Set-ups

$MMM – PB Long3M COMPANY


$MO – Anti ShortALTRIA GROUP INC.


$AMX – PB LongAMERICA MOVIL S.A.B. DE C.V. ADR SERIES


$CERN – PB LongCERNER CORP.


$CU – Anti ShortCU BANCORP (CA)


$HTZ – PB ShortHERTZ GLOBAL HOLDINGS INC


$IDCC – Anti ShortINTERDIGITAL INC.


$KR – PB ShortKROGER COMPANY THE


$MNK – PB ShortMALLINCKRODT PLC


$NI – PB LongNISOURCE INC


$SNI – Anti ShortSCRIPPS NETWORKS INTERACTIVE


$TGNA – PB LongTEGNA INC

Week 2017-16 – Report

Screening

Was ok.

Execution

 

I have put into test phse my mean reversion semi-automatic system and on Wednesday instead of closing the position I was doubling. I also got a margin call on Thursday as I was slightly overleveraged and was out without my TAN codes to react. This is not the 1st time it happens – luckily it did not hurt me so far, but I need to find a way to a) avoid and b) be able to react when away from my PC.

Research

 

Not so much this week. I was working on the mean reversion approach, but that was more Admin work. Looked superficially into the FX 30min MR approach and applied it to 5min data with similar and consistent results. Dabbled around with VIX index and noticed the delta to VIX Futures. There may be some interesting points to look into in the future.

 

HR

It seems silly to repeat the same words every week. Now that I have given up on other goals and only maintaining execution and screening I should really change my approach to meditation as I am actually only lying 5min before falling asleep and trying not to think about anything…

The chain is still there.

 

Admin/IT

 

Cleaned up mean reversion approach to have files ready to be save in a structured way.

 

Quality

I worked on my BP this week for my mean reversion approach and will finish next week

Tasks for next week

Simply copying the tasks from 2 weeks ago as I failed to progress.

  1. Update BP. Incorporate trial period for mean reversion approach, revisit pullback and define level of discretion, think about how to embed Waverly Advisors’ trades.
  2. For pullbacks: set-up manual backtest environment and plan
  3. Clean up backtesting, document it and store it on Dropbox in a structured way.
  4. FX MR. Seems a promising concept and need to dig deeper into it. Try first with charting game to see whether the set-ups seem attractive (whatever that means)
  5. Profit taking. Concept of SL tightening based on anticipating MACD. Active profit taking etc.
  6. Analyze concept of entering a trade only on strong close (otherwise get out and re-try next day)

Week 2017-14 – Report

Screening

Was ok. I notice different levels of effort on different days, but I think it is ok. I have to face many constraints, so I have to adapt and I can surely say that I did not miss any single day to screen since I started the blog, even if there were days were screening was quick and superficial.

Execution

 

Flawless.

 

Research

 

I had a lot of goals/tasks from last week and as expected was not able to meet them all. I started with my priority to look through all my backtested trades and select the most appealing to me on my discretion. Surprisingly (or not) most of them did not look appealing at all. The once I selected had a lower R than the sample and I started to dislike the approach. This may seem flipflopping directionless – and it probably is – but I think I do not have a better alternative.

I think I really have to manually backtest my pullbacks stock by stock which will be a huge task. This thinking process led to skip the rest of the tasks for now as they lack sense for now.

I still set-up the MR approach, faced some troubles but finally managed to start trading it with share size 1 on Friday. I have set up trades for Monday but will be out the whole week, so full go live (with share size 1) will be thereafter, but the prep work is done.

HR

All exactly the same as last week.

Still maintaining the chain for screening, execution and meditation unbroken which is the core of my work.

Meditation is slipping too much. I only do 5min before falling asleep. Need to improve and also revisit targets for sport and training.

Admin/IT

I screwed up my log file and saved it. Fortunately Dropbox offers a way to recover previous versions with the same name – great feature that saved my ass. Only took me 2 days to figure it out…

Looked again into slowness of IB TWS without success. Need to check back with customer support.

