I entered these positions because of the following statistics:
1. Since March 2009, when the market fell more than 1.5%, then the next day was up by an average of 0.35%, with a win ratio of 63%
2. Since March 2009, the first day of each month saw a gain on average of 0.23% with a win ratio of 64%
However, when a loss of 1.5% or more took place on the last day of the month, then the next day (today) was more of a "mixed bag:" either a good gain or a steep loss.
Today will be a position management day.
If we open on a down gap, then the situation will be difficult: when and where to cut the position?
If we open on a gap up I will probably place a stop below the low of yesterday and wait.
As we can see below, the stop loss levels have been selected to give me a 85% chance (based on past stat data) of not being hit today. For TNA, since I already have a 0.83% loss on the position (the market dropped further in the final minutes) based on past data, I have only a 53.8% chance of finishing above my buy price, with an average expected gain of 6.2%, while the probability of a loss is 46.2% with an average loss of 2.73%. This makes a gain ratio of 2.65 on the TNA trade.
The ERX trade carries stronger odds: a 61.5% chance of finishing positive, with an average gain of 4.56%, and a 38.5% of finishing with a loss of 2.22% on average. This makes a gain ratio of 3.28.
As a reminder, the stats shown below point in pink color to an average gain ratio of 2.64 for the short term trading strategy. This means that the two trades taken yesterday are within that strategy's standard risk/profit range. However, if we open on a large down gap (due to the not yet published FNP report) then the loss could be wider than what the stop loss levels are suggesting. That is the biggest risks with leveraged ETFs kept overnight.
The trades are shown below. There are no trade ideas for today, because of the expected volatility.