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Cash & Carry

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  • I find Cash & Carry to be:
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  • #1
  • First Post: Edited Jan 13, 2006 10:26am Oct 2, 2005 9:20pm | Edited Jan 13, 2006 10:26am
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  • #2
  • Oct 2, 2005 10:22pm Oct 2, 2005 10:22pm
electric, are you going to post the 2-3 trades as they come up this month? that would be really cool if you did.

i took a breif look at the spreadsheet, but i see i will have to spend some time with it before really getting the gist. i will get around to digesting it soon.

for those that may be scared off by the spreadsheet, would you mind giving us a breif overview of why the system works? although i see clearly the value in what you are doing, others may not understand what you have uncovered.

about ed thorp...he is the inventor of card counting and became a billionaire trader by uncovering something obscure as you have done...you should read his book "beat the market".
Relax and be happy.
  • #3
  • Edited 10:55pm Oct 2, 2005 10:47pm | Edited 10:55pm
On the 19/09/05 I set up a test C&C based on a basket posted on Oanda.
It was based on a AUD$1000 basket composed of the following units of each - this is on Oanda where your not restricted to fixed lot sizes. I've not added/subtracted from the original postion (as of yet).

Pair Position Units Current Pips -+ve
AUD/JPY Long 4500 0 0
EUR/GBP Short 3000 -65
EUR/HUF Short 1000 -517
NZD/USD Long 1500 -87
USD/CHF Long 3891 206
USD/HDK Short 2000 34
USD/MXN Short 4047 425
USD/NOK Long 2727 0 0

I've still to add on AUD/JPY & USD/NOK as I'm waiting for a better entry.
Balance = 1026.16
Current NAV = 1064.68
Unrealized Profit = 40.75
Interest earned = 21.64

Margin Used @ 50:1 = 542.69
Margin Available = 517.77
Margin Call = 271.35
Margin Percernt = 6.04
Position Value = 17,596.68
  • #4
  • Oct 2, 2005 11:01pm Oct 2, 2005 11:01pm
Quoting electricsavant
Cash & Carry is so well hedged and weighted giving the neutrality in the EUR and USD that it is important to get in at the same time and not risk stragglers knocking the hedge out of balance.
Michael B.
Yes, I took the punt that AUDJPY & USDNOK would retrace a little. They did but I missed it as out of town. So waiting for next pullback.
  • #5
  • Oct 3, 2005 12:14am Oct 3, 2005 12:14am
Quoting electricsavant
But my card counting days have been over for years and these books are 20 years old.
what????? your a card counter and you dont know who ed thorp is?!?!? shame on you!! he wrote "beat the dealer", the book that introduced the world to blackjack card counting.
Relax and be happy.
  • #6
  • Oct 3, 2005 1:51am Oct 3, 2005 1:51am
Quoting electricsavant
lol...

How am I doing with this Journal? I'm sure there are questions. I hope I am not posting too much...

Michael B.
looking good man. thanks for the pics, makes it easier to understand. i plan on spending some time with this thread tomorrow, i will let you know my questions.
Relax and be happy.
  • #7
  • Oct 3, 2005 2:01am Oct 3, 2005 2:01am
Isn't this a carry trade? If so thanks for posting info on it. I'm one step closer to understanding how to manage it.

Imagine going long aud/jpy a year or two ago.
grist for the mill
  • #8
  • Oct 3, 2005 5:15pm Oct 3, 2005 5:15pm
ok ok, i read through the spreadsheet. the faq section was particularly helpful.

im not going to call you electric anymore, im going to call you savant, cause your a genius! where the heck did you get this idea man? do you realize what you are sitting on here? even ole Ed Thorp would be proud of this one!

this strategy could be greatly improved if traded directly in the spot market (instead of going through a broker like oanda), so there is real potential to trade big money on it. i am certain there are already big players trading this way.

the funny thing is that this strategy is incredibly simple. ive actually thought of it before, but said to myself "there is no way that would work cause its too easy".

the basic premise is simple...put your money in the currencies with the highest interest rates, then eliminate the directional exposure. of course, the devil is in the details. if you use options and futures to get ride of the directional exposure, i bet you could improve the system even further.

i have a million research projects on my plate, but this one just rose to the top!
Relax and be happy.
  • #9
  • Oct 3, 2005 5:20pm Oct 3, 2005 5:20pm
do you think you can return 25% per anum with 50:1 leverage?
Relax and be happy.
  • #10
  • Oct 3, 2005 8:46pm Oct 3, 2005 8:46pm
I do think its a cool idea, I know a couple of people who's been using purely the EUR/HUF pair only for carrying, although that one does not eliminate the directional risk.

I'm still curious about the methodology which you use to eliminate the directional risk ... ?


Thanks..

Ken
Trade what you see, not what you believe.....
  • #11
  • Oct 3, 2005 10:05pm Oct 3, 2005 10:05pm
Quoting electricsavant
Yes...

