Global Macro Trading Journal

Quote from ralph00:

Treasurys finally getting the news that the world isn't ending. Ugly.

TLT might be down 10% YTD before week's end.
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Now that is a picture-perfect technical breakout. Is there any reason not to be heavily short the long bond now?
 
Quote from Daal:

And what about you?How you done this supposed extensive scientific work in hundreds of markets to base your long on?
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I looked at more than 7 or 8 recessions and 1 country, that's for sure! And I looked at more than just correlations, I want some logical causation mechanism there too - the most common ones are a credit boom going into a bust (which we didn't have in 2009-2011), the bursting of an asset price bubble (which we didn't have in 2009-2011), and sovereign debt crisis...and the US was not close to the trigger levels for that. International trade is a small fraction of total US GDP, so I was pretty sceptical that a foreign recession will cause a domestic US recession. It didn't in 1998 when all of SE Asia and Russia melted down, for example.

Anyway, the point is just that Hussman is taking a hodgepodge of correlations, few/none of which have any probably causal link to recession (i.e. data-mining), he is using a small sample size, he is not testing rigorously out of sample, and he is placing too much confidence in the results generated. Those are classic noob mistakes that most experienced systems-traders are aware of, it's just like the guy who sees some pattern from the last 10 years of S&P data, based on a few variables lining up, then bets the ranch on those data-mined correlations, with no backup plan in case it fails. It's just unsound thinking.
 
Quote from Butterball:

What about your very own 'bond yields are low so investors are forced to bid up equities' or 'companies are beating analyst expectations so that's bullish' theories? That's no data mining?

Have you tested them over hundreds of international equity markets? What about walk-forward testing?

If you're trying to piss on Hussy you'd look a lot better if you brought at least a fraction of his logic rigor to the game.
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It would be if that was my only reason for being long. As I already stated, it wasn't the only reason or even the main reason, it was just an additional supporting factor (giving the potential for an extended move if investors eventually wake up to the low bond returns and high risk), and I explained that I had a plan B in case the market acted significantly against my view. A plan B seems to be something that Hussman and others have been lacking.
 
Quote from Ghost of Cutten:



The more salient question is this - are PMs a slam-dunk, trade of the year candidate on the short-side right now? No. So why deplete time, focus, and capital wondering if this will work? Stick to the high percentage conviction plays with great risk-reward ratios.
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Darkhorse I hope you didn't listen to this :D Looks like all safe havens getting whacked hard after yesterday's Fed talk. I still prefer shorting Yen or especially long bonds rather than PMs though - if we get nice growth and the reduction of fed QE, it's the 30 year bond that should get crushed the most.
 
Quote from Ghost of Cutten:

Anyway, the point is just that Hussman is taking a hodgepodge of correlations, few/none of which have any probably causal link to recession
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You are a bit confused here, the stuff mentioned in that Barron's article is how Hussman makes his crash-warning call, not his recent recession call. Appearance of the syndrome implies (IIRC) a peak to trough decline of 25% on average sometime over the following 18 months. He has repeatedly emphasized that his recession call was completely divorced and separate from concerns about valuation or technical market action, etc.

Information on how they make their recession calls is available in many of his comments, including this week's: http://www.hussman.net/wmc/wmc120312.htm
 
Quote from ralph00:
Isn't there a group on this thread that's short the krone? Congrats go out today after that unexpected rate cut. Oysters and steaks tonight!

https://twitter.com/#!/finansakrobat/status/179916544938221568/photo/1
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I have been long NOKJPY from 13.07 with a 15.27 tgt. Moved my stop to 14.37 earlier today and it got hit :(. Still, a profit is a profit (and this one is relatively hefty as far as my PA trades go, especially if you factor in the positive carry), so mustn't grumble.

It means that I now need to find other, more creative ways to be short yen. It's pretty difficult at the moment, as everything has moved quite a bit.
 
Quote from Ghost of Cutten:

Let's say AMZN is a great short. What's the best way to play it?

1. Short outright immediately, as a hedge against other longs in your portfolio. If so, what % of total capital should be short AMZN?
2. Wait for a bear trend in the stock, then place a trading short (with a stop etc).
3. Buy some long-dated puts.
4. Write bear call spreads each month.
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I've been short since 220, but recently closed due to the passing of my long vol durations. I don't think you want to be long gamma outright. I'd say it's still a +V/-G trade, which puts you in some sort of calendar or diagonal.

The APR/JUL 180/175 diagonal, or a small position in the JUL 175 straddle which I shorted today from 29.00. You would roll the diagonal at a strike-touch (175) or near APR expiration. I prefer the straddle.
 
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