- S&P 500: +18.4% since entry Feb. 22 (using 200% leveraged fund)
- Nikkei: entry April 26
SHORT
- Crude oil: -6.4% since entry April 19 (using 200% leveraged fund)
- 30-year Treasury bond: entry April 26
- 30-year Treasury bond: entry April 26
CLOSED TRADES
- Gold: +9.2% between entry March 22 and exit April 26 (using 200% leveraged fund)
- Natural gas: -9.3% since entry March 22 (using 200% leveraged fund)
Notes:
- Trade results are as of the close of trading on Friday, April 23. Any new and closed positions are as of the open on Monday,April 26, unless otherwise noted.
- Returns on trades are based on my own positions, not the underlying market prices, unless otherwise noted. Returns from closed trades include trading fees. My own return may differ from the return of the underlying index, security or commodity because of variations in how the security 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.
- Trade results are as of the close of trading on Friday, April 23. Any new and closed positions are as of the open on Monday,April 26, unless otherwise noted.
- Returns on trades are based on my own positions, not the underlying market prices, unless otherwise noted. Returns from closed trades include trading fees. My own return may differ from the return of the underlying index, security or commodity because of variations in how the security 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.
2 comments:
Hello Alex,
I've just happened upon your site and find it quite intriguing. I'm trying to dig into the details, but have a couple of initial questions:
How did you decide to make the jump from eurodollar rates to the BKX index? (For a time I was a market maker in the eurodollar option pit at the Chicago Mercantile Exchange.)
Have you done research into sector positions (XLE, GDX...) for the times when the SPX and the respective commodity are moving in the same direction?
Regards,
Ed
Hi Ed,
Thanks for your message. I don't even remember how I made the connection between Eurodollars and BKX. I guess I was trying to match various datasets with Eurodollars because it's so liquid and happened across BKX. I also developed a setup that uses just two component signals and is in the market more often, but it wasn't nearly as robust.
Your suggestion to match GDX or XLE and SPX is very interesting. I have done research on setups matching gold/crude COT data with HUI and some energy index that now escapes me. The profitability was multiplied, but the robustness was inferior. So your idea would be an interesting fix to try. The limitation would be that it increases significantly the number of trading rules, which tends to decrease a setup's robustness.
Best regards,
Alex
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