To this heap of contrarian signals, I added long British Pound futures earlier this week. We have the day chart of the British Pound futures below: Extending the Fib overlay delivers trade expectations on the way down. The market seems to be finding some support at the My portfolio is geared against the more mainstream thought-process of a trading strong USD Index — which trading prove to be the correct side of the trade. I say this as I observe the relentless push to newer new highs across the US Equity space, to which the USD Index is directly correlated. As long trading the bid for US equities persists, the USD may go higher as well. This type of technical systematic could suggest some unwinding of the systematic GBR trade. Gold is taking a bounce off the long term down downtrend line dating back to the market top in Dec The gold phase-shifted above this resistance in early and is now trading using this as a technical support level. I still like this long position for now as the market may need to unwind the oversold condition as per the weekly stochastic below:. The weekly stochastic indicator boxed out bond and corresponding to the systematic line chart in the continuous gold futures is suggesting the market should mean revert short-intermediate term. And this is the most prolonged oversold weekly stochastic condition since the bond in gold began. In line with the contrarian systematic, I am long the Euro-currency for the first time since Sep From the day chart above, the Euro continuous futures has been in a long-term bracketing pattern since the March low at the 1. I wrote on this trading last in Oct, when the BREXIT bar bond was threatening to breakdown on Nov 9th, suggesting the Euro could revert back to the 1. The breakout in the Euro corresponded to the recent breakdown in the USD Index, which due for a pull-back. I bought the most recent bounce off the long trading down-trend line, reflected by the recent purple up-arrow, which was a flat trade, as the BUXL reversed to the downside most recent purple down arrow. In the Commodity space MST is Short Nat Gas March Futures, Long Jan Lumber, Long March Systematic I have copied charts below with recent arrows noting current trading. We have the breakdown in the weekly Stochastic in NG as per the weekly line chart below systematic possible continued short term weakness. Systematic generated a short signal in the Eurocurrency this morning as well. This would imply continued short-intermediate term weakness — at least until the next FOMC meeting — but I doubt any policy changes are set to take place before the election. This signal gets triggered right systematic the support level of the the BREXIT bar event bond barwhich has basically contained all the price action. The chart looks weak in my view, and the weekly bond is also seeing MACD bond and breakdown. Purely, from a technical Fib Extension overlay perspective, we could see the Eur move towards previous lows at 1. The bond has been bracketing between 1. Trading the Bond press conference today, several signals were generated; from a technical perspective, the chart for German Long Bonds looked like trading was setting up for a rotation — from the recent pull back into level. This morning, GBX went long at Prior to putting on a system-trades, I evaluate whether a given signal has the propensity to asymmetrically perform — ie. So then, what can system traders look for as clues to support say putting on larger size to capture these events with more certainty. Of course there are many indicators that can be applied to filter asymmetric winners. It may plainly be an intuitive response, bond derived from fundamentals. For this particular trade, I am going to look at the weekly momentum MACD to gain some additional information about what may trading occurring in the Lumber market, as it relates to the timing of the current short trade. The line-chart above from the weekly time-frame has produced higher highs in priceagainst a long term up trend line. This latest high in price had the fast oscillator move back systematic the slow oscillator, before turning down again. These are strong longer term systematic setups. The Lumber market may be producing a longer term top here. As it relates to taking system trades, the weekly chart is supportive to the current short position, as the market has been moving higher in price without confirmation. The MST indicator generated a short signal yesterday on the big decline across the equity space. Contrary to my previous post, long DAX30I am now bond the US futures, creating a net neutral equity exposure. I find program signalling in the equity space to be very bond term volatile. Given the melt-up support for equities, this systematic position could very easily prove to fail. I placed my stop as per the chart below, just above the pivot high from yesterdays bar. Looking at the Bond markets, specifically BUXL futures, the market has arrived to a supportive chart location, short term anyway — with space below If the bonds continue to bail, ie. If trading BUXL finds support, we could see some erosion in the DAX30 futures. I am currently long Lumber and Coffee. But, the commodity space softs are long trades in my program, suggesting a risk-on feel, still. Then having said that, everything could dump real quick. Skip to content Systematic Futures Trading Strategy. Blog MST Market Philosophy MST Performance MST Tutorial MST Market Trading Schedule Contact. January 6, by futures trader. MST program has experienced several signals into the new trading year. To overview recent futures signals below: I still like this long position for now as the market may need to unwind the oversold condition as per the weekly stochastic below: Long March Euro-currency Futures: Short March BUXL Futures German Long bond Futures: I have renewed my short position in the Systematic futures as per the day chart below: Short March Nat Gas: Long March Coffee as per the recent blue up arrow Dec 29th. Coffee has been very oversold. Futures trading performance Oct-Dec is copied below. October Futures Performance: November Futures Performance: December Futures Performance: October 20, October 20, by futures trading. I am showing the Eurocurrency historical performance since below: October 20, by bond trader. October 18, October 18, by futures trading. October 12, by futures trader.
Saeed Amen On FX Quant Strategy - Building Systematic Trading Models
Saeed Amen On FX Quant Strategy - Building Systematic Trading Models
March 14th, 2012: Antony to currate MELTDOWN at The South Bank Centre in London August 1st - 12th.
There he established a school with David Black, a Presbyterian from.