Overlay Capital Trading Program Daily Snapshot 2017/05/26

Topic: Trading Notes

Portfolio Performance for 2017/05/26

Daily Positions: 12
Profitable Positions (% of total): 58.33%
Maximum Drawdown: -0.74%
Daily Net Profit: -0.65%
YTD P&L: 2.45%

Comments: The long GBP against the USD and JPY were painful trades on Friday, pushing the month's return down near the lows. Friday close/ Sunday open saw the model scale back the short Yen exposure a slightly reduce the GBP longs. With US, China, Germany and UK markets (excluding FX) closed for holidays, we anticipate the currency markets to stabalize from recent uptick in currency volatility CVIX Index.

As you can see from the positions below, the model has exposure in all currencies, and we have the credit usage back up above 1. This would suggest the model is becoming more comfortable in predicting direction.

CURRENT CURRENCY EXPOSURE FORE 2017/05/29

 

TYPE MARKET UNITS
Long CAD 3,839
Long GBP 2,732
Long USD 480
Short EUR 2,800
Short AUD 496
Short CHF 1,267
Short JPY 226,423

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