I do not even need to trade to do that...The system pays $8.37 per day...

$8.37 * 365= $3,055.05 on $3,363.02 (90% per anum)
wha?!? are you on track for that in realtime? im guessing from the spreadhseet you have been trading this for about 6 months?
Relax and be happy.
  • #12
  • Oct 3, 2005 10:13pm Oct 3, 2005 10:13pm
am i understanding the game correctly....that you are putting your money (leveraged) in the highest interest yeilding currencies, then hedging the direcitonal risk?
Relax and be happy.
  • #13
  • Oct 3, 2005 10:15pm Oct 3, 2005 10:15pm
when you say "the unrealized", you are talking the directional risk, right?
Relax and be happy.
  • #14
  • Oct 3, 2005 10:22pm Oct 3, 2005 10:22pm
Quoting electricsavant
In the platform there is a field called unrealized P/L.
ok i think we are saying the same thing with different verbage. the unrealized P/L comes from the currency values changing. i call that "directional risk" because as the currencies go up and down, there is a risk to the open position. eliminating this risk, so that the total position is not affected by the direciton of the currency (up and down), is the job of the trader. when direcitonal risk is at zero, or close to it, the only way your position will change value is when you get paid the interest differential.

am i getting this?
Relax and be happy.
  • #15
  • Oct 3, 2005 10:31pm Oct 3, 2005 10:31pm
I had the spreadsheet open in Open office and it was rather confusing. Missing figures and errors for some reason
grist for the mill
  • #16
  • Oct 3, 2005 10:41pm Oct 3, 2005 10:41pm
I don't know, Open Office is free though. It seems one of the calculations in the Exposure sheet gives an error. It's about half way down the page. I'm at work now with M$ Office so it's okay. If you have the time you might want to install it and see.
grist for the mill
  • #17
  • Oct 3, 2005 11:21pm Oct 3, 2005 11:21pm
Hi, is there some key number to your exposures? It looks good to me!

If the USD was to drop 30% over night are you confident we wouldn't blow the 15%? I mean not evey USD cross moves an equal percentage ... surely?

do you factor potential changes into the interest wieghtings or anything like that? Therefore getting in cheaper! Perhaps I'm jumping here. But I like this method.

Unfortunately my broker does the roll-over thing
grist for the mill
  • #18
  • Oct 3, 2005 11:53pm Oct 3, 2005 11:53pm
Quoting electricsavant
JJ,

Again, this system is nearly neutral in USD...so why worry?

Michael B.
Duh... brilliant!

Thank you for sharing this system.
grist for the mill
  • #19
  • Oct 4, 2005 12:30am Oct 4, 2005 12:30am
Quoting electricsavant
. . . . When it goes plus I take profit and re-enter and when it goes minus I "add to"...(but never in single pair, in the entire basket, I treat the 10 pair as one instrument)
I am following this thread and you have my almost undivided attention (work takes the rest).

I have opened the demo account with Oanda. Now how do I know when to enter, or do I just hold my nose and jump in, like diving??

More to the point, your note above that you take profit and re-enter; when do you re-enter?

It appears on the spreadsheet that you maybe sell and re-enter on the same day) or am I missing something here? Or do you wait for a swing back to the negative side of the unrealised (assuming that you were still in the trade)?

Typically, how many days between TP and re-enter?

On the same note, on the spreadsheet there were clearly some transactions on 20/09/05 and 30/09/05 that adjusted the total parcel size. Could you please run though exactly what trades you executed on these days and how these trades were signalled or triggered by the data available in the preceding columns. If I can understand these two transaction days then I feel that the picture will start to pull into focus for me.

Great thread; great ideas; keep up the fantastic work.

Cheers,
Mike
  • #20
  • Oct 4, 2005 1:43am Oct 4, 2005 1:43am
Quoting electricsavant

We re-enter as fast as possible...to make interest, Wider spreads simply mean that the Unrealized pops negative right away...since we are not scalping no biggie...

Now if your question is deeper... as to the cycles, we will need to take this slowly. (please study the drawdown tab and notice the moving averages)
Michael,

Thanks for the response(s) - yes, checked the following ones as well.

On the face of it, you are exiting on a TP and re-entering immediately. Why? Surely the net effect is money (spread) in the pocket of the broker? I do not see the benefit to your system, apart from bringing the unrealised profit back to zero/slightly negative.

If in fact your perfect parcel is fully hedged and it cycles between +/-15% over the long term, then isn't a TP point at the extreme positive swing simply going to expose you to a potential 30% swing back to the opposite extreme over time.

I still do not see the value in "rolling" the trade and putting money in the brokers pocket; if we are in this to make interest (and it certainly does that very nicely), then why not just ride the +/-15% swings?

I am sure that you have a well thought through logic to all of this and I look forward to the response.

Keep up the great work - this is fascinating.

Regards,
Mike
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