2011-09-18th (Sun)

My previous report was made on 2011-09-03rd (Sat), and in the past nine trading sessions we have been fine tuning our algorithm.

We had to wait until after Labour Day to run our algorithm live starting Sept 6th (Tues) and the results were immediately unfavourable.

It did nothing to signal us to turn-around our position from Short to Long, and we missed out on 169 bps of opportunity as USDCAD spiked to 1.00239 on Sept 12th (Mon) and we saw our algorithm do absolutely nothing at all.

It did nothing to signal us to add to our existing Short position, and we missed out on 247 bps of opportunity as USDCAD retraced back to 0.97768 from Sept 12th (Mon) to Sept 16th (Fri).

Naturally we were pissed at ourselves for an even worse algorithm we had prior to Sept 3rd.

Leonard the monkey, which is a cousin of Burton Malkiel's as he never gave his a name, would have done better we think.

Ultimately as a trader only the trades matter.

At the end of the previous trading session I had he following position;
Short 550,000 USDCAD with ACB of 0.98183

Sell 50,000 USDCAD at 0.99000 (2011-09-05, 09:42 am EST)
Buy 200,000 USDCAD at 0.98080 (2011-09-18, 16:14 pm EST)

Currently I have the following position;
Short 400,000 USDCAD with ACB of 0.98183

USDCAD is currently 0.98347 (2011-09-18, 21:46 pm EST)

Our first line of credit was activated on 2011-06-16th (Thurs) and our second line of credit was activated on 2011-06-29th (Wed).

Total equity is 0% of June 1st and we are committed to trade ourselves back to our High Water Mark.

Stay Tuned,

Jeff
(2011-09-18, 21:47 pm EST)