Global Macro Trading Journal

Daal said:
Another way to measure this is to look at the 13 period Average True Range (ATR)

sc


at 1.403, the 13 period ATR is on the low end of its multi-month range
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Stockcharts messed up the chart for external uses. I took a screenshot for the actual chart that I was talking about

upload_2017-2-8_12-5-17.png
 
I guess the US markets are too liquid for that Trump dip to play out on a schedule like that. People hedged, sold, adjusted portfolios ahead of time and no big adjustment was needed when he actually took office. Even though he did some 'crazy' moves, it was all expected by the markets. While he might create a dip at some point in the future, it will be very hard to predict so the best course of action is not to try to antecipate but rather to react to it
 
I just sold part of my BR USD bonds, about 4.4% of my assets(I got about 7.5% there now). I was able to sell them for a 4.5% yield, roughly a 200bps spread over US Treasuries. At that point, they are getting a little rich. But more importantly, this bond has turned quite illiquid, when the market turns the bids are gone. You got to book profits when you can, not when you have to. I also figure, the BR USD bonds are the lowest reward to risk ratio investment of my Brazil thesis, and I wanted to raise my cash levels a little. I was running a negative cash balance sometimes due my trading strategies, that was costing me 2% a year at IB. Made it a no brainer to sell some
 
They are still a decent value, only situation I can see them being haircut is if a leftist wins the presidential election in 2018 and then he goes into a FX reserve spending rampage. He would need support from congress as the law only allows the FX reserve to be used to pay down domestic BRL debt. Reserves are $370B, those foreign debts are around ~$40B. So there is an ample margin of safety there, they are still a decent play to earn some premia on USD cash but I had to trim down given the reasons I mentioned
 
"Countries outside the eurozone cannot rely on such assurances. Once IMF disbursements end, they are on their own. In those cases, the fund is right to insist that debt sustainability is assured early. But in Greece, the ESM will hold two-thirds of Greek debt for at least another 30 years. As a result, the IMF’s shorter time horizon is not appropriate. Also, the fund ignores the pledge made by Greece’s eurozone partners."

https://www.ft.com/content/c342c624...amp=published_links/rss/home_us/feed//product
 
I'm not too worried about this situation in Greece.
1) The IMF might give in on their call for more austerity, thats good for Greece. The got economic green shoots now and austerity would kill it (because there is no central bank easing policy to counter it)
2) If the IMF holds firm and walks out. Some EU countries might get pissed and perhaps even walk away from further Greek financing, but I doubt the EU as a whole would. They sunk so much money in Greece so far, they will feel committed to it. It would be kinda stupid to choose now to force Greece out. The time to do it was back in 2010-2012, not in 2017 when there is a nascent recovery, employment is up and Greece did its part on the austerity. So they will pay up for any financing need, even if the IMF doesn't
3) Greece might walk out if the EU asks for more austerity. That would be great for Greece, it will involve short-term losses due FX depreciation in Greek assets (new drachma would plunge) but that would be a huge buying opportunity and I would add to my positon

So, all in all I'm not too worried about it. I just hope the Greek leader keeps telling the IMF to take a hike
 
If Greece walks out of the EUR and the new currency plunges 50% and they default on their EU debt (especially on that ECB debt, that one deserves a default more than anything), the country will be a path to huge bull market in assets. I will invest perhaps 10-20% in Greek stocks, expecting a -50% loss or a 200-400% gain. It will be the best opportunity I have seen in macro in years
 
http://www.zerohedge.com/news/2017-02-09/trumps-game-chess

Couldn't agree with this article more. I used to play a lot of chess when I was growing up. Sometimes I would play against the computer (Chessmaster 3000 with 10 sec per move) and about the only I was able to beat it was when I was in the offensive.

If you let the computer dictate the actions, the amount of possibilities becomes overwhealming and at some point, you will make a mistake. The computer would then punish you pretty quickly and you would never have a chance to recover. But when you threw in a surprise sacrifice (using a bishop to destroy the computer's protective king pawn structure was my favorite), you limited the amount of moves the computer could do massively. All of the sudden you knew exactly what it would have to do for a number of moves. Since the computer (back then) would have difficulty calculating several moves ahead, you would be able to get a pretty good advantage, even though the computer was a far better player
 
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