Portfolio Traders

[minx]

Just a follow on from the Gold & Silver thread in Commodities\Metals section.

It seems that there are a few people trading/watching/Spreadbetting a basket of products and I thought it might be interesting to have somewhere to talk and exchange stories/rumours/battle-woes and anything else that might help.

Today was certainly an interesting day in the mkts, stocks tumbling, gold down-up-down, bonds on a strong rally (stories of sub-prime debt crashes contributing to the rush to quality), grains and beans all off hard mid session..... tomorrow should be an intersting wreck-picking day

 

[the blades]

Just a follow on from the Gold & Silver thread in Commodities\Metals section.

It seems that there are a few people trading/watching/Spreadbetting a basket of products and I thought it might be interesting to have somewhere to talk and exchange stories/rumours/battle-woes and anything else that might help.

Today was certainly an interesting day in the mkts, stocks tumbling, gold down-up-down, bonds on a strong rally (stories of sub-prime debt crashes contributing to the rush to quality), grains and beans all off hard mid session..... tomorrow should be an intersting wreck-picking day

interesting idea minx - I trade a portfolio, long and short, but got my **** kicked today. I'll elaborate later but thanks for an interesting thread idea.

UTB

 

[TWI]

I am fearful of what may happen overnight. People got bashed today after what had been a good month. If we see Shanghai off hard again and they start tanking the base/precious metals I think tomorrow could be a nasty one for bulls.
I talk a lot about commodities but I trade indices and forex also. Today I started with a fair position in S&P, I am flat now and licking wounds. As for commods, explained that on the previous thread. Been in major risk reduction mode since the late afternoon rally turned over. I remain long Euro and Cable and short some forward grain spreads but that is about all I am happy about.
At times like this I prefer to be out wishing I was in than the other way around.

 

[chump]

"but that is about all I am happy about".....not stalking you but I would have thought you were quietly pleased with Yen ?
How much of today was actually about the carry trade do you think ?

 

[TWI]

Chump, Yen is one of those shoulda, woulda, coulda's. The risk I have on that trade is just pants, it actually made me rather unhappy as I did not have a boat load on it and had my concentration elsewhere last couple of days when I should have been increaing it. Certainly did not cover the S&P hit...even though I was well out of that early!

 

[the blades]

Just a follow on from the Gold & Silver thread in Commodities\Metals section.

It seems that there are a few people trading/watching/Spreadbetting a basket of products and I thought it might be interesting to have somewhere to talk and exchange stories/rumours/battle-woes and anything else that might help.

Today was certainly an interesting day in the mkts, stocks tumbling, gold down-up-down, bonds on a strong rally (stories of sub-prime debt crashes contributing to the rush to quality), grains and beans all off hard mid session..... tomorrow should be an intersting wreck-picking day

as touched on before, I trade a long and short portfolio. The long side is of a fixed size, the short side pivots around the long side leaving me net short and long depending on overall market outlook.

Three things hurt me today;


1. The FTSE is a poor hedge for an equity trend following portfolio - stocks that have been on a ride seem to tumble as the recent buyers are eager to protect their gains

2. I was net long - thanks to a mechanical system that I use that's had a flier of a drawdown

3. My overall shorts (mainly the US side of this) has not been ratcheted up to follow recent growth in the long portfolio - simple **** poor sloppy housekeeping


I had a terrible hit last May after which I reevaluated my systems / risk and made significant changes. It'll be interesting to see how the drawdown compares between now and then - but a combination of bad luck and bad workmanship is going to make this months results worse.

Overall I'm still net long (damn those rules!) so could be in for a rocky ride tomorrow


UTB

 

[Jack o'Clubs]

Nice idea for a thread Minx - will post here rather than the gold thread from now. I trade a group of diversified futures including currencies, indices, bonds, metals, agricultures, a few softs. Basically I follow trends and will typically hold a position for 1week+, but with a fair amount of discretion thrown in, eg my metric for yen is still showing 'short', but within a margin of error to call long, so entered long this morning on the dip.

