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craftsman's Gadgets (Ideas/Analysis/Trades worth avg. +$10k/week)

  • #21
  • Edited 10:13am Mar 16, 2017 2:59am | Edited 10:13am
Mar 16, 2017 (Thursday)
Correlation between GB Bank Rate decision and U.S. Jobless claims

Trading Plan:
1) Hold long position of Sterling. (now 5pips in green, 125pips in green including hedging)
2) Keep short scalping. (hedging purpose)
3) Seriously consider getting out of the long.

Upcoming big events are GB Bank Rate Decision 8:00am EST and U.S. Jobless claims 8:30am EST.
Both events come out on Thursday. Rate decision is monthly or bimonthly, while Jobless claims is weekly.

It seems like Rate decision is more relevant to Sterling, however, I find no significant evidence that it matters (except the rate hike/cut ones).
Adversely, Jobless claims matters more on Sterling.

Let us take a look of statistics on the 36 releases of Bank Rate decisions/Jobless claims in the past 3 years.
On average, daily volatility (high minus low) is 138pips in Bank rate days versus 123pips in normal days.
16 out of 36 times Sterling posted negative daily gain (+74pips), the rest 20 times posted daily loss (-69pips).
8 out of 36 times (22%) Sterling posted gain in the following two trading days (+91pips), the rest 28 times posted loss in the following two trading days (-81pips).

Attached Image (click to enlarge)
Click to Enlarge Name: Image2.png Size: 102 KB

I need to seriously consider exiting the position today or tomorrow as Sterling stands higher chance to drop on/after the events.


craftsman
  • #22
  • Mar 16, 2017 9:51am Mar 16, 2017 9:51am
update:
Kristin Forbes (member of the committee) considered it appropriate to increase Bank Rate by 25 basis points. (1-0-8)
Good for Sterling, holding long is now following the trend while was against trend two days ago.

Attached Image (click to enlarge)
Click to Enlarge Name: Image1.png Size: 256 KB


craftsman
  • #23
  • Mar 16, 2017 10:01am Mar 16, 2017 10:01am
Great Thread! I hope you will keep it alive.

Wish you all the best!
"Men Who Can Both Be Right & Sit Tight Are Uncommon" ~ Jesse Livermore
  • #24
  • Mar 16, 2017 10:25am Mar 16, 2017 10:25am
Its great to see some data minning.
Sometimes central bankers refer to something being important in the previous policy statement and that tends to have more of an effect than one would normally expect when it is released.
Won't matter now but Forbes (hawk) is leaving at the end of June.
Great thread by the way
  • #25
  • Mar 16, 2017 9:45pm Mar 16, 2017 9:45pm
Everything as programmed. Next resistence 1.2390from where it could retrace muntil 1.2300and after 2565,big confluence of resistences.In the middle some resistences and retracements, but not very important, albeit every one will have his duly retracement..
Attached Image (click to enlarge)
Click to Enlarge Name: Ensign-05.png Size: 69 KB
  • #26
  • Edited 12:10pm Mar 17, 2017 2:25am | Edited 12:10pm
Mar 17, 2017 (Friday)
No sufficient pattern data to support forecasting

Trading Plan:
1) Cut 2/3 of Sterling "inventory" today and let the rest 1/3 go. (now 95pips in green, not including scalping profit)
2) Exit Short Scalping.

3) Find another product to trade for next week, potentially WTI crude or JPY.
4) Setup new Algo parameters to support new trades.

Total return on Sterling is quite good, having pocketed more than 25k in the last two weeks, plus 5k floating profit.
Short scalping do help reducing risk in the earlier month, and accounts for more than half of the profit.

I do believe Sterling will continue to go North.
However, the daily price pattern in the last 15 trading days is very weird, I can only find 2 other similar patterns (occurs on May 2013 and Sep 2014) using data in the past 5 years. Maybe the program has something wrong.

So cut some position will make me feel more comfortable, and also it is time to move to another product.

Attached graph, only 3 similar patterns recognized in the past 5 years including recent one.
Attached Image (click to enlarge)
Click to Enlarge Name: Image1.png Size: 202 KB



craftsman
  • #27
  • Mar 17, 2017 4:58am Mar 17, 2017 4:58am
Quoting craftsman44
Mar 17, 2017 (Friday) No sufficient pattern data to support forecasting Trading Plan: 1) Cut 2/3 of Sterling "inventory" today and let the rest 1/3 go. (now 95pips in green, not including scalping profit) 2) Exit Short Scalping. 3) Find another product to trade for next week, potentially WTI crude or JPY. 4) Setup new Algo parameters to support new trades. Total return on Sterling is quite good, having pocketed more than 25k in the last two weeks, plus 5k floating profit. Short scalping do help reducing risk in the earlier month, and accounts for...

