Coffee table discussion -what contracts is everyone holding?

General discussions about futures.
billpritjr
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Coffee table discussion -what contracts is everyone holding?

Post by billpritjr » Thu Sep 21, 2006 10:36 pm

what is everyone holding/shorting right now? where are the trends?

I am out of copper after being whipped from 150K to 80K. A re-read of the turtle rules "we let our equity go from XXX to XXX in order to stay with the overall trend" (or similar wording) keeps me from going insane.

anyone else?

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Post by stancramer » Fri Sep 22, 2006 9:17 am

I couldn't find a way to paste the HTML output of Blox into the BBCode required by this chat system. So it's just an image file, sorry.
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Post by Coffee » Fri Sep 22, 2006 10:53 am

I sold December electronic Yen a week ago only to see it rocket to within a few points of my stop... Otherwise I'm flat. Overall the markets are too choppy for my system.

Sorry about the Copper trade. :(

Coffee

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Post by BARLI » Fri Sep 22, 2006 8:43 pm

I'm looking to short TYZ06, it could happen on Monday's close, I consider it a very low risk short term trade (2 days hold)

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Post by BARLI » Wed Sep 27, 2006 8:56 pm

billpritjr, hope you recouped some of your losses by shorting TYZ06 on Monday's close and exiting the position on today's close :wink:

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Post by billpritjr » Wed Sep 27, 2006 10:32 pm

BARLI wrote:billpritjr, hope you recouped some of your losses by shorting TYZ06 on Monday's close and exiting the position on today's close :wink:
well that time frame is too short for me. I am more of a multi-week to month trader, relying on EMA's to time entry and exit.

But if it worked for you, great!

Short Lumber and Sugar-11 right now.

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Post by BARLI » Thu Sep 28, 2006 1:17 am

bill, you seem to be entering the trade when everybody is already getting out of it, make some research on Lumber's seasonal tendancies(on 20 years data at least), it usually rallies from October untill April ( cos folks start buying during the winter season to heat their homes, and building houses in winter becomes more expencive too), watch Sugar closely, it might rally now, use dollar stop ( since you've lost half of starting capital).

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Post by AFJ Garner » Thu Sep 28, 2006 2:25 pm

I far prefer StanCramer's approach. I would imagine, given his positions, that he is trading a mechanical system using very wide stops and aiming to capture very long term trends? He at least will not care if he appears to be doing the opposite to everyone else.

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our positions

Post by daveineagan » Thu Sep 28, 2006 2:42 pm

short oil
short sugar
short yen

billpritjr
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Post by billpritjr » Thu Sep 28, 2006 7:02 pm

BARLI wrote:bill, you seem to be entering the trade when everybody is already getting out of it, make some research on Lumber's seasonal tendancies(on 20 years data at least), it usually rallies from October untill April ( cos folks start buying during the winter season to heat their homes, and building houses in winter becomes more expencive too), watch Sugar closely, it might rally now, use dollar stop ( since you've lost half of starting capital).
Good recs....however I am just sticking to the EMA's and try not to outthink (well, not too much) the markets. I do like some fundamental reason to back up the system tho.

Take care

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Post by damian » Fri Sep 29, 2006 6:00 am

BARLI wrote:bill, you seem to be entering the trade when everybody is already getting out of it, make some research on Lumber's seasonal tendancies....
I guess the membership of your class "everybody" are people with long positions, and getting out means selling?? I know that isn't what you meant. You meant "everybody" is closing out profitable short trades. Do you really think that?

The quantity bought = the quantity sold. So why does price move?

Take a look at the LB price chart. It is going down and there is only one reason, and will only ever be one reason, for that: the number of people with the desire to sell is greater than the number of people with the desire to buy (I'm using 'number of people' as an easy to express proxy for quantity of contracts)

To address your bizarre and incorrect assertion: “everybody is already getting outâ€
Last edited by damian on Fri Sep 29, 2006 9:12 am, edited 1 time in total.

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Post by Forum Mgmnt » Fri Sep 29, 2006 7:55 am

I agree with damian's interpretation. I don't see any valid reason why anyone who had previous occasion to short LB would have gotten out in the last month. At the beginning or the end of August, perhaps, but not during the last month.

It's about as weak a close to the month as one could expect. Now I'm not one for predicting anything and I think that anyone who thinks they can predict prices for more than a day or two is most likely mistaken but LB is a strong short under almost any sort of system swing, medium-term trend-following, long-term trend-following, etc. It may be a bit oversold to initiate a new position for some of the shorter-term systems but I don't know of any where you'd exit after Friday's performance except for a profit target exit.

I do respectfully submit that my interpretation of price movement is that prices go down not when there are more sellers than buyers but when the buyers don't want to pay current prices and when sellers are willing to sell for less than current prices. I think it is more of a psychological perspective than a quantity issue, i.e. prices drop from lack of bids not from too many offers. This perspective is very evident during very fast markets. When the bids dry up you have to sell lower to get filled, sometimes much lower.

