January 17, 2006 Account Balance: $98,512 Unrealized P&L: $820 Net Asset Value: $99,332 Leverage: 2.95 AUD/JPY: Long 1 unit. CAD/JPY: Long 2 units. GBP/JPY: Long 2 unit. USD/CHF: Long 2 units. USD/JPY: Long 1 unit.
January 19, 2006 Account Balance: $97,376 Unrealized P&L: $788 Net Asset Value: $98,164 Leverage: 1.29 USD/CHF: Long 2 units. USD/JPY: Long 1 unit. The current system needs adjustments. The system's entries are primarily short term, however exits are limited to the long term. This is a contradiction which tends to result in the above, namely profits evaporating into thin air and then some. My new approach will be profit taking in two steps. One, a short term (6-12 hours) scalp in the direction of the opening range thrust for 1/3 of the position. Two, a long term trailing stop (~2 weeks) for the remainder of the position. Risk control is also being tuned up. I was increasing size without the position moving sufficiently to be proved correct. My entry conditions were satisfied, however, I was simply adding risk (of course amplifying potential reward, but...) without considering if this would result in an improvement to the overall risk/reward profile or simply be an increase in leverage. Markets are being diversified. Previously I was too concentrated in the high-interest carry pairs. While I will still limit myself to positive carry pairs, lack of correlation will be my primary metric to measure the suitability of a market. My system is losing, and it is the system's fault. Fairly strict risk control has kept me in the game without an extremely demoralizing loss.
January 23, 2006 Account Balance: $97,528 Unrealized P&L: $-120 Net Asset Value: $97,408 Leverage: 0.90 CHF/JPY: Long 1 unit. EUR/JPY: Long 1 unit. GBP/USD: Long 1 unit. Absolutely boneheaded mistake to start off the new week. CHF/JPY and EUR/JPY are correlated to a ridiculous degree. Stupid. Next week a slight revamp of markets to remove one of the two.
January 24, 2006 Account Balance: $97,538 Unrealized P&L: $-100 Net Asset Value: $97,438 Leverage: 1.36 CHF/JPY: Long 1 unit. EUR/JPY: Long 1 unit. GBP/USD: Long 1 unit. USD/CAD: Long 1 unit. Looks like a possible bull trap in USD/CAD... will keep an eye on that one. CHF/JPY and EUR/JPY look like they may be headed for a breakout.
January 25, 2006 Account Balance: $97,310 Unrealized P&L: $116 Net Asset Value: $97,426 Leverage: 0.90 AUD/USD: Long 1 unit. CHF/JPY: Long 1 unit. EUR/JPY: Long 1 unit. GBP/USD: Long 1 unit. Bull trap confirmed on USD/CAD (ie stopped out). I like the new exit/take profit rules, still some slight tweaking required, but overall performing quite well.
January 26, 2006 Account Balance: $97,320 Unrealized P&L: $4 Net Asset Value: $97,324 Leverage: 0.91 AUD/USD: Long 1 unit. CHF/JPY: Long 1 unit. EUR/JPY: Long 1 unit. GBP/USD: Long 1 unit. I need to tighten up the initial scalp after the ORB thrust. All the long term winners are hitting it, losers aren't. No point to that!
January 27, 2006 Account Balance: $97,128 Unrealized P&L: $39 Net Asset Value: $97,162 Leverage: 0.80 AUD/USD: Long 1 unit. CHF/JPY: Long 1 unit. EUR/JPY: Long 1 unit.
January 30, 2006 Account Balance: $97,180 Unrealized P&L: $-170 Net Asset Value: $97,010 Leverage: 1.99 AUD/USD: Long 1 unit. CHF/JPY: Long 0.66 unit. EUR/CAD: Short 0.66 unit. EUR/JPY: Long 0.66 unit. EUR/USD: Short 1 unit. USD/CHF: Long 1 unit.
January 31, 2006 Account Balance: $96,800 Unrealized P&L: $314 Net Asset Value: $97,114 Leverage: 1.33 AUD/USD: Long 0.66 units. CHF/JPY: Long 0.33 units. EUR/CAD: Short 0.66 units. EUR/JPY: Long 1.33 units. GBP/USD: Long 0.66 units.
February 1, 2006 Account Balance: $96,870 Unrealized P&L: $244 Net Asset Value: $97,114 Leverage: 1.33 AUD/USD: Long 0.66 units. CHF/JPY: Long 0.33 units. EUR/CAD: Short 0.66 units. EUR/JPY: Long 1.33 units. GBP/USD: Long 0.66 units.