Month-end (and Qtr)

Hi!

Fun to see that more and more people starts to follow my blog...!

Short update due to a busy agenda... and prolonged spa-weekend in Germany tomorrow. :)

Discretionary portfolio:

I went short EurUsd as stated in the last update, the timing could have been better, but so far it seems like my stop will survive. The case is still intact so I will leave it as it is.

Short EURUSD 1.3269 (stop 1.3435 and target 1.3030)

In addition, I went long EURCHF (double size) at 1.2060 on the case that I think speculation of intervention will keep it above 1.2040... Stop at 1.2022, target 1.2124 and 1.25

Lastly, I went long USDJPY today at 82.34 with a stop at 81.94 and target 82.90 due to the fact that 82 seems like a strong support, and if we break below I dont wont to stay in the trade. Secondly, fundamentals still support the trade (rates US vs. JPY still in an uptrend) so I think this trade short-term provide decent risk-reward.

Summary:

Short EURUSD
Long 2*EURCHF
Long 2*USDJPY

Algo:

I have had a short signal in USDSEK and GBPJPY since the last update. These were executed at 6.6649 and 131.626 respectively.

Summary:

Short EURUSD
Long USDJPY
Short AUDCAD
Short USDSEK
Short GBPJPY

P/L has moved sidways and now stands at USD 3784

Have a loverly weekend

Ps. Month-end and Qtr-end often provides increased volatility... And remember that the Japanese fiscal year ends tomorrow. Ds.

Earnings volatility

Hi!

The last week was a poor one in terms of profit generation (quite the opposite, declining portfolio value). You never know when profits and losses will hit your position, but I have expected quite some volatility, that is just part of the business... :)

If you have followed my positions closely, maybe you noticed that I moved my target in USDJPY a bit higher... In hindsight, that was not especially wise! My orginal plan would have been spot on (target 83.95), instead I saw my profit vaporize and becoming a loss. Since I am not trading while I am at work, this kind of reverse movements will be a part of my daily profits and losses...

Please see below for the updated returns for the last week

Current update:

Discretionary portfolio: USD 650 (down from 841 from the week before)
Algo: USD 1080 (down from 1391)

I have also decided to include two more currency pairs, namely AUDNZD and EURCAD. Hopefully helping diversification, I been a bit too much tilted against USD and JPY, now I have more equal exposure towards JPY, USD, AUD, EUR and CAD.

Discr.

Long USDJPY (stop at 80.40)

Algo.

Long USDJPY
Long GBPJPY
Long USDSEK
Short AUDCAD
Short EURUSD

Waiting for change of signals in AUDNZD and EURCAD

Finally, some short comments about my thoughts about the last week... I think it was a bit scary to see the sharp drop in the global manufacturing data, and the last weeks risk-off moves have made investors aware of that eventhough there were a huge liquidity injection, the structural problems are still not solved over a short period of time. So, that is why I will go short EURUSD in the discrenationary portfolio, USD should benefit vs. EUR, and I think the risk-reward looks favorable to the downside.

Have a lovely week!

Grinding...

A short update... Risky assets continues to trade very strong, moste equity-indices are up at the high of the year (S&P around 11%) and I think I read it was the fourth strongest start to a year since 1927. The most interesting to note lately are that yields (longer) have finally started to move higher and maybe we can have more classical asset movements again... (i.e. higher equities => higher yields => higher commodities). In terms of FX, no big movements the last days but I believe more firmly that the JPY will continue to depreciate. So, I decided to move up my target to 84.42 instead of 83.95 but keeping my stop at 82.97. I think that we will see a sharpe move upwards if we break through 83.90/84... I decided to skip a position in NOKSEK due to the price-action, it more looks like something that will grind lower. Else, I think the current environment is more or less a grind at the moment and not much is going on.

Discr.

Long 2*USDJPY (first target 84.42/stop 82.97)

Algo.

The short position in USDSEK was closed down with a profit after one day at 6,7189 and was exchanged to a long position (stop 6.55)

=> Short EURUSD
Short AUDCAD (considering taking on this also in the discretionary portfolio)
Long USDSEK
Long USDJPY
Long GBPJPY

Account equity as per today: USD 4473

Later FX-friends!

Track record

Hi!

So, I have finally put a framework in place which makes it possible to do show you a daily track-record... It took some time, but it was definitely worth it... I will only do this for my algo-portfolio while my discretionary trading will be updated weekly. See graph below for the P/L in % since inception... Bear in mind that I show the the return as % as if I would have sized my position according to my own system, but in reality I have so far taken the same size at all times. I will see how I do in the future, but it will require quite some more work and a significantly bigger deposit.

In terms of dollar... Then the current reading: Algo: + USD 1391 Discr: + USD 841
It will be nice to follow the portfolios now when the monitoring is fully in place... I will update you once a week with the development in this chart - and expect volatility to continue...

