Minimal Effort Returns - Algo Based

[Spectre2007]

Broke through to higher level in pnl...

 

[Spectre2007]

dollar bear trade attempted to roll over, but the changes witnessed Friday, show possible continuation of the trade, till close to March FOMC meeting.

- gold needs to stay above the magical 1220 pivot..
- us credit instruments started rolling over first, but have to see if its just a minor retrace on a another leg up, correlated with gold.
- yen looks to rally, more correlated with the above, secondary to change to dovish FOMC, political speak about favoring a weaker dollar.
- pound is floating non correlated, moving with Brexit politics.
- Chicago Wheat looks to want to break above the resistance, coming week will give more indication.
- monitored account peaked at 8.8K pnl past week, closed Friday in the 4's.. so shows a significant retrace of gains made on the dollar bear trade. Pnl should move back over 8.8 if the long term trend is valid.
- copper looks to be making a flag pattern higher.. talk of fiscal infrastructure build out should move it higher.
- key metrics to watch for.. gold to stay above 1220.. would favor another leg up in credit. If gold can't stay above 1220, credit will continue to roll down, with yields heading higher. And dollar rally to resume. This could happen if FED officials do their routine market 'speak'..

Copper capitalized on the flag pattern, wheat broke out up as thought. Significant retracement in profits from gold, dollar, credit. HWM hit 12K, but lower with losses in gold/dollar/credit.

 

[Spectre2007]

escape velocity of a black hole..quasar.

 

[Spectre2007]

http://www.managedfutures.com/top_cta_rankings.aspx

some performance numbers of CTA's.

 

[Spectre2007]

Dollar bear trade rolling over further peak of 12k to up only 3k

 

[Spectre2007]

forward test..

above is benchmark for dollar bear trades, the pnl is like a moving average of sentiment regarding dollar.

below is the current forward test. Each night daily data is downloaded, and the system generates orders for the open the next day open.

TB software platform also integrates with IB API to send orders automatically.

 

[Spectre2007]

correlated instruments tip-off the roll over of the trade...kinda like pairs trading.

 

[Spectre2007]

snapshot of 9 derivatives.

 

[Spectre2007]

forward.. there are some discretionary aspects of when to turn the system on/off(liquidate). So as a basket to liquidate 116,000 -112,500... 3.1% return after two weeks, with max drawdown at 1.2%. So basically the skill of the discretionary trader comes into play to repeat this multiple times a year to hit set benchmark and park rest of the year in T-Bills. Ideally just continue and see how high you can hit.

 

[Spectre2007]

forward..

huge retrace in gains.