Monday Morning Lottery Ticket

I didn’t stop for a minute over the weekend catching up on several internal projects plus I somehow managed to squeeze in an update on our statistical stock trading system. We are currently in a small drawdown off the peak but I’ve been noticing that the long campaigns alone would have produced 25% in profits over the course of only 20 weeks (check the various tabs in the total results spreadsheet). NOT BAD! Of course given the ramp across equities lately this isn’t exactly a huge accomplishment but I wonder if the system could benefit from a simple SMA filter. While > only take long campaigns, while < only take shorts. May be worth a shot but let’s continue collecting data this year and then revisit the topic.

Anyway, without further ado here’s our Monday morning lottery ticket. As everyone and their pets now hate the Dollar I have been looking for early exposure. The odds are pretty low in these situations (20% plus minus) but the pay-off can be huge as these types of campaigns leverage the explosive ramps that happen when too many market participants are caught on the wrong side of the tape.

So I took out a small long position with a stop below 88.195. If it drops below that I’m committing seppuku anyway, so it won’t matter right? 😉

Here’s a long term view of what’s going on in the DX futures. UGLY!! And don’t for a second believe those silly trend lines I’ve drawn on the chart. A drop to the 100-month SMA near 87.5 still is in the cards which would also…

… line up with a push into 1.3 on the EUR/USD which is near the center of previous long term mean reversion.

But again I’m not worried the slightest as my kaishakunin is standing by in case that happens.

Now more uplifting news as the as our ZL campaign is making headways (pun intended) and we’re now ready to push our stop to break/even. I would usually have waited a little longer but since the Dollar may just break out I decided to switch into nimble mode on the commodities side.

One more for the leeches – BTC/USD. The daily panel has been producing a series of lower highs and lower lows and after the third iteration we now have a bullish and bearish inflection point respectively.  A push > 12,800 most likely puts us on the course for another leg higher and a drop < 9250 could trigger all sorts of fun. Frankly I’d like to see the latter just for shits and giggles as I enjoy people who bought at 19,000 tweet HODL after having lost half their assets.

Now if you are not a sub then avert your eyes as you are not worthy and should live in shame for the cheapskate that you are :-p

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