Great work craftsman44
Thanks for starting this thread.
May the Forex be with you.
  • #28
  • Edited 5:03am Mar 20, 2017 4:48am | Edited 5:03am
Mar 20, 2017 (Monday)
GBP CPI y/y on tomorrow 5:30am EST

Trading Plan:
1) Exit all Sterling today, simply because it has been already rising for 4 consecutive days;
2) Try to short Aussie Dollar, right before or after 8:30pm EST, the AUD Monetary Policy Meeting Minutes releasing;
3) Try to long WTI crude, check correlation with USD before enter the trade.

Sterling has very little probability to continue go up without big correction.
Not only because it has been rising for 4 consecutive days, the upcoming GBP CPI y/y data also suggests a pullback tomorrow, plus statistically it is expected to dip avg. 81pips two days following the Bank Rate decision day (ref. #Post 21).

Reuters poll shows CPI y/y is 2.1% for tomorrow, I believe market has already priced this forecast in. 2.1% is a very high level, so if actual number is lower than this, Sterling would drop quickly.
Attached Image



Also there is a negative correlation between the performance on the CPI releasing day (pips) and 4-day performance prior to CPI releasing day (pips), especially recently after the Brexit referendum.
My understand is that CPI data has more "sell the fact" effect than other indicators.
Attached Image (click to enlarge)
Click to Enlarge Name: Image4.png Size: 99 KB


craftsman
  • #29
  • Mar 20, 2017 10:07pm Mar 20, 2017 10:07pm
update:
My trading style

Mainly focus on CME futures (currency, index and interest rate futures, sometimes crude).
I use Algos (Json codes, JavaScript Object Notation) for most of trades, meanwhile I manually build "inventory" (either long or short) to support Algos.
Algos normally have no directional market exposure, while the "inventory" has direct risk exposure to the price.

My trading style is very conservative, most of times leverage is less than 2:1, as I cannot tolerate any drawdown that more than 5%.
Performance is not too good but always decent.

Trading Recap:
1) Have squared all Sterling position yesterday.
2) Will move to AUDUSD in the next couple of days.
3) Already short some Aussie Dollar right after RBA Minutes to test water.


craftsman
  • #30
  • Mar 21, 2017 3:19am Mar 21, 2017 3:19am
Mar 21, 2017 (Tuesday)
2-day performance after RBA Minutes releasing

Trading Plan:
1) Hold Aussie Dollar short (now 10pips in green), add more short if necessary;
2) Long scalping, Algo activated only when breakdown 0.7670 (8pips discount on Jun futures);
3) Keep an eye on crude.

The reason I short Aussie Dollar is simple, it is near the 52-week high and is relatively stronger than GBP, EUR and JPY in the last couple of weeks.
Now GBP, EUR and JPY all pick up some momentum, cross pairs (GBPAUD, EURAUD, JPYAUD) may have opportunity.
To avoid uncertainty I will start to only focus on AUDUSD, as generally AUD has less correlation with U.S. indicators.

Non Commercial position is at highest and is positively related with the price.
When managed money and leveraged fund shift to other currencies, AUDUSD may drop.
Attached Image (click to enlarge)
Click to Enlarge Name: Image1.png Size: 45 KB

Some basic statistics:
On average daily change (Close-Open) is 41pips, daily volatility (High-Low) is 88pips.
In recent 3 months, daily change is 30pips, daily volatility is 67pips. Narrowed volatility due to a stable uptrend since late 2016.

This helps me to adjust the risk parameters - increasing trading size and tightening stop loss measuring.
I start to look on 2-days performance after RBA Minutes releasing.
There is no clue, suggesting an unclear trend.
Attached Image (click to enlarge)
Click to Enlarge Name: Image2.png Size: 43 KB


craftsman
  • #31
  • Mar 22, 2017 1:50am Mar 22, 2017 1:50am
Mar 22, 2017 (Wednesday)
Forecast cloud - AUDUSD daily range

Trading Plan:
1) Keep Aussie Dollar short (now 58pips in green);
2) Long scalping, range from 0.7648 to 0.7678;
3) Keep an eye on crude (long purpose, waiting for OPEC news).

Aussie Dollar has dropped like a stone since yesterday.
Attached Image

Partially because pressure on EUR and GBP have eased - Le Pen is not likely to win and higher than expected CPI in Britain.
I believe there will be more Non Commercial AUD Net Long holdings (ref. #Post 30) flowing into EUR and GBP - to cover the Net Short Position of the latter ones.

Based on pattern recognization, the similar drop pattern of last 15 hours happened 13 times since this year, a really smooth drop.
Attached Image

9 out of 13 times AUD was continuing to drop in the next 15 trading hours, while 2 times AUD stayed unchanged, only 2 times it had significant rebound.

