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Global Macro Trading Journal
- Thread starter Daal
- Start date
) in the HKD last night. USD/HKD pretty close to the bottom of its band.Quote from Ghost of Cutten:
One possibility is the SNB letting 1.20 break, washing out all the longs in a cascade of stops, letting people think they caved in, so the spec money goes short. And then buying in size back up to 1.20 in one day, trapping everyone short. The price would then probably go up to the mid 1.20s on short-covering. At least, that's what I would do if I was running the SNB intervention policy, seems like a no brainer to make a few billion free money in a week or so.
that's a good nonsense. the first thing you want to do as a CB trying to defend a peg is to blow out your credibility...
Quote from dhpar:
that's a good nonsense. the first thing you want to do as a CB trying to defend a peg is to blow out your credibility...
Don't know how I missed that one. Yes, this makes no sense. The SNB wants people short the franc. They want speculators thinking it's a one-way bet. It helps their cause. It'd be borderline insane for the SNB to deliberately try to burn them.
More good news for franc shorts. Switzerland is about to become one of the world's unfriendlier places to locate a hedge fund ...
http://www.ft.com/intl/cms/s/0/78ef5710-8581-11e1-a394-00144feab49a.html#axzz1rYVoqGAA
http://www.ft.com/intl/cms/s/0/78ef5710-8581-11e1-a394-00144feab49a.html#axzz1rYVoqGAA
Contrary voice on EURCHF ...
http://blogs.wsj.com/marketbeat/201...heir-tiny-little-minds/?mod=wsj_share_twitter
If EURCHF drops much below 1.20, the SNB doesn't have nearly enough firepower to cancel out the stop-loss orders that could be triggered. They could lose control.
http://blogs.wsj.com/marketbeat/201...heir-tiny-little-minds/?mod=wsj_share_twitter
If EURCHF drops much below 1.20, the SNB doesn't have nearly enough firepower to cancel out the stop-loss orders that could be triggered. They could lose control.
Not really valid to compare GBPDEM and EURCHF floors, for obvious reasons. Moreover, who's to say that 9bn is all they got? They could be on the bid in 100bn or 500bn tomorrow, assuming they still have full political support from all quarters.
I have been reading more about Position Sizing. I found a great paper by Ralph Vince
http://ifta.org/public/files/journal/d_ifta_journal_11.pdf
Page 21
I wasn't aware Kelly was so misleading, sometimes I got confused with the results Kelly calculators would put out(Seems like too much risk). This seems to be derived from the fact that Kelly was intended to gambling, where every $1 a stake meant the worse loss was always $1. In trading $1 at risk can turn into a 10c, 50c or $1 loss. This changes the whole game and makes a conversion necessary in order to interpret Kelly results.
I'm not endorsing using Kelly or the Optimal F to size your bets, I use them in order to gauge trade quality, I want to see how much they suggest in position sizing to see how good the trade is. Also its good to know where the precipice is so you don't go there
But I do believe that Optimal F(Or converted Kelly) adjusted for drawdown tolerance + margin of safety(To protect against uncertainty) is the way to go as far as position sizing goes
http://ifta.org/public/files/journal/d_ifta_journal_11.pdf
Page 21
I wasn't aware Kelly was so misleading, sometimes I got confused with the results Kelly calculators would put out(Seems like too much risk). This seems to be derived from the fact that Kelly was intended to gambling, where every $1 a stake meant the worse loss was always $1. In trading $1 at risk can turn into a 10c, 50c or $1 loss. This changes the whole game and makes a conversion necessary in order to interpret Kelly results.
I'm not endorsing using Kelly or the Optimal F to size your bets, I use them in order to gauge trade quality, I want to see how much they suggest in position sizing to see how good the trade is. Also its good to know where the precipice is so you don't go there
But I do believe that Optimal F(Or converted Kelly) adjusted for drawdown tolerance + margin of safety(To protect against uncertainty) is the way to go as far as position sizing goes
The trading books talk about fixed % in order to size your positions. Like 1% or so. Seems totally wrong to me. They are not adjusting by trade quality and EVEN IF THEY ARE, the ratios of adjustment(say 2% for avg trade and 4% for a good trade) is not based on anything mathematically rigorous, why the 100% jump?Why not 150%?
With Optimal F you can get numbers that are based on things that are actually sound and mathematically proven
With Optimal F you can get numbers that are based on things that are actually sound and mathematically proven