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)
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