Sample of TCP Strategy and Trading Results
Theoretical TCP Trading for SP12 on 10/08/98 ---------------------------- 5 day Overlay bracket exists ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ TCP Trading data from: 10/07/98 for trading on 10/08/98 ------------------------ For the 5 day Overlay This delivery has 99% of the volume Its the leading delivery Bracket Range 5100 ($ 12750) Upper Limit 101900 Lower Limit 96800 Limit-to-Octant 637 ($ 1594) Upper Octant 101263 Lower Octant 97437 Octant-to-Middle 1912 ($ 4782) Middle 99350 Todays Bracket range: 5100 ($ 12750) is high Average Bracket range: 3256 ($ 8140) +/- 1590 ($ 3975) Todays Trade Facilitation Factor: 3.7 is normal Average Trade Facilitation Factor: 4.2 +/- 1.1 Todays Range Volatility: 909.3 ($ 2273) is very high Todays Range Volatility: 909.3 ($ 2273) is 1.43 of todays octant Average Range Volatility: 508.0 ($ 1270) +/- 186.0 ($ 465) Todays Close: 97900 is near bracket low ( 0.22) Todays Close: 97900 is near todays low ( 0.08) Todays High: 100700 is near bracket high ( 0.76) Todays Low: 96500 is near bracket low (-0.06) There is no Commercial Action at todays high: 100700 There is uknown Commercial Action at todays low: 96500 Todays Daily Range: 4200 ($ 10500) is high Todays Daily Range: 4200 ($ 10500) is 0.82 of todays bracket range Average Daily Range: 2244 ($ 5611) +/- 1008 ($ 2522) Todays total commodity LDB volume: 285163 is high Average total commodity LDB volume: 208150 +/- 51053 Todays commercial commodity LDB volume: 9119 is normal Average commercial commodity LDB volume: 8465 +/- 2711 Todays public commodity LDB volume: 128731 is high Average public commodity LDB volume: 94467 +/- 25563 Todays floor commodity LDB volume: 139500 is high Average floor commodity LDB volume: 97807 +/- 23555 ****************************************************************************** BASIC Breakout/Responsive Strategy for 10/08/98 based on TCP data from 10/07/98 ----------------------------------------------- For the 5 day Overlay Enter Long above: 101900 Place a stop at: 101263 Reverse Short below: 101263 Place a stop at: 99350 Enter Short below: 96800 Place a stop at: 97437 Reverse Long above: 97437 Place a stop at: 99350 Trading results for 10/08/98 using this BASIC strategy ----------------------------- For the 5 day Overlay There were 1 trading position(s) held -------------- Entry -----------*-------------- Exit -----------*-- Profit -- Type Price Time*Type Price Time* Range U.S.$ --------------------------------*--------------------------------*------------ S: SHORT-BREAKOUT 95400 08:30*CLOSE 96980 15:24* -1580 -3950