Macro trading

H

HolyMacro

So I started a portfolio that reflects my short-term view of how recent macro news and data will affect the markets in the upcoming week.

The portfolio will initially operate under the following constraints:
- the view will be monetized through ETFs (usually 1-3 ETFs per week)
- trades will be entered on Monday around market open
- all positions will be closed on Friday around market close - all cash, long trades initially, but leveraged and inverse ETFs are ok
- these rules may be altered from time to time​

My modest objective for this portfolio is to beat S&P 500 returns (not risk-adjusted) over any 12-month period.

I plan to post the upcoming weekly trades over the weekend, before placing them, with a short justification, and will try to keep the stats on here.

Here are the first two weeks’ trades, since the inception of this portfolio (the entry/exit timings are a little off my Monday/Friday goal for these as I was still working out the mechanics.)

upload_2019-10-27_11-45-45.png


My next week's trade is VWO: EM showing a bit of a bounce, especially EM Aisa; likely to continue into next week with trade war negotiations making headway.

None of my posts represent an investment advice, and are provided for entertainment purposes only.
 
"trades will be entered on Monday around market open
- all positions will be closed on Friday around market close"

What is your reasoning for this?
 
I'll follow this. Macro trading seems like there is legitimate long term edge if you do it right.

Your holding period seems really short for trading macro. How did you determine holding 1 week would be right for your strategy?
 
also - macro must be combined with price action to truly uncover its potential... my pro boys play the macro game, but they use price action and the media machine to maximize the take.

'something has tail wind' does not always something is a good buy...

you gotta consider - what the smart money is doing? are they spreading bad news to accumulate? or good news to distribute? what is the timing in relation to earnings, fed cuts etc so they will mark up till when?

everything is related.
 
Times said:
"trades will be entered on Monday around market open
- all positions will be closed on Friday around market close"

What is your reasoning for this?
More...

Thanks for reading, this is a great question.

For this portfolio, the views I act upon have about a week to play out in my opinion. Such timing is intrinsically part of formulating my views and drives the trades. This is what I meant by "short-term" in my original post.

If I am able to meet my modest objective under this constraint, I might consider trying more precise timing in the future, or play with other time horizons.

Note, that there is another rule in my original post:

"- these rules may be altered from time to time," meaning that in some cases I will be open to closing a position early or letting one run, but I don't intend to do it often.

Please let me know if this answers your question, or if you were coming from a different angle.
 
gaussian said:
I'll follow this. Macro trading seems like there is legitimate long term edge if you do it right.

Your holding period seems really short for trading macro. How did you determine holding 1 week would be right for your strategy?
More...

Thanks for following!

Please see the note I just sent to Times on here. 1 week is part of the "view".
 
HolyMacro said:
Thanks for reading, this is a great question.

For this portfolio, the views I act upon have about a week to play out in my opinion. Such timing is intrinsically part of formulating my views and drives the trades. This is what I meant by "short-term" in my original post.

If I am able to meet my modest objective under this constraint, I might consider trying more precise timing in the future, or play with other time horizons.

Note, that there is another rule in my original post:

"- these rules may be altered from time to time," meaning that in some cases I will be open to closing a position early or letting one run, but I don't intend to do it often.

Please let me know if this answers your question, or if you were coming from a different angle.
More...
When you say "views I act upon have about a week to play out" is "playing out" just price action or any examples of how your views played & didn't play out?

Also curious if you dont mind on where you learned macro trading and which resources you use?
 
HolyMacro said:
Thanks for reading, this is a great question.

For this portfolio, the views I act upon have about a week to play out in my opinion. Such timing is intrinsically part of formulating my views and drives the trades. This is what I meant by "short-term" in my original post.

If I am able to meet my modest objective under this constraint, I might consider trying more precise timing in the future, or play with other time horizons.

Note, that there is another rule in my original post:

"- these rules may be altered from time to time," meaning that in some cases I will be open to closing a position early or letting one run, but I don't intend to do it often.

Please let me know if this answers your question, or if you were coming from a different angle.
More...

allow me to chime in... closing trades on Friday you are paying a premium, and probably over paying.

during these past months of trade wars, how many times have you seen people closing position on Friday afternoon just because they are afraid that Trump is gonna tweet something... that is fear based trading... and case in point this morning's gap..
 
Times said:
When you say "views I act upon have about a week to play out" is "playing out" just price action or any examples of how your views played & didn't play out?

Also curious if you dont mind on where you learned macro trading and which resources you use?
More...

Are you referring to price action as in technical analysis? In that case, no, TA is not my forte.

By "playing out" I meant for the anticipated events to run their course and to be reflected in the markets over the upcoming week.

Resources:

Primarily Flash PMI and Economic Data Releases:
https://www.markiteconomics.com/Public/Release/PressReleases
https://www.newyorkfed.org/research/calendars/nationalecon_cal.html

I consider economic commentary of others as an input. For example, Wells has pretty good papers on here:
https://www.wellsfargo.com/com/insights/economics/

Bloomberg and WSJ primarily for other economic and financial data, news and commentary, as well as general news.

These are the main resources.
 
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