Filling The Gaps

Last night’s dramatic gaps at the open across the board have been followed by systematic reversals. Before I went to bed my wife had actually joked that I should run to the ATM and clean it out. Well, when I got up this morning I wished that I had followed her advice:

2015-06-29_EURUSD_briefing

Because that sweet EUR/USD exchange rate of 1.095 is no more. The entire gap has been filled and I can only assume that Greece suddenly doesn’t matter anymore or that a new batch of hopium has hit the streets in expectation of the July 5th referendum.

Being a proponent of game theory I personally believe that the Greeks will vote to stick with the Euro – both sides simply have too much to lose in any other scenario. I also imagine all those Greeks standing in line at the bank today during the smoldering summer heat and that may dampen their resolve to ‘stick it to the EC’ and go it on their own. Don’t get me wrong – as I suggested yesterday my notion is that Greece would actually be better off over the long term but I just don’t see it happen. Fortunately we only have a few days to wait and I’m very much looking forward for this dreaded saga to finally meet some level of resolution.

2015-06-29_gold

Gold also just filled its gap and we are back from whence we came (Friday). Fortunately Scalpius was able to snag a few R here (see below) – that’s certainly a good start.

2015-06-29_spoos_briefing

Equities also on the rebound but thus far it’s been rather modest. The level we should keep our eye on is 2053.5 which marks the weekly Net-Line Sell Level (NLSL) and we traded merely two ticks above it last night. So definitely a technical level to watch and probably the last bastion of support as the 25-week SMA is currently at 2072.

Skynard grabbed a few longs at the open and that took some balls – big props for that mate. I refrained from getting involved after having spent over 25 hours last weekend coding and refining Scalpius as well as refactoring CrazyIvan into a leaner and meaner 2.0 edition (see previous post). Suffice to say I’m exhausted but clearly this will not be a week to rest or relax as volatility is upon us.

Honorable Mention:

2015-06-29_Scalpius_gold

Scalpius grabbed a  nice long position on Gold (and crude) near the lows – not a bad start! Unfortunately it was in a demo/test account – no real action just yet as it’s in early alpha.

Lesson learned:

Let Mrs. Evil handle the forex action moving forward.

Obviously I am not eager to touch anything right now – too much gaping action and it’s too late now to touch any of those moves. Let’s see what happens over the next few hours – I’ll be sure to put up a post later after the open once we see more participation.

 

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Greece Saga Precautions

It seems that finally Greece has gone past the point of no return and events are quickly escalating. If you truly care about all the gory details then look no further than ZeroEdge which is literally bursting out of the seams with extra sarcastic coverage of the gloom & doom that is bound to descend on us starting Sunday night. Your guess of what happens next is good as mine but I’ve hired my own consultants and per Dr. Venkman the outlook is pretty grim:

So before you all resort to cannibalism (first dips on Skynard) let’s take some basic pre-cautions in anticipation of some massive volatility across Forex which will most likely affect bonds, equities, and various futures contracts as well.  First up, don’t be surprised if your broker may only accept close orders tonight and tomorrow – clearly the industry has learned from the Swiss Franc debacle a few months ago.

Down here at the lair I have turned on CrazyIvan but strongly caution you subs from taking any entries until things normalize, whenever that may be. On the Thor front I will not put up any new setups tonight but revisit the situation on Monday before the roll over. Perhaps this will blow over quickly after some last minute deal but I won’t risk any exposure until we know for sure.

Message to Greece: Good riddance! I have nothing against the country or its people – quite on the contrary (although I’m partial to Moussaka). One of my relatives is actually renovating a villa in Santorini and I plan to visit soon (with my American passport – ahem). But with all due respect – I was sick of hearing about this dreaded Greek saga five years ago and since then have long ceased to care. We’ve teased this out beyond anyone’s pain threshold and we all could do well without hearing about Greece at least a week or two.

Message To All Greeks: Good luck – you’ll need it. But heck – you still have a gorgeous country at your disposal and things could be worse (just ask any Greek over 75). This may be an opportunity to turn the corner and rebuild your nation without outside interference. As the saying (kind of) goes: Be careful what you wish you for because you may have just gotten it.

