TICK trading the S&P 500 using SSO

Here is an interesting TICK triggered trading plan worked out for yesterday. This is, more or less, what I was trying to accomplish on Friday. I did catch a good chunk of the two largest moves of the day but working strictly off of the 200SMA is somewhat profit restricting. I have liked the idea of fading to the 200SMA and have tried that a few times with limited success (read: more loss than profit).

So here is an example of back testing a day using some of my newer ideas. I know the day is recent so the results may be to optimistic but the theory is sound and the charting is a great exercise. I will do the same thing for the SSO side of the day, although I would tend to try to not trade against a trend setting day...once I realized that is what it was.

For the TICK chart (second chart):
Plot the 25 or 30 SMA, red
Plot the 200 SMA, green
Bollinger Bands at 20 period, 2 standard deviations (I just like these, I don't think I would use them for triggers though. I like the narrow and wide indication of volatility.

Here is the SSO chart for yesterday:

I know the TICK chart is tight, I use it much narrower and with wider spacing but this is easier than trying to split the day into two charts.
May 8th observations:

TICK strong off the start, 25 over 200 and both UTing.


Trades as charted:

0938h - Entry on first up bar after a bottom... coincided with a 200 entry.
NOTE: Expanding volume confirmation after entry
0950h - Exit on second full bar below the entry bar in TICK, R1 failed test as the primary
1051h - Entry after first positive TICK bar following 25 over 200 cross pullback to -800 range
NOTE: This happens to have been the second test of the primary pivot point
1120h - Exit after failed test of the 200SMA, no TICK reason, could have held
NOTE: the next entry the tick level was lower yet produced an even price from the previous exit... sign of an UT in progress.
1150h - Enter test of 200SMA, TICK testing low trend line
NOTE: 25tick SMA steeper slope than 200SMA, UTing, more positive TICKs
1221h - Exit second failed test of R1 (R1 is a good resistance level)
1251h - Enter following low TICK, bear -800, VWMA test, increasing TICK
NOTE: TICK not trending, horizontal ... tight stops or target trades, aim for R1 again
1258h - Exit, R1 again, don't wait for the fail due to third time testing and neutral 25SMA TICK
NOTE: no new highs or lows for the next period, wait for the 200sma test.
1400h - 200SMA test and TICK low reading
NOTE: TICK returns to small UT here, breaks R1 on good volume, stop at VWMA
NOTE: TICK lows do not produce new price lows, stop to R1
1455h - Exit as yesterday's high test failed for 4 or 6 bars, TICK turns DT afterwards so exit imminent anyway

The rest of the day TICK highs and lows do not produce new price highs or lows. I don't care much for trying to play the EOD volatility anyway.

Jeff.