The Scorpius Group

RTH - 4/0 for 100 on 3, -62.5 - 8/0 for 100 on 3, -62.5 - 8/4 for 125 on 5, -75 - 8/8 for 187.5 on 10, -100 1.0 rth - 0 buffer for 425 on 63, -600 1.0 rth - 8 buffer for 525 on 64, -600

mid buffer 0: 675 on 37 4/8: 475 on 36 each best mid fade rth: 6/4/4/4 @ -12.5 on 36

After price reverted to 1977 off the lows, a series of higher lows were made as delta trended higher. Price broke back above 1977 and reverted to the top of IB lo and continued higher to 1988. The poc shifted from 1973 to 87.25, but then price retreated lower. Since then, price has remained within the 1977-85 range with the POC @ 81.

SPs gapped open higher about +15pts and rallied to 1991.25 before stalling around 915am. The mkt reversed and fell below the midpt/vwap/poc around 1986. Fell to IB lo @ 1980.50, bounced 2-3pts then continued lower to top of Tues mcvpoc @ 1977. Rallied above to 1982, but IB lo broke again and fell into Tues POC area @ 67-72. I began entering long @ 73.75, looking for a reversion to the upside with targets of 76-77 and up to IB lo @ 1980. Mkt continued lower to 68.5, so I entered a larger position to average in to 70.75. New targets were top of prev range near 73-74, and held a runner for 76-77 in case of a break of this range. Higher low was made @ 69 with a trending delta making higher highs as well. Price broke to prev range of 76-78.

1m 1.1: +162.5 on 17 1m 1.1a: +125 on 13 1m 1.1b: +225 on 23 1.1: +5050 on 320 1.1a: +1462.5 on 152 1.1b: -1000 on 81 1.1bc: +225 on 44 1.2: +2575 on 282 1.3p4: +975 on 281 1.3p8: +1987.5 on 281

1m 1.1: +2150 on 79 (27.21) 1m 1.1a: +1087.5 on 44 (24.71) 1m 1.1b: +962.5 on 35 (27.5) 1.1: -10112.5 on 578 1.1a: -475 on 321 1.1b: -2600 on 172 1.1bc: +300 on 96 1.2: -10400 on 516 1.3p4: +3012.5 on 892 1.3p8: -8962.5 on 544

1m 1.1: +1700 on 31 1m 1.1a: +687.5 on 14 1m 1.1b: +712.5 on 15 1.1: -275 on 500 1.1a: +825 on 195 1.1b: +375 on 89 1.1bc: +537.5 on 30 1.2: +1562.5 on 442 1.3p4: +4912.5 on 440 1.3p8: +1687.5 on 440

1m 1.1: -562.5 on 740 1m 1.1a: -762.5 on 438 1.1: +9062.5 on 452 1.1a: +3550 on 198 1.1b: +3137.5 on 126 1.2: +7100 on 385 1.3p4: +6200 on 383 1.3p8: +6762.5 on 382

1m 1.1: -1637.5 on 337 1m 1.1a: -775 on 219 1m 1.1b: -100 on 192 1.1: +2600 on 200 1.1a: +687.5 on 91 1.1b: +300 on 37 1.2: +3537.5 on 167 1.3p4: +3062.5 on 169 1.3p8: +3412.5 on 171

1m 1.1: +2075 on 368 1m 1.1a: +412.5 on 245 1m 1.1b: +637.5 on 224 1.1: +7600 on 268 1.1a: +2650 on 133 1.1b: +1437.5 on 65 1.2: +5137.5 on 230 1.3p4: +4412.5 on 229 1.3p8: +5012.5 on 231

1m 1.1: +2075 on 366 1m 1.1a: +1250 on 205 1.1: -16862.5 on 2646 1.1a: -10912.5 on 840 1.2: -31837.5 on 2323 1.3p4: -20462.5 on 2006 1.3p8: -31587.5 on 2334 abysmal results - only the 1min versions have consistent edge

Interesting results again for another trend day higher... 1m 1.1: +900 on 125 1m 1.1a: +975 on 96 1.1: +7000 on 1786 1.1a: +3950 on 840 1.2: +3262.5 on 1564 1.3p4: +2150 on 1559 1.3p8: +2262.5 on 1557 1ticker: -1137.5 on 866 (+62.5 on 20)

*could potentially only be 1 tick of edge on this strategy, $10 gross per trade

Tested a 1min VWAP version as well: 1.1: 0 on 267 1.1a: +475 on 137 3min VRs: 1.1: -2125 on 2231 1.1a: -812.5 on 909 1.2: -7362.5 on 1963 1.3p4: -3437.5 on 1967 1.3p8: -7412.5 on 1961 Overall the order filter on 1.1a has mitigated damages, but the edge appears to be dwindling (if not gone). Testing a trend (inverse) version of 1.3 tonight...

The SPs have remained in a range bound holding pattern for two weeks as the FOMC rate decision will occur on Th. Last week I anticipated range bound resistance with a bias to the downside, but that downside flush only occurred on one day. SPs still have 1992-2000 as the top of this range, with higher lows increasing on each dip. This is forming a flag pattern, which I believe will culminate to the downside. If this were a simple correction in the market, the multi-year uptrend would have continued already. However, the uncertainty of what the Fed will do, along with other global markets facing problems, have caused volatility to increase and fear to enter. I'm currently short AAPL via 110 Sep p, and premarket it is currently hitting 117 resist. I will use the pre-order 6S demand news as a way to enter more on the shortside. Looking at the Oct 110p still, as I do believe in one more test to the downside, if not follow-through to newer lows.

Overall my performance remained consistent, with 66% winning trades for the week. The avg winner was 8 ticks and the average loser 8 ticks as well. The pf was 1.92 with a ppt of 2.5 ticks. The pf and ppt were slightly less this week, so let's see where the problems are located. On the long side, trades were considerably better, with 75% winners. The avg winner was 7 ticks, whereas the losers were 5 ticks. The pf was an astounding 4.25 and the ppt was 4 ticks. This performance makes sense, as 3/4 trading days were uptrends in the equity market. The downside trades were much tougher, as the losers suffered more dd. Only 62% on winners, with the avg winner 9 ticks and the loser at 10. The pf was only 1.5 and the ppt < 2 ticks. After the big downtrend day on Wed, I had trouble on the short side, as the mkt was trending higher for the last two days. After two weeks, my win rate MA is 73% - so that is the threshold for determining my future success. At the end of week 1, my rate was 68%, but two days of 79 and 100% each brought up this avg quite a lot. Overall, my trading success has been consistent throughout the day, but 930-10 and 11-1130 have been terrible, with about 50% success. It may be better to not trade at this time.

Happiness all around today... 1.1: +16037.5 on 3027 for $5.30 1.1a: +5387.5 on 1385 for $3.89 1.2: +16675 on 2730 for $6.11 1.3p4: +16825 on 2729 for $6.17 1.3p8: +17475.5 on 2734 for $6.39 *looks like I will need to create versions of each algo that limits the order inventory