well, so much for the plans. just scaled up to 1. uj at 102.80, looks to me like we will see 103.30 at least. and if it's only one stab to collect liquidity prior to todays fomc statement. 103.10 and 103.30 clean levels and perfect targets.TopFroxx said:allocation changed a bit.
uj still the biggest position, but e/g long and g/chf short aggregated (eg long and gchf short pretty much the same thing) are of the same size as the uj long now. wont be changing the scaling factor anytime soon, unless i have a clear bias on uj AND eg. so will probably be sticking to 0.9 for the time being.
thanks. could you elaborate or do you have an idea/suggestion how to visualize?Jack said:Enjoying your journal so far. Just wish there was some way to better visualize the basket as you update.
To think, the cash equity market in Japan has been on holiday for the last few days as well.. so this slump and move has been without their local exchanges moving shares.. This coming Monday they'll be opened back up and we'll see the fallout in the cash equity market (and anyone who wanted to sell but couldn't can get their chance..)TopFroxx said:"USDJPY Slumps Most In 4 Months As Nikkei Futures Tumble 450 Points"
wow, i have to say, i'm impressed. still sitting on an 8% drawdown currently (combined mainly from eg long and uj long), but it could have been quite a bit worse.
no changes in portfolio allocation currently.
at the end of today the strategy better tells me to short thenJack said:To think, the cash equity market in Japan has been on holiday for the last few days as well.. so this slump and move has been without their local exchanges moving shares.. This coming Monday they'll be opened back up and we'll see the fallout in the cash equity market (and anyone who wanted to sell but couldn't can get their chance..)
eg almost reached that noted 0.8220 level. increased to 1.15 at 0.8235. looking for 0.8275 to scale back to 1.1TopFroxx said:wow, it happened. at least to some extent. after the most recent calculations all yen long position got decreased quite a bit. UJ long now only makes for 30% of the overall portfolio, which is an all time low in the forward testing period.
biggest position now is e/g long and g/chf short. e/g dropped quite a bit and the strategy seems to expect a recovery. i am not too sure about that one. i am not going to tinker with it at the moment and leave the scaling factor at 1. could see a further drop to 0.8220 in my opinion, which is where i would start to look at a possible increase in positions. if price rises on the other hand, i will scale back a bit (to 0.9) at the close of the weekend/holiday gap around 0.8308.
btw i didnt forget about this. i tried but could not find any significant pattern comparing relative currency positions vs equity. maybe it's neccessary to adjust the relative positions with the historical performance of that currency in some way.Jack said:I was thinking more like a way to visualize the weighting's change over time and how that compares to the account's unrealized+net % return.
So that way we can see the rate of change (in weightings), and the impact on returns it has (if any) between periods.
Perhaps a bar chart with bar's being divided up by weightings and an overlay line graph of % unrealized+net (and by that I mean % returns including floating positions.)
(EDIT: this would be something that's cumulative, so the chart would get more and more interesting as new periods are added and we can see it grow.)
I know that's asking a lot.. so unless that sort of thing is easy for you to automate and generate, don't worry too much about it. I just like making visuals of relationships between datasets. ;P
EDIT2: Also, if you're worried about copy-traders.. you can always just put a significant time delay between adjustments in your positions and posting it here.
Right now the majority of our members are lurkers, but that's the same with most forums. People are reading your journal (I am for instance. )TopFroxx said:a bit off topic: i'm thinking about another thread for another "quant" strategy. it's a bit more simple, just based on patterns of daily candles on EU. historically evualted the probability and profitability of a lot of patterns. if anyone is interested, let me know. dont know if it is worth it (not sure if anyone is reading this thread [it's quite boring, i got to admit], so there might be no point in starting another, similar one).