Trading Update 4/11/14

Posted by on Apr 14, 2014 in performance update, trading, trend following, Uncategorized | 0 comments

We’re a bit late on this update but that’s what happens when it’s 80 degrees and sunny Friday afternoon, not to mention the Masters was being broadcast.

It was another messy week in the markets.  It seems every pundit is trying to call this correction the BIG one.  Far be it for us to say if they are right but for folks that get paid by how few breaths they take on tv everyone is hoping to be the soothsayer of Financial Crisis 2014.  We’ll let the fools duke it out for that title and we’ll stay comfortable in the background trying to ride the bucking bronco (hat tip Bill Dunn for that quip).

We listened to Mike Covel’s podcast last week as we do most weeks and he mentioned a quote attributed to Amos Hostetter who founded the legendary Commodities Corp in the late 1970′s and who birthed some of the most famous traders in history (PTJ, Bruce Kovner, Michael Marcus, Ed Seykota, etc).  In talking about cutting losing trades Hostetter was to have said, “Forget about the cheese just let me out of the trap.”  That’s pure gold Jerry.  Too often trades are fighting for the extra cheese when they don’t realize they’re in a much more serious trap i.e. doubling a long position in a bear market.

This might be a very appropriate week for this comment because it may appear someone is getting trapped.  Whether it be the longs hanging on for dear life near all time highs or the new shorts who are trying to call the top rest assured someone is getting caught.

Portfolio wise it has been a pretty rough go of it lately.  This month alone in our System 1 we have closed 1 winner for 0.00R profit (so really a non-loser) and 8 losers for an average of  -0.19R.  With our low win percentage it is not uncommon for us to have a string of losers so it’s wise of us to keep these losses to a minimum.

We began adding a few shorts last week and the overall market broke and although we are still holding those shorts Monday morning only one of them is comfortably in  profit so we must keep an eye on them.

S&P500 Globex Full0614 Future

The S&P 500 on weekly terms closed well below the 10 week moving average so we will tighten up our stops.  We also plan to exit two positions on Monday morning.  $LYG and MWW will be cut for hopefully minimum damage.

LLOYDS BANKING GROUP PLC ADS

MONSTER WORLDWIDE

 

On a daily basis $SPY has also closed well below it’s 20 day low so we will refrain from adding any long positions and cautiously add a few shorts to go with our existing ones.

SPDR S&P 500

 

S1

Longs

$GPX 0.14R

Shorts

$CWCO 0.43R

$HOS 0.00R

$PBH -0.25R

$WPC 0.00R

$ANGI $-0.05

Sum of Open Profits: 0.27R

Closed Trades

$NES -0.02R

$TNGO -0.28R

Sum of Closed Profits: -3.63R

Sum of All Profits: -3.36R

Change from Last Week: -0.79R

Winners: 40

Losers: 167

Win Percentage: 19%

Avg Win: 1.12R

Avg Loss: -0.29R

Expectancy: -0.01R

 

S2

Longs

$LYG: -0.16R

$GNW 0.27R

$KEG 0.32R

$SKX 0.08R

$SNX 0.08R

$MWW -0.06R

$LEE 0.13R

$CTS -0.05R

$VLO -0.17R

Sum of Open Profits: 0.43R

Sum of Closed Profits: -1.86R

Sum of All Profits: -1.42R

Change from Last Week: -1.54R

Winners: 5

Losers: 10

Win Percentage: 33.3%

Avg Win: 0.17R

Avg Loss: -0.23R

Expectancy: -0.09R

 

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Trading Update 4/4/14

Posted by on Apr 4, 2014 in performance update, trading, trend following | 0 comments

Another week another new high and weak close.  Something about this market smells fishy.  We generally have low volatility rallies during the week followed by violently selling on Fridays.

SPDR S&P 500

Today we had the Nonfarm Payrolls report which is generally one of the most worthless economic numbers because of the pure chicanery involved.  It leads to considerable volatility and overall I feel it’s garbage.  Anyone who “trades” this number is a fool and deserves all it’s wrath.

Our S1 has continued it’s struggles.  Our mentor, Trader Steve  had a good post on his blog about the indecisiveness of the market.  Despite many markets like the S&P breaching new highs the daily system continues to under perform.  You don’t have to look at a graph to know that many of your trades and thus breakouts are failing and existing positions are getting stopped out.  That is not a bullish sign and fortunately for us we are not relying on any outside influences to show us the way, losses are proof enough.  As Steve mentioned we’d rather err on the side of being lightly invested.

