Bond Trader 2007

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Friday Mar 30

8:07 am ( est ) Long 111-17 Stop 111-09 ( One Tick Bellow Prev Day Low -Risk= 8 ticks), High Risk Trade ( before a Report that always comes out Bullish )

8:30 am -Six Ticks reaction to Core PCE Price Index

9:15 am - 5 Ticks Pullback from 111-23 ( normal range expecting a retest of High)

9:30 am - Moved STOP to 111-18, One Tick above entry- ( did NOT expect to be hit )

9:36 am- Test of 111-23 High( as expected) but NO Follow Through

9:45 am- STOP Hit , Out Flat, NO Loss, NO Gain

10:04 am- SHORT 111-09 ( PrevDAY Low 111-10) Breakdown of Prev Day Low ,NR7 breakdown Trade.

11:03 am - Test of Key Weekly Support -111-04- on Low Volume
( warning Clue) - ( Scratching my head )

11:15 am- Moved STOP to 111-08 ( SHORT from 111-09)

11:20am- STOP Hit - Out Flat-NO Loss, NO Gain ( Threw in the Towel, this market is Nuts ! )

01:45 - Prices come back to test 111-05 after breaking Prev Day High ! - unbelievable
 
Excellent post Lance. Thanks for sharing. By the way, what kind of size did you trade at each point? I want to get an idea of what a larger size trader would trade pre-report vs throughout the day.
 
how difficult it was to trade last Friday really depends on what horizon and what type of analysis one uses.

It seems that most of people here on ET use TA and trade with maximum horizon of few hours. I agree that for them it was crazy. However for people using FA (with TA only as a secondary indicator) and for those having longer time horizon Friday was heaven!
 
Quote from dhpar:

how difficult it was to trade last Friday really depends on what horizon and what type of analysis one uses.

It seems that most of people here on ET use TA and trade with maximum horizon of few hours. I agree that for them it was crazy. However for people using FA (with TA only as a secondary indicator) and for those having longer time horizon Friday was heaven!
More...

Thanks for a different perspective. Could you post how you would have traded Friday based primarily on fundamentals? If your FA said long, and let's say you were long from Thursday's close, you gave up 16 ticks at some point on Friday. How/when would you have exited?

Let's say your FA said short and you were short since Thursday. You also gave up 16 ticks at some point on Friday.

In any event, not knowing how long you hold a trade, but assuming it is for more than a day, Friday really shouldn't have made any difference one way or another. I'm looking at the daily chart now and Friday's bar appears to be evenly distributed above and below Thursday's close.

I bring this up based on your earlier statement that you can't understand why someone could hold a short term opinion that is completely different than their long term opinion. From your post it appears that you do this as well.
 
Quote from johnpinochet:

Thanks for a different perspective. Could you post how you would have traded Friday based primarily on fundamentals? If your FA said long, and let's say you were long from Thursday's close, you gave up 16 ticks at some point on Friday. How/when would you have exited?

Let's say your FA said short and you were short since Thursday. You also gave up 16 ticks at some point on Friday.

In any event, not knowing how long you hold a trade, but assuming it is for more than a day, Friday really shouldn't have made any difference one way or another. I'm looking at the daily chart now and Friday's bar appears to be evenly distributed above and below Thursday's close.

I bring this up based on your earlier statement that you can't understand why someone could hold a short term opinion that is completely different than their long term opinion. From your post it appears that you do this as well.
More...


with respect to what I was doing I was actually posting it...

03-29-07 06:36 PM - took some profits on shorts and increased 5x30 flattener...

03-30-07 01:38 PM - took all profit on 5x30 flattener right after PCE numbers (turned out to be the best level of the day)

I should add that in the last hour of trading on Friday I increased my shorts and opened the 5x30 flattener again - for me this is a touch more aggressive than usual given all crap about US sanctions, Iran, JPN fiscal year end, ISM, etc - let's see how it goes today...


Now the TA/FA part. Trading prop with FA is completely different to scalping based on TA. In scalping your view is changing every minute (or whatever) while in prop (or global macro) your opinion changes rarely (0 to 3 times a year) but you need to do a bit more homework.
What you do is basically building a core POS and adding to it when there is a reaction to fundamentally <i>unimportant</i> data that gives you better entry. So when you have a nice market going in your direction and all data are coming your way too it is manna from heaven to get something like on Friday - a spike that is <i>likely</i> going to fade - especially when the spike is caused by something that in a long term should help you.

Of course these two types of trading require quite a different approach to money and risk management, e.g. you rarely run on full tank in order to be able to weather bad times which can take few days to pass away - I learned this a hard way. Of course bad times give you opportunity to add more :). Also usually your P&L management is focused more on longer term growth (checked e.g. weekly) because the daily P&L volatility may look sometimes a bit scary :D. With respect to my horizon I can safely say that it is 3months+ - but of course I trade daily as rates are only a (big) slice of the rest.

to your last point - I never said that - please re-read my post from 03-29-07 03:42 PM.
 
dhpar,

OK thanks for the clarification and the detailed reply.

Due to a variety of reasons I'd like to get away from intraday trading and I appreciate reading about how others are successfully trading bond futures over the long term (days/weeks).

Please continue to post your thoughts as you trade.

John
 
Pre-market analysis Tuesday 03 April 2007

Monday was a narrow range day for most of the day. Other than a couple of scratch trades I didn't do anything on Monday. Monday is good to bring up in that it is an example of what you can expect in the bond market at least once a week, and in particular after a highly volatile day like Friday.

Today we have the following reports:

Redbook
0755 CST

Pending Home Sales
0900 CST

I'm not expecting much from either report, BUT with yesterday's narrow range, it may be enough to have a bit of a spike.

Some important numbers:

112 00
111 23
111 17
111 07
111 04

My bias for today is to initially be short, and upon exit, to look for a nice long entry. This bias is short term.

Over the course of this week, I'm looking to go long at a price anywhere between 111 05 and 110 16. This is a wide range so, I'll be very cautious on the entry. What I'm anticipating is for one of these days this week to have a spike move down that exhausts around 110 16. I think we are approaching an intermediate term low. I say this because my neural network cycle studies lead me to believe that a cycle top is due in less than 10 days. Note that this cycle top could simply be a retracement to 112 16 followed by more downside. No opinion at the moment on that part.
 
By the way, 0950 CST has developed into an excellent sell time in the 30 year for the last week or so. A minimum of 4 - 6 ticks. Careful though. It will change.
 
0803 CST Reversed at 111 08. Now short 2 at 111 08.

Stop at 111 11. Looking for test of low. Will exit trade prior to 0900 report. If stopped out, will not trade until 0900 report.
 
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