Else, I was a bit unlucky to not get my long USDJPY out at 83.95 (traded at 83.94), hopefully that will change. I also promised to start trading other currencies than just Long USDJPY, I am considering to go long NOKSEK on the back of the recent set-back and my belief that Norway looks stronger than Sweden, but I am not sure yet.

Current positions:

Discr.

Long 2*USDJPY

Algo.

I will change position in USDSEK to a short position when the markets open, the others look like:

Long USDJPY
Long GBPJPY
Short AUDCAD
Short EURUSD

Good luck the coming week!

illness

Hi folks,

what a week... It has been very interesting at work, I should maybe mention that I am involved in the management of a cross-asset mandate (Focusing on Fixed Income, Equties, FX and Credits) based on medium-term macro views... And eventhough I love FX, that is actually the smalles mandate. I don't want to say too much of this since this is not the scope of the blog, but I was lucky to buy some short-dated equity-options for 6 ticks this monday and with expiry tomorrow... They are now worth around 50 ticks, so it has been a lucky punt so far. But the annoying part is that I got sick yesterday, so I haven't been able to go to work today. Hopefully I feel OK tomorrow, I don't want to miss the option-expiry... :)

Ok, back to FX... The FOMC-statement came as expected so I reacted instantly and bought back my USDJPY at 82.87 and closed them the day after at 83.50. Lucky once again, the stronger-USD trend is really intact, but I feel it is time to be really prudent since the risk of a set-back is appearent. So, I have moved up my stop on the USDJPY position that I took on at 79.55 around a month ago to 80.40 (before 77.80, and then 79.70). So, that is atleast a given win as long as the slippage don't decide to take a monster-leap south. Else, I took on another position in USDJPY today at 83.36, doing a small punt again. Aiming for 83.95 and stop at 82.97. Thinking through my discretionary trading, I feel I need to diversify a bit, trading USDJPY is a bit to correlated to my algo. portfolio, and I can be much more creative than just trading one pair. That will be the taks for the weekend.

The development of the portfolio have been fantastic, and to be transparent to you so you really can trust my writing I decided to attach my Account equity as of yesteday... As you can see, almost USD 4600. :)



However, today is not as good and the account currently stands around USD 4200...

I had some time today to structure and produce a track-record of all my trades. I am now able for the first time to give you the current score of the competition...!

My discretionary trading is up USD 829

The algo. is up USD 1435

I will from now on do this update once a week, and I also expect to show you the graphs of the developments... When I have my new account up and running, I will deposit USD 10000. Out of these I think 4000 will be dedicated to my discretionaty trading and 6000 USD to the algos. So, in the end all that matters will be the percentage.

That is all for now, enjoy your w/e!

PS.

Algo. positions

Long USDSEK
Short EURUSD
Short AUDCAD
Long USDJPY
Long GBPJPY

Disc.

Long 2*USDJPY

FOMC

I have to write fast because the announcement is out in 10 minutes... :)

I yesterday had a short signal in GBPJPY at 128.691, which has cost money today and it looks like I will have a long signal again later today... This is a classical example of the whip-saw you need to live with when following a systematic model. On the bright side, I placed a buy-order in USDJPY overnight at 82.02 (stop 81.50 and target 82.95) which was hit. I decided to close that one hour ago at 82.68... I feel that markets has traded on stronger dollar into the FOMC-meeting this evening, and eventhough I am in that camp, I could easily see the market be a bit dissapointed and remove their longs. It is a  relative war in the currency-markets, and all sovereigns want to have the weakest currency... So I believe Bernanke will acknowledge the strong marcro-development in US, but also try to play down the expectations.

We shall see in 3 minutes...

Discr.

Long USDJPY

Algo.

Short EURUSD
Short AUDCAD
Long USDSEK
Long USDJPY
Short GBPJPY

P/L down 100 dollar to 3950...

Very lucky...!

Hello!

I hope you all have enjoyed a nice weekend, I have atleast... :) What a wonderful weather (and the dark and cold days feels far away for the moment)!

If you have have been following my positions going into Friday you could have guessed that it was a very lucky day for me. I managed to increased my account with USD 700, and now stand at a new all-time-high of USD 4043, I had never thought that a month ago. Up 106% on my initial deposit of 1960 USD, however, I know that it will come dark days as well so there is no need to get carried away. Marketwise, the last week when focusing on FX has been on stronger USD and weaker JPY, I believe that theme could continue (especially the weakning JPY). Which has been good for the discrenationary portfolio, the 3*USDJPY has been reduced to only 1*USDJPY after the targets of 81.46 and 82.50 was hit. The last position is a streategically long position, I will revise it if USDJPY hits 85. I will also try to find more positions to add if either we have a set-back in USDJPY, or adding other jpy-shorts. More to come during the week.

Short recap:

Discr.

Long 1*USDJPY

Algo

Long USDJPY
Long GBPJPY
Short EURUSD
Long USDSEK
Short AUDCAD

Until later dear trading-friends!

Position update

So... I hit my target on my latest position in USDJPY (81.46)...