This week we only closed 5 losing S1 trades and 1 “winner” that was really a scratch.  The market showed some initial strength throughout the week but day after day the breakouts failed.  We were vanquished twice this week by $RFMD.  One trade early on we closed for a scratch and we re-entered on Thursday only to close out for a 0.38R loser.  We felt good about the setup however Steve commented on twitter that it was not one he would’ve taken.  Though we strive to be as systematic as possible there does seem to be a fair amount of discretion in stock selection and setups.  Although the basics are the same for he and I, how we read the volatility filter and the price action is a bit different.  With $RFMD we saw a nice long trend that was consolidating with a low volatility filter reading.  What we missed that Steve pointed out to us via Twitter is that not only was the 2ATR reading high following the price gap higher in February but the price action had not “reset” itself meaning that there had been no breach of the trend to the downside.  This is a sign of a mature trend with a much less favorable risk/reward.

Again, there remains a lot of discretion in reading these charts but in this case I think Steve has proven his worth.  The saving grace in these two trades is that the second one was exited for a small loss today and yet the stock continued lower by almost 5% so it’s a perfect example of cutting your losses early.

RF MICRO DEVICES

 

Our S2 performed well this week mostly on the back of $SNX which was up 23% on an earnings report.  Our policy is to hold positions through earnings and in this case we weren’t watching for the report but it was positive for our position so well will chalk that one up to the Gods.  We would expect the market to fill in some of that gap but let’s hope not.  We will adjust our stops accordingly.

SYNNEX CORP.

 

We are becoming more and more comfortable with our long term system despite it starting out on the wrong foot.  We are not in large profits yet but they system is proving itself slowly but surely.  Additionaly the S&P 500 remains above it’s 10 week moving average so we will maintain our stops and have no exits for next week.

Now on to the results.

S1

Longs

$NES 0.67R

$AA 0.04R

Sum of Open Profits: 0.71R

Closed Trades

$IDSA -0.30R

$RFMD 0.00R

$WFT -0.36R

$RFMD -0.38R

$CYNI -0.11R

$SVU -0.05R

Sum of Closed Profits: -3.28R

Sum of All Profits: -2.57R

Change from Last Week: -1.25R

Winners: 38

Losers: 162

Win Percentage: 19%

Avg Win: 1.19R

Avg Loss: -0.29R

Expectancy: -0.01R

 

S2

Longs

$LYG -0.04R

$GNW 0.58R

$KEG 0.25R

$SKX 0.27R

$SNX 0.45R

$MWW 0.10R

$LEE 0.35R

$CTS 0.02R

$VLO -0.01R

Sum of Open Profits: 1.98R

Sum of Closed Profits: -1.86R

Sum of All Profits: 0.12R

Change from Last Week: +1.01R

Winners: 7

Losers: 8

Win Percentage: 47%

Avg Win: 0.29

Avg Loss: -0.24

Expectancy: 0.007R

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Trading Update 3/28/14

Posted by on Mar 31, 2014 in performance update, trading, trend following, wall street | 0 comments

As we approach the end of the quarter the market is a bit range bound at all time highs.  The media and many smart people are calling for a large break and the bells really start going off when the indicies drop by 1% in a day.  That is a very small amount in the grand scheme of things.  Although the $SPY did breach it’s 10 day low this week it closed above it.  Additionally the $SPX has still not closed below it’s 10 week moving average.

We remain cautiously bullish.  We have only 2 positions open in S1 after closing 10 losing trades last week which is 1 more than the week before despite all being good looking setups.  This does not bode well for being bullish long-term.  In a true up trending market you would expect to see more position begin working.  Fortunately our average loser last week was only 0.25R and save for one very bad exit on $OCLR it would’ve been even less.  Still none of our loser trades are even close to a full 1R.

Before we get to the performance update a bit of housekeeping and some extra links.

First; I’m not sure why it didn’t occur to me that I can’t post better graphs in the blog.  Previously I had screen captured a portion of the graph with a nifty program called Jing but that led to all the graphs being different sizes.  We use Pro Real Time which is free and terrific and they have a nice way to save and share graphs such as this one of the $SPY.

