Trading the SPI

The graph compares idealized trading of the ASX200 futures contract, known as the "SPI" (share price index) vs. buy and hold. The trading uses my new day-trading approach. I actually transcribed by hand all the opening, high, low, and close values off a chart of the past month with 8 hour bars to get the data. The ticks are each of the five daily 8 hour bars. Yes, they're not all actually 8 hours long. 9:50-10:00am is one of them! Each index point is worth AUD 25 per contract and this tracks trading one contract.

The good news is that trading would have made money over the past month. On the other hand, buy and hold would have done just as well. But trading is less volatile. Hopefully, trading also does better in down markets. As I started near the end of this chart, so far I have lost money. But I have been making money in daytrading the Australian Dollar and the S&P 500 index in the last week. I also did a rough backtest on the NASDAQ 100 Index. But as I don't have access to bulk hourly data I can't do very extensive backtesting. Either I need to get that data or I need to just trade at a small scale until the results are statistically significant.

Worst Loss on Bitcoin

Just got stopped out for a 7.06% loss on Bitcoin trading. That is the worst loss that the Bitcoin model has suffered so far. So, most losses won't be as bad as that. Back to short...

This position was never in the money. The position was entered on a spike in price, which just triggered the stop. But I exactly followed my approach. 

This is our equity curve (USD) so far in trading Bitcoin futures:

We also had some profits trading Bitcoin CFDs.

New Macro Trade

I've started another long-term macro trade by buying a treasury note futures spread. The spread is short one ten year treasury note futures contract and long two two year treasury futures contracts. You can execute this with one trade using the TUT ticker. The face value of a two year contract is $200,000 and for a ten year contract, $100,000, so actually the trade is long four times as many two year notes as it is short ten year notes. The idea is that this spread will gain value as the yield curve steepens, which following a yield curve inversion, it already seems to be doing. The curve would steepen mainly because the Federal Reserve would cut short term interest rates. So, if they don't cut much the trade will lose. The more they cut the more likely it is to make money.

My other macro trade is gold. Though that is also a bit more like an investment as we plan to allocate to gold in the long term and I am using the IAU ETF for tax and psychological reasons. I've increased my position at this point to 4.89% of assets. The net treasuries position is nominally $302k, which is much bigger than that.

I've also been thinking about how to improve my new day-trading strategy. I think that I will add exit stops to each order I place. This means, for example, if we go long initially in a "headfake"and then the market falls and the sell stop order is triggered, rather than getting out of the market it will initiate a short position. That would have been a profitable trade in the S&P 500 futures on 16th and 19th of July. The resulting short gained more than the stopped out long lost. Also, I am thinking to keep half of the position as a turtle style trend following position rather than an actual daytrade. The difference to the medium term turtle trading is that the stop is moved each day based on action in the first part of the day rather than action over the last few days.

So I now have three time frames of trades. I am hoping that this diversification, while requiring entering more orders, actually results in me being less anxious about the trades and so actually spending less time looking at the market. We will see.