Global Macro Trading Journal

[Daal]

https://www.bloomberg.com/view/articles/2017-06-09/the-fed-s-evolving-approach-to-raising-rates

" This is not to say that officials are hellbent on tightening monetary policy regardless of how the economy is doing. But nowadays, they need to see a significant economic slowdown before changing the policy of an entity that no longer looks for excuses to remain ultra-dovish."

 

[Daal]

Gonna cut back 20-25% of my EWZ position, the ones I bought during the tank plus a bit more. It looks like the President will stay on and a grilockish scenario is shaping up, but he will also lose popularity overtime so there is a lot of uncertainty about what will that lead to. I rather take a little bit of gains now and avoid panicking later on

I put 2/3 of the cash into VWO. It goes along with my technique of not decreasing convexity exposure by doing the typical move of selling stocks and going into cash which usually is a mistake. if I have the stomach/tactical view of having X% in stocks, I want to keep that exposure by going into substitutes

 

[Daal]

https://www.bloomberg.com/news/arti...stand-to-gain-the-most-amid-digital-coin-rush

"A complete mining rig, which is made up of graphics cards, a processor, power supply, memory, cabling and a fan, costs between $2,400 to $3,800 on Amazon.com. The Antminer S9, which is estimated to mine 0.29 bitcoin per month, and retails for $2,795, which means you can break even in about four months with bitcoin at $2,700, without taking into account electricity costs. Miners typically buy complete rigs or build them themselves."

This is awesome, I'm considering starting some kind of mining operation but I'm ethically conflicted on this. My building does not charge for electricity (or water for that matter) and I have nothing in my rental contract that dissalows this. So, I could just set this up and keep it running 24/7, the earnings would more than cover my entire rent, so effectively I would live for free, plus a profit. But at the same time, this seems wrong, a violation of the golden rule or something. I mean, I would be using the electricity for purposes of other than living. At the same time, I already keep a machine and several monitors running everyday for work purposes. So the mining could also be just considered work..

 

[Daal]

https://www.bloomberg.com/news/arti...stand-to-gain-the-most-amid-digital-coin-rush

"A complete mining rig, which is made up of graphics cards, a processor, power supply, memory, cabling and a fan, costs between $2,400 to $3,800 on Amazon.com. The Antminer S9, which is estimated to mine 0.29 bitcoin per month, and retails for $2,795, which means you can break even in about four months with bitcoin at $2,700, without taking into account electricity costs. Miners typically buy complete rigs or build them themselves."

This is awesome, I'm considering starting some kind of mining operation but I'm ethically conflicted on this. My building does not charge for electricity (or water for that matter) and I have nothing in my rental contract that dissalows this. So, I could just set this up and keep it running 24/7, the earnings would more than cover my entire rent, so effectively I would live for free, plus a profit. But at the same time, this seems wrong, a violation of the golden rule or something. I mean, I would be using the electricity for purposes of other than living. At the same time, I already keep a machine and several monitors running everyday for work purposes. So the mining could also be just considered work..

I found out that it seems that even a very good gaming machine pales in comparrison to these dedicated mining rigs, in terms of bitcoin output. So I would have to import that to my country, I would be liable to a 60%-100% tax and even then I might run into some problems with excessive power draw leading to problems in my apartament (some of my monitors turn off when I draw too much power from other things). Plus if bitcoin tumbles, it will take years to make my money back. So perhaps, this is not the greatest thing to get into right now

 

[Daal]

I run some tests of an asset allocation with no put buying and with put buying and got some mixed results. I thought the put buying would surely help to improve performance, even if just risk adjusted performance

