David's Portfolio Journal

This is a discussion on David's Portfolio Journal within the Trading Journals forums, part of the Reception category; Good morning/evening everyone. This thread will serve as my personal trading journal, and naturally will not contain any trades relating ...

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Old Jan 16, 2012, 11:33am   #1
Joined Jan 2012
David's Portfolio Journal

Good morning/evening everyone.

This thread will serve as my personal trading journal, and naturally will not contain any trades relating to my professional account. As a brief introduction, I trade Australian equities and global FICC.

Apart from the odd opportunistic day trade or two, I generally trade medium term global macro events and use momentum and overbought/oversold indicators as my trading signals. These are incorporated in three separate algorithms, but there has to be a fundamental reason for the trade before I place it.

I always post my trading ideas/light hearted market commentary at www.pimmtrading.blogspot.com, but I'll try to update this thread with more specific trade details.

Every now and again I also get reminded (through good and bad trades) of the tips and advice I've picked up that helped me get on my feet trading, and I update www.tradingpimm.blogspot.com.

For starters, I will be working into a large, short US 10yr T-Note position. 1.86% is an unsustainably low yield in the medium term, and with the reduced interest payments associated with a short position, I'm happy to keep adding to the position whilst yields are under 1.9%, and hold it through 2012.

I am also long gold mining stocks (NCM.AX and KCN.AX), as they are nowhere near pricing in the current gold price (around $1000 an ounce). They still bear a large amount of systematic risk, so there is a tight stop on these, but could potentially be held for a few months if they take a while to price in the spot gold price.
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Old Jan 16, 2012, 1:32pm   #2
Joined Jan 2012
Re: David's Portfolio Journal

dptrader started this thread As an afterthought, I'll most likely be including a fair amount about how prop/flow trading is varying in nature from my private trading styles and habits, rather than detailing individual trades.

In short its objective is to help me record reasons and discussions around my successes and failures, enlighten others as to why certain techniques are/aren't working in the current markets and inform others a little more as to what I do at work and home.

Hopefully it is enjoyed/used for good by someone, if not myself!
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Old Jan 17, 2012, 12:52pm   #3
Joined Jan 2012
Re: David's Portfolio Journal

dptrader started this thread Entered my first of three legs in a short 10 year US T-Note position at 1.89% yield recently. Bugs me because this is cheap, and I knew yesterday at 1.86% was cheap, but I always hold out a little longer hoping for something better. Sometimes it works, and other times it bites you, like today. Two more legs to go, quite a large medium term position I'm trying to build, and any yields below 1.9% over the next couple of weeks will be taken advantage of.
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Old Jan 18, 2012, 11:32pm   #4
Joined Jan 2012
Re: David's Portfolio Journal

dptrader started this thread Same thing happened last night, yields at 1.83% before the market open but strong earnings and IMF has yields sitting at 1.9% again. On the one hand I'm happy enough, as the first leg is making money, but this means my second and third legs will be at less advantageous yields for my short position. On the other hand, falling yields means I get a better entry, but my faith in yields rebounding weakens slightly.

Does anyone else face this dilema? Any tips on how you deal with it? Always annoys me, even though it rarely affects the profitability of the trades in the long run.
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Old Jan 20, 2012, 7:26am   #5
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Re: David's Portfolio Journal

dptrader started this thread Yields are up at 1.98%, means the position has a nice P/L but is only a third of the size I'm after. I'll take the risk of this being a false mini breakout, and that there is no need to put on the 2nd and 3rd legs above 1.95%, before the eventual move towards 2.4%. That logic does suggest to take a quick profit and re-enter when prices fall, but I'll play that trade in a different way, e.g. shorting SPX against the short Treasuries position.

AUDUSD is also creeping into overvalued territory around 1.041, will wait for a break and hold below 1.04 before putting the short on, giving it some momentum.
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Old Jan 22, 2012, 1:05am   #6
Joined Jan 2012
Re: David's Portfolio Journal

dptrader started this thread The AUDUSD position worked okay but should have worked better (with the power of hindsight...). I jumped early and was short at 1.041 on 20/1/12, as my overbought indicator peaked, but of the potential 75 pips on offer in the next 18 hours, I was only able to take 10.

The model doesn't suggest an exit point, which is something I could work on, and human execution is so unpredictable. I'm currently short at 1.046 for the same reasons as above (overbought, waiting for supply/demand imbalance to correct itself), will look to exit Monday or Tuesday.

For the record I'm still bullish on AUDUSD medium term (interest rates, global growth all in Aussie's favour), as the economy isn't looking too bad really The Final Trade: Copper Price Signalling Growth.
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Old Jan 24, 2012, 4:54am   #7
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Re: David's Portfolio Journal

dptrader started this thread Despite the lack of XJO strength, AUDUSD has pushed higher, resulting in the stop kicking in at 30 pips. Not so worried, it's one of my better algorithms so some losses have to be taken, I'm looking for some SPX weakness in the next couple of days though. Might place a short later, see how the numbers look.
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