Systematic FX Trading Journal

M

mahras2

Well decided to start a journal on systematic FX trading. Trades are determined by price action, trends, macro direction, and range increases/decreases. Fully automated method to replicate research that has been done for a long period of time. Indicators used range from ossilators, moving averages, and different price action gauges for example price velocity/acceleration.
Trades are made on 4 dollar majors: EURUSD, GBPUSD, USDCHF, USDJPY as well as one cross: EURJPY. As the account grows I hope to increase exposure to more crosses specifically GBPJPY, GBPCHF, AUDUSD, NZDUSD. All trades are fully quantitative in nature with no human intervention. I spend my time researching possible modifications instead.

I will also sometimes post different trades in equities, warrants and options as I like to dabble in a bunch of different instruments!
 
Currently positioned to take advantage of an extended dollar rally. Short positions taken on the euro and cable and long positions on swissy and yen. Here is the breakdown:

EURUSD short at 1.2586
USDCHF long at 1.2302
USDJPY long at 109.88
GBPUSD short at 1.8047

Pretty minimal movement currently. The PPI and CPI numbers indicate that future rate increases are not out of the question just yet. This should help to position an eventual dollar rally. GBP seems to be resisting the dollar positive news best out of the 4 majors as it has remained in a state of constant chops for the past day or so with very minimal movement in any direction.
 
I have the following equity plays:

Merger Arb:
I have significant positions on Metals USA (trading at 19.61). It is going to be taken over by Apollo a private equity firm. I am bullish on the company in general even prior to the news about the takeover such that I have created a significant long position in both stocks and warrants. The bid is for 22/share. The warrants sell for 2.76 which is quite a bit below their fair value. My positions:

MUSA long @ 19.46
MUSAW long @ 2.67
If the merger pulls through my return on MUSA will be ~13% and on MUSAW ~26% based on where I can get fills.

Directional Play
I am short Google since 293.12 (day after earnings release). I have long believed that if price does not follow fundamental news than it tells me that the price isnt sustainable. Even with record earnings Google price stagnated and slacked and this gave me enough conviction to enter the trade. Another driver is that fundamentally the stock is a disaster for value investors as it is incredibly high priced. I am very cautious on this play however and am trigger happy on this one. I am not targeting any set price but I do expect it to trade at around 250 on the medium term. Currently it trades at 285.10. The position can be summarised as:

GOOG short @ 293.12
 
The markets have been good :).

FX:

Early yesterday after I initiated my positions it was rather whippy. My long USDCHF trade closed at 1.2597 with a 11 pip win and the whip hit my stop on the GBPUSD for a 45 pip loss. However, it again positioned itself for a dollar rally and currently it my open trades have netted over 400 pips. Stops have been moved to lock in some profits.
Closed Trades:
USDCHF Long +11
GBPUSD Short -45

Open trades:
GBPUSD Short +150
EURUSD Short +135
USDCHF Long +127
USDJPY Long +65

The stops have locked in 351 pips.

Equities:

News out that Google is offering some 14.2 MM more shares. Opened in the 275s but currently sitting at 179s. That position is doing well overall and it looks like it may continue its downtrend as it slowly breaks it base. I also expect future selling pressure as all the employees cash in on stock options to finance their California real estate and super cars :cool:.

Now to head off and do some chillaxing!
 
Took profits on both USDCHF and GBPUSD and opened two new positions in the same direction. Will post update and a screenshot later.
 
Okay folks. Here are the account statement screenshots (Aug17th-Aug18th). I have also decided to diversify into a bunch of different pairs: GBPJPY, EURGBP, USDCAD, and AUDUSD. This should smooth out my equity curve even more on a daily basis.

Intermediate Term
http://img.villagephotos.com/p/2005-8/1064681/Lartemisaug17-18.GIF

Shorter Term
http://img.villagephotos.com/p/2005-8/1064681/Sartemisaug17-18.GIF

As for equity trades, GOOG was more or less down to the 278-279 regions and stayed there. MUSAW gained a little bit and MUSA was down a little bit. Nothing to get excited about.

I dont do as many directional trades now in equities (only one as of now GOOG) however I am eyeing Telkonet (TKO) to initiate a position. I have been in this position before and the company is has a great story. Will see if it can reverse its trend before I enter.

The reason why closed trade P/L is sprayed out is because it includes sums from trades made prior to Aug 17th.

Mahras out.
 
FX

Done for the week. I dont like to have positions open for the weekend I have closed all positions. Yesterday, wasn't the best day for trading currencies as they were more or less directionless. The 5 pairs I added yesterday didn't help either as I got hit with losses on them. On the intermediate timeframe I gave back some of the winnings on the positions as the stops kicked in. Did initiate a EURJPY postion however that was closed out by the logic. I am going to reduce my leverage on the shorter term trades as my current level I believe is too high for my account. Therefore, instead of 2 mini lots traded currently I will begin trading one mini lot for the shorter term trades. Everything remains the same for the intermediate term ones.

Total P/L (since starting Journal): $679.27
 
Equities

Nothing too big going on. GOOG more or less unchanged after gapping up. Price action is really telling us that prices at the high 200 levels are just not sustainable. At the current close my profit from that trade is around 4.5%. At the rate it is going I believe that we shall see further deterioration. Of course I am very cautious as I dont want to end up being like some of the earlier Google shorts who covered after paying a high price.

As for the metals USA play, nothing big really occuring as of now. The warrants MUSAW remained unchanged and MUSA just up a few cents.

I am keeping a watchful eye on Telkonet (TKO). I have been on that stock before and it has great promise. However, I am just not entering until I see some strength with good buyers and some short covering from the huge short float existing on that position (4.33M).

As for the broader indices Nasdaq 100 is showing some interesting price action. Although it is posting lower highs it actually hasnt had any major lower lows on the daily level. This may be due to the support level existing in the 1560-1580 levels. The same goes for the S&P 500 which is sitting at support as well existing in the 1210-1225 region. Will be keeping an eye on that gauge as well. Fundamentally it really is a mixed picture, we have signs of inflation (CPI, PPI gauges) however we have an industrial activity uptake as we saw from the numbers (Industrial production, Philly Fed). We should see some further rate increases from the Fed. This should help the dollar long bias the systems have in terms of the currency trading.

Lets see how everything plays out. Have a great weekend.
 
A nice slow transition into the new week. No gaps at the open. Intermediate system basically rolled over past weeks trades today. However, entry criteria was not met on the USDJPY so we have no trades there. So current intermediate term positions are: Long USDCHF, Short EURJPY EURUSD GBPUSD.

As for intraday its doing its job. I have also added NZDUSD to bring in more diversification to the account. This means we have 10 pairs trading on an intraday basis and 5 pairs trading on an intermediate term basis.

Have a good, safe, profitable week everyone!
 
Quote from mahras2:

Currently positioned to take advantage of an extended dollar rally. Short positions taken on the euro and cable and long positions on swissy and yen. Here is the breakdown:

EURUSD short at 1.2586
USDCHF long at 1.2302
USDJPY long at 109.88
GBPUSD short at 1.8047

Pretty minimal movement currently. The PPI and CPI numbers indicate that future rate increases are not out of the question just yet. This should help to position an eventual dollar rally. GBP seems to be resisting the dollar positive news best out of the 4 majors as it has remained in a state of constant chops for the past day or so with very minimal movement in any direction.
More...

Short EURUSD 1.2586? Are you sure?
 
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