Global Macro Trading Journal

Quote from Ghost of Cutten:
I'll explain why it's mistaken to do this, regardless of trading style. First, mental calculation takes longer than just looking at the P&L column in your spreadsheet. Secondly, it's less accurate. Even if you are out by only 0.1% per day, that is an error range of 5% each month (60% each year!). Third, you need to check your statements daily in case of errors (or unauthorised account withdrawals, excess/mistaken broker fees etc) anyway. Fourth, if and when you put on more complex positions like options or spreads, they are much harder to calculate mentally. Finally, even if you can calculate your P&L to perfection, it is always superior to have a way of double-checking that. Systems with backups, double (or triple) checks and failsafes are always more robust than those without.

I agree with not staring at P&L during the day, if you are a longer-term investor/trader. But even for long-term holdings, you need to check the price once each day, as a signal. If one of your stocks is up or down a significant amount one day (e.g. 5%+), then there is probably some news (and at the very least, the price action has changed a lot), and you need to double check to see if it could have further price impact. What if your biggest holding just had its finance director or auditor resign? What if a stock you are monitoring just got a take-over bid? BP or Olympus holders who didn't watch the price of their stock each day certainly paid for that laziness and complacency.

Checking your statements daily is an essential task of any serious market participant. Not bothering to do it is like a racer not bothering to check his engine oil, a skydiver not checking the packing of his parachute. It cannot help in any way, and can only cost you in the long run. Sure, it's always tempting to be lazy, and I bet everyone has backslided sometimes on these kind of things, but anyone who is serious about their trading needs to make it a habit and stick to it.
More...
+1
 
Quote from Ghost of Cutten:
Well, I was short JGBs back around 2003/04 (can't remember exactly) and they went from 145 to around 128 on the futures, if I recall. That's a 12% drawdown, 36% if using 3:1 leverage.

Anyway, 3:1 leverage on long bonds with such a low yield is suicidal. If Japan ever does serious money printing, you are toast.
More...
Well, Japan has been doing pretty serious money printing all along... Far more serious than Bernanke, Merv or anyone else. Not enough to offset the other stuff, obviously.

As to the JGBs, looking at the futures doesn't really work due to the occasional CTD changes. Also, your figures aren't entirely correct for the futures: the lowest they have ever gone in 2003-04 was 133.71 (the lowest in 06 was 131.15). Looking at yields, the largest peak-to-trough drawdown would have been from the low of 45.5bps in '03 to the high of arnd 200bps in May '06. But then of course JGBs rallied from 200bps in 2000 to the low in '03.

At any rate, the point here isn't really that being long JGBs is a good trade here and now. The point Bridgewater is trying to make is that if you got the macro call and the timing right, you could have made hay being long JGBs, just like you probably would make being short. Because I am not that good at macro and at timing, neither direction offers any edge, IMHO. But that's just me.
 
Quote from Martinghoul:

Well, Japan has been doing pretty serious money printing all along... Far more serious than Bernanke, Merv or anyone else. Not enough to offset the other stuff, obviously.
More...

By what criteria you say that?
http://seekingalpha.com/article/226671-japan-case-study-in-private-sector-debt-bubbles

Check out the CBs charts. The BOJ balance sheet did almost nothing for 10 years after their bubble went bust. Meanwhile the Fed boosted the balance sheet almost immediately. The difference between the BOJ and the Fed on money printing is very large, the Fed is far more active
 
Quote from Daal:
By what criteria you say that?
http://seekingalpha.com/article/226671-japan-case-study-in-private-sector-debt-bubbles

Check out the CBs charts. The BOJ balance sheet did almost nothing for 10 years after their bubble went bust. Meanwhile the Fed boosted the balance sheet almost immediately. The difference between the BOJ and the Fed on money printing is very large, the Fed is far more active
More...
Well, I don't know of another CB that is buying quite such a plethora of private assets (REITs, ABS, equities, you name it). To me that's pretty extreme.
 
