Cannon Trading Futures Blog: Daily Support and Resistance Levels

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Dear Trader                                                      Date:  11/21/2006

The results below are taken either from a real trading account or a demo trading account, depending if I have clients who are trading the model, if I am in a testing stage etc. Today’s trades below were executed in a live account.

This program/model trades in 3 markets: Mini SP, Mini Crude Oil and electronic Bonds. While the time frame is for day-trading, there will be times that the program will hold positions overnight with stops and targets, hence the name Swing trading.

My research and back testing suggests that the combination of 3 markets helps tremendously to the bottom line results as well as minimizes the size of the draw downs. However, because the model trades 3 different markets and holds positions at time overnight, the required initial account size is $15,000.

If any one would like more information, a walk through of the back testing etc., please send me an email and I will be happy to set up a time.

Today's Trades:

Closed Trades:

Mini SP:

No closed trades

Mini Crude:

No closed trades

Electronic Bonds:

1 closed trade for $0 profit/loss

Total:  $0 per contract before commissions

Open Positions:

Mini Crude (QMF7) -  FLAT

30 year Electronic Bonds (ZBZ6 )- Long from 112.29

Mini SP 500 (ESZ6 ) -  Long from 1404.25

Results:

 

	Swing-Trading portfolio results
Dates below were compressed to save space, to view all trades, please e-mail me for the complete file	Date	No. of Trades	Trading Results ES500	Trading Results US Bonds	Trading Results Mini Crude	Daily Gross Profit / Loss (before commissions)	Total Commissions per contract *	Daily Net Profit / Loss per contract(after commissions of $10RT)	Trading Results after commissions per one contract
	##########	(2)	(3.00)			($5.00)	($4.00)	($6.00)	($7.00)
						(3) * 50	-7.04 * (2)	(3) + (5)	(6) * 5
	5/14/06								$0.00
MAY	5/30/06	4	20.75			$1,037.50	($40.00)	$997.50	$1,565.00
June	6/5/06	3	6.00			$300.00	($30.00)	$270.00	$1,835.00
On vacation	6/22/06	2	1.75			$87.50	($20.00)	$67.50	$685.00
July	7/11/06	6	2.50			$125.00	($60.00)	$65.00	$750.00
	7/28/06	5	(12.00)			($600.00)	($50.00)	($650.00)	($1,861.00)
	Took time off  between July 29th and August 28th,								-$1,861.00
	to work on modifying the model in order to
	minimize number of trades and achieve better overall results								-$1,861.00
	New model includes Bonds and Mini Crude in addition to Mini SP
	Date	No. of Trades	Trading Results ES500	Trading Results US Bonds	Trading Results Mini Crude	Daily Gross Profit / Loss (before commissions)	Total Commissions per contract *	Daily Net Profit / Loss per contract(after commissions of $12RT)	Running Trading Results after commissions per one contract (starting from $0 on May 14th)
	8/29/06	4	12.25	23		$1,331.25	($48.00)	$1,283.25	($577.75)
No Closed Trades	8/30/06	0				$0.00	$0.00	$0.00	($577.75)
August	8/31/06	1			68	$337.50	($12.00)	$325.50	($252.25)
	9/1/06	4		1	65	$356.25	($48.00)	$308.25	$56.00
September	9/29/06	6	3.25	1	220	$1,293.75	($72.00)	$1,221.75	$589.25
	10/3/06	7	1.75	(3)	(20)	($106.25)	($84.00)	($190.25)	$399.00
October	10/31/06	10	(4.00)	16	30	$450.00	($120.00)	$330.00	$3,442.75
	11/1/06	8	2.50	(26)	(68)	($1,025.00)	($96.00)	($1,121.00)	$2,321.75
	11/2/06	8	(11.50)	10	(50)	($512.50)	($96.00)	($608.50)	$1,713.25
	11/3/06	8	1.25	(3)	(65)	($356.25)	($96.00)	($452.25)	$1,261.00
	11/6/06	4	9.25	0	(148)	($275.00)	($48.00)	($323.00)	$938.00
	11/7/06	8	(8.75)	7	0	($218.75)	($96.00)	($314.75)	$623.25
	11/8/06	5	(3.00)	4	40	$175.00	($60.00)	$115.00	$738.25
	11/9/06	9	7.00	1	(215)	($693.75)	($108.00)	($801.75)	($63.50)
	11/10/06	3	0.00	(8)	(50)	($500.00)	($36.00)	($536.00)	($599.50)
	11/13/06	3	5.50	12	110	$1,200.00	($36.00)	$1,164.00	$564.50
	11/14/06	3	2.00	20	0	$725.00	($36.00)	$689.00	$1,253.50
	11/15/06	2	0.00	13	15	$481.25	($24.00)	$457.25	$1,710.75
	11/16/06	6	0.00	15	20	$568.75	($72.00)	$496.75	$2,207.50
	11/17/06	3	(4.50)	0	0	($225.00)	($36.00)	($261.00)	$1,946.50
	11/20/06	4	(3.25)	1	(25)	($256.25)	($48.00)	($304.25)	$1,642.25
	11/21/06	1	0.00	0	0	$0.00	($12.00)	($12.00)	$1,630.25

Disclaimer:

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.  NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.  IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. 

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT.  IN ADDITION, HYPOTHETICAL TRADING DOES NO INVOLVE FINACIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETLEY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING.  FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS.  THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCONTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

Sincerely,

Ilan Levy-Mayer, M.B.A

Vice President
Cannon Trading Co Inc.
http://www.cannontrading.com
http://www.E-Futures.com
ilan@cannoncapital.com

Yahoo IM ilanlevy1970
310-859-9572
800-454-9572
Fax 310-859-0547
9301 Wilshire Blvd. Suite #614
Beverly Hills, Ca 90210

The finest compliment I can receive is a referral from a trusted client.

* Important Please Note: 

Trading commodity futures and options involves substantial risk of loss. 

The recommendations contained in this letter are of opinion only and does not guarantee any profits.

These are risky markets and only risk capital should be used.

Past performances are not necessarily indicative of future results.