SPDR S&P 500 new

 

Secondly, we here at Random Acts of Kurtosis are big fans of 60 Minutes on CBS.  What is seen by some as dated still always fascinates us.  Even though most of the presenters are older (save Anderson Cooper) they do a admirable job bringing to light interesting stories.

Yesterday they had two pieces I really enjoyed.  The first was on the subject of High Frequency Trading (HFT).  Now, if you are in the finance world and trading this is probably not a new subject, nor is the fact that the market is run by those with the fastest connection to the exchanges and in general the investing public is getting run over.  Fortunately for us we have adopted a method that makes us less susceptible to this activity.  If you are trading a system or arbitrage where speed and pennies count then no doubt HFT is to your detriment.  We’ve seen this arms race first hand in our days of proprietary options market making and it’s clear that the F

60 Minutes on HFT

A final note on this piece.  We are big fans of Michael Lewis.  Apart from Liars Poker he has coined some of our favorite books.  However, in today’s world it seems that by the time he gets around to selling these most of the knowledge is out there and we are well versed.  We enjoyed The Big Short just like I’m sure we will enjoy his newest book on HFT called Flash Boys but because of our interests we already know much of this.  Like most things though, it seems it’s not truly media mainstream until Michael Lewis writes a best seller about it and pimps it on 60 Minutes.

The second piece on 60 Minutes was concerning Elon Musk and his ventures into Space and car manufacturing.  His story and success is remarkable despite heavy odds stacked against him.  For the entrepreneurial this is a must watch.

60 Mintues on Elon Musk

Now on to this week’s results.

S1

Longs

$NES 0.93R

$AA -0.18R

Sum of Open Profits: 0.76R

Closed Trades

$FSL -0.31R

$OCLR -0.64R

$DAN -0.11R

$HOME -0.32R

$ENTG -0.44R

$VMEM -0.35R

$LVLT -0.06R

$ICGE -0.07R

$EGL -0.18R

$TLT -0.01R

Sum of Closed Profits: -2.08R

Sum of All Profits: -1.32R

Winners: 36

Losers: 158

Win Percentage: 19%

Avg Win: 1.26

Avg Loss: -0.30

Expectancy: -0.005R

 

S2

Longs

$LYG -0.11R

$GNW 0.48R

$KEG 0.20R

$SKX 0.22R

$SNX -0.25R

$MWW 0.12R

$LEE 0.30R

$CTS 0.07R

$VLO -0.08R

Sum of Open Profits: 0.96R

Sum of Closed Profits: -1.86R

Sum of All Profits: -0.89R

Winners: 6

Losers: 9

Win Percentage: 40%

Avg Win: 0.23R

Avg Loss: -0.25R

Expectancy: -0.05R

 

 

 

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Trading Update 3/14/14

Posted by on Mar 14, 2014 in Uncategorized | 0 comments

Another week in the books and it wasn’t pretty.  Early in the week the market flirted with new highs but Wednesday through Friday was messy and the S&P 500 closed hard upon it’s lows.  Good news is we are still in an uptrend (barely).  The $SPY has yet to break it’s 10 day low and the weekly $SPX close is about 20 points off it’s 10 Week Moving Average.  We may be cautious next week on adding too many new longs depending on what happens early in the week.

If you recall correctly the last time we had a dip lower we tried a few shorts only to see the market snap back and move to fresh new highs.  It is not for us to say whether this time will be different only that we will watch these levels and adjust our stops per our system.

A downright ugly performance by both systems this week.  S1 lost over 3R on the week and S2 lost nearly 1R (don’t forget our S2 R is 4x that of our S1 R).

In S1 we had quite a bit of activity.  We closed 2 profitable trades and 6 unprofitable trades.  There were a couple of instances when we adjusted our stop to the break out level only to get filled on an exit and then see the stock close higher.  It’s painful and we’ve tried to keep an eye on failed breakouts with the anticipation that they could still be valid profitable trades however we do find that a quick trigger on the exit will keep us out of trouble as was the case with two trades this week below in $MAS and $VOYA.  See the failed breakouts below.

MAS

VOYA

 

Also, take a look at $NYNY which we exited for a 0.84R profit.  We closed the trade on Mar 11th when we breached the 10 day low (lighter red line) and the stock continued lower.  That’s good risk management right there.

