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Cash & Carry

  • #81
  • Edited 9:48pm Oct 9, 2005 9:31pm | Edited 9:48pm
www.ii.net/~tk421/int081005.PNG
www.ii.net/~tk421/int091005.PNG
www.ii.net/~tk421/int101005.PNG

hope this helps.


edit: try again? postions havn't changed since friday
grist for the mill
  • #82
  • Oct 9, 2005 10:07pm Oct 9, 2005 10:07pm
But on the 8th I got the USD payment of $6.15 which i thought i would get over the weekend. The two days after this though the USD payment is in the cents.

On another note. What's the difference between the pairs payments and the USD payment?
grist for the mill
  • #83
  • Oct 9, 2005 10:15pm Oct 9, 2005 10:15pm
Yeap. It was a demo with 100k. I changed it to 2k.

Time to increase my exposure then.
grist for the mill
  • #84
  • Edited 10:39am Oct 10, 2005 9:00am | Edited 10:39am
ES, I'm close to getting in the positve now with my U P&L woohoo! The only thing that I've notice is that I'm paying on the USD/NOK and I believe you're getting paid on it. Why would that be?

I guess I should have stated what I'm paying, I'm paying interest on the USD/NOK instead of being paid.
  • #85
  • Oct 10, 2005 9:40am Oct 10, 2005 9:40am
I don't seem to get the daily update on the spreadsheet. I update unrealized on Cash and Carry Tab but everything else is static. How does exposure change on the first pair NZD/USD? What do I need to update each day?
SJ
  • #86
  • Oct 10, 2005 10:45am Oct 10, 2005 10:45am
Thanks ES. I am pretty thick so I need to follow up. I opened each position day 1, based upon the first pair amount and all the weightings for the others shown in Exp tab. So now I have 10 pair each with an exposure (original investment) shown on OANDA's exposure tab which is the units. How would that change on a daily basis?
SJ
  • #87
  • Oct 10, 2005 11:00am Oct 10, 2005 11:00am
What time is the spread for USDMXN the lowest? I see its at 125 now, the page on Oanda only shows what the ranges are but doesn't show what times, unless I'm reading it wrong.


Sam
  • #88
  • Oct 10, 2005 1:00pm Oct 10, 2005 1:00pm
ES,

Very intriguing system there. One question from the peanut gallery.

What is your risk? And what is your risk to reward ratio?

You havn't said anything about that yet, and it seems like important information for any trader or invester or tradevestor.

Oanda's margin call is 50% of the margin you are using, so at full leverage your risk is apparantly 50%. You have said that your uncle point is 30% though, so assuming that time and fortune have you at the computer screen when necessary ... you are risking 30% of your account on any given day.

From your spreadsheets the overleveraged version of your system banks about 0.25% in interest every day. So you are risking roughly 120 times your reward every day. Unless I'm missing something your system is the equivalent of making one (high probability entry) trade every day with 1 pip take profit and 120 pips stop loss.

Your scaled down version roughly 1/3 as ambitious .... 1 pip take profit and 360 pips stop loss every day. Actually you don't use all your available margin on the scaled down version, so your risk is more than 50% ... probably around 70-80% or so. That's more like going for 1 pip with a 1000 pip stop loss.

Am I missing something here?

You also take profits, but if you can do that consistently on this system then why not trade this basket as one composite currency cross that you can consistently profit on rather than relying primarily on the interest?

Thanks in advance for your thoughts. If I am slow in responding I'm not ignoring you ... got my hands full at work recently.

James
  • #89
  • Oct 10, 2005 5:18pm Oct 10, 2005 5:18pm
Quoting Redleg
ES,

Very intriguing system there. One question from the peanut gallery.

What is your risk? And what is your risk to reward ratio?

You havn't said anything about that yet, and it seems like important information for any trader or invester or tradevestor.

Oanda's margin call is 50% of the margin you are using, so at full leverage your risk is apparantly 50%. You have said that your uncle point is 30% though, so assuming that time and fortune have you at the computer screen when necessary ... you are risking 30% of your account on any given day.

From your spreadsheets the overleveraged version of your system banks about 0.25% in interest every day. So you are risking roughly 120 times your reward every day. Unless I'm missing something your system is the equivalent of making one (high probability entry) trade every day with 1 pip take profit and 120 pips stop loss.

Your scaled down version roughly 1/3 as ambitious .... 1 pip take profit and 360 pips stop loss every day. Actually you don't use all your available margin on the scaled down version, so your risk is more than 50% ... probably around 70-80% or so. That's more like going for 1 pip with a 1000 pip stop loss.

Am I missing something here?

You also take profits, but if you can do that consistently on this system then why not trade this basket as one composite currency cross that you can consistently profit on rather than relying primarily on the interest?

Thanks in advance for your thoughts. If I am slow in responding I'm not ignoring you ... got my hands full at work recently.

James
You asked this of Electric, and I want to see his answer too, but I'd like to try to answer it from my own primitive understanding just to see if I'm even in the ballpark.

The basket of 10 pairs is hedged within itself to tremendously slow the movement of the unrealized profit/loss (UPL) in either direction; positive or negative. This slowdown must be in place so that the daily change in UPL is less than the interest earned on the 10 pairs, thereby yielding a net profit. Barring extreme action in the market, the UPL should swing back and forth between relatively equal upper and lower "limits", albeit soft limits. Profit is taken at a positive UPL and reinvested to create the compounding effect. During the negative swing of the UPL, the position(s) are added to, (providing sufficient margin is available), in order to cost average the basket. If the market should turn violent, the soft "limits" of the UPL could go out the window and cause the UPL to plummet to an extreme loss. This is where the uncle point of 30% would kick in and close all the positions. Now I am assuming that such an event would be rare enough so that the interest profits previously accumulated during a normal market would be more than enough to offset the loss at 30%. I don't know what Electric's strategy is if the UPL goes belly up right out of the gate before any significant interest can be collected.

Electric, if there is ANY part of the above that is wrong PLEASE set me straight.

Dial
sxaxlxvxaxtxixoxnxbxyxgxrxaxcxexdxoxtxoxrxgx
  • #90
  • Oct 10, 2005 6:40pm Oct 10, 2005 6:40pm
Quoting diallist
You asked this of Electric, and I want to see his answer too, but I'd like to try to answer it from my own primitive understanding just to see if I'm even in the ballpark.

The basket of 10 pairs is hedged within itself to tremendously slow the movement of the unrealized profit/loss (UPL) in either direction; positive or negative. This slowdown must be in place so that the daily change in UPL is less than the interest earned on the 10 pairs, thereby yielding a net profit. Barring extreme action in the market, the UPL should swing back and forth between relatively equal upper and lower "limits", albeit soft limits. Profit is taken at a positive UPL and reinvested to create the compounding effect. During the negative swing of the UPL, the position(s) are added to, (providing sufficient margin is available), in order to cost average the basket. If the market should turn violent, the soft "limits" of the UPL could go out the window and cause the UPL to plummet to an extreme loss. This is where the uncle point of 30% would kick in and close all the positions. Now I am assuming that such an event would be rare enough so that the interest profits previously accumulated during a normal market would be more than enough to offset the loss at 30%. I don't know what Electric's strategy is if the UPL goes belly up right out of the gate before any significant interest can be collected.

Electric, if there is ANY part of the above that is wrong PLEASE set me straight.

Dial
Diallist if you close your positions at 30% loss one more question any investor has to cover then - at what point of the market decision is made to get back in, right? Since the investor entered the market at some random point in the first place it seems to me that one has to get back immidiately, lol.
  • #91
  • Oct 10, 2005 8:33pm Oct 10, 2005 8:33pm
Quoting baboon
Diallist if you close your positions at 30% loss one more question any investor has to cover then - at what point of the market decision is made to get back in, right? Since the investor entered the market at some random point in the first place it seems to me that one has to get back immidiately, lol.
run parallel systems. one live, one demo. if live system needs to be closed at 30%, then demo system can be monitored to note when UPL has begun trending back positive.
sxaxlxvxaxtxixoxnxbxyxgxrxaxcxexdxoxtxoxrxgx
  • #92
  • Oct 10, 2005 8:43pm Oct 10, 2005 8:43pm
I understand Add To as similar to dollar cost averaging as Diallist stated, but why close all positions if all positions are added to in the correct proportions. Similarly, why close all positions for a TP. Why not just add to each position from interest earned?
SJ
  • #93
  • Oct 10, 2005 9:24pm Oct 10, 2005 9:24pm
ES:
I was not thinking about Profit taking other than looking for max compounding effect without re-paying entire spread. Can't think about profit taking on this money since I feel naked without a stop and must be prepared to lose it all. I am praying that you are right with the 15% +/- DD.
SJ
  • #94
  • Oct 10, 2005 9:35pm Oct 10, 2005 9:35pm
Quoting ElectricSavant
Can anyone find anything wrong with what sjburdi suggests...To be honest I can't!

I got hung up on how to pay myself, but there is plenty of margin available to do that with.

How did I miss this, when it was right in front of my face?


Michael B.

I have been demoing on 2 pairs. Except for the first TP where I got excited at the profit opportunity and closed both positions ( I started the demo purely as a carry trade experiment), for subsequent TP's I only closed the profitable pair, but ensuring the resulting DD was acceptable. The extra margin available was then used to increase my position size.

This has been working out well so far.


Matsu
  • #95
  • Oct 10, 2005 9:50pm Oct 10, 2005 9:50pm
Quoting ElectricSavant
This is a "matched" hedged basket and too much of one spice and the elimination of another spice, could make this stew too salty.

I have traded four pair, like you have suggested and that works too...but not with this basket, I do not believe. But the prerequisite for this style, that you are trading Matsu, is to use non-correlated pair (not anti-correlated)

So can you please share with us why did you stop trading four pairs? What was the risk?


Matsu
  • #96
  • Edited 3:33am Oct 11, 2005 3:04am | Edited 3:33am
Hi, are you using .8558 or .1990 for the Base Exposure Factor at the moment?


Thanks.
grist for the mill
  • #97
  • Oct 11, 2005 6:57pm Oct 11, 2005 6:57pm
ES: This system is indeed unique as it is truley a tradevesting system with the power of compounding rather than relying on directional movement. However, since we are still dealing with currencies with extreme leverage I think there must be a way to determine a stop on each pair so as to build a safety net into the system. Based on backtesting their must be a resonable percentage stop for each pair that keeps you in the game given a catastrophe. Any thoughts.
SJ
  • #98
  • Oct 11, 2005 9:15pm Oct 11, 2005 9:15pm
Michael,
have you followed this current thread? http://www2.oanda.com/cgi-bin/msgboa...5;t=003799;p=1

I like ~chaffies approach....and large -DD's are part of the process...but look at the rewards...
  • #99
  • Oct 12, 2005 1:28pm Oct 12, 2005 1:28pm
Hello;

I've been stricly a trader so I'm green when it comes to carry trades, baskets and interest... LOL. I've been following your thread but this is my first post to this thread. What you are trying to accomplish is very interesting and I hope you succeed very well.

This may be a dumb question, but bear with me. Does Oanada pay triple interest on Wednesday like other brokers such as FXCM does? Is there some way you can take advantage of this Wednesday triple interest? I also read somewhere that sometimes a phenomenom occures on Wednesday where some of the higher interest bearing pairs move in the direction of the positive interest due to demand. This occurs until interest paying time at 4 or 5 PM . Any way to incorporate this phenomenom into your strategy?

Thanks;

JohnFX
  • #100
  • Oct 12, 2005 2:05pm Oct 12, 2005 2:05pm
Quoting ElectricSavant
Currently, unrealized is not going up or down, it is just holding steady. Remember 30% is where the system stops which is around -$1,100.00 in unrealized, which would net me a loss of around minus $200.00 and one or two month's of time. Then it will be back to the drawing boards. So the system does have a REAL STOP, but not in individual pair.

My questions are:

  1. Does exiting, adding to, and re-entry increase DD?
  2. If this truly is a Buy and Hold strategy, is there time enough to collect enough interest to get the original investment back? And is there a slow bleed degradation to the basket, that I am not aware of?
  3. What is the correct exposure to enter in with to weather the swings, no matter if it's Buy & Hold or a Hybrid Buy & Hold of Trading in and out, while collecting daily interest?

Unrealized -773.81


I don't think taking profit increases DD, actually I believe its prudent because it allows you to recoup your original investment and increase the return of the basket at the same time, it also 'resets' the cycle each time to start fresh. We have to watch the UPL cycles to see if theres going to be enough time to recoup the entire original investment, and to determine the best base exposure multiple for reward to risk. In the link below, it appears when dgcfx started this basket, he uses around a .5000 base exposure multiple for his.

http://www2.oanda.com/cgi-bin/msgboa...786;p=1#000006


I plan to use a .5000 multiple, and I will keep track of the UPL cycles to determine when its best to TP and add to.

Sam
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