We have been trading NASDAQ-100 futures under a our One-Shot strategy, and publishing that trade data to Twittersince April, this year. The following chart shows the performance of this trading, to date. Put simply, the 1st. of September was very bad. We got into the wrong position and rode it down. Some money was made back by trading during the month, but the month as a whole was a poor one for this strategy. Fortunately, today (the 1st. of October) was very good. Good enough to cancel out its antecent date, but in the wrong month to make the performance numbers look nicer.

In a recent post, I discussed a simple model for the time series of the followers of our Twitter account, http://twitter.com/StatTraderCTA. A working paper discussing this topic is available on my Social Science Research Network Author Page. I was recently notified by SSRN that the paper is listed in the top ten downloads for the Economics Research Network — Estimation topic. The paper is available directly here.

Although I publish daily my record of our intraday forecasts of the $5 mini DJIA futures (ECBOT:YM) and of the e-mini NASDAQ-100 futures (GLOBEX:NQ), I haven't updated our regression summary charts for a while — so I thought that it was time to do that.

The above chart shows our summary analysis for the performance of the $5 mini DJIA futures system, and the one below the same analysis for the e-mini NASDAQ-100 futures system (which is based on the same platform).

These charts may be a little dense for some — those who wish to perform their own homebrew analysis are welcome to pick up the raw data, delayed by one day, for the two systems at the links at the top of this post.

To summarize our analysis of the first quarter of publicized index futures trading on Twitter, I am including a table of monthly returns for an simple aggregate portfolio of both strategies.

In addition, you can now view the daily profit reports for both strategies directly on this website. The DJIA Index Futures and NASDAQ-100 Index Futures systems are presented separately, and the data is updated every day.

As we noted in the previous post, on (almost) the first quarter's trading for DJIA Index Futures , we have also been trading NASDAQ-100 futures under a variant of the same strategy, and also publishing that trade data to Twitter, for the same period.

One can see that the system is unprofitable, and remains within the drawdown it entered roughly in the middle of April. A table of monthly returns for this model account, is given below.

On 9th. April, we started a Web 2.0 experiment by publishing an RSS Feed and publishing trade data to twitter, for an intraday index futures trading strategy operated by our firm. This strategy has been running in this context for approximately three months now, and the daily performance for the trading of DJIA futures is exhibited in the charts below. (We will exhibit the NASDAQ-100 strategy in a following post — that variant has lost money to date.)

One can see that the system is profitable, but remains within the drawdown it entered roughly in the middle of May. A table of monthly returns for this model account, is given below.