Tuesday, February 14, 2006

We saw a bit of a "snap-back" in most of our positions today, with the exception of Yen and Sugar, both of which moved moderately against us. Sugar is certainly feeling the effects of lower Crude prices, as expected (Over the past several months, Sugar moved up in sympathy with oil prices, with ethanol is becoming a viable energy input higher Crude prices). Bond prices fell, and our S&P position had a very nice day.

Our TNR position called for a trend day, but we were whipsawed out of our positions in the morning chop, and finished with a net loss of $996 on the day. Tomorrow we are calling for a reversion day in ES and neutral in NQ.

Our positions:
Contract ctrcts Open P/L days on
Contract ctrcts Open P/L days on





@US.P 0 $0 0 @NG.P 0 $0 0
@TY.P 0 $0 0
@KC.P 0 $0 0
@FV.P -4 $1,425 9 @SB.P 3 $10,214 97
@EC.P 0 $0 0 @CT.P 0 $0 0
@JY.P -1 -$1,463 7
@GC.P 3 $7,560 108
@CD.P 2 -$280 17 @SI.P 1 $2,125 59
@C.P 0 $0 0 @HG.P 2 $11,225 176
@W.P 0 $0 0
@LB.P 0 $0 0
@S.P 0 $0 0 @ES 2 $2,350 58
@CL.P 0 $0 0 @YM 0 $0 0
@HO.P 0 $0 0 @NQ 2 $2,520 0











Total Open Trades
$35,677




Total Closed Trades -$12,540




Total

$23,137



Good luck, and have a great evening!

2 Comments:

Anonymous Anonymous said...

I noticed you don't have any of the meats in your portfolio. Do you not trade these for a particular reason?

1:48 PM  
Blogger gbeske said...

Good question - The short answer is that we were trying to get roughly equal exposure to as many areas as we could, without rolling in every contract out there. We elected to leave out the meats simply because we already had "agriculture" exposure through the grains, which have greater liquidity. However, the meats would have worked as well.

We have backtested the meats with this methodology, and they do OK:

Live Cattle 29 trades, avg $866
Lean Hogs 26 trades, avg $25
Pork Bellies 29 trades, avg -$81

Putting them in would help the overall performance of the system, but we decided to draw the line at 3 markets per sector.

thanks for asking!

4:56 PM  

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