Global Macro Trading Journal

Quote from luisHK:

Debaser is talking about belgium market, but I find it weird as well, as Belgium doesn't seem so much better off than germany, actually not better off at all.
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BTW, on the not doing better... He was in concrete and says their capacity has dropped 80% in 4 years. Which is actually a lot better then many other European countries he said...:D
 
I didn't mean Belgium was worse off than most European countries, eh !

Thanks for the info on germany mini jobs. I quickly google the issue and it seems the salaries vary widely, but some ( many ?) come to less than 5euros per hour. I know of worse paying situations in the richer EU countries but they do involve trainees.
 
Quote from Specterx:

Not only does this appear to be untrue (using EWA, $XAD and a simple average true range and starting from May 1, EWA is down a larger multiple) but it's majestically irrelevant. Put the same capital on both positions and I now have more profit - twice as much in fact. Whether your risk was lower than mine depends on where and how you entered rather than some meaningless aggregate statistic.

It's possible I will endure steeper drawdowns as the trade proceeds, but so long as the original thesis is in place (among other things AUDUSD can be tracked as an indicator of the underlying thesis strength) those are merely superior second or third chances to add to the trade.
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Ok fine. I didn't use May 1st as the starting date in my initial rough eyeball calculation.

But the statement "EWA is down twice as much" is still much more incorrect than correct, in volatility terms, in an ATR comparison between EWA and AUDUSD.

EWA is modestly ahead at this juncture, but not by much, and AUDUSD could very easily quickly catch up and surpass, given there are no restrictive fundamental reasons as to why the Aussie dollar could not drop to, say, its 2010 lows circa 80 cents, which would be a huge trade, whereas EWA's 2010 lows, and corresponding valuation floors on the equity components in the basket, are not as far away (and also given the tendency for equities to "come back" and trend revert on a far more regular basis than commodities or forex, when the underlying commodity / forex drivers are strong enough).

And underlying volatility is only "majestically irrelevant" if position size is majestically irrelevant.

But of course, position size is hugely relevant to logical construction of a portfolio and logical initial sizing of a trade. Buying equal sized units of positions that move at different underlying volatility gauges makes no sense.

And this statement -- "Put the same capital on both positions and I now have more profit - twice as much in fact" -- is completely wrong.

First addressing the point that "the same capital" is somewhat meaningless as a statement, as it is the amount of leverage employed, not the dollar amount of capital employed, that matters.

Second addressing the fact that forex markets are some of the deepest and most liquid in the world, with the ability to get 20x leverage with nary a ripple, whereas EWA is a backwater ETF with shitty construction that cannot be leveraged more than 2:1 in a standard Reg T account.

And even with Portfolio Margining -- the next level beyond Reg T accounts -- you could never get the same amount of leverage, in terms of dollar for dollar amount shorting an ETF, as someone else could with a forex position.

Re, steeper drawdowns, that is something of a non-sequitur too... the point in respect to volatility has to do with initial position sizing and potential "runway" for the trade (how far it could feasibly go); given superior leverage and liquidity parameters in forex, one could just as easily go "bigger" on AUDUSD -- far bigger -- if they wished to take the portfolio heat, and pyramid with greater ease than someone screwing around with a highly capital inefficient ETF that represents a lopsided basket w/ questionable structural flaws in the first place.

I agree w/ Ralph00's initial assessment on EWA anyway... too much mystery meat in that damn thing.

Why are we arguing about this? :confused:
 
"Athens News ‏@AthensNewsEU
Antonis Samaras, ND leader, promises no new taxes and no further cuts in wages and pensions #SEF"

wtf, desperation. This guy is promising all, bailouts, no austerity, good relations with Germany, euro
 
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