setups andtiming are more important and that we do not need to know the causes ofmoves if our setups and triggers are valid. 21 JWPR004-03 JWPR004-Bernstein February 9, 2007 20:27 Char Count= 0 22 30 DAYS TO MARKET MASTERY TYPES OF SEASONALS There are five basic types of seasonals: 1. Monthly seasonal patterns in the cash markets. These patterns give usa big picture idea of what has happened in the markets over a long periodof time. 2. Weekly seasonal patterns in commodities, stocks, and cash markets. These give us a shorter term, week-to-week idea of price changes. 3. Daily seasonal futures patterns. These tell us the exact starting and ending dates of moves in stocks and futures. 4. Preholiday seasonals patterns. These patterns tend to occur with a high probability prior to major holidays. 5. Seasonal patterns in spread and ratio relationships. These patternsshow how different months and/or markets have moved relative to eachother. The information derived from each of the above seasonal patterns givesus different information. My goal is to direct you to the most profitable andconsistent of these patterns. SEASONALS ARE SETUPS As noted in Lesson 1, seasonals are setups that must be triggered. In Lesson1, I cited a crude oil seasonal setup that had an exceptionally high probabilityof repetition. I have found over 1 million seasonal setups with accuraciesfrom 75 percent to 100 percent
trading
30 Days to Market Mastery: A Step-by-Step Guide to Profitable Trading
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1
". This does not mean that they are the perfectway to trade or that they will always work. We need a(...TRUNCATED)
trading
30 Days to Market Mastery: A Step-by-Step Guide to Profitable Trading
[29889,910,947,451,2099,393,896,526,278,4922,1582,304,11302,470,393,896,674,2337,664,29889,1334,817,(...TRUNCATED)
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2
". If it is not clear (i.e., the SI reading is close to the required value), thendo not enter the or(...TRUNCATED)
trading
30 Days to Market Mastery: A Step-by-Step Guide to Profitable Trading
[29889,960,372,338,451,2821,313,29875,29889,29872,1696,278,22717,5183,338,3802,304,278,3734,995,511,(...TRUNCATED)
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3
"4.4) 1200\nExit dateclosed at1130.80.\nLong on close at1124.80,\nSl buy trigger\nStopped outon trai(...TRUNCATED)
trading
30 Days to Market Mastery: A Step-by-Step Guide to Profitable Trading
[29946,29889,29946,29897,29871,29896,29906,29900,29900,13,24365,2635,15603,472,29896,29896,29941,299(...TRUNCATED)
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4
"20.69 (+2.43)\nMomentum (C,28)\n57\n26\n24\n22\n20.6920\n18\n16\n14\n12\n10\n8\n2512.430\n-25\n-50\(...TRUNCATED)
trading
30 Days to Market Mastery: A Step-by-Step Guide to Profitable Trading
[29871,29906,29900,29889,29953,29929,20532,29906,29889,29946,29941,29897,13,29924,2932,398,313,29907(...TRUNCATED)
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5
"- 0 4\nD e c - 0 4\nJ a n - 0 5\nF e b - 0 5\nM a r - 0 5\nA p r - 0 5\nM a y - 0 5\nJ u n - 0 5\nJ(...TRUNCATED)
trading
30 Days to Market Mastery: A Step-by-Step Guide to Profitable Trading
[448,29871,29900,29871,29946,13,29928,321,274,448,29871,29900,29871,29946,13,29967,263,302,448,29871(...TRUNCATED)
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6
".\nNote that these are the basic rules. The next lesson will go into con-siderably greater detail r(...TRUNCATED)
trading
30 Days to Market Mastery: A Step-by-Step Guide to Profitable Trading
[29889,13,9842,393,1438,526,278,6996,6865,29889,450,2446,3109,265,674,748,964,378,29899,29879,1241,2(...TRUNCATED)
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7
"visual schematics of gap buy and sell trades.Figure 12.3 shows how the gap buy and sell signals loo(...TRUNCATED)
trading
30 Days to Market Mastery: A Step-by-Step Guide to Profitable Trading
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8
", I coined the name of a pattern that occursfrom time to time with the MAC. I call it the Cuban Mis(...TRUNCATED)
trading
30 Days to Market Mastery: A Step-by-Step Guide to Profitable Trading
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9
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