The 5% PP Index is a S&P500 position plus put buying of 5% OTM puts that expire ~1 month later. The data is from July 86 to December 2016, the PP index is complied by the CBOE. One can see that swithching from pure S&P500 to S&P500 plus some puts, hurt the Sortino ratio, the Sharpe and GPR Schwager (Gain to pain ratio from Jack Schwager), it also hurt the Neymar ratio (something that I invented off the GPR Schwager, I only consider the losing months that a higher than a threshold, usually 2%). It helps to decrease MaxDD, improve the Calmar ratio (CAGR/Max DD) a little
So it seems a mixed bag, I need to re-check the data and run some tests but it doesn't look like its something so wonderful that it just jumps out on you from the data

 

[Daal]

Spitznagel says that buying puts enables to one to own more risk assets

I'm trying hard to see that on the data but I'm not able to

Typical allocation

Then I reduce cash (to own more risk assets) and S&P500 to buy S&P500+puts up to the point where Max DDs are equalized

The S&P500 with put buying did not seem to help as even the Calmar ratio went down

If instead of 20% to PP Index, I do 30% and then add S&P500 up to the point where Max DDs are equalized with the typical allocation, the results dont change much

The improvement is more theoretical as the put protected portfolios have a lower kurtosis and less negative skew. But the sample had a huge crash in it 87 and drop major 50% drops (including the 2008 october crash) and if put buying isnt going to help with that kind of data, when it will? More tests and thinking are needed but this is discouraging

 

[victorycountry]

Spitznagel says that buying puts enables to one to own more risk assets

I'm trying hard to see that on the data but I'm not able to

Typical allocation

View attachment 174488


Then I reduce cash (to own more risk assets) and S&P500 to buy S&P500+puts up to the point where Max DDs are equalized

View attachment 174489


The S&P500 with put buying did not seem to help as even the Calmar ratio went down

If instead of 20% to PP Index, I do 30% and then add S&P500 up to the point where Max DDs are equalized with the typical allocation, the results dont change much

View attachment 174490

The improvement is more theoretical as the put protected portfolios have a lower kurtosis and less negative skew. But the sample had a huge crash in it 87 and drop major 50% drops (including the 2008 october crash) and if put buying isnt going to help with that kind of data, when it will? More tests and thinking are needed but this is discouraging

Daal I seriously think you should consider doing PhD ...

 

[Daal]

Maybe its an issue that the sample is biased because it ends in a roaring bull market and this hurts put buying? It could be, I plan to redo this test ending in 2009 or 2010 and see how things hold up

 

[Daal]

I'm looking around for upcoming ICOs to invest in but most of them sound so utterly ridiculous its kinda hard to invest. The zirconium mine that is raising funds through an ICO is probably one of the worse. A lot of them are jus the same old business ideas rehashed to scam people looking for big gains, very little convexity for a long there. I am a bit interested in Skycoin though, but I got to do a lot more reading on all of this

 

[kinggyppo]

https://www.bloomberg.com/news/arti...stand-to-gain-the-most-amid-digital-coin-rush

"A complete mining rig, which is made up of graphics cards, a processor, power supply, memory, cabling and a fan, costs between $2,400 to $3,800 on Amazon.com. The Antminer S9, which is estimated to mine 0.29 bitcoin per month, and retails for $2,795, which means you can break even in about four months with bitcoin at $2,700, without taking into account electricity costs. Miners typically buy complete rigs or build them themselves."

This is awesome, I'm considering starting some kind of mining operation but I'm ethically conflicted on this. My building does not charge for electricity (or water for that matter) and I have nothing in my rental contract that dissalows this. So, I could just set this up and keep it running 24/7, the earnings would more than cover my entire rent, so effectively I would live for free, plus a profit. But at the same time, this seems wrong, a violation of the golden rule or something. I mean, I would be using the electricity for purposes of other than living. At the same time, I already keep a machine and several monitors running everyday for work purposes. So the mining could also be just considered work..

this is proof of work vs proof of stake, the problem with the former bitcoin/ethereum
is that it creates an arms race with miners. It my be a "put" on the value of a bitcoin as there is a cost to create one.

interesting site, this guy is kind enough to show his basic business plan for mining: