TYZ9 ESU9 CLV9
What can we infer about that looking since friday 4u until today thu 10u?
Wishful thinking in the Euro
A couple of good friends, from my “eco” group, requested me to do all the paper work for opening a forex account. I suppose to design the strategy and show them what I got when I finished. They wanted to start with US$200. In part this is what made to stood still and do nothing.
If I had opened the account I would have gone long the euro back then on July 09. Buy at 1.4150 and today the mark to market is 1.4565, discretional trading. But I would look for a weekly positional strategy.
Although the average daily volatility would have squeeze the $200, I have this feeling of frustration for not getting long in that long term rally.
BUT
1) I don’t have the amount of $ for establishing a positional system [taking that volatility].
2) I am focusing on scalping the Oil. Either with USO or long in-the-money-options in the futures.
3) I really have no more space in my daily agenda for deepening in market study. I think this will be possible about the end of 2010.
4) For now, I rather build the sources that feed the trading account and do research in the mean time.
Peeking oil volatility
We are currently studding a strategy for CL. Basically it says that if the percentage change in the 22d relative ATR is lower than –3% then a short position must be executed at the close of the session and buy it back at the close of the next day. Also if the percentage is higher than +3% then long position must be established at the close of the session and to be sold at the end of the next day.
So far we got a z-value of 2.8 without stop-loss using our data mine of daily CL prices since 1986. So far this 209 the overall return would be about 60% with a draw down of 20% in march.
What’s the next step?
1) try another percentage changes like four, five and so on.
2) add an stop loss to the system itself for smoothing the draw downs.
3) paper trade it for at least one week.
What about coffee
When I began to write this post I was about to say that coffee is more volatile from the rest of the markets I follow. But then I thought “before thinking about this, I should rank the relative ATR for this mkts”. Here is what we have:
Coffee is not the most volatile commodity among my tickers. Basically those are energies like NG and CL… and sugar. NG is almost double KC’s average true range related to the last closing price.
There is a little opportunity here: We have upward potential for 5 and twenty two days with a z value of two and 47% and 35% probability of loss respectively. But the expected value are too short: 1% for the 5 day strategy and 4% for the 22day. This is not based on ATR but in an indicator, which I was learned a couple of semesters ago, named Location which basically measures how away is the last price from its trends resumed by long term moving averages.
Also I want to see the Options. And we have this:
One month ago from this post the call/put ratio was 1.94 and today it is 1.90. No difference you may say. But the open interest dropped 53%. There was 83k calls in the beginning of august and 42k puts.
So in options we have the same “expected” scenario but with lesser voters willing to risk their capital supporting this.
Apparently in KC the bid call indicador [email me if want to know about this at joachin[at]ufm.edu] the singal is a reversal because we have had call weight but puts’ levels are closer to reality.
What if we sell some calls at 160 and sell some puts at 112 in the Z month? Let us paper trade it.
Huge Lesson from Kirk
What trading is aboutYourTradingEdge_2009.pdf
Three nice weeks – time to reOrganize
In the past weeks I visited Tlaxcala, Mexico and Chicago. The left picture is of a paint of 10 feet high of a market day about 700 years ago. Back then ‘traders’ organized themselves by trading commodities in different locations. Just the same way the SP500 is traded 30 feet away of the ten year bond markets.
Both trips to Mexico and Chicago were grate experiences in personal, spiritual and speculative terms. I met Dr Brett Steenbarger, I touched the floor of the pits, I met floor brokers as well as electronic brokers making currency hedges for balance sheets of $50million. I went to two yankee games and a week later in Mexico I met about 100 young persons like me that are building the civilization of love trough our Catholic Church.
I thank the lord for facilitating such grate opportunities. I hope to create a return for each lesson learned.
Baltic Dry, PHLX Marine Index and DowJones UBS Commodity index
Speak your mind.
Baseball and mkts from Niederhoffer’s specs
I was in the US embassy trying to get my visa and as a distraction I was reading Vic Niederhoffer’s “Practical Speculation”. I found a suggestion why I like so much baseball and markets.
page 245:
At a 2001 Yankee Playoff game co-announced by New York Governor George Pataki, it was mentioned as a matter of routine that a certain batter had the third hightest percentage of foul balls per pitch with two outs during playoffs of all American League players. If only market practitioners were to keep at their fingertips one-thousandth of that kind of knowledge abut the picks of their favorite analysts – returns to be anticipated, winning streaks, balls, strikes and so on- the market would be a far more sensible and profitable place.
Maybe facebook can help finding patterns among these analysts.
¿Qué buscan?
Many times they are not trading because the have found an objective opportunity but because they need money and they need success and solve all their fantasies. Dr. Brett Steenbarger
How much time paying attention and learning skills before executing positions?
Let us not to seek quant edges or a fancy way for fulfilling my fantasies. There must be true opportunities as I use to do in the school selling shirts, cds and coffee bags.
Let us remember my 1st trade. [with $3,000 capital].
Por diego joachin, analista de commodities
Me estreno como Trader con una pérdida de -38% de la cuenta en el primer fill de mi historia. Fue una decisión impulsiva, sin estrategia. Entrada el 26 Junio con expectativas de continuación en el uptrend del maíz. Sabía que hoy salía el reporte de USDA para la crop y los stocks, pero lo olvidé. Sin embargo estuve al tanto de la posición durante ese tiempo, hasta hoy lunes que abrí la plataforma a las 7am con un mark-to-market “even” o sea cubriendo el costo de transacción y unos cuantos dólares de ganancia [otro error, contar las ganancias al mismo tiempo que transar]. El siguiente error es que la estrategia de entrada era a través del mini Corn, no del futuro que es cinco veces más grande; yo entré, sin querer, al futuro lo cual me exponía a cosas peores de las que pasé; la arrogancia y la emoción, especialmente falta de disciplina, hicieron que dejara abierta la posición para ver qué pasaba [puedo poner varios “hubiera” pero no viene al caso]. Tampoco puse stop loss.
Bien dice Ed Seykota: “todos obtienen lo que quieren del mercado”, si alguien quiere probar hipótesis matemáticas, lo hace, si alguien quiere emociones fuertes también lo obtiene, aunque a un costo alto. Estoy cayendo en la cuenta que estaba buscando emociones fuertes, por eso no me detuve a calibrar el trade antes de entrar.
Lunes 7am entro a la plataforma y veo el mercado a 790 6/8 por bushel [cierre del overnight] esto me mantiene tranquilo ya que durante la sesión del domingo se vió una pendiente positiva del 784 al 790 entre 5pm y 7pm [hora de Guatemala, una hora antes de Chicago] [vea la grafica]
Mientras desayuno recibo los reportes de USDA y obtengo señales divergentes: el acreage es por debajo de lo especulado por el USDA pero los stocks son 15% arriba de hace doce meses. Esto me pone a especular como va abrir el mercado: ¿qué fundamental a tomar? ¿El bullish o el bearish? Para mientras espero que den las 8:30 hora de Guate. Cuando finalmente son las 8:30 en punto [llevaba varios minutos pidiendo quotes en la plataforma, pero no obtenía nada porque no había mercado todavía] le doy “get quote” a la plataforma y todos los precios cambian instantáneamente a rojo y veo que el “Last” está 19 centavos abajo, lo cual equivalen al 38% mencionado al inicio. Trato de hacerle “offset” a la posición pero la plataforma no me deja [desde que vi lo rojo sabía que iban tocar el limite, 30 centavos, asi que solo me quedaba evitar vender al limite] entonces hice un fill para un SELL del mismo contrato y dejé que asi se balancearan las posiciones. De no hacer esto, la perdida no sería -38%, mas bien -66%. [Este último error consistía en que yo no sabia usar la plataforma al 100% todavía].
El hecho de que haya escrito como fue todo a la hora de la ejecución revela mi inmadurez como trader serio; yo estaba buscando excitment, no trading, o sea estaba gambling y no especulando.
Tomo esta pérdida como el costo de un curso intensivo de especulación. También la tomo como una terapia “amanza egos” o sea un sistema que revela en realidad que, como y quien en verdad soy.
Tampoco puedo dejarme llevar por frustración porque me pondría en un escenario peor. Más bien percibo esto como un “debe mejorar” y no como “renuncie inmediatamente”; un poco caro, pero así nos hemos ganado el nombre de homo sapiens.
Hasta puede ser mejor que haya tenido esta experiencia negativa (negativa para un inexperto) al inicio y no que haya arrancado con una ganancia de 30% arriba del portafolio y solamente hubiera servido para alimentar mi ego y seguir en la búsqueda de emociones fuertes a través de otros mercados, o ampliando posiciones sin ningún cálculo ni administración de riesgo alguno.
Algo en contra es que la perdia (y las gancias también) todavía no las puedo sentir al máximo porque el capital inicial fue puesto por mi padre. Seguramente habría empezado mas responsablemente si el capital proviniera del sudor de mi frente.
Ahora lo que importa es definir una estrategia que sirva de entrada y salida, aplicación de administración de riesgo, y CUMPLIMIENTO de dicho plan.
Rally Salvaje
Since Monday we’ve been experiencing a strong pull back in the SPY. Check it out:
But Crude oil has not followed in the same rhythm.
And what about the T bonds?
… the chart does not want to come out, but I notice this “rally” is reversing as I type.I wonder if crude has the ability to touch the 50s as we receive earnings report during this month. At least puts are still in control in the option market. Do not forget that tomorrow we have option expiration for crude, so there might be some action.