Forecast cloud indicates that 70% probability AUD will stay in 0.7650-0.7672 range in the next 6 hours.
Will set this as the scalping range.
Attached Image (click to enlarge)
Click to Enlarge Name: Image2.png Size: 45 KB


craftsman
  • #32
  • Mar 22, 2017 4:26am Mar 22, 2017 4:26am
Quoting craftsman44
Statistics showed that high probability (95% confidence coefficient, ref. #Post 2) that today's GBP/USD moving range is 1.2223-1.2337. 1.2220 has strong support and the bearish run would possibly be over. Not surprise that it rebounded to 1.2328 (23.6% Fibonacci retracement level). Will review after London market closed. craftsman Attached chart is .DXY(U.S. Dollar Index, Green) and GBP/USD(Orange). {image}
Hello Craftsman,

Where can i find the chart of Dollar Index and GBPUSD like the above?

Thanks
  • #33
  • Mar 22, 2017 12:12pm Mar 22, 2017 12:12pm
Quoting aaven
{quote} Hello Craftsman, Where can i find the chart of Dollar Index and GBPUSD like the above? Thanks
Hi Aaven,

It was charted by Reuters terminal, alternatively stockcharts.com has the similar function.

http://stockcharts.com/h-sc/ui?s=%24...d=p83026262938


craftsman
  • #34
  • Mar 22, 2017 1:17pm Mar 22, 2017 1:17pm
Quoting craftsman44
{quote} Hi Aaven, It was charted by Reuters terminal, alternatively stockcharts.com has the similar function. http://stockcharts.com/h-sc/ui?s=%24...d=p83026262938 craftsman
Thanks Craftsman...
  • #35
  • Mar 23, 2017 5:41am Mar 23, 2017 5:41am
Mar 23, 2017 (Thursday)
Hangover

Trading Plan:
Cannot trade today due to hangover, still in bad headache, all I can do is to keep Aussie Dollar short (now 82pips in green).


craftsman
  • #36
  • Mar 23, 2017 6:05am Mar 23, 2017 6:05am
Quoting craftsman44
Mar 23, 2017 (Thursday) Hangover Trading Plan: Cannot trade today due to hangover, still in bad headache, all I can do is to keep Aussie Dollar short (now 82pips in green). craftsman
Partying like the good ole days?
  • #37
  • Mar 23, 2017 11:10pm Mar 23, 2017 11:10pm
Mar 23, 2017 (Friday)
Short the "weakest" pair

Trading Plan:
1) Have flatted all Aussie Dollar position (85 pips in green);
2) Short another pair in the next week (potentially JPY or GBP);
3) Scalp (the most reliable source of profit).

I believe Aussie Dollar still has room to drop, however I have pocketed the profit just now.
As my initial short size was too small, holding it would not significantly increase my profit anyhow.

Now I would like to turn to another currency pair with a higher volatility, after a week of rally, seems like a retreat is more reasonable.

Performance of GBP, AUD, EUR and JPY versus USD since Fed rate hike on Mar 15.
Attached Image (click to enlarge)
Click to Enlarge Name: Image1.png Size: 23 KB

Roughly JPY is too strong, I will not touch it. Euro is still in positive mood.
Except AUD, only GBP stands a good chance to drop because of the uncertainty of triggering the Article 50 in the next week.

I need more evidences to support the short of Sterling, like pattern analyzing, relativity test, and risk parameters setting.
However I have a felling that I better start shorting it now before London opening, or it would be too late to catch the train.


craftsman
  • #38
  • Mar 28, 2017 1:58am Mar 28, 2017 1:58am
Mar 28, 2017 (Tuesday)
False forecast cloud and a bad position

Trading Plan:
1) Find a way out for Sterling short position (49 pips in red);
2) Scalp.

Short position I accumulated on last Friday turned out to be a very bad bunch of trades.
Long scalping do make profit at the same time however still cannot cover the total loss.

Sterling is very very strong yesterday, I know that trade against the trend is always risky.
Though today it withdrew a little bit, the rally of yesterday diminished my confidence.
No big events until the triggering of Article 50, I must find a way out before then, unless I hold a very good position.

The price forecast cloud with high confidence coefficient made on last Friday failed this time.
The price range should be in 1.245-1.255 till now and should be in 1.238-1.247 on Wednesday.
Now it is out of price range. I am too lazy now to dig more data, will update later.
Attached Image (click to enlarge)
Click to Enlarge Name: Image1.png Size: 53 KB


craftsman
  • #39
  • Edited 6:27pm Mar 28, 2017 10:21am | Edited 6:27pm
update:
GBPUSD now on the way back to forecast cloud range (1.238-1.247).
I feel more comfortable to hold the short, as it now breaks down 100-hour moving average for the first time since Mar 15 rally.
If it holds for 10 more minutes to 11:30am EST, the bearish bar would be established.
Attached Image (click to enlarge)
Click to Enlarge Name: Image1.png Size: 24 KB


craftsman
  • #40
  • Mar 28, 2017 7:19pm Mar 28, 2017 7:19pm
update:
Selling pressure is very high now, usually there should only be less than 1,000 lots of future contracts traded per hour in the Asia opening session.
Now the first hour volume is almost 6,000 lots, all selling.
Attached Image

News in the last 12 hours also support a decent drop.
Attached Image (click to enlarge)
Click to Enlarge Name: Image2.png Size: 69 KB


craftsman
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