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History of the Peloponnesian War


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History of the Peloponnesian War

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 Spartan 
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B BBRY 9.00
B EWM 15.15
B ES12-14 1925.00

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 bobwest 
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Well, I had to look to see what was in this thread -- I still remember Thucydides fondly, which I read so long ago now.... I wonder who else gets it?



Bob.

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 Spartan 
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Bob

B 18,000 BBRY 9.00
B 5,000 EWM 15.15
B 10,000 ES12-14 1925.00
B 19,208 IWM 106.63
Cash 47,792

Refs:

ES12-14 1921.00
NQ12-14 3925.00
TF12-14 1067.0
ZN12-14 126'16.5
QM10-14 92.450
VIX 19.19
USDJPY 107.863
XAUUSD 1222.36

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 Spartan 
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Stanley Fischer (Fed VC): "If foreign growth is weaker than anticipated, the consequences for the US economy could lead the Fed to remove accommodation more slowly than otherwise."

Had tightening "(US) data dependent" broadened to USD and foreign last week. Now: "more slowly than otherwise."

Mohamed El-Erian: "Prices-values are above fundamentals."

Values ratios for revenue, earnings, cash generation and leverage are now actually below long run averages.

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 Spartan 
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B C 18,000 Q 2,000 P -200.00 BBRY 8.90 V 9.00
B C 5,000 Q 330 P -125.40 EWM 14.77 V 15.15
B C 19,208 Q 180 P -338.40 IWM 104.75 V 106.63
B C 7,770 Q 1 P -4,450 ES12-14 1836.00 V 1925.00 SL 1771.00 @ -8%

Total P/L -5,113.80
Cash 47,792.00
Net Liquidity 42,678.20

ES Initial margin 5,060
ES Maintenance margin 4,600

Excess equity 37,618.20
Notional value of ES 96,250
Max loss 53,571.80

Refs:

ES12-14 1829.00
NQ12-14 3727.00
TF12-14 1051.1
ZN12-14 129'09.5
QM11-14 81.525
VIX 28.20
USDJPY 105.719 (back down from 109.963 levels)
EURUSD 1.27992 (strengthening back up from 1.25047 level while DAX at new lows)
XAUUSD 1244.83

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 Spartan 
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Janet Yellen (today): US on track for 3% GDP growth and unemployment has more room to fall.

Jeffrey Gundlach (yesterday): 2.2-2.8% 10 Year. Sub 2.2% can imply Fed push back rate hike from 2Q14.
__

Steven Schork: 80.00 oil now lower than OPEC need to keep books balanced.

Jim Cramer: NYMEX Crude 77.00.

Jeff Kilburg: NYMEX 75.00.

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 Spartan 
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Plosser no change. Market tanks AM. Bullard channels Fischer. Market recovers PM. Proactive communication?

China Central Bank. Action: monetary expansion 200 bn Yuan.

Haldane echos Fischer talk.

ECB still needing coordination / better communication.

Ukraine - Russia winter gas deal agreed.

Greek bond yield spike.

Very unusual lack of liquidity in futures book Monday causing huge swings. Precedent only in times of distress. Reports also of data dissemination problems at brokers. VIX spike above 30. Now back down.

Idea: monitor market liquidity and volatility for distress. Use as leading indicator. Cf. Greenspan OIS usage.

Trading: use liquidity as indication of bottom cf. 1987 / when to remove hedges.

SARS vs Ebola

SARS

Air borne vector
High mutation virus hard to vaccinate against
1 November 2002 31 July 2003: Cases 8,273. Deaths 775. Mortality 9.6%.
Primary region affected Asia.
29 cases in US and Europe. Zero deaths. Zero Re-transmission.

Ebola

Bodily fluids vector
Active vaccine development
Origin 28 December 2013 - date. Headline capture September / October 2014.
14 October 2014: 9,216 suspected cases and 4,555 deaths reported. Mortality 49.4%. Potential under reporting.
Primary region affected Africa.
17 cases in US and Europe. 4 deaths. Re-transmission in Spain and US.

Vision: US and Asia macro and company fundamentals solid. Ebola contained. Watch ECB and Europe on exit of Ukraine situation.

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 Spartan 
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B C 18,000 Q 2,000 P 2,600.00 BBRY 10.30 V 9.00 SL 9.50. Lenovo unlikely to get approval to acquire.

November 7 date confirms US Ebola contained.

China 3Q GDP marginal beat of revised lower estimate. US and Asia macro data confirming view.

US earnings mostly beats on bottom line. Employment tailwind. Indices need to catch up.

IBM missing. Too slow to Cloud.

Apple very ambitious 4Q sales outlook. Apple Pay not fully valued? Needs further research.

Schork (+1)
Cramer (-1)
Kilburg (-1)

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 Spartan 
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Importing NinjaScript

1. Copy or save .cs file to: My Documents\NinjaTrader [version_number]\bin\Custom\Indicator
2. From the Control Center: Tools > Edit > NinjaScript > Indicator
3. Click on file name in the list that is displayed
4. Press F5 to compile. F5 compile actually recompiles entire folder of .cs scripts.

