Overlay Capital Trading Program Daily Snapshot 2017/08/14

Topic: Trading Notes

Portfolio Performance for 2017/08/14

Daily Positions: 12
Profitable Positions (% of total): 66.67%
Maximum Drawdown: -0.74%
Daily Net Profit: 0.19%
YTD P&L: -2.01%

Commentary: The model gained some ground back yesterday as the Yen finally saw some reluctant selling, mainly against the USD. The model maintained near maximum short Yen going into today's trading session, along with short CAD. The model continues to see the leverage factor at 2:1, strongest reading for the year. As you see below, the model has a long USD bias with a long Swiss position that will give support if we see the geopolitical situation heat up with respect to Nort Korea.

At Overlay Capital, we continue to run our system daily and are constantly improving the process. With interest rates churning globally, currency markets will be first movers when direction for rates are clear. We expect our model to capture those moves. 

CURRENT CURRENCY EXPOSURE FORE 2017/08/15

 

TYPE MARKET UNITS
Long CHF 2,906
Long AUD 4,478
Long GBP 3,826
Long USD 3,694
Long EUR 3,500
Short CAD 11,305
Short JPY 1,145,295

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