Tag Archives: emini_sp500

Updates and analysis

Small portfolio – no changes Hedge fund portfolio – close out long position (205 shares) in SHY, short 213 shares of SHY Futures portfolio – new long position in June emini S&P 500 futures, one contract Here is a summary … Continue reading

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Closed out long position in ESH11 for the futures portfolio

Since it was time to rollover the ESH11 (March emini S&P 500) contract I closed the long position for the futures portfolio. I closed at a loss of 60.25 points ($3012.5). I did not automatically rollover to the June contract. … Continue reading

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Constructing the new futures portfolio

In applying the cybernetic trading system to the futures portfolio, much of the system is the same as that used for the ETF portfolios (small and hedge fund), but there are some differences. Like the ETF portfolios, an asset allocation … Continue reading

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New futures portfolio

I initiated a new futures portfolio at Collective2 using the same methodology (with some modifications) as the ETF portfolios. The starting capital is $100,000. Here are the initial positions: bonds: GEU11 (September Eurodollars), long, 3 contracts US equities: ESH11 (March … Continue reading

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