A quiet, 100% profitable week! Also: short-term monte carlo simulation and "the paycheck effect"

The trading plan I'm using depends on the market staying within about an 80 point range for 4-5 days, and this week the range was about 1/2 that:

So the 3 trades I had on that expired Monday, Wednesday and Friday all expired worthless and returned full profit (about 6% average per trade.) Accounts I'm trading were up about 3% for the week (down from 4% earlier, when volatility was higher).

I've been doing monte carlo simulations for a while now and have published a few results to this blog. But all have been at least several months long ... Here's a result for 6 weeks (18 trades of SPX + 1 NDX) running the plan like this:

• risking 20% on every trade, so totalling 60% for the few hours Monday, Wednesday and Friday when 3 trades are active simultaneously
• Assuming 5.8% won on every winning trade
• Assuming a 97.5% win rate ... achievable by rolling, I think

Results are like this (starting with $50000):

    min: 32435.031 

    mean:  59566.426 

    max: 61535.93 

    stddev: 3665.9998 

So not much different from the "3% per week compounded value":  $59702.61 ...

We'll check the results in 6 weeks!

Finally, I've been listening to this podcast:

I just finished #137 with Dr. William Ziemba on betting horse races and exploiting anomalies in financial markets. The discussion was wide-ranging, but one part of the discussion struck me. Ziemba says that his research indicates that volatility (although he doesn't use that word) is skewed toward the beginning of the month because some people put part of their paycheck into the stock market!

June 1 will be coming up shortly so I'll be watching for this ... Ziemba also writes on crashes:

He points out that crashes are rare; there have only been 3 10%+ moves in the modern era ... which is one of the reasons I feel confident risking 20% on every trade starting June 1.

More next week ...