Week 2017-17 – Report

Screening

Was ok.

Execution

Got a margin call yesterday again.

Research

Digging deep into FX on 30min time frame. Beyond the promising mean reversion approach I revived also a quite old breakout approach.

I cleaned up the files, linked them to the chart files and will have to look into them further from how they really “look”, but for now I am quite happy and mildly optimistic.

HR

On Saturday I broke my chain for meditation. I could blame my heavy home improvement work or relaxing too much after children were out that day, but I missed and it is in line with my poor commitment in general and seen in prior weeks. 5min before falling asleep is ok for one day, but not for 4 weeks and more in a row.

Here is the broken chain.

Admin/IT

I cleaned up my backtest files.

Quality

Updated my business plan after Q1.

Tasks for next week

One clean and measurable task:

  • Finish clean up of backtests and store all on Dropbox

Furthermore, I’d like to focus on a more conceptual idea that is difficult to put into clearly defined steps:

  • Think about trade management (what options, how to backtest, partial profit taking, enter only on strong close, concept of SL tightening based on anticipating MACD, active profit taking etc.)

Last, from prior weeks still pending, but would like to take a step back and think first about trade management before going back to these.

  • For pullbacks: set-up manual backtest environment and plan
  • 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)
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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