Quality

I have delayed working on the business plan by one or two weeks as I first need to finish the other pending steps.

Tasks for next week

Nothing, as I will be out. I will take my laptop in case I see a chance to work on point 1.

  1. Update BP. Incorporate trial period for mean reversion approach, revisit pullback and define level of discretion, think about how to embed Waverly Advisors’ trades.
  2. For pullbacks: set-up manual backtest environment and plan
  3. Clean up backtesting, document it and store it on Dropbox in a structured way.
  4. FX MR. Seems a promising concept and need to dig deeper into it. Try first with charting game to see whether the set-ups seem attractive (whatever that means)
  5. Profit taking. Concept of SL tightening based on anticipating MACD. Active profit taking etc.
  6. Analyze concept of entering a trade only on strong close (otherwise get out and re-try next day)

Set-ups

Again incredible abundance of attractive set-ups. Surprisingly not only on the long side. Many financials are setting up an Anti pattern but I prefer to skip them all. Market overall seems to be poised to set another trend leg up – the fact that it did not start on Friday is surprising (maybe a warning), as there may have been a trigger by US bombing Syria first time. Also the fact that financials do not look healthy may be a warning of may be exactly the tipping point once they improve to push the whole market… well, I am not a TV pundit, maybe it rains, maybe not. I am leaning heavily long and unfortunately I’ll be off completely next week so will mostly manage my existing positions. Pity with exciting set-ups…


$AGN – PB LongALLERGAN PLC


$MO – Anti ShortALTRIA GROUP INC.


$AXP – PB LongAMERICAN EXPRESS CO.


$AJG – PB LongARTHUR J. GALLAGHER & CO.


$CERN – PB LongCERNER CORP.


$CTRP – PB LongCTRIP.COM INTERNATIONAL


$SSP – PB LongE.W. SCRIPPS CO.


$TGNA – PB LongTEGNA INC


$SFM – Anti LongSPROUTS FARMERS MARKET INC..png

Needs wide stop


$COTY – PB ShortCOTY INC. CLASS A


$IDCC – Anti ShortINTERDIGITAL INC.


$MAT – PB ShortMATTEL INC.


$P – PB ShortPANDORA MEDIA INC.


$TRIP – PB ShortTRIPADVISOR INC.

Set-ups

Abundance of set-ups this week…


$IDCC – Anti ShortINTERDIGITAL INC..png

Have this on my list for quite a while now and should be ready to either invalidate the pattern or drop if tipping under resistance.


$HTZ – PB ShortHERTZ GLOBAL HOLDINGS INC.png

Could be a quick one. Looks quite similar to the pattern 6 months ago. Competitor $CAR looks also terrible.


$POT – PB ShortPOTASH CORP..png

Like the upper shadows. Last 2 candles may be just random noise but if not could get some momentum to the downside.


$TRI – Anti ShortTHOMSON REUTERS CORP.png

This is anything but a clean set-up, but often the best moves come from the ugliest set-ups. A lot of weak days with upper shadows and momentum seems to align to the downside.


$ABT – PB LongABBOTT LABORATORIES.png

This is borderline. The candles do not look good, but the momentum does.


$RHT – BO LongRED HAT INC..png

Looks like a consolidation after BO out of the consolidation after the BO of a large range (better seen on HTF).


$GPN – BO LongGLOBAL PAYMENTS INC..png

Similar to prior one. Small consolidation at higher end of higher consolidation of BO out of HTF range.


$CHTR – BO LongCHARTER COMMUNICATIONS INC..png


$CONE – BO LongCYRUSONE INC.png


$CMCSA – PB LongCOMCAST CORP..png


$SCCO – PB LongSOUTHERN COPPER.png

Trade Review -2017Q1 Losers

Coming close to the end of the quarter I thought it is a good time to review my best and worst performing trades.


