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 FX algorithm - in %

 The discretionary portfolio - a gain of USD 450 since the last update (thanks to Aussie)

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.