2011-08-25th (Thurs)

My previous report was made on 2011-08-05th (Fri), and in the past fourteen trading sessions we have stayed away from the extreme volatility that was witnessed.

I simply could not bring myself to a profitable position on the Dow Index or WTI Crude futures contracts, all my formulas were not giving me a true reading on the direction.

We are still experimenting with different time-frames and testing new algorithms, and so far none of them have been consistently profitable.

I am very close to phoning up Burton Malkiel to borrow his blind folded monkey.

Ultimately as trader only the trades matter.

Sell-To-Open 300,000 USDCAD at 0.98040 (2011-08-07, 21:48 pm EST)
Sell 100,000 USDCAD at 0.98355 (2011-08-08, 02:04 am EST)
Buy 100,000 USDCAD at 0.98306 (2011-08-08, 02:20 am EST)
Buy-To-Close 300,000 USDCAD at 0.98000 (2011-08-08, 03:34 am EST)

The above trades yielded us a tiny profit, but the algorithm was so messy and produced so many false signals we shut it down.

We constructed another algorithm and executed the following trades;

Sell-To-Open 150,000 USDCAD at 0.98680 (2011-08-08, 10:06 am EST)
Sell 50,000 USDCAD at 0.99083 (2011-08-08, 10:34 am EST)
Sell 50,000 USDCAD at 0.99189 (2011-08-08, 14:26 pm EST)

Then we sat out the next seven trading sessons as the markets got completely hammered.

Sell 150,000 USDCAD at 0.99210 (2011-08-18, 11:30 am EST)
Buy 150,000 USDCAD at 0.99076 (2011-08-18, 12:49 pm EST)

This algorithm is less messy but still producing so many false signals I am very close to shutting it down also.

Currently I have the following position;
Short 250,000 USDCAD with ACB of 0.98863

USDCAD is currently 0.98625 (2011-08-26, 02:22 am EST)

At this moment I am not seeing the volumes I was expecting ahead of Bernanke's speech at Jackson Hole.

My Short USDCAD position is not entirely secure and I am prepared for a spike of strength back above par like what we saw on August 9th.

I will allow for wider swings, as our position is small, and we have the available margin.

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
(2011-08-26, 02:28 am EST)