Digital Diatribes

A presentation of data on climate and other stuff

Forex Account Update as of 4/30/2012 [Through 08/31/2011]

Posted by The Diatribe Guy on May 4, 2012

Continuing my account updating:

OUTSTANDING ORDERS as of End of Day 07/31/2011 settled by End of Day 08/31/2011
Date of entry / Type of Entry / Lot size / Currency Pair / Entry Price / Date of Settlement / Exit Price / Net Profit

*Net profit means profit after consideration of swap fees (these can be negative or positive)

New Orders since End of Day 07/31/2011, settled by end of day 08/31/2011
Date of entry / Type of Entry / Lot size / Currency Pair / Entry Price / Date of Settlement / Exit Price / Net Profit
08/01/2011 BUY 0.01a audnzd 1.24874 08/15/2011 1.25591 +6.51
08/04/2011 SELL 0.01 gbpjpy 130.270 08/05/2011 128.384 +23.89
08/04/2011 SELL 0.01 usdjpy 79.849 08/05/2011 78.825 +12.97
08/04/2011 BUY 0.01 audusd 1.06070 08/30/2011 1.06502 +7.14
08/05/2011 SELL 0.01 usdcad 0.98412 08/17/2011 0.97923 +5.10
08/05/2011 BUY 0.01 audusd 1.03959 08/15/2011 1.04379 +5.09
08/08/2011 BUY 0.01 audcad 1.01349 08/08/2011 1.02087 +7.49
08/09/2011 BUY 0.01 audusd 1.01540 08/15/2011 1.04147 +26.74
08/09/2011 SELL 0.01 usdmxn 12.3980 08/09/2011 12.0980 +24.80
08/18/2011 SELL 0.01 usdmxn 12.3998 08/19/2011 12.2911 +8.92
08/23/2011 SELL 0.01 eurjpy 110.978 08/23/2011 110.136 +11.00
08/25/2011 BUY 0.01 eurusd 1.43529 08/26/2011 1.44854 +13.25
08/26/2011 SELL 0.01 usdcad 0.99204 08/26/2011 0.98400 +8.17
08/26/2011 SELL 0.01 usdchf 0.80760 08/31/2011 0.80089 +8.29

New Orders Since end of day 07/31/2011, still outstanding as of end of day 08/31/2011
Date of entry / Type of entry / Currency Pair / Lot size / Entry price
08/04/2011 SELL 0.01 usdcad 0.96454
08/04/2011 SELL 0.01 usdmxn 11.8786
08/08/2011 SELL 0.01 usdmxn 12.1198
08/24/2011 SELL 0.01 usdmxn 12.4326

Carried Orders Since before end of day 07/31/2011, still outstanding as of end of day 08/31/2011
Date of entry / Type of entry / Currency Pair / Lot size / Entry price

Equity Balance @ 08/31/2011: $3,962.78
Current Month Return: +3.08%
Initial 10/31/2009 balance: $2,360.46
Current Yield since inception: +67.88%
Annualized Return: +34.44%
Average monthly return: +2.38%

11/1/2009 – 7/31/2010: +89.71%
8/1/2010 – 10/17/2010 (the date at which point I ceased the short strategy and liquidated positions): -34.35%
10/18/2010 – 12/31/2010: +11.94%
1/1/2011 – 1/31/2011: -7.23%
2/1/2011 – 8/31/2011: +29.80%

Journal Notes:
Erratic markets are fun.

I know the percentage of contribution from gold versus currencies, but since they use the same pool of supporting dollars, it would be a bit difficult to isolate actual return from each. Gold has, ironically, slowed waaaaay down under this strategy with the nearly continuous run-up in price. This strategy is much better with a trend up, but entries occur on pullbacks in price, so when a quick trend has occurred, you take a vacation and wait for gravity to pull it back down.

The nice thing about implementing the strategy with currencies is that, when there is a lull in one spot, there are opportunities in other places. Risks, too, of course.

Simplifying the strategy has served to lessen the exposure to gold. I have not tracked how much I’d have made under the old strategy, but it would be quite a bit more. But there is the potential for substantial loss on a major pullback.

I moved more to a much slower move on the pending buy limit order on a run-up in price. I also limit my transactions to one per day, so if price just bottoms out completely in a short period of time, I don’t load up on buy orders at 1% intervals.

Currently, a 30% drop would put me in a few positions, but it depends on how quickly it drops, since I now limit orders to one per day. My lot sizes are very, very low, and I could withstand a very sharp drop with a lot of positions, but I don’t have an updated calculation at my fingertips.

Based on back testing, this strategy can withstand a trend down as long as it is not a precipitious one. Under the worst case scenario, a very, very prolonged drop could theoretically wipe a person out. But if it is not precipitious, then there are many places along the way, under typical conditions, where you could be profiting from lower buys even as you carry a loss on other buys. Also, one has to have a bit of common sense. Since it’s a trend-trading strategy, if it appears that the long-term trend has reversed then either you need to pull out and cut your losses or trade the other way.

It’s not riskless. I plan on reviewing charts on a quarterly basis just to see if my opinion has changed on trend direction. But it’s really a long-term trend strategy. I’m basically prepared to carry losses for very long periods of time, while more than compensating for that by profiting on others.


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