Overlay Capital Trading Program Daily Snapshot 2017/05/24

Topic: Trading Notes

Portfolio Performance for 2017/05/24

Daily Positions: 12
Profitable Positions (% of total): 50%
Maximum Drawdown: -0.26%
Daily Net Profit: -0.11%
YTD P&L: 3.07%

Comments: If you were watching the FX markets yesterday at 10:30, you saw the swing day traders in action. As predicted, traders were in full reverse mode for liquid pairs (notably the EURUSD). The EUR got sold hard in front of the 11am/4pm London fix. The European/London session were agressively buying the EUR for the most part, but turned as they went into their close. US based accounts tried a few more times to push it lower but Fed minutes (excuse) turned the sellers into buyers. The close we saw the market turn and stay bid. Our model, as you can see below has turned the short EUR into a long exposure. Keep in mind we don't have inputs with respect to seasonality or time of day studies, it is focused primarily on the day's range and close, as compared to previous time frames. The turn to long is significant in my opinion.

GBP (long) and JPY (short [long USD]) are now the largest exposures for the model. If any pair looked tired and ready to come under pressure, it's GBP. Clearly the model is not seeing that. We approach month-end with the Model at it's highest point of leverage.

CURRENT CURRENCY EXPOSURE FORE 2017/05/25

 

TYPE MARKET UNITS
Long CAD 990
Long GBP 4,986
Long USD 3,332
Long EUR 1,200
Short AUD 1,648
Short JPY 1,144,206
Short CHF 389

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