Trades 6.6.2012

Goes as planned. Added some new long positions: BAS, DB1, LIN, CBK, DBK, HEID, AQU, QIA, SMH, SWV. Short FRE and FME.

The performance of our trades couldn't be better at this point...

Dax 1.6.2012

Classic!

Dax, correlation and sell-off 17.5.2012

Watch out, rising correlation is one of the worst enemies of  "modern" portfolio theory! Stock picking and diversification won't help your portfolio if the market wants to continue the current sell-off.

Trading 14.5.2012

Currently our portfolio is short on Dax and short on stocks. No long positions.

Trade performance 4.5.2012

Such a wonderful day!

TIP: Buy CBK-DBK-HEID at close, hold maximum 2 days, buy also MAN at close with profit target 89.2.

So far, the week was interesting:

Trading system

Trading system has currently long + short position on Dax. Long position is meant to be exited 2.5. at normal close and short position near US open. Also two small long positions are held, EUCA and SNG and the exit is also 2.5. at Dax open.

DB1 is on the watch list and short if open  > 47,43; buy at close; PT 2,5%.

Trading performance 20.4.2012

The performance of strategies have been steady even the volatility increased lately, but mainly it is due to increased position sizing.

The distribution how an individual trade has affected the total portfolio still looks promising. 

Current positions could be found here.

Trades 11.4.2012

Bought CBK (1.712), DPW (14.13), SAP (50.400), continued long DBK, short FME, FRE + long Dax. I will add some indicators later.

Dax indicators and high beta trades 16.3.2012

The volume of the 6 biggest weighting stocks have clearly increased. Usually this a bullish sign for the index.

Beta Indicator is pointing up, which gives high probability for Monday to be a positive day.

Dax Volume Index has again made 20 day highs, thus giving 70% probability for continuation.

It looks like here would be a nice opportunity to join group of chasing the high beta, so buy near close CBK, DBK, HEI for one day trade, or sell when Beta Indicator turns bearish. Also continue the trades with low beta, but buy back FME near closing price.

Trades for 13.3.2012

So far, the trading system has enhanced it's performance. One month profit a little bit over 1% and win/loss-ratio 1,64 seems to be reasonable with this method.

Continue the trades with FME, FRE and RWE if number of advancing stocks is greater than 13.

Dax technicals 13.3.2012

Buyers have calmed, but sellers are not very enthusiastic. Overbought condition has been easening lately, but we can still see no sellers. However, topping process may last months. 

McClellan Summation Index is trying to return into uptrend. That's why yesterday's trade was to buy low beta stocks.

In a technical perspective, Dax is facing heavy resistance at 6976-6990. This is a third time to test this resistance. If we get some really surprising positive news and get above the resistance, Dax could climb to 7400. If it fails and falls below 6621, then the low target should be around 6270-6300.

Index trade

According to money flow studies it would be 70% profitable to open short position for two days. Thus I try buying DES2 etf at price 34.050.

US money 16.2.2012

We saw small money outflow again. It seems, that investors are not willing to take big bets at the moment. Anyway, block trades outflow exceeded total outflow even the market went up. Historically this hasn't be a good sign for short term. Taking a short position or buying puts for S&P500 today and closing it on Tuesday open should be a profitable trade at the moment (34 % succeed rate). I would take the same position for Dax also.

Trading diary (for testing purposes)

FRE - short if open < close yesterday, profit target 2,5%, otherwise buy at today's close
FRE - long if open > close yesterday, profit target 2,5%, otherwise sell at today's close

HEN3 - short if open < close yesterday, profit target 2,5%, otherwise buy at today's close
HEN3 - long if open > close yesterday, profit target 2,5%, otherwise sell at today's close

MEO  - long taken at close 29,03, sell at open if (open - close) / close >= 1, profit target 5%, otherwise sell at open tomorrow

SIE - long position taken 10.2.2012 at close 74,37

all Dax stocks below MA(50)

100% of Dax30 stocks are currently trading below SMA(50). Previously this happened during Lehmann collapse and January 2009 capitulation. Interesting and exceptional.

Dax 4.8.2011

Extreme condition


27 of 30 dax stocks are trading their 20-day lows. We haven't seen greater amount than this, so we expect a pullback of some kind.

Accumulation/Distribution reveals very very oversold condition. In history, we have seen quite strong short term rebound from such state.

Our own dax indicator also reveals very high oversold condition which we have seen previously during 2008 bear market. We could see +5-10% rebound during next 2 months.

Trin SMA(10) reveals interestingly weakening down-trend.

16 of 30 stocks are trading better than the underlying index. We are expecting a tradable bottom soon.

Cumulated volume index hasn't made new lows even the price index has.