Same procedure for Strategy.

Removing


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 Spartan 
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B C 18,000 Q 2,000 P 2620.00 % 14.6% BBRY 10.31 V 9.00 SL 9.50 @ 6%
B C 5,000 Q 330 P 3.30 % 0.1% EWM 15.16 V 15.15
B C 19,208 Q 180 P 786.60 % 4.1% IWM 111.00 V 106.63
B C 96,250 Q 1 P 1025.00 % 1.1% ES12-14 1945.50 V 1925.00 SL 1771.00 @ -8%
Total 138,458 Total P/L 4,435
Cash 47,792
Net Liq 52,227

ES Initial margin 5,060
ES Maintenance margin 4,600
Excess equity 47,167
Notional value of ES 96,250
Max loss 138,458
Account size 100,000
Leverage ratio 1.38

From 10 October 2014
To 24 October 2014
Days 14

Performance 4.4%
Benchmark ES 1.1%
10 year yield (annual) 2.3%
10 year yield (period) 0.1%
Market risk premium 1.0%
Alpha 3.4%

Drawdown too large?
Care with composition. Investing globally. Benchmarking using US market.


Refs:

ES12-14 1946
NQ12-14 399.25
TF12-14 1113.1
ZN12-14 127'000
QM11-14 82.6
VIX 16.53
USDJPY 108.157
EURUSD 1.26490 Tepper thinks going lower
XAUUSD 1230.94

NYC Ebola case. Doctor self quarantined but still resets 21 day incubation clock.

Apple too late not enough margin of safety.

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 Spartan 
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Guaranteed delivery uses listeners in low latency environments to confirm data is true and accurate on receipt. Idea: program fast peer-to-peer cross check of data. Napster for traders. Challenge would be to find sufficient bandwidth to run the cross check live.

There appear to be points in pricing data streams, even from exchanges, when the indicated price does not reflect the price at which trades are actually taking place. Some data streams specifically mark when this happens. Is this is a price arbitrage opportunity? Would need to be co located and able to execute direct into the exchange.

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 Spartan 
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B C 18,000 Q 2,000 P 2540.00 % 14.1% BBRY 10.27 V 9.00 SL 9.50 @ 6%
Total 18,000 Open P/L 2,540

S C 5,000 Q 330 P -62.70 % -1.3% EWM 14.96 V 15.15
S C 19,208 Q 180 P 1803.60 % 9.4% IWM 116.65 V 106.63
S C 96,250 Q 1 P 5300.00 % 5.5% ES12-14 2031.00 V 1925.00 SL 1771.00 @ -8%
Closed P/L 7,041

From 10 October 2014
To 07 November 2014
Days 28

Performance 7.0%
Benchmark ES 5.5%
10 year yield (annual) 2.3928%
10 year yield (period) 0.2%
Market risk premium 5.3%
Alpha 1.7%

Refs:

ES12-14 2031.25
NQ12-14 4173
TF12-14 1175
ZN12-14 126.005
QM12-14 77.55
VIX 13.67
USDJPY 115.439
EURUSD 123737
XAUUSD 1134

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 Spartan 
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S C 18,000 Q 2,000 P 4800.00 % 26.7% BBRY 11.40 V 9.00 SL 9.50 @ 6%
S C 5,000 Q 330 P -62.70 % -1.3% EWM 14.96 V 15.15
S C 19,208 Q 180 P 1803.60 % 9.4% IWM 116.65 V 106.63
S C 96,250 Q 1 P 5300.00 % 5.5% ES12-14 2031.00 V 1925.00 SL 1771.00 @ -8%
Closed P/L 11,841

From 10 October 2014
To 12 November 2014
Days 33

Performance 11.8%
Benchmark ES 5.8%
10 year yield (annual) 2.3928%
10 year yield (period) 0.2%
Market risk premium 5.6%
Alpha 6.2%

Refs:

ES12-14 2037
NQ12-14 4195
TF12-14 1185.3
ZN12-14 126.09
QM12-14 76.875
VIX 12.92
USDJPY 115.598
EURUSD 1.24329
XAUUSD 1153.87

Valuation multiples way topside extended. Consider short?

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 Spartan 
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Considered short of ES at 2037.00. Did not execute. Futures back below 2000 at 1996.75. Market swings above and below what intrinsic factors imply.

Once analysis done can be very idle with time as a value investor. Need other things to do

Not necessarily about exiting at value. Think about letting it swing.

Oil

2004-2014 oil price falls generally lead to ES gains one month later except during financial crisis. Size of current move is a concern.

Move up in oil volatility plus declining prices traditionally suggests demand side worry. However, declining prices follows OPEC inaction and strong US production which is more of a supply side factor. Deflationary. Will Fed comment on this?

US rigs moving to idle. Capex delayed.

Smart and value investors Blackstone and Berkshire getting active in downstream. Oaktree active in energy high yield.

Probably creates M&A consolidation opportunity upstream - diversifies risks, greater production flexibility to price swings in future.

Watch RBOB for transmission to consumer.

