David's Portfolio Journal

Discussion in 'Journals' started by dptrading, Jan 16, 2012.

  1. Good morning/evening everyone.

    This thread will serve as my personal trading journal, and naturally will not contain any trades relating to my professional account. As a brief introduction, I trade Australian equities and global FICC.

    Apart from the odd opportunistic day trade or two, I generally trade medium term global macro events and use momentum and overbought/oversold indicators as my trading signals. These are incorporated in three separate algorithms, but there has to be a fundamental reason for the trade before I place it.

    For starters, I will be working into a large, short US 10yr T-Note position. 1.86% is an unsustainably low yield in the medium term, and with the reduced interest payments associated with a short position, I'm happy to keep adding to the position whilst yields are under 1.9%, and hold it through 2012.

    I am also long gold mining stocks (NCM.AX and KCN.AX), as they are nowhere near pricing in the current gold price (around $1000 an ounce). They still bear a large amount of systematic risk, so there is a tight stop on these, but could potentially be held for a few months if they take a while to price in the spot gold price.
  2. As an afterthought, I'll most likely be including a fair amount about how prop/flow trading is varying in nature from my private trading styles and habits, rather than detailing individual trades.

    In short its objective is to help me record reasons and discussions around my successes and failures, enlighten others as to why certain techniques are/aren't working in the current markets and inform others a little more as to what I do at work and home.

    Hopefully it is enjoyed/used for good by someone, if not myself!
  3. Entered my first of three legs in a short 10 year US T-Note position at 1.89% yield recently. Bugs me because this is cheap, and I knew yesterday at 1.86% was cheap, but I always hold out a little longer hoping for something better. Sometimes it works, and other times it bites you, like today. Two more legs to go, quite a large medium term position I'm trying to build, and any yields below 1.9% over the next couple of weeks will be taken advantage of.
  4. Same thing happened last night, yields at 1.83% before the market open but strong earnings and IMF has yields sitting at 1.9% again. On the one hand I'm happy enough, as the first leg is making money, but this means my second and third legs will be at less advantageous yields for my short position. On the other hand, falling yields means I get a better entry, but my faith in yields rebounding weakens slightly.

    Does anyone else face this dilema? Any tips on how you deal with it? Always annoys me, even though it rarely affects the profitability of the trades in the long run.
  5. Yields are up at 1.98%, means the position has a nice P/L but is only a third of the size I'm after. I'll take the risk of this being a false mini breakout, and that there is no need to put on the 2nd and 3rd legs above 1.95%, before the eventual move towards 2.4%. That logic does suggest to take a quick profit and re-enter when prices fall, but I'll play that trade in a different way, e.g. shorting SPX against the short Treasuries position.

    AUDUSD is also creeping into overvalued territory around 1.041, will wait for a break and hold below 1.04 before putting the short on, giving it some momentum.
  6. D,

    interested in your overbought opinion on aussie buck.

    please expand.


  7. One of the algorithms that I use is essentially an overbought/oversold indicator, which could be likened to a modified stochastics model.

    On a 15min chart, the AUDUSD has had a strong bursts of buyers in size (won't post chart as there as no annotations, just a spreadsheet in the background). 21/1/12 was a particularly strong period, and after the buying has reached a certain level, a short term short call is triggered and held for a short period whilst the supply/demand imbalance correects itself.

    I'm short AUDUSD at 1.046 now, and at the time of the previous posting I went short at 1.041 but despite the chart looking good in hindsight, my execution only took a 10pip profit.

    Medium term I'm still pretty bullish about the AUDUSD, global growth at 2.5% still gives the upside http://pimmtrading.blogspot.com/2012/01/copper-price-signalling-growth.html
  8. Despite the lack of XJO strength, AUDUSD has pushed higher, resulting in the stop kicking in at 30 pips. Not so worried, it's one of my better algorithms so some losses have to be taken, I'm looking for some SPX weakness in the next couple of days though. Might place a short later, see how the numbers look.
  9. AUDUSD has a lot of momentum, pushing for a long position if it can hold 1.07, but fundamentally the strong currency is seriously hurting the manufacturing and retail sectors. Certainly a short retailers long miners trade to be put on should the currency continue to move higher in line with the XJO.

    The price of silver is interesting me here too. It sits comfortably between bull and bear targets, having multiple conflicting reasons to suggest $40 was a bubble and that demand will continue to push the price higher. www.pimmtrading.blogspot.com had some comments on it.
  10. I posted a quick summary of my trades on www.pimmtrading.blogspot.com and www.tradingpimm.blogspot.com. I find both blogs useful (like this thread) for keeping tabs on ideas, and especially explaining them in full in order to make sure that I fully understand the trade. If you can't explain it to someone else then clearly you don't know what you're doing well enough.

    Quite a few flat, some small losses, some small wins and one (11%) large profit. Good start, sort of distribution I'm looking to achieve.
    #10     Jan 30, 2012