Closing in on the highs

Hi!

Very short update - low activity in the discretionary portfolio due to my view that I think we need to get to the end of August until any material trends will take place (except for the ones in EUR and SEK). The algo has recovered lately and is close to taking out its old highs. Being short USDSEK has played out nice lately and the long EURUSD looks interesting and is definitely not a populated trade.

Update live result:

Current positions:

Long EURUSD
Short USDSEK
Square AUDCAD
Short GBPJPY
Short USDJPY

Have a nice week!

Ps. I will be off for three weeks starting on Friday Ds.

Update

Markets are still characterized by low liquidity and much "noise".
I finished a short-term break-out model (as mentioned in the last update) on EurUsd, GbpUsd and EurJpy, the next step will be to fully automate the system using MetaTrader 4 - a completely new experience for me. See graph below for back-test (including slippage and transaction costs). I look forward to have it up and running, but I have no idea how long time it will take make the code robust . My motivation is increasing week for week, it is such a great feeling to finish a model which you spent a lot of time developing (the thing that take most time for me tends to be the "thinking", creating a mental game plan that I trust can work not only today, but also in five, ten years down the road).

Not much going on in the competition... Starting with the "algo", Small up since the last update with the most notable being that the short position in AudCad has been stopped out and the model is now sqaure in this currency pair.

See below for updated live performance;

Current positions:

Short EURUSD
Long USDSEK
Short GBPJPY
Short USDJPY


The discretionary portfolio:

I was long USDSEK for one day the last week as my indicator gave long signal, but closed it the day after with a marginal profit - no other positions taken lately, or in the portfolio. Feels OK to have low (or no) exposure at the moment given thelow activities in markets.

Have nice week!

Ps. I booked tickets to Vegas in August - will be great fun! Ds.

Summer... :)

Hi!

Busy summer, busy at work, busy at home. Enough said, that is a luxury - so I will spare you from my whining.

Markets are typical for this time of the year, low liquidity and no real trends (except for Fixed Income - yields just continue downwards), well the Euro is still weakning but I dont want to chase it so far into a trend. In terms of macro, not good but not so bad either. It feels like we are in some sort of vacuum and I guess the real deal will start in Aug/Sep. Many leading indicators still declines - like the manufacturing index, but it more seems like a soft patch and jobs data are still quite robust. I am suprised that volatility is so low (VIX is megalow when comparing to earlier periods when risky assets are in a decline). Earnings season have started off in a good way, with JPMorgon coming strong on Friday - but investors still dislike risky assets and the hunt for yield in Fixed Income push yields into negative readings. This is really no easy markets, and my favorite discipline in the Hedge Fund world have had a very tough and bumpy summer. CTA's (systematic strategies) posted losses as high as -5%/-6% on the last day of June, and they were not the only ones. This have been a good period for testing my model, and I can soon book my first half year (early August) with a profit - atleast as it looks right now. I am very pleased, and motivation have been high lately even though time is scarce when combining a hectic life on work and still wanting time for all the social events popping up during summer.

So, I have spent hours (and some more hours) finishing a model I mentioned here a couple of months ago. It is a day-trading model which tries to capture moment Break-Outs. Testing looks promising, and I have actually traded on similar strategy at work a couple of years back (with good results).
See graph down below for 5 years of backtesting on EURUSD. (I will start to trade it in this contest this week). Don't put to much into to the different numbers on the x- and y-axis, rather judge it on the slope... :)

So, what about the competition?! It is still alive... Yes!

I tried some different positions in the discretionary portfolio lately - all tilted to a bounce back in risky assets but with no success: Long EurUsd, Long GbpUsd and Long CADJPY, the last two were stopped out while I closed the first one only after one day due to price action and change of signal on my fundamental indicator.

I am currently square, but I can promise you that I will have taken on new positons before the week is over. :)

PnL-developments:

Finally - the algo:

It has been choppy lately, I have been forth and back the last two weeks in EurUsd, UsdSek and AudCad while the the positions versus Yen have been static (short UsdJpy, Short GbpJpy).

Current trades look like:

Short EURUSD
Short USDSEK
Short AUDCAD
Short GBPJPY
Short USDJPY

=> Majority of the positions performs in a risk-off scenario.

PnL:

Have a nice late night and lovely new week!

Congrats Spain!

What a MACHINE - Spain!

I had my hopes for an Italian victory, but it wasn't even close.

A very short update, I am off to London tomorrow for a trading conference (focusing on Fixed Income), but will be back on Thursday. Sorry for my infrequent postings lately! But as I always say, I continue to take my signals every day eventhough I dont post here. I also managed to find some time to do some programming lately, I continue to validate a break-out model (looks promising)... More to come on that subject - hopefully. :)

The algo have had some diffuculties lately, but is still up significantly this year, see chart below.

The current positions look like;

Algo

Long EURUSD
Long AUDCAD
Short USDSEK
Short USDJPY
Short GBPJPY

So, all-in-all a quite mixed porfolio in terms of risk on/off.

Discr

No positions active but a new all-time high. :)
Lately I have tried to short GBPUSD (Stopped out with a loss of around USD -160) and go long EURUSD (profit of USD 250). The long EURUSD was based on that I thought way too much negative was priced into the price going into the EU summit (Merkel downplayed all market expectations in a clever way), but I was very close to ger stoppped out. I entered with two units, one at 1.25 and the other one at 1.2445, both with stops at 1.2395... Low was 1.2407. So very lucky indeed. I closed it early Friday at 1.2587. I wont take any new trades this week since I will be away.

Over and out!