NYNY

 

S1

Longs

$GNC 0.25R

$GORO 0.31R*

$ICGE 0.14R*

$ANH 0.24R*

Sum of Open Profits: 0.94R

*denotes opened new this week

Closed Trades

$NYNY 0.84R

$CSTM 0.25R

$MAS -0.49R

$SANW -0.36R

$VOYA -0.05R

$GASS -0.06R

$AXDX -0.13R

$HHS -0.24R

Sum of Closed Profits: 2.66R

Sum of All Profits: 3.60R

Change from Last Week: -3.36R

Winners: 39

Losers: 138

Win Percentage: 22%

Avg Win: 1.27R

Avg Loss: -0.30R

Expectancy: 0.04R

 

It appears we’re going to have 2 exits in S2 for Monday morning.  Coal stock $BTU has been really dragging and we’re looking to close it for around a -0.66R loser, our worst yet in S2.  The other will be $ALU for hopefully -0.15R which is not too bad.

$ALU

ALU

$BTU

BTU

S2

Longs

$LYG 0.02R

$GNW 0.38R

$ALU -0.15R

$KEG -0.14R

$BTU -0.66R

$SKX 0.19R

$SNX -0.20R

$MWW 0.34R

$LEE 0.65R

$CTS 0.07R

Sum of Open Profits: 0.50R

Sum of Closed Profits: -1.21R

Sum of All Profits: -0.72R

Change from Last Week: -0.98R

Winners: 6

Losers: 8

Win Percentage: 43%

Avg Win: 0.28R

Avg Loss: -0.30R

Expectancy: -0.05R

 

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Trading Update 3/7/14

Posted by on Mar 7, 2014 in performance update, trading, trend following, Uncategorized | 0 comments

We’re finally back on tract here at Random Acts of Kurtosis.  As much as we enjoy some travel and R&R it’s strangely nice to be back at work getting things done.  Call it a bit of anal retentiveness but we enjoying doing things in an organized and efficient way.

Similar story this week in the market.  Stock make a new high although nothing spectacular.

Our S1 struggled a bit this week.  There were lots of good setups but our tight stops keep kicking us out of trades and we missed a couple of really solid entries.  One of the more frustrating stocks this week was Spansion ($CODE).  We entered long this stock on February 11th only to be stopped out two days later for a small loss (-0.15R).  Not one to shy away from a good entry we entered again this past Tuesday, March 4th and were kicked out again the next day for -0.12R.  Finally we took another swing on Thursday March 6th only to be taken out AGAIN today for another -0.15R loss.  In sum, we’ve loss -0.42R in the trade which is nothing to be worried about.  Even with today’s lower close it’s a pretty good setup and if things are bumping up against the breakout area we want to be along for the ride if and when things do kick off.

CODE

 

Both systems are showing positive expectancy albeit very small.  We exited one S2 stock this week, closing $WNS for -0.28R.

 

S1

Longs

$NYNY 1.53R

$CSTM 0.68R

$GNC 1.85R

$GASS 0.40R*

$VOYA 0.14R*

$MAS -0.25R*

$SANW -0.07R*

Sum of Open Profits: 4.28R

*denotes opened new this week

Closed Trades

$LUV -0.41R

$BX -0.46R

$CODE -0.12R

$AGNC -0.11R

$CASM -0.59R

$MTGE -0.17R

$CODE -0.15R

$KUTV -0.29R

Sum of Closed Profits: 2.89R

Sum of All Profits: 6.96

Change from Last Week: -0.87R

Winners: 37

Losers: 134

Win Percentage: 22%

Avg Win: 1.26R

Avg Loss: -0.30R

Expectancy: 0.03

 

S2

Longs

$LYG 0.14R

$GNW 0.43R

$ALU 0.02R

$KEG -0.03R

$BTU -0.52R

$SKX 0.26R

$SNX -0.16R

$MWW 0.51R

$LEE 0.73R

$CTS 0.08R

Sum of Open Profits: 1.47R

Closed Trades

$WNS -0.28R

Sum of Closed Trades: -1.21

Winners:7

Losers: 7

Win Percentage: 50%

Avg Win: 0.31

Avg Loss: -0.27

Expectancy: 0.02R

 

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