Overlay Capital Trading Program Daily Snapshot 2017/05/23

Topic: Trading Notes

Portfolio Performance for 2017/05/23

Daily Positions: 12
Profitable Positions (% of total): 75%
Maximum Drawdown: -0.25%
Daily Net Profit: 0.28%
YTD P&L: 3.11%

Comments: A rally in the Euro yesterday at the London open left the model's performance at the lows for the month with it's short EURUSD core exposure. The EURUSD did come under some selling pressure throughout the day giving the model a positive up day. At the close, the EUR maintained its short exposure on a net basis. The model added to the short EURGBP and continues with the short EURCAD. As you can see from the exposures below, the model is long CAD and GBP, with shorts in EUR and JPY.

Wednesday's are well known in the street as the "turn" day. There are systems that look at patterns and try and predict whether the momentum will turn as London start to close their books around 10:30, before the WMReuters 4pm (london)/11am (ET) close. I would expect to see the EUR come under waves of selling around this time, if the models short Euro exposure is to be proven correct.

China's debt was cut by Moodys last night did very little to shake the USDCNH or CNY off its stable path. We have seen the interest get squeezed higher as the authorities try and manage the growing debt problem. Moody's recognized this concern and followed with the downgrade. 

CURRENT CURRENCY EXPOSURE FORE 2017/05/24

 

TYPE MARKET UNITS
Long CAD 2,294
Long AUD 495
Long GBP 2,448
Long USD 3,259
Short EUR 6,300
Short JPY 143,419
Short CHF 195

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