PHOENIX TRADING's 2013 Prophet and Loss Journal

Okay boyz 'n gurlz, enough of this mano a mano. Let's keep it friendly, and if not friendly then respectful. This journal is about trading, and if you think you can do it better then POST IT. Otherwise back to twitter and your blog... Thanks.
 
I thought this was an interesting story depicting the complacency of the market.
I'm only vaguely familiar with the index, it's supposed to be broader in scope than the vix.
It's my opinion that world markets are being driven by competitive central bank devaluations around the world.
Risk Aversion Severely Mispriced And Zombified
December 23, 2012__|_5 comments__|_ includes:_HDGE,_RWM,_SDS,_SKF,_XLI,_XLY
Disclosure:_I am short_XLI,_XLY._(More...)
The Risk Aversion Index (RAI) from Leuthold Group is a chart that just about says it all in terms of central-bank-induced moral hazard. It shows just how severely mispriced risk is. In this environment, clearly the triggers like LTCM/Russia or a Bear-Stearns-like event (for instance Japan) are not hard to imagine. But in the greatest irony of all, the RSI is at the lowest, least-fearful level since the index began in 1980. It appears absolutely zombified. Even with central banks sustaining all the walking-dead candidates, I suspect the next crisis will come "out of the blue" and from some area that is trading at all-time highs.
When risk is ignored and swept under the rug time and again, it gets difficult to view things outside the narrow prism of money printing and government-run interventions. Regardless, there are some interesting clues in the CoT numbers that show the commercials have entered into the biggest combined S&P and e-mini short position I can recall [see chart]. The commercials are also solidly short the treasury complex, especially the two-year notes. Of course, if Treasuries, JGBs, Gilts and Bunds start the long-overdue sell off (caused by a series of rating downgrades?) in tandem with equities, that would throw a major monkey wretch in the previously convenient and inflated risk-on, risk-off psyche of the no-fear crowd. In addition, earning season is coming. As the last chart shows, stocks were forced to respond to the mediocre results during the last period. There's little to suggest this season will be any different.
I am short 2 year treasuries, 10 year JGB,_XLI,_XLY, and long inverseSKF,_SDS,_RWM, and_HDGE.
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Source: Zero Hedge
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Pasted from <http://seekingalpha.com/article/1078761-risk-aversion-severely-mispriced-and-zombified>
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sorry I'm too lazy to post the images , just follow the links.
 
Phoenix, can you share more about your "new strategy" performance? Return, max DD, Sharpe?

Quote from PHOENIX TRADING:


3) Drawdown from peak is a result of former trading approach so it doesn't apply.
Former trading approach was trading one separate idea to a time.
Now I have more of a systematic approach and all trades will be based on the the same philosophical concept. Drawdowns are an inevitable part of trading.
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Quote from macintash:

Phoenix, can you share more about your "new strategy" performance? Return, max DD, Sharpe?
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I'm up 15% since changing my strategy 9-10 months ago.

The other numbers I do not have nor am I interested in trying to calculate.
 
Good luck. Just let us know when you have your next big DD..

Quote from PHOENIX TRADING:

I'm up 15% since changing my strategy 9-10 months ago.

The other numbers I do not have nor am I interested in trying to calculate.
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Still no trades as yet.
it just doesn't seem wise to jump in with the S&P hitting multi-year highs.
Otherwise I'm enjoying retirement.
Kinda funny:(strange number calls me at my vacation spot)
Company called begging me to run an office over a hundred miles away for a week or two.

corp flunkie: What would it take for you to do this for us?
myself: I'll do it for $1,000/day.

corp flunkie: What happened to you , you used to be so easy to get along with?

myself: Well that was before the company screwed me over.

corp flunkie: I'd really like to hear what happened, but I'd still like
to know what it will take for you to do this for us.

myself : It's a long story and I'm not interested in telling it , what's done is done. I told you I'd do it for $1,000/day and that's my price.

corp flunkie: Well that's not reasonable.

:D
 
Quote from PHOENIX TRADING:

Still no trades as yet.
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You mean by your rules or you are overriding the rules because the market has been too high?
 
Quote from Pekelo:

You mean by your rules or you are overriding the rules because the market has been too high?
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Lemme check my " TGIF napkin"

I've got those dang rules somewhere.

I think I've told you part of my new strategy has some discretion to it.


In fact I AM FOLLOWING MY RULES. If I had a position on right now they would have me scaling out.

So yeah I'm following my rules.
 
Quote from PHOENIX TRADING:

So yeah I'm following my rules.
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Well, then with all due respect, your strategy sucks. If in a whole month it didn't give you not even one trade, it is not a particulary good strategy. Unless it fires only a few times a year but makes shitload of money at each opportunity...

When backtested, how many trades per month on average?
 
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