LONG
U.S. financials: 22% weight as percentage of total assets (-12.8% gain since entry Sept. 22)
Crude oil: 16% (-14.2% since entry Aug. 18)
Natural gas: 10% (-13.4% since entry Sept. 22)
SHORT
U.S. long-dated bonds: 26% (entry Sept. 29)
CASH
64%
CLOSED TRADES (on Sept. 29)
Canadian long-dated bonds: -0.6% since entry Aug. 13, 2007
Notes:
- Positions are as of the open of Sept. 29, 2008. Numbers may exceed 100% due to leveraged trades or may not equal 100% due to rounding.
- Returns on ongoing and closed trades are based on my own positions, not the underlying market prices. My own return may differ from the market return because of how well the fund I use tracks the market. In some cases, my return is based on a leveraged fund and may also include currency exchange into Canadian dollars.
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Here's my portfolio based on my trading system built around the Commitments of Traders reports issued weekly by the U.S. Commodity Futures Trading Commission. I'll update this page as I make trades based on my COTs Timer system or to reflect major changes in the asset values.
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DISCLAIMER
I created this blog to record my personal, subjective observations about the markets, solely for my entertainment and that of interested readers and to foster research. Nothing on this blog should be construed as financial advice or an offer or recommendation to purchase or sell any security. I encourage anyone interested in the markets to do your own homework and/or consult a professional advisor. I am not a certified financial advisor and am still refining my trading system. I reserve the right to modify or stop publishing aspects of my system at any time or to delay updating my tables for whatever reason, or I may not do so in a timely manner. My system has resulted in very large drawdowns in some trades. Past backtested and real-time results are no guarantee of future performance. I will not be liable for any losses or damages of any kind that result from the content of this site. Although I consider the data, calculations and information on this blog to be reliable, I can't make any guarantees and won't be held liable or responsible for anything erroneous on this website. You are solely responsible for implementing safeguards of your data and system when you use this site and its content and links. It is up to the user of this site and content to protect yourself from worms, trojan horses, viruses and the like. I may hold positions in some of the securities mentioned in this blog.
DISCLAIMER
I created this blog to record my personal, subjective observations about the markets, solely for my entertainment and that of interested readers and to foster research. Nothing on this blog should be construed as financial advice or an offer or recommendation to purchase or sell any security. I encourage anyone interested in the markets to do your own homework and/or consult a professional advisor. I am not a certified financial advisor and am still refining my trading system. I reserve the right to modify or stop publishing aspects of my system at any time or to delay updating my tables for whatever reason, or I may not do so in a timely manner. My system has resulted in very large drawdowns in some trades. Past backtested and real-time results are no guarantee of future performance. I will not be liable for any losses or damages of any kind that result from the content of this site. Although I consider the data, calculations and information on this blog to be reliable, I can't make any guarantees and won't be held liable or responsible for anything erroneous on this website. You are solely responsible for implementing safeguards of your data and system when you use this site and its content and links. It is up to the user of this site and content to protect yourself from worms, trojan horses, viruses and the like. I may hold positions in some of the securities mentioned in this blog.
5 comments:
Do Canadian Long dated bonds have CoT data ?
How come you ae long ?
Jim
jim_taylor144 at hotmail.com
Hi Jim,
The Canadian bonds aren't in the COT data. I just used a bond ETF to trade that signal. Now, I'm using an inverse U.S. bond for the bearish signal.
Regards,
Alex
Oops - that should say "an inverse U.S. bond ETF."
Alex
Alex,
thanks for the reply.
So you got a bearish signal for US bonds (based on CoT) and shorted Canadian Bonds.
1. Is that correct ?
2. If so, why canadian ?
thanks
Jim
jim_taylor144 at hotmail.com
Hi Anonymous,
The previous signal for that closed trade was a bullish signal for the 10-year U.S. Treasury. I traded that signal with a Canadian bond ETF because I am based in Canada and that was the most convenient way to do it in one of my accounts at the time.
Regards,
Alex
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