Trade update

I remain long DJIA futures, and I’ve been short oil recently. Also, yesterday was so overstretched to the buy side that I bought some puts as a cheap hedge. I do not understand what is driving market, and unlike most people I will not pretend to. It is probably still a central bank liquidity function. But, like a remora, I follow the shark, not the inverse.

I am fully expecting a fear event soon. I welcome it. One should be suspicious of any market that just goes one way. But don’t sell. Ride it. Get a sell process. Does not have to be sophisticated. Use a 10 month moving average if you have nothing else. And follow the shark. You do not process information better than the market. You are not smarter than the market. Practice humility and laugh at all these “gurus” online. Who are so rich they need you to buy their ideas.

Trade update

Just to be clear, I am still long NDX. Yes, yesterday hurt. And yes the system is very close to selling. But to be fair the system has had such a good year I’ve been expecting pain. It’s just an exististial truth. There is no easy money in this game. 

I expect a puke is yet to come. Probably another 100-200 or more points down. But it will be intraday I suspect. 

Trade update 8/6/17

Closed 10y bond long

Closed oil short

Close hogs short at open

Currently long ndx

I tend to trade the intermediate term setups. That means my commodity trades are fairly active, days to weeks in duration. My equity setups are somewhat longer in duration. The reason is that that is the time duration where I can find actionable algorithms.
I do not believe anyone can predict the market, not Warren Buffet, not George Soros, and certainly not the banks and institutions. Technicians, nor fundamentals, nor Elliot Wave wonks, nor Wychoffians. No one can predict it. It is folly to try. I want to position myself to follow the market, not predict the market. However, I love to read/listen to people who think they can predict the market –that strengthens the philosopher within.

Slow mo money is still in Europe

Fast money is seeing China A50 and Indian Nifty with a little more push than Nasdaq, I’m sticking with NDX for many reasons, including liquidity

Nvidia is still smashing the AI race, with twice the return of other companies.

According to the St Louis Fed Stress Index there is essentially no clearing or liquidity stress in the market. The bears rightly point out, OMG IT CAN ONLY GO BAD FROM HERE!!! Yawn. I have no opinion.

The term structure on the VIX is orderly, showing some flattening in Dec, which is to say, nothing bad happens in December.

The velocity of M2 money just keeps going down. Which probably says as much about demographics as it does economic growth or monetary policy. And the monetary base is going down also, which means it is going to be tough to Make America’s Growth Great Again!

The Cleveland Fed Yield-Curve GDP predictor has GDP growth at 1.7ish% Seems reasonable to me. No opinion.

If you like to play sectors, Financials just overtook Technology on my momentum models.

Have a good week.


Trade update 8/2/17

Long 10y bonds again. Yes, system is whipping us around. That’s the price of trading in really efficient markets. There is lots of confusion, cross-currents, bond markets disagreeing with stock markets. Current position, including commodities:

  • Long nq (ndx)
  • Long zn (10y bonds)
  • short qm (oil)
  • short he (lean hogs)
  • very small short volatility position


Well, Ndx looked at 6000, panicked, and ran back for known territory. I added my 10y long bond hedge back on late on 7/27/17. I do not think it will make $ as a trade. But it may counter some volatility by having it as a sea-anchor.

Trade position update 7/23/17

Gentle readers, do not think I have abandoned you to the cold indifferent of the HFT algorithms. I am simply holding tight with my systems. Still long nasdaq, long gold, long 10y bonds. When my systems change I will inform you. We should all of us expect a 1 or 2% sell-off (or more) at any moment. That’s living with markets. Currently, I suspect that there are so many institutions that have missed this post-election market surge, their desire to get long will stop serious sell-offs.  But that is just my thoughts. I do not trade on my thoughts or opinions. I’m a systems trader. And every time I read some trader raging on twitter because he or she believes the central banks are rigging the markets, I just smile. I used to be you. I could not admit that I just sucked as a trader and was too often on the wrong side of asymmetrical information. So I invented or imagined or descried a Conspiracy!!! Ah, human nature.