Quote from Ghost of Cutten:

I'll explain why it's mistaken to do this, regardless of trading style. First, mental calculation takes longer than just looking at the P&L column in your spreadsheet. Secondly, it's less accurate. Even if you are out by only 0.1% per day, that is an error range of 5% each month (60% each year!). Third, you need to check your statements daily in case of errors (or unauthorised account withdrawals, excess/mistaken broker fees etc) anyway. Fourth, if and when you put on more complex positions like options or spreads, they are much harder to calculate mentally. Finally, even if you can calculate your P&L to perfection, it is always superior to have a way of double-checking that. Systems with backups, double (or triple) checks and failsafes are always more robust than those without.

I agree with not staring at P&L during the day, if you are a longer-term investor/trader. But even for long-term holdings, you need to check the price once each day, as a signal. If one of your stocks is up or down a significant amount one day (e.g. 5%+), then there is probably some news (and at the very least, the price action has changed a lot), and you need to double check to see if it could have further price impact. What if your biggest holding just had its finance director or auditor resign? What if a stock you are monitoring just got a take-over bid? BP or Olympus holders who didn't watch the price of their stock each day certainly paid for that laziness and complacency.

Checking your statements daily is an essential task of any serious market participant. Not bothering to do it is like a racer not bothering to check his engine oil, a skydiver not checking the packing of his parachute. It cannot help in any way, and can only cost you in the long run. Sure, it's always tempting to be lazy, and I bet everyone has backslided sometimes on these kind of things, but anyone who is serious about their trading needs to make it a habit and stick to it.
More...

I'm not sure who you think you're talking to. Despite my obvious abilities, I'm not a major PM, (that's the dude here posting under the dhpar alias) At most, I might have like 2 or 3 open positions - and very basic ones (I'm pretty sure I know second to second how eurodollars or the EUR is doing). I'm not suggesting me or anyone else stick their head in the sand. I think it's pretty clear from this thread I stick obsessively close to the news. If something blows up on a stock I own (and yes I'm an owner, an extremely happy owner of BP) or a position I have, I'm going to know about it immediately. The idea of keeping a daily diary of my account balances has negative utility for me. I stopped doing it some time ago and the effect on my performance was profoundly positive.
 
IB didn't put all the option for annual reports for 2011 trader activity so I can't make exact calculations yet but my crude calculations are showing a gain of 25% on networth from all my trading in 2011
This was driven my 2 trades
-Long fed funds futures
-Under hedging of USD exposure against the BRL(As the BRL fell this benefited me)

This number is not equivalent to the figures I put out in the front page of the journal because in those figures I netted out the fluctuations of the hedge basket activity(I wanted to filter my actual global macro trading not my problems at finding hedges that I felt were beyond my control)
I don't have the exact figures(And its hard to calculate this) but I'd estimate the hedge added about 5-6% to the return. Netting that out the return was something like 17-20%
In this figure it is also included a loss of 2% on a Quant index/stock trading strategy and a gain of 1% in a systematic stock strategy and a loss of 1% in a Quant currency trade

When IB releases the annual report I can dig out some more exact measures
But I'm confident it was in the high teens, driven entirely by the Fed futures, my trading ex-Fed futures was actually quite poor

I'm not too happy about some of my decisions this year, specially in terms of shorting EURs instead of buying bunds.
 
Quote from Martinghoul:

Well, I don't know of another CB that is buying quite such a plethora of private assets (REITs, ABS, equities, you name it). To me that's pretty extreme.
More...

But it took them forever to go there. Imagine what Bernanke will be buying in 10 years if the US doesn't get out of this
 
Actually might be the time to cover shorts. Euro is already off 300 pips from Tuesday afternoon. These NFP days are often a great time to cover things like this. For the moment, I will remain as is (subject to change from the moment I hit 'submit').
 
You must log in or register to reply here.
Back
Top