Tuesday Morning Briefing

Welcome back! I trust everyone enjoyed a most relaxing Memorial Day weekend. Wish I could say the same but I was busy with a long list of chores and extended weekends are usually a great time for me to catch up.

2015-05-26_spoos_briefing

Now I’d love to hit the ground running this morning but much to my chagrin I don’t see a single chart I like right now. Equities are still in Cantonese chef mode and I have little desire to get involved here. Noteworthy however is that we are still holding above a daily NLSL (2113.25) and now there’s a brand spanking new weekly NLBL at 2114.75. And even if we lose that one there’s a ton of accumulated context below.

Not sure if you heard but Spain held local elections and various far left parties wiped the floor with the ruling conservatives. Not really surprising given that a quarter of the work force is unemployed, and voters clearly seemed determined to punish those in power.  Investors are now worried about the general elections in November which may push the political landscape in Spain even further to the left. Accordingly the EUR tumbled to below 1.09 and has recovered a little since.

Let’s see if we get a bit of movement later in the session.

 

It’s not too late – learn how to consistently bank coin without news, drama, and all the misinformation. If you are interested in becoming a subscriber then don’t waste time and sign up here. The Zero indicator service also offers access to all Gold posts, so you actually get double the bang for your buck.

Cheers,

Equity Curve Filters And Compounding

In early 2014 we decided to implement an equity curve (EC) filter into CrazyIvan. The reason for doing so was the realization that CrazyIvan exhibited high dependency, meaning it was cycling through distinct clusters of winning and losing periods. Here is a recent reason example that demonstrates how our EC filter works:

2015-05-24_CrazyIvan-EC_filter

Granted this is a rather idealized occurrence and our EC filter may sometimes activate or deactivate a bit late, which is unavoidable. As there apparently is a high correlation between winning and losing streaks between the symbols CrazyIvan trades and winning campaigns can run for a day or more the EC filter keeps an open cache of open positions in addition to a list of completed historical campaigns. You can find more information about our EC filter here and here.

2015-05-24_CrazyIvan_PnL

Our cumulative P&L graph currently has us at 136R since 1/1/2014. Now it would be a common mistake to assume that this is tantamount to a profit of 136%. All position sizes in CrazyIvan (and Thor) are based on the account principal. So if your are trading a $100k account your position size (i.e. R size) will be 1% of that – hence $1000 (for futures it will usually be a bit less – I’ll cover that another day). As your account grows or shrinks your position sizes grow or shrink accordingly. Which not only keeps your risk or R size in line with your account but it implicitly produces an effect called compounding.

2015-05-24_CrazyIvan_100k

On IB we’ve been seeing slippage of about 0.015R which of course has to be considered. Vankar’s slippage is actually quite a bit tighter as they’re clearing through the institutional branch of FXCM as well as CQG on the futures side – plus you trade 0.1 pip sizes instead of 0.5 pips on IB. However I’m keeping it as an average cost – clearly this will vary from one broker to the next (tip – always always try to negotiate).

Also note that no trades are taken during equity curve wait periods – we still log the trades as the EC filter requires those numbers.  In any case – you can clearly see the impact of compounding – instead of $236k it has climbed to $301k (including avg. commission and slippage). And over time that really starts increasing your leverage. Something to ponder about and this is why I always caution you against taking large risks on a particular campaign. Instead take small risks over time and let compounding work in your favor. Remember – the results above only represent 17 months of trading CrazyIvan – the goal is to maintain a reasonable growth rate over many years to come.

 

It’s not too late – learn how to consistently bank coin without news, drama, and all the misinformation. If you are interested in becoming a subscriber then don’t waste time and sign up here.

Cheers,

Pre-Memorial Day Freebies

Let’s face it – most of you guys are pretty much outta here, and I myself am planning on taking Friday off. So for whoever is still left I’ll throw out a few juicy pre-Memorial Day freebies. Caveat – unless they start moving in the coming few hours I recommend you wrap them up or put your stop at break/even.

2015-05-21_spoos_briefing

Spoos – if you still find them near that stack of Net-ines then a long position may be in order. I’m long here 1/2R with a stop  below the daily NLBL at 2113.25.

2015-05-21_EURUSD_briefing

EUR/USD – ya’ll know I hate this trade but I’ll take it anyway. If that 25-day SMA gives way then we’ll probably retest the lows. Don’t think that’s happening just yet during the long weekend (yes, Forex will be trading Monday).

2015-05-21_wheat_briefing

Wheat long near 515 with a  stop below 510.

2015-05-21_soybeans_briefing

Soybeans – grabbing a long here with a stop below 936.5. It’s soft support really – 1/2R only.

2015-05-21_gold_briefing

Gold! Very speculative long position here – 1/4R only. On a drop below 1202 we’ll probably retest 1195.

That’s it – see you later this afternoon. Now keep it cool and frosty and don’t get too crazy playing the swings. Remember, we’re going to see increasingly diminishing participation starting today – not that we saw a lot of it yesterday, except for that fake out spike to the upside.

You are not paranoid – they ARE out to get ya – watch your six! ;-)

It’s not too late – learn how to consistently bank coin without news, drama, and all the misinformation. If you are interested in becoming a subscriber then don’t waste time and sign up here. The Zero indicator service also offers access to all Gold posts, so you actually get double the bang for your buck.

Cheers,




    Zero Indicator


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    2. Putting Out Fires
    3. The Bulls Are Back On Notice
    4. Tuesday Morning Briefing
    5. Equity Curve Filters And Compounding
    6. Pre-Memorial Day Freebies
    7. Scaring The Children
    8. Wednesday Morning Briefing
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