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A little bit of background about my trading, I run a fully diversified systematic trend following strategy. At present the system is entirely rules based but executed manually.
I had a previous journal on FIO about my trend following activities using a strategy that mostly relied on moving averages. A link to my previous journal is below.
Firstly, let’s start with an analysis of my open positions carried into April.
ZL – Soybean Oil
I currently have 2 open positions in Soybean Oil.
Position 1 - This trade has been open since Mid-Feb
Trade: Long 2 contracts of May Soybean …
I stopped posting in this journal around the time I started winding down the strategy.
Since then I have built a new strategy that uses a more traditional break-out model for generating trading signals. The mains reasons for switching to this method is that the previous strategy had too many discretionary elements and was not capturing as many of the major trends as I would have liked.
A few of the goals for this journal
- Post live trades so people can get a feeling of how a fully diversified trend following system operates in practice;
- Share areas of my research; and
- Keep all of the things I come across about trading and trend following in a central location (news articles, tweets, books, podcasts, etc.)
Corn
Position: Short
Entry Date: 15 April
Exit Date: 29 May
Length: 6 weeks
Result: 2.1R
Nasdaq 100 Index
Position: Long
Entry Date: 20 May
Exit Date: 27 May
Length: 4 Days
Result: -1R
Comment: This trade highlights the trade-off that can exist using tight initial stops. They protect capital aggressively and work great for false breakouts that quickly reverse back into a range but can come at the expense of being prematurely stopped out of trends and having to re-enter at higher/lower prices if the trend continues like it has so far for the Nasdaq.
Nasdaq 100 Index
Position: Long @ 9650
Initial Stop @ 9502.50
S&P 500 Index
Position: Long @ 3075
Initial Stop @ 3032.50
Comment: Traded each half size to remain within maximum exposure limits to North American Equity Indices. The range today was smaller than recent averages but not small enough to trigger my volatility filters for position sizing. These trades therefore have tight stops and larger position sizes which could lead to larger profits if they continue to trend up but raise the risk of being stopped out prematurely on a day that is within normal volatility levels.
Taiwan Index
Position: Long
Comment: Not taken as I already have maximum exposure to Asia Equity Indices.
Stoxx Europe 600 Index
Position: Long @ 367.80
Initial Stop @ 360.25
Comment: Had to decide which European market to trade with a number of markets generating signals today and the risk budget for European Equity Indices is not big enough to take all of them. Chose this market as it gave the broadest exposure to European equities.
KOSPI 200 Index
Position: Long
Comment: Not taken as I already have maximum exposure to Asia Equity Indices.
Dow Jones Industrial Average
Position: Long
Comment: Not taken as I already have maximum exposure to North American Equity Indices.
MidCap 400 Index
Position: Long
Comment: Not taken as I already have maximum exposure to North American Equity Indices.
TSX 60 Index
Position: Long
Comment: Not taken as I already have maximum exposure to North American Equity Indices.
DAX Index
Position: Long
Comment: Not considered as the risk was too high for position limits.
AEX Index
Position: Long
Comment: Not considered as the risk was too high for position limits.
OMX S30 Index
Position: Long
Comment: Not taken as I already have maximum exposure to European Equity Indices.
EuroStoxx 50 Index
Position: Long
Comment: Not taken as I already have maximum exposure to European Equity Indices.
Orange Juice
Position: Long
Entry Date: 18 May
Exit Date: 1 June
Exit Type: Trailing Stop
Length: 2 weeks
Result: -0.33R
USD/CNH
Position: Long
Entry Date: 27 May
Exit Date: 1 June
Exit Type: Initial Stop
Length: 3 Days
Result: -1R
Silver
Position: Long
Entry Date: 27 May
Exit Date: 2 June
Length: 2 Days
Result: -
Comment: Realised I already had maximum exposure to Metals. Let the trade run initially when it gapped open to start the week but moved the stop up to break even.
3-Yr KTB
Position: Long
Entry Date: 14 May
Exit Date: 3 June
Exit Type: Trailing Stop
Length: 3 Weeks
Result: -0.12R
Soybean Meal
Position: Short
Entry Date: 14 May
Exit Date: 5 June
Exit Type: Trailing Stop
Length: 3 Weeks
Result: +0.5R