I'm now mostly set up on the short side of the US economy (ie short indices, long bonds, long yen and swiss), but my longs in gold and silver are a potential risk - will need to watch those carefully, and basically any move towards the end of the day below 670 or so (Apr gold) will take them off. I was also long a whole heap of grain going into yesterday but got stopped out of some on the way down, and then added near the bottom which salvaged some of the damage - but all sorts of things going on there with March first notice and big COT shorts, so although favour the long side will be sitting out for a few days at least now.

Aside from that I liquidated all my long term 'investment' longs this morning, mostly emerging market investment trusts that I've been holding since June last year. In the context of 9 months of performance, yesterday's falls weren't bad, but at this stage see the risks of more downside as not worth holding for - these things move 2x the market when they fall.

Phew, what a couple of days....

 

[TWI]

JoC do you watch sugar? H7/K7 spread went out to 70 back! K7/N7 is 25 contango.
I am long a bit of K7 sugar
As for grains, took off some wheat longs yesterday but only short the forward spreads in corn which performed well on the outright move down.
Looking at coffee here, getting interesting, wondering if it can have a sustained upside move. I have dipped a toe in but historically that market has not been one of my favourites.
Was short Cocoa yesterday but now closed that and not sure which way to play it. Fundamentals are, I hear, very strong.

 

[Jack o'Clubs]

Hi TWI,

Yes, I trade the LIFFE contract for sugar and went long May on Feb 16th - hasn't done much yet but the way the calendar spreads are behaving makes me want to hold on, and it had a solid day yesterday when everything else was collapsing around it.

I went short Cocoa this morning, LIFFE again but only a couple of contracts so not much risk. COT data favours the short side I thought?

 

[minx]

Looking at coffee here, getting interesting, wondering if it can have a sustained upside move. I have dipped a toe in but historically that market has not been one of my favourites.

Coffee is coiling tighter and tighter, not sure when the b/o will happen but its been building now for ages. Good for range trading but make sure you're prepared for the break. I would say place stops but its so spikey this year there is a chance you could get tagged and bank an unlucky loser.

 

[TWI]

Liffe cocoa has intereesting range, if you look at monthly chart going back Q4 2003 will see it has been between 800 & 1000. This is why I sold it above 980. Thing is there are a few commercials taking about shortages going forward and this makes me a nervous short. If it breaks above the range I will load up but surely 1000 will be a hard one to pop.

 

[minx]

TWI, congrats on 2000 posts!!

 

[TWI]

Thanks,
I think I have become slightly addicted to looking at this board intermittently during the day. It is a good break from the reports,charts, coding and spreadsheets.
Surprised I have managed to post that much cr*p however.

 

[Atilla]

Thanks,
I think I have become slightly addicted to looking at this board intermittently during the day. It is a good break from the reports,charts, coding and spreadsheets.
Surprised I have managed to post that much cr*p however.

What is your main line of work? Are you are 'real' trader?

 

[Slim Sladey]

Evening all,

This thread looked the best for a quick question for those reading... I am setting myself up to get back into spread trading soon and I have been pulling together data on several markets, listed below.

Indexes
FTSE 100
Nikkei
S&P 500
Nasdaq

Currencies
US$ - GB£
US$ - JP Y
US$ - CH Fr

Commods
WTI
Gold

You might be able to tell which book i've been reading! My question is this, after watching these markets for a while there are markets that move pretty much together so by analysing 2 that are similar i'm limiting the market options open to me. I am thinking of adding a soft commodity or 2 to this group, and maybe removing US$-CH Fr and replacing with a non-$ currency, or a more 'exotic' $ currency.

Is anyone willing to pass on which markets they trade in their porfolio, how this is weighted and any trading experiences on softs and exotic currencies. Would also help if anyone knows where i might be able to get COT data from?

Cheers

Slim

PS Should probably point out i'm not looking for a Holy Grail from someone, just would appreciate some ideas on this.

 

[Jack o'Clubs]

Evening all,

This thread looked the best for a quick question for those reading... I am setting myself up to get back into spread trading soon and I have been pulling together data on several markets, listed below.