Let me share two signs of my current impudence, so you might use my folly to identify market tops! After listening to A16z podcast, and being reminded of the value of tracking what nerds do for fun, I’ve started mining crypto-currency!  Yes! Shocking. I have no desire to trade it. But I want to understand where this is all going. So I’m learning. Reading. Thinking. Modeling. Secondly, I’m trading volatility again, at very small size. Yes, it is a tough market. But I believe it is the most sensitive of all the markets. I think it flinches first. It is my canary…

Happy trading. And the market is probably going to punch us soon. So don’t act surprised. Look at your brokerage amount. That is not your money. That is the market’s money. It will fluctuate.

Ps. I am traveling this week. So fewer posts.

Position Update…

So as of today at 9am for bond hedge /zn and 1pm for gold, my macro hedges are back on, seeking to buffer my positions from Knightian uncertainty. These positions are more a hedge against uncertainty than risk. They aren’t the same thing and I haven’t done a good job of explaining the difference in my portfolio construction. 

In any case, the summer scare is either over or setting us up for a real summer of hurt. I hope to be secure in my process either way… 

Market thoughts and position update 7/8/17


It has been another busy week. And this short review will reveal my lack of time. There is a chance that the NDX has finished its decline and now will trade sideways, but I would not bet on it. I think we still need a puke-day. However, it must be said that with market rotations you are never given real climax-selling, just sideways action.

My medium-term algo still has me in the market. Although it may do some contract-switching from NDX exposure to SPX exposure this coming week. I will keep you updated.

Above you can see the SPX chart. Note how Gaap earnings are finally over $100 per share. Unemployment is drifting sideways. But the Fed rate is only 25 basis points from the 2 year rate. Inversions will signal a recession-scare within a year.

Note above that the total option ratio is signalling a sell on SPX. Green line is below the red.

As is the NDX also. Not enough for me to sell. But worrying.

Below is the Momentum models we follow.

We are currently long NDX, no hedges, naked as a newborn. Hoping the headwinds will turn. Luckily, the fund is up strongly this year. So the draw-down isn’t too painful. Oh, you wanted to sleep at night? Psshhh… white-belt…

Have a great weekend.



BigMo IEV (europe)
Intl'IndexFutures $Nifty (india)
TotalBond LQD or BWX
RealAssets RWR
SectorMo IXV or IXI
Big10TechRace NVDA or BABA
AsianMo $WWM
VangSlow$ VEURX
VangFactor VEURX
VangSector VEURX

Market update…

Markets are currently being misshapen by the re-balancing needs of the quarter-end. However, the algos i rely upon do not know that, so march forward like good soldiers.

I closed my hedge positions yesterday, ending the 10y and gold trades, both at losses. Remember, my hedges are discretionary, my core positions are algorithmic. Also, the core positions are programmed to trade the medium/long term, not the short-term. I currently cannot compete with the intelligence of the short-term bots that the HFT firms are running. They are getting scarily good. One can avoid this fight by only trading longer term. My core position has been long /NQ and remains long /NQ, even though I have given back a third of total position profits. This is typical! It was never our money, not until we sell.

This is the summer scare in my opinion. I’m expecting a rally into the end of the year. However, we haven’t seen a puke-day. So, probably more to go.

Notice of the total option ratio is close to a sell on NDX (when the green line crosses firmly below the red). Not there yet.

Also, note the early recession warning continues to climb. I believe we will have a recession ’18 or ’19

Look at gold versus real rates (tips). Gold seems oversold here. And i’ll get long again soon. I’m just waiting for my algo to say buy again. But even then, remember, it is as a hedge, not a core position. If North Korea goes bang owning gold will look like genius.

If you are looking to put some slow money to work, healthcare and technology look good, one has momentum the other is oversold. Vanguard has a great healthcare fund. I’ll be adding some tomorrow.

Finally, the current ten positions of the Momentum Model


Happy July 4th!