And I have had a lots of new signals, leaving me with the following in the algo-portfolio =>

Long GBPJPY at 129.14, closed short with a small profit and new stop at 126.22...
Long USDJPY at 81.60, stop at 80.10
Long USDSEK at 6,6999, leaving me with around 1% of profit on the short position from yesterday, new stop at 6.56
Since before, short AUDCAD and short EURUSD

Leaves me with a quite balanced portfolio in terms of risk on/risk off...

Discretionary

After the closed profit in USDJPY... Well... Still long 2*USDJPY, first target 82.50... :)

First model fully implemented

Quick update... I feel my update-frequency is a bit too high to be able to keep up with it in the long run, so I will try to limit myself to maximum three updates per week.

I just decided to take on a short position in USDSEK, the original plan was to wait for a change in signal before I entered into a position in SEK, however, given the strong performance in USDSEK lately I felt this could be a good oppurtunity to implement the last algo-signal from a risk-reward point of view. So, now the first model is fully implemented... :) I will spend some time this weekend on thinking of how I will implement my next model (trend-following) and also try to finish my development of a carry-trading model I have been working on for a long time now. I want to trade some emerging-markets currencies now...!

Algo =>

Short USDSEK at 6,7872 (stop 6,925)
Short EURUSD
Short GBPJPY

Potentially short AUDCAD

Discrenationary

Long 3*USDJPY

(it requires a lot of patience to sit and wait for the targets to be hit...)

Nice W/E!

Worst drop for risky assets in three months

Hi,

so today I got the first real test of my algo-portfolio... I haven't told you in detail how it works, but in general the idea is that it will perform strongly when traditional risky assets decline. Like today. Of course, nothing is for sure, but that should atleast work as a rule of thumb. But first a short reflection of todays markets.

In my view this could be a healthy set-back (maybe -4% on Eurostoxx is not that healthy...), since the markets needs to digest the massive performance seen so far year-to-date in risky assets, not to forget the massive liquidity injection seen from the LTRO I and II. The profit taking was really extensive, the drop in gold was definitely a sign of investors being massively long in many different assets. Even the yen got hit hard with stops being triggered all the way down to around 80.60. The reasons mentioned in markets today were for instance the Greece story that the CDS could be triggered if less than 75%  participate in the "voluntary" bond-deal, and rumours are that less than 70% will participate, secondly the story of lower growth in China also hit the screens (again) and in combination with worsening macro-data lately. This factors in combination with a strong run the first two months probably scared investors to take profits. I am not sure if this is the start of a deeper set-back, but I prefer to play if from to the long side, hoping this is a good oppurtunity to add to positions. So, I bought one more unit of USDJPY at 80.76 for a quick punt, as it seems like the stops are done for the day, I still think it is in a uptrend. I will have a tight stop at 80.40, targeting 81.45.

=> Discretionary

Long 3*USDJPY

(Todays price actions implies that I am small down in this portfolio)

=> Algo

I had to take my first stop today, as the long position in AUDCAD was stopped out at 1.0560. :(
However, given the strong performance in being short GBPJPY and EURUSD means that I currently stands at a new high in the total portfolio, USD 3360...! Which answers my first statement - my model performed strongly when risky assets declined.

Short GBPJPY
Short EURUSD

(tilted to risk-off, so will probably suffer if risk-appetite comes back into markets)

Spring is in the air...!

Hi...!

What a wonderful weather this weekend... It feels much better to go outside when we are heading towards summer instead of winter.

So, I still haven't had time to produce some graphs on my two diffenrent portfolios (algo and discretionary), but have patience, it will come. As a positive note, it is fun to log in to my account and see that it value corresponds to a new all-time-high... It currently stands at 3250$, and remembering it was only threee weeks ago it was at 1960$. However, as I stated before, my intial though has always been to start with 5000$. I actually been asked a couple of times lately if I could invest other peoples money. I have been a bit sceptical so far, but after having thought it through more carufully maybe it could be a good idea to take in others' money as well. It will make the competition even more serious since I will have a responsibility to the ones investing, just as I do at my work nowadays. If I decide to say yes I will keep the numbers of investors very limited so that focus remain on the competition and not on admin.

I have had a shift of signal (once again) in the algo-portfolio, I will square my position in USDJPY and go short GBPJPY (currently long) as soon as the markets open. That leaves me with the following positions after execution in the algo-portfolio:

Long AUDCAD
Short EURUSD
Short GBPJPY

The discretionary portfolio has been boosted by the strong performance in USDJPY, I am so far pleased with the decision to double the position, but the war is far from over... :)

Long 2*USDJPY

Have a nice week

Short JPY

Just a quick update...

I just had two buy-signals genereated for my algo-account, both against the yen... GBPJPY went from short to long at 129.346 (stop at 127.30) and USDJPY went from square to long at 81.08 (stop at 80)...

Hmmm... I believe in the positions, but I also realize that I carry a huge risk being such heavy tilted against a short JPY. However, as I stated before => I will always follow my signals, no matter what.

Have a nice W/E!