$WMB – PB Long (1.0)RWILLIAMS COMPANIES INC. THE.png

The set-up was a borderline between PB weekly and BO daily. I think it was a valid set-up and the SL placement was reasonable. I got filled right at the top of a false BO, then got lucky of just not being stopped out quickly and see a quick recovery to new highs tightening my SL, but then got smashed by the huge gap through my SL. In the end I was lucky not to suffer a worse result. In any case, I think there was nothing wrong on my side, this is just the usual type of loser that happen once in a while.


$AUDUSD – PB Short (1.0)RWorstTradesAUDUSD.png

This one hurts… A very valid PB set-up, filled at the bottom, stopped out at the top only with (1.0)R to see it go off immediately to easily ~2R… This trade was actually suggested by my Waverly Advisors subscription. In hindsight I must say that I had probably chosen a slightly wider SL, but that would have been pure luck had it played out better…


$TWI – PB Long (1.0)RTITAN INTERNATIONAL INC. DE.png

Again at the risk of falling into the trap of hindsight bias, but the first thing that I noticed here is that the prior trend legs started from the bottom of the preceding pullback leg, while I opted for a breakout entry out of the consolidation, fell into the trap only to see my rather tight SL being triggered. Eventually the stock consolidated a little further and then made another move – again from the bottom of the pullback range… I think this is one I have to take on the responsibility and need to improvement.


$ROST – PB Long (0.9)RROSS STORES INC..png

This looks like a too tight stop or a too messy set-up, probably both. The momentum of the entry bar seemed very good, the tight consolidation after the failed follow through was ok, but then momentum vanished quickly, I tightened my SL a little bit and got out soon. The trade management was ok, but the set-up was not optimal. Again, this one goes on my list of improvement needs.


$LYB – PB Long (0.9)RLYONDELLBASELL INDUSTRIES NV.png

This one look quite attractive when I entered after some sort of failure test, but I got executed way above the high of the day and then saw it bleeding with low volatility right into my SL. I want to keep this review simple, but as I faced 3 close to 1R losses on long entries on stocks I have to notice that my actions seem not to take into account the overall market, which – again in hindsight – seemed to be overextended around this time (13-16 Dec 2016).


$GNTX – PB Long (0.9)RGENTEX CORP..png

In contrast to the previous one I had the tailwind from the overall market situation on this one, as SP500 was consolidating when entering here. Set-up seemed ok, stock broke out after tight consolidation and I tightened my SL, but then got hit by the gap open after earnings. Not much more to say except shit happens.


$EFX – PB Short (1.0)REQUIFAX INC..png

The entry does not look so compelling on the daily chart, but reasonable attractive on the weekly. In hindsight I think I should have tried to enter a little lower than my actual enty, to avoid being sucked into the trade but such false breakout. In the end I got lucky to have been stopped out the day before a gap up. In summary, too tight entry.


$PPC – PB Short (1.0)RPILGRIM S PRIDE.png

Not much to say beyond F-U… Good set-up, gap down open and entry short and being stopped out in less than 90min… I cannot see anything wrong, except the result…


$AGN – PB Long (1.0)RALLERGAN PLC.png

Again, I’d say rather bad luck. Got sucked into false breakout by a few points only. Both entry and exit points seem aggressive but still reasonable.


$CSC- PB Long (0.9)RCOMPUTER SCIENCES.png

In hindsight maybe a little too tight SL, but would not have changed the result. The trend was and is very solid, but maybe there are better set-ups out there with less agressive countertrend “shocks”.


$JPM- PB Long (0.9)RJP MORGAN CHASE & CO..png

Just did not work out. The whole market set back, especially financials. Got a terrible execution here as well, and need to look into the concept of getting out if not strong into the close.


$WDC- PB Long (0.9)RWESTERN DIGITAL.png

Picture perfect trade… only opposite direction… Nothing I can see wrong with it, except not re-entering, but I had it on my list and simply chose other entries.


$ES- PB Long (1.0)RMini S&P500 Full0617 Future.png

The set-up is very reasonable but I have to think deeper about the concept of only holding into a strong close. This would have saved me here.