Conclusion

US fundamentals firm - unemployment, retail sales, housing, productivity. Marginal expectation misses on Europe and Asia data but not wide misses. Implies sell off overdone?

US spending bill passed at weekend.

Net net oil is a tailwind.

Earnings been positive and guidance broadly confident since November.

Go shopping Monday.

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 Spartan 
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B ES03-15 2000.00

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 Spartan 
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B Z03-15 6421.00

Now leveraged into market. Rationale for leverage:

Yellen said: rate hike in a "couple of meetings." Journalist asked what is a couple? "A couple means at least two." Unusually this is delivering interest rate certainty till mid 2015.

Speculation is:

Post Fed day ES 03-15 ended in 2060 area. ES 03-15 now at 2038.00. Low volume trading past few days seems to have pushed market away from where higher volume agreed on a price.

USD is getting expensive versus GBP.

UK solid domestic job growth and inflation continues so UK continues active monetary policy.

Risks:

UK is heading to a general election. Weakens GBP?

No Greek exit of Euro. Why vote to go to a sovereign currency which (i) depreciates own assets further (ii) destroys country credit?

Need to run leverage calculations and set exit at break even allowing for currency volatility.

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 Spartan 
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Portfolio size $111,841. Of which $100,000 was initial capital.

MAE of Z trade with Z going down to 6426.50 = $5,428 on a constant currency basis. Of which $70 was mitigated by a depreciating GBP.

Plus:

MAE of ES trade with ES going down to 1983.75 = $812.50.

Total MAE $6241.

Bad

- Need to define (i) risk parameters, (ii) anticipate downside impact of an adverse move and (iii) comply with parameters.
- The MAE represented 5.5% of portfolio size.
- The currency impact -- continued weakness in the GBP (decline 1.3% during trade) was a drag on profit.
- There were better ideas that you were prevented from executing because of the MAE on this trade.

Good

- Idea was good. Probably right longer term macro and will play well over few weeks. The Fed needs to guide on the USD.
- The currency impact -- reduced mark to market losses but could have made things worse.

Observations

For personal investment break even against initial capital is acceptable a few months in. As you move to profit need to move to define MAE. Set at 5% going forward.

Debate

Having made a more bad than good trade that is now profitable let it run? Decision = no. Want to get back to operating within risk parameters. Plus computing margins and currency conversions are a pain.

S Z03-15 6421.00 @ GBP/USD = 1.52918

Closed P/L 11,841 + 1,192 (outside risk parameters).

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 Spartan 
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Source: Bloomberg - 4 January 2015

2014 top performances

1. Pershing Square / Bill Ackman @ 32.8% return.
2. Quantedge 32.3%
2. STS / Michael Craig-Shenkman and Scott Burg @ 32.8% return.

"Hedge funds as a group had a horrendous 2014, with an average return of just 1.6 percent through October among the 2,400 funds that make up the Bloomberg Global Aggregate Hedge Fund Index."

As proxy for S&P 500 index performance:
ES @ 31 October 13 1751.00
ES @ 31 October 14 2011.50
+14.9%

Only 16 of 2,400 funds in the Bloomberg Global Aggregate Hedge Fund Index beat the index net of fees.

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 Spartan 
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Over 6 months the USD has appreciated significantly both:

US Dollar Majors Index = 10,410 @ 30 June 2014
US Dollar Majors Index = 11,679 @ 9 January 2015
12.2%

Source: FXCM.

And also:

US Dollar Trade Weighted Index = 75.91 @ 30 June 2014
US Dollar Trade Weighted Index = 85.82 @ 9 January 2015
13.1%

Source: YCharts

US Exports of Goods and Services as % of GDP = 13%.
Primary trade partners for exports = Canada (17% of total), Mexico (13%), EU (10%), China (pegged FX 6%), Japan (4%).

Source: World Bank 2013 Data

US Imports of Goods and Services as % of GDP = 17%.
Primary trade partners for imports = China (16% of total), Canada (12%), Mexico (10%), EU (10%), Japan (5%).

Source: World Bank 2013 Data

Since the middle of last year US exports got 13.1% more expensive and imports got 13.1% cheaper.

The US runs a trade deficit so is a net importer. International trade often uses USD as basis and is settled in USD.

Imports: the strength of the USD can help lower costs and enhance earnings in the short term. Note China (16% of total) is pegged FX so effect muted slightly.

Exports: exporters can absorb some of this by discounting short term. However, strength of the USD is making USD exports representing 13% of GDP, less competitive.

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 Spartan 
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B TASR Q 800 P 25.70

- Sales growth / pipeline
- Cash flow
- Negative beta

- Looks under levered
- Should push use of cash or return to shareholders

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 Spartan 
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S TASR Q 400 P 27.03

- Booking some profit

Am I being efficient with capital using ES? Balances lots size with capital at risk but performance will only be index like unless you ride the waves right.

Trading needs to be more specific than taking a macro view. A macro view like Zulu comes out better and ahead of Europe is investing.

It may however, be more capital efficient to analyse for market beating stock specific ideas if the market is going to chop and go nowhere fast.

Need to think about when to use what mode.

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