Indexes
FTSE 100
Nikkei
S&P 500
Nasdaq

Currencies
US$ - GB£
US$ - JP Y
US$ - CH Fr

Commods
WTI
Gold

You might be able to tell which book i've been reading! My question is this, after watching these markets for a while there are markets that move pretty much together so by analysing 2 that are similar i'm limiting the market options open to me. I am thinking of adding a soft commodity or 2 to this group, and maybe removing US$-CH Fr and replacing with a non-$ currency, or a more 'exotic' $ currency.

Is anyone willing to pass on which markets they trade in their porfolio, how this is weighted and any trading experiences on softs and exotic currencies. Would also help if anyone knows where i might be able to get COT data from?

Cheers

Slim

PS Should probably point out i'm not looking for a Holy Grail from someone, just would appreciate some ideas on this.

A few questions there: here's my two pence worth:

You're right that there are strong correlations, particularly in the currencies where half of your position is against the $ at any particular time. Therefore you could end up trebling up your exposure on what was a move in the dollar part of the pair if you traded all three on a particular move.

I allocate capital fairly equally between the 'groups' I trade and the quickest and easiest way of setting the parameters for how many contracts you'll trade in each group is from the margin requirements.

For argument's sake lets say this leaves you with 'capacity' of two contracts from the index group. If you get a strong signal from the Nasdaq you might open a trade there, and that leaves you with one for another index, or you could open two in Nasdaq but then you'd have to ignore any further signals in the other indices. If the risks/margins are not equal then you need to work in proportion: for example I'll trade a fixed amount of gold or silver, in the ratio of two gold to one silver contract.

You'll find in any case you still end up aligned quite strongly in particular directions, eg long gold and oil, long bonds, long currencies, short indices is a pretty heavy bet on the US economy heading down the toilet, but to be honest I don't worry too much about those wider correlations as long as I'm reading the signals reliably.

Trading agricultures and softs you have to be aware of shorter trading hours, less liquidity and in my anecdotal experience more volatility. I've never fully made up my mind on the importance of COT data - I treat it as a powerful confirming signal but on the other hand feel it should all be in the price anyway. I get COT info sent to me as part of a paid info service, but when I remember Googling it there was stuff out there for free, try here: http://www.freecotcharts.com/

 

[TWI]

200koz came out of the gold ETF, and would explain Tuesday's aggressive $23 drop.
I am back in now but with India talking interest rate rises this may not be the smart move. I do conclude that commods will be pretty insulated form this equity sell off particulalry crude whic I expect will continue to put in new highs. Precious, despite my position, still worries me a little due to spec long and it is a place where macro equity losses may find margin.

 

[Jack o'Clubs]

I'll be quite pleased for tonight's close to come along so I can go to bed without worrying about what on earth's happening overnight!

A bit of rejigging has me out of metals completely now, and longs are in oils (crude and RBOB), yen, and sugar. On the short side I ditched the cocoa short yesterday (but not before I'd got hit), and am now just short US indices, plus some very light shorts in the grains.

Not a great week because the opportunities have been there but I haven't seemed to able to take them, so although I should be pleased I've not lost, somehow it seems incredibly frustrating I've not been able to take advantage of some of the big swings. Still, another day another dollar...

 

[TWI]

I'm with you on the week. Actually managed to make a little net but been hard work as it meant losses in one place subsidised by profits elsewhere.
Sugar was good one yesterday and helped with the coffee and grain long. As for precious I have been all over the place making nothing and yesterday decided to end the day with a short.
Cocoa, I was short Liffe and took some profit out wed before seeing it roof yesterday. Still not sure about it and may dell london again into the big figure with stop on close the other side.
Still happy with energy longs, wish I had got on the rbob but missed it , that has been a great ride for the bulls and I have kicked myself about it. Fundamentals on RB continue to support it also.
I see that historically Mar is a bull month in curde, Gas, Precious and Base...Prefer to bet on the energy than the others right now.

 

[minx]

Took a hit on coffee, stocks and gold this week but sugar was great yesterday and bonds (always my main holdings) have have put in a great performance, so no complaints. Not really involved in energy but hope to change that over the next few months.