I hope you have enjoyed some days off! I have had some busy days, which means that I haven't had time to finish some of my development projects... However, I will today post twice, first the weekly update and then a post focusing on the models...
So, see below for the regular weekly update... The first graph is the development of my algo on a daily basis as %. The second graph is the development of the discretionary portfolio starting three weeks ago and updating weekly...
My model-based approach has worked really good given the declining equity markets - eventhough I have been short USDSEK and long USDJPY, which usually declines when risky assets drop. I hadn't expected this decline in risky assets when taking into acccount the macro developments worldwide. Manufacturing orders came in strong globally except for Europe, and consumers continue to be relative optimistic. However, the weak payrolls report on Friday was a bit worrisome and the detoriating development in Spain - I guees we will have a volatile ride the coming week. I still believe the USD looks relative stronger than the other majors, but I still want yields to be supportive so I keep an open stance at the moment. Else, I have been stopped out from a long position in EURCHF twice, I still believe in the case, but it is also quite obvious that many others share my view... So I keep a square position at the moment. I believe that EURUSD will trend lower (US looks relative stronger than the Eurozone, which can be seen in the manufacturing production and the genereal macro-outlook).
To sum up:
Discretionary positions
Long USDJPY (stop at 80.40, entered at 79.56)
Short EURUSD (Moved stop down to entry-level, 1.3270 and target down to 1.2835)
Long AUDNZD (Traded at 6 months low, feels a bit "overdone" given the stronge correlation to China)
Algo
Long USDJPY (quite likely to have a sell-signal generated tomorrow)
Short GBPJPY
Short EURUSD
Long USDSEK (entered at 6.7734)
Short AUDCAD
Have a wonderful week!
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