How can the sky be blue when Spain is falling off a cliff?!

Hi,

sorry for a late weekly update... I have been away over the weekend due to the holiday - I took the oppurtunity to visit my mother in the northeast of Skåne. Far from any financial market and European crisis... Perspective is necessary these days (and all days!).

The algo continue to performs well which means that it have produced yet another high. What is also worth mention is that I have started to trade two more currencies based on my macro model - namely AUDNZD and EURCAD. I will include these as a seperate time series in the future as I don't see them belong to my core portfolio (due to different reasons, one being high transactions costs). The latest return series can be found below... Enjoy! I'll do while it is still happy days... I will always hit a new drawdown further down the road - so I try to enjoy when the sky is blue and the wine tastes a little bit better than usual...

I still run the same positions as the last update,

Short EurUsd
Long UsdSek
Short AudCad
Short UsdJpy
Short GbpJpy

The new test-currencies:

Short AudNzd
Long EurCad (a bit of whip-saw the former week)

The discretionary portfolio

I started to trade again (Up approx. USD 100 since last update) - the follwing positons were taken on last week,

Long UsdJpy (long 80.12, stopped out the day after at 79.38)
Short UsdCad (Short 1.0176, stopped out the day after at 1.0245)
Short EurAud (Short 1.2921, took profit of 1/3 at 1.2738, target 1.24 and stop moved down to 1.292)

That is all for this time! Happy trading

Falling equites - rising portfolio

Hi!

What a week... Volatility is creeping back again after some tranquil months in the start of the year. It sure doesn't look sexy out there - equities are still somewhat contained eventhough S&P are tumbled to four-month low and Eurostoxx even worse... But when lookin to rates then you get some perspective. German 10-year bond yields down to 1.4%, meaning that investors are looking in negative real yields for ten years at a rate of 1.4%...! Of course, all eyes are on Spain and Greece with more to come the coming weeks... But it doesn't feel the same as it did during 2008, people are more "used" to negative news... I guess this is reality where we will see modest growth for years to come, but still growth... In that environment I dont want to own bonds with 1.4% yield, I would prefer equites or corporate credits... However, I have the luxury to invest in FX... And I much rather invest my money there. :)

The last week was a good stress test of my algo, it is somewhat designed to make money when equties continue to slide... And so it did, even to an extent I never though was possible... It feels that I continue to repeat myself, but the performance are way above what I ever dreamt of. See graph below for volatility adjusted perforance...

No update on the discretionary portfolio since it is empty... My view regarding SEK played out, but I am still is not up and running with the "firepower" as I want on my new account... Money on the way but these things take longer time than I thought. However, I am a bit sceptical to enter into short SEK positions at these levels.

Algo:

Short EURUSD
Short GBPJPY
Short USDJPY
Long USDSEK
Short AUDCAD

The current portfolio set up is very sensitive to a sudden change of investor sentiment as it is 100% tilted to "risk-off", so increased volatility can be expected!

Another high...!

Hi!

Back from a tough weekend up in the north... 21107m of running... But it was great fun and I already want to sign up for next year. I realized that I have post more and more seldom here, but atleast I've kept my weekly posts. I guess that is how it will look like in the future as well due to time constrains. I will do one post per week (atleast) where I update you on the current developments in terms of PnL and give some short market comments.

The algo managed to take old the old highs once again mostly on the back of the weaker SEK, and the last three months have been fantastic when one remember the volatile equity-markets... :)

It is time to ship in more money... I've found a new brokes which seems much more reliable than my current, I want to stay objective but I can atleast mentioned that it has been around for many years...

On a negative note: I have been stopped out of all my discretionary bets (Still up USD 187 since inception), which leaves me with a square book and I will be a bit picky going forward given time constrains... My current view are that SEK will weaken even more than what it has already been doing the last week. Markets starts to price cuts in Sweden, and I agree... The weak industrial production in combination with an inlation than runs at 1.3% year-on-year should make the Riksbanken afraid that Sweden are entering a nasty deflationary scenario. I think there are more potential in this move, but I won't do anything before I got everything settled at my new broker.

