Hi,
just a really short update since I have been away on vacation (Beautiful Sweden)...
For the ones following the blog more carefully, then you are aware that all my profit targets were hit this week. :) The positioning for stronger AUD realized, and both AUDCAD and EURAUD hit my targets of 1.04 and 1.24, respectively. Implying that the competition is acutally alive again, the discretionary portfolio is upp USD 1400 while the algo had suffered lately. I will do the graphical update as soon as I settled again.
But all in all - no positions active in the discretionary portfolio. I hope this will change the coming week, the JPY seems to be suffering a bit lately and I may consider following the trend.
over and out (When Sweden is out of the cup, well then Goooo Italy)
Sunday 24 June 2012
Sunday 17 June 2012
The Greek tragedy
Hi folks!
Sorry for not posting for a while, but don't worry I continue to update my models day after day, year after year (atleast day after day). The Greek election could potentially have major implications on markets but I am cautiously optimistic as I think New Democrazy will win but it is close to a coin-flip. I have tried to be prudent and reduced some holdings in the discretionary portfolio before the weekend (-1 unit of AUDCAD). Actually, the discretionary portfolio have had a nice development latley, as my call for a stronger AUD has played out and also being lucky trading EURUSD in a profitable way after the Spanish bank aid request (sold on the sunday above 1.26 and then turned the position to a long below 1.25).
The algo have seen som volatility lately, but the discretionary book have been off-setting this in a nice way.
I also tried the short USDSEK at the same time as I shorted EURUSD but decided to stop it out early.
Else, I still think AUD could strengthen a bit further, macro and fundamentals continue to be supportive.
Positions:
Discretionaty portfolio: (New all-time high, above USD 1100)
Short EURAUD (Entry 1.292, stop at 1.282, target 1.24)
Long AUDCAD (Entry 1.0057, target 1.04, stop at 1.012) - reduced one unit at 1.026
Algo:
Long EURUSD (from 1.2505)
Short USDSEK (from 7.13)
Short USDJPY
Short GBPJPY
Short AUDCAD
Have a nice week!
Sorry for not posting for a while, but don't worry I continue to update my models day after day, year after year (atleast day after day). The Greek election could potentially have major implications on markets but I am cautiously optimistic as I think New Democrazy will win but it is close to a coin-flip. I have tried to be prudent and reduced some holdings in the discretionary portfolio before the weekend (-1 unit of AUDCAD). Actually, the discretionary portfolio have had a nice development latley, as my call for a stronger AUD has played out and also being lucky trading EURUSD in a profitable way after the Spanish bank aid request (sold on the sunday above 1.26 and then turned the position to a long below 1.25).
The algo have seen som volatility lately, but the discretionary book have been off-setting this in a nice way.
Else, I still think AUD could strengthen a bit further, macro and fundamentals continue to be supportive.
Positions:
Discretionaty portfolio: (New all-time high, above USD 1100)
Short EURAUD (Entry 1.292, stop at 1.282, target 1.24)
Long AUDCAD (Entry 1.0057, target 1.04, stop at 1.012) - reduced one unit at 1.026
Algo:
Long EURUSD (from 1.2505)
Short USDSEK (from 7.13)
Short USDJPY
Short GBPJPY
Short AUDCAD
Have a nice week!
Wednesday 6 June 2012
Sell in May and then go away...
So, the old saying "Sell in May and then go away" have been true so far on the equity markets... May was a horrible month for risky assets in general, and maybe not a major surprise in hindsight given the detoriating macro and political outlook. However, this is the environment where my FX macro model is designed to benefit the most, and thus acting as a hedge to a portfolio tilted to "long-only"... And so it did. I have now been trading it live for four months and the performance and robustnees have (so far ) been stronger than expected. I expect it to have a tough ride when investment sentiment appear in markets again, but I try to enjoy while it last... Markets gives and takes, and adopting a objective systematic trading strategy can be really relaxing sometimes.
I have also taken control of my discretionary portfolio again and the Short EurAud entered earlier now have a friend, namely a long position in AudCad. I entered it on the 1st of June at 1.00575 on the back of central bank expectations, markets expected Bank of Australia to cut with -1.3% the coming year while Bank of Canada was expected to increase rates with 0.1%... I thought this was overdone, and I had to try a long position given the low of the year in this cross. Actually, I took on a position three times my regulary due to strong conviction. It has played out good so far, but I try to stay objective and have therefor already reduced 1/3 (at 1.0194) and moved my stop to entry. So, my take for now, and given strong GDP from Australia is for a stronger AUD... I am tempted to short JPY as well (as usual), but are still sidelined. Especially a long postion in SEK vs. JPY looks very interesting longer term! (Take a look on a chart)
Performance update, see graphs... I have included a comparison to equities in a try to show the diversification effect.
The discretionary portfolio - a gain of USD 450 since the last update (thanks to Aussie)
I have also taken control of my discretionary portfolio again and the Short EurAud entered earlier now have a friend, namely a long position in AudCad. I entered it on the 1st of June at 1.00575 on the back of central bank expectations, markets expected Bank of Australia to cut with -1.3% the coming year while Bank of Canada was expected to increase rates with 0.1%... I thought this was overdone, and I had to try a long position given the low of the year in this cross. Actually, I took on a position three times my regulary due to strong conviction. It has played out good so far, but I try to stay objective and have therefor already reduced 1/3 (at 1.0194) and moved my stop to entry. So, my take for now, and given strong GDP from Australia is for a stronger AUD... I am tempted to short JPY as well (as usual), but are still sidelined. Especially a long postion in SEK vs. JPY looks very interesting longer term! (Take a look on a chart)
Performance update, see graphs... I have included a comparison to equities in a try to show the diversification effect.
The FX algorithm - in %
That's all for this time folk's!
Ps. Positioning...
Algo:
Long USDSEK
Short EURUSD
Short GBPJPY
Short USDPY
Short AUDCAD
"try-out"
Long EURCAD
Short AUDNZD
Disccretionary:
Short EURAUD (target 1.24, stop 1.292)
Long AUDCAD (target 1.04, stop 1.0058)
Ds.
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