Systematic FX Trading Journal

A very nasty day in the currency department. No clear direction on any pairs really. A USDCHF short was triggered but it happened to be on the very low of the day and then it whipped back to its stop. Otherwise no other positions open although still positioned with orders in to take advantage of a sustained dollar bear move.

Return FX: +44.93%
 
Yet another ill performing day for me in the equities department as well. My short on GOOG hit its stop at 290.00 for only a small gain which actually resulted in a net loss due to commissions. I am still holding onto the BIDU short which jumped quite a bit today due to short covering rumors. Otherwise the long positions were pretty mediocre.
One thing of interest was TKO which has falled about 15% from where we got off. I will be looking to try some bottom fishing with that when I see momentum going in my direction.

Return Equities: +9.76%
 
Update for the Week

Nice way to end the week although it was more due to luck than anything. The BIDU short had its stop taken out which I placed at 85.8 got filled at 85.88, a very nice fill considering the incredible upward momentum it had. God bless scottrade! As for the rest of the picks, doing very nicely. Looking to get in on TKO again soon. Otherwise a nice week.

Return Equities: +11.09%

As for FX it was one slow week. No movement at all. (EDIT: my platform hanged so I was looking at old results). I have three trades on currently up slightly positive. All dollar bear trades. Overall a pretty crappy week.

Return FX: +45.70%

Edit: My platform hanged so when I was reporting results I was actually reporting results from hours before. However i had the orders in yesterday so nothing was at fault with the triggered prices.
 
This week should be interesting. After a close below some significant support EURUSD is lying on another support region currently. However, what will move the market will be the Fed rates announcement. Its not a surprise that Greenspan will increase rates but what will be interesting is the markets response. It seems to me that the markets have already priced in this rate increase and this should not cause much movement. However, we need to wait to find out whether this is true. Fundamentally I am still bearish on the dollar. With oil reaching new highs, the possible 100 billion dollar damage caused by the hurricane the USD will have to take in significant debt on top of its existing debt. If the dollar plummet two weeks ago was just a panic due to the hurricane than last week we should have had a good dollar bull trend. However, none materialised and it just inched down about 1% for the week.

Currently positioned on three pairs for a dollar bear move.

It seems it takes FXDD three weeks or so to approve an application for a new account. So still waiting for that.

Have a good week everyone.
 
Equities
Interesting day with equities today. WFSI, which I held a position in and was stopped out after a downgrade by some wall street broker, was just announced to be taken over by Wachovia and now sits some 5 dollar above my previous entry. CBH a position I hold NOW was just downgraded by some broker and dropped 8% today. Wall Street works in weird ways. Overall even with a sizable hit I am still going strong. I was entered into TKO again at 3.96 which was a pretty nice fill. Overall a nice gain on that position.

Return Equities: +10.77%

FX
Closed off EURUSD long with a stop hit and small profits taken on USDJPY and AUDUSD trades. Nothing terribly important. Still positioned for a overall dollar bear move so lets see how it goes.

Return FX: +43.22%

Drawdown levels: I am currently down 0.32% from my equity trading high. As for FX I am down some 4.9% from my all time high. As of now the drawdown magnitude is very reasonable.
 
Update

Equities: Nothing big going on. Actually held steady on this down trend day on the broad markets. A small slip today.

Return Equities: +10.06%

FX: Nothing too big. A position on GBPJPY was taken which went deep positive but then fell back to the negative zone now. Still holding it. Currently down some 10 pips or so. Nothing big occuring overall.

Return FX: +42.82%

Developments: I am currently working with some people on creating a system which will trade intraday on several currencies based upon a trend reversal method. This should allow us to add diversification as it is non trend following and short term in nature.

I am also doing some modelling on several interest rate based currency strategies that will make it as non directional as possible. Usually termed cash and carry. Basically have some of my account creating income as the rest makes directional bets. However, unlike most of the cash and carry style traders here on ET I am also focusing on fundamental factors and actually trying to determine WHY certain pairs should be correlated in a certain manner. Another differentiation from traditional cash carry will be the use of downside protection allowing me to protect myself against a disaster (natural and from the doings of evil men). This should take me about one or two months to figure everything out before I begin putting in capital on this idea.

Yes I will be closing out the equities account to concentrate on FX alone. The only reason I am still holding out on purely FX is because I feel I am not diversified enough to begin trading one market alone. Hopefully by using three different methods (intermediate term trend following, short term reversal trading, directionless interest rate driven) I can have a very diversified portfolio.

Will update more on developments later.
 
Hey guys,

Really dont have much time today as I have a bunch of other work lying around that needs to be attended to. Equities, a losing day. I have also entered another position on MUSAW. I have basically liquidated out most positions at the market open. Going to keep the MUSAW, TKO positions and shift focus to FX. FX: Losing as of now. Positions geared to take advantage of a dollar bear trend. Not the best of time currently. However, in FX I have funded my short term account and started up the short term, non trend following system. Trading: EURUSD, EURJPY, GBPJPY, GBPCHF, AUDJPY, NZDJPY. A very erratic combination of pairs to trade however, it will provide a lot of diversification which I believe will enable me to smooth out the equity curve. Should post results tomorrow. Expect around 30-40 trades per month.

If my modelling is correct, this short term method should enable me to have the necessary diversification necessary to smooth the equity curve.

Best of luck.
 
Okay at last some time to present an update. Got all funds transferred into one FX account to begin trading. All equity positions were liquidated manually as well as through stop executions. Currently holding 1600 MUSAW warrants with a very good profit level. After this is liquidated I am pretty much ready to move full into FX only (other than the occassional high probability play). It makes it much easier for me to report P/L in terms of dollar amounts instead of percentages due to all these withdrawal/deposits.
With this current setup I have decided to go primarily short term although the long term component stays. Equity curve will be MUCH smoother and returns will be much stable with very low equity retracements. In about a month I plan on adding yet another short term quantitative systems that will be of a different nature to the current one to present even greater diversification.
Will keep updated.

Total P/L FX: $845.00
Total P/L Equities: $1390.34

P.S. All numbers from personal account since start of journal.
 
Lost a few dollars on FX as well as in equities. Nothing really major.

Have a good weekend!

Total P/L FX: $830.32
Total P/L Equities: $1262.18
 
I am going to do some part discretionary trading. Entering a sell stop for GBPUSD at 1.7995 with a stop at 1.8025 when FXDD opens trading. The current support on the major daily timeframe sits at 1.8018-1.8023 while on the intermediate timeframe it sits at around the 1.8015-1.8030. The reversal based system had been negative for three days now on the major timeframe and negative on the intermediate term as well.

As for supports of EURUSD after these regions in case trade is executed is from: 1.7815-1.7825 on the major timeframe while on the intermediate several instances of support lie: a minor support from 1.7997-1.8003, after which is another downsloped trendline support at 1.7965-1.7975 which is a little more significant.

In case price falls below 1.7995 prior to FXDD trading open will enter a short at the market.

Screenshot is attached:

Daily:
GBPUSDdailysep18.GIF

H4:
GBPUSDh4sep18.GIF
 
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