CrazyIvan News: A few weeks ago I posted about some long overdue statistics I had run on my CrazyIvan results. Turns out that inside periods are a complete waste of time over the long term (as I had long suspected) and I also managed to identify a list of the highest scoring entry patterns. I have now removed those dreaded IPs and today deployed a new version which features a filter that will only permit the 12 highest scoring entry patterns. That in turn however will have implications on how we trade CrazyIvan going forward.

  • Each respective symbol will be taking a lot less entries on a daily basis. I can’t give you exact numbers but I expect about 1/3 of the entries in comparison with the old system.
  • Given the that I felt that we needed to add a bit more opportunity. So I have made the following changes:
    • Added the following futures contracts: Corn, the 10-Year Bond futures, Natural Gas, and the S&P E-Mini.
    • Added the following forex symbols: USD/CAD, EUR/JPY, NZD/USD
    • Removed AUD/JPY. It’s a minor one and I don’t see any advantage over the EUR/JPY for example.

For the coming weeks I recommend that you trade the new futures symbols with only 0.5R position sizes until we are sure that they flow as expected. I don’t anticipate any problems but always prefer to err on the cautious side. The new Forex symbols shouldn’t give us any trouble and those can be traded full steam ahead.

That’s it – I’m off to my training class and then I’ll have plenty more work on my plate before Monday. See you guys on the other side.

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My New Soy Based Diet

I switched to a soybean based diet this morning when I posted not one but two pertinent setups. The soybean oil futures for you lowly leeches and the actual soybean futures for my subs – of course the latter was my all time favorite and it’s been rocking and rolling since my entry.

2015-06-22_ZL_update

The former is looking good though and I’ve now moved my stop to break/even now. We initially pushed up nicely but that daily NLBL at 33.3 had to spoil the party. Clearly this is where we should expect resistance going forward.

2015-06-22_soybeans_update

And here’s the actual soybeans contract – brilliant entry and thus far our nefarious plan is proceeding like clockwork. Evil is as evil does…. anyway, I’m moved my stop to break/even here as well. Nothing but air above and with a bit of luck and scotch tape we may just take the express elevator to the 1k mark :-)

2015-06-22_EURGBP_setup

EUR/GBP is looking like a nice long but DarthMole tells me that volatility is just about to run out of juice here. So I suggest you wait a few hours and then look for a long entry near the 100-hour SMA and that stack of Net-Lines.

Of course there’s more – I like to spoil my subs. And there’s a EUR pair I like even better today. Please meet me in the lair:


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Scalpius Update

On a sidenote – I was chatting with Mugabe in the comment section about Scalpius’ win/loss rate when suddenly something occurred to me. The system was build on top of CI legacy code and that one was taking break/even two pips behind the actual entry point. Which means that you’d count it as a small loss and given a lot of opportunity those pips may just add up.

EURUSD_A

So I changed that to one pip in front of the break/even spot and that completely changed everything. Here’s the original ruleset with the new break/even spot running against the EUR/USD. I call it Scalpius A. The P&L is almost identical but look at the win/loss rate! We went from 1:2.2 to 1:1.09. That is a system I would happily trade with 1% R sizes.

USDJPY_A

Here’s Scalpius A against the USD/JPY. 180R with the exactly same win/loss rate – that’s uncanny.

EURUSD_AB

Since this morning I developed a slightly enhanced ruleset which I call Scalpius AB. That one is a bit busier and as you can see the EUR/USD is now showing a much more subtle drawdown period. However the W/L rate and the expectancy suffered a little. I think I would stick with system A on this one.

USDJPY_AB

Here’s the same Scalpius AB ruleset on the USD/JPY – my jaw dropped when I saw this one. Again we have a win/loss ratio of 1:1.09. But we would have banked 280R in three years. The SQN number is bullpucky – I need the formula for SQN100 – anyone?

I’ll keep plugging on this – extremely excited about it as you can imagine.

Cheers,




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