Current equity-curve algo:

Current positions:

Short EURUSD
Short USDJPY
Long GBPJPY (been sig-sawed once the last week)
Long USDSEK
Short AUDCAD


Have a nice week!

New model developed

Hi,

I hope all the readers living in the Nordics enjoyed the sunny weekend... I am a bit tired after having participated in a 10km run yesterday, I managed to do it on 50 minutes which is 2 minutes better than my target... :) The big test comes next week when I will participate in a 21km run in Sweden.

In temrs of tradings, I have spent way too little time in sharing my developments and models too you for different reasons mentioned before - one being the obvious of keeping any kind of edge secret. But I thought I would try to tell you a little bit more about a model I spent quite some time on lately. Actually, I have traded on a similiar model a couple of years ago, but I now have much more data verify it (1-minute data from 2005) on so I've tried to verify my old findings which I traded on fixed income and equity indices to also work on FX... the results looks promising, please see graph below. :)

Y-axis is percentage, so 0.4 = 40%, X-axis is number of trades, meaning on average one trade per day since 2005. Blue line is without comissions and slippage while it is included for the the red line.

It is a very simple short-term trend-follwing model... The concept is based on the same principles as one of my favorite-traders used/uses, Toby Crabel. It is based on volatility break-outs, meaning that I take on a position when an asset trades above or below a certain threshold (with stops applied) and then holds it to the next time frame (usually the opening time each day).

Rules:

Long an asset if:  Price > (Opening price + Volatility threshold)
if long stop placed: entry - stop threshold

Short an asset if: Price < (Opening price - Volatility threshold)
if short stop placed: entry + stop threshold

Exit: If not stopped out the following day at open

Position sizing due to a fixed fraction of your portfolio.
...

Very simple model, but still powerful. Few people will be able to consistent trade this rules day in and day out due to its simplicity... So, I actually don't mind sharing it and hope you find it interesing. :)

I still need to do sime more tests, increasing the time-horizon slightly in a try to reduce the costs and test on multiple assets... I have done the developments in Matlab, it is not easy to process 2 millions rows of data in Excel...

Have a lovely weekend!

Algo - new all-time-high!

Hi!

Sorry for not posting anything so far this week... Workload have been quite extensive and a lot of things to attend outside work. Some good news, the "algo" has broken through its old all-time-high which feels really satisfactory given what have happend in markets lately - global equities are down and FX-markets are characterized by narrow range-trading. In addition, I have made some progress on the development front, more on this tomorrow... And some bad news, the discrenationary portfolio have had a rough ride lately and are now down to only USD 258... The distance between the discretionary and the algo is increasing.

Some short reflections on markets: Global macro continue to detoriate, PMI's declines more-than-expected in Europe and austerity really bites... US non-farm payrolls yesterday disappointed and growth seems quite distance at the moment - especially in Europe. But, things dont seem's to fall off a cliff, I guess this muddle-through will continue. Australia lowered rates with 0.5%, and markets still discount another 0.75% cuts for the coming year while markets price in atleast one hike in Canada. It looks like there can still be some decent moves in the FX-space on the back of monetary policies from the smaller central banks although the major cental banks are on hold. I am still slightly constructive on risky assets as I still thinks investors needs return, not only capital preservation, but that view have been expensive in the discretionary portfolio.

Latest update:

In terms of USD - not adjusted for different nominal sizes due to volatility - Algo USD 2242, Discr. USD 258

Positions:

Algo:

Short EURUSD (from 1,3222, stop 1,3418)
Short USDJPY
Long GBPJPY
Short AUDCAD
Long USDSEK (I have had a problem with my broker, they stopped to support USDSEK so I will change broker this week, very annoying...)

Disc:

Closed the last unit in the long AUDNZD at 1,2822
Stopped out my long CADJPY at 80,38

Remaining position:
Long EURUSD (stop at 1,3045)


Good luck dear readers!