- Forum Mgmnt

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Post by billpritjr » Fri Sep 29, 2006 1:44 pm

Forum Mgmnt wrote:LB is a strong short under almost any sort of system swing, medium-term trend-following, long-term trend-following, etc. It may be a bit oversold to initiate a new position for some of the shorter-term systems but I don't know of any where you'd exit after Friday's performance except for a profit target exit.

- Forum Mgmnt
Forum Mgmnt, it is refreshing to see an "amateur" like me execute a trade on LB for darn near the same reasons you support the short.

I am still short....

Take care

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Post by stancramer » Fri Sep 29, 2006 2:34 pm

My slowpoke system didn't short Lumber until the downtrend was well established.
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billpritjr
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Post by billpritjr » Fri Sep 29, 2006 4:04 pm

stancramer wrote:My slowpoke system didn't short Lumber until the downtrend was well established.
Stan

What is your criteria for entering a short? New N-day low, EMA, etc?

thanks

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Post by AFJ Garner » Fri Sep 29, 2006 4:57 pm

I really wonder whether it matters. What does matter rather more than the exact system or parameters used by Stan is his timeframe. That does matter. That is interesting.

But look, anyone can come up with a number of different long term systems which would have shorted lumber on the same date.

Using a back adjusted CSI contract rolling on Open Interest, second trigger and with other standard settings, a DMA set at 400 and 190 happens to short lumber on that day. That is a slightly different contract - Stan used a contract rolling on the first day of the delivery month - had I used the same contract I would doubless have arrived at a slightly different set of parameters on my DMA but there you go.

There is no magic. Just endless observation and drawing of conclusions. Or thus it seems to this player of our strange little game.

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Post by stancramer » Sat Sep 30, 2006 10:51 am

billpritjr wrote:What is your criteria for entering a short? New N-day low, EMA, etc?
I use the PGO system, with my own choices for parameter values. Also I experimented with little tweaks and twists here and there inside the system. For example, where the original PGO uses the "Close", I experimented with substituting ((High + Low)/2) or ((O+H+L+C)/4) or other minor embellishments of that sort. They may be trivial and they may be obvious in retrospect, but they took me a long time to invent and to test and I'm not giving them away. However you can help yourself to the original, the thing I started from; it's attached to this message.

Now perhaps you might be kind enough to answer the same question: What is YOUR criteria for entering a short?
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billpritjr
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Post by billpritjr » Sat Sep 30, 2006 11:53 am

Stan

I use a 10/20 EMA cross for both long and short, coupled with breakout from a trading range. For example, Copper is in a trading range and I would not execute a trade based on 10/20 EMA cross right now, not until it breaks out from consolidation.

I also prefer to have some fundamentals to support the chart. This admittedly is more so I can sleep at night, as most fundamentals are already in the price.

Short Lumber and Sugar right now

take care

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Post by BARLI » Sat Sep 30, 2006 11:47 pm

[quote="damian"] I guess the membership of your class "everybody" are people with long positions, and getting out means selling?? I know that isn't what you meant. You meant "everybody" is closing out profitable short trades. Do you really think that?

The quantity bought = the quantity sold. So why does price move?

Take a look at the LB price chart. It is going down and there is only one reason, and will only ever be one reason, for that: the number of people with the desire to sell is greater than the number of people with the desire to buy (I'm using 'number of people' as an easy to express proxy for quantity of contracts)

To address your bizarre and incorrect assertion: “everybody is already getting outâ€

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Post by AFJ Garner » Sun Oct 01, 2006 5:10 am

"its not a surprise to me that Lumber started its fall in May, since it does so from May till October and then rallies from October till May, so if Stan was short Lumber from the beginning of the move and bill just got into it who do you think has more chances of getting out profitably? "

You can of course devise a mechanical system to take advantage of the seasonal trends you think you see in the various markets. Clearly you could check it out by programming a system to short lumber on 1st May each year and to reverse the position to long on 1st October each year. And so on for the various seasonal tendencies you think are observable in other commodities.

So perhaps this thread should have been called something along the lines of "What positions are you holding and why?"

Mr Cramer is short Lumber because his trend following system captures the middle part of the move in rather long term trends. He does not aim to catch, specifically, seasonal moves although his system may do so from time to time. In any event, as Mr Cramer himself pointed out and as can be observed from his chart above, he did not short lumber at the "beginning of the move". His system has a filter (the ATR bands of the built in TB ATR system) which ensures that he does not get in at the "beginning" of ANY move. The wider the bands, up to certain limits, the more trades are filtered out and the higher the win loss ratio. If there was no such filter, simply a very long term moving average, he may well have been in at the beginning of the move: with the consequence that his overall win to loss ratio on a portfolio would go down to perhaps 15/85 (or some such ratio, depending on the length of average used) with a very small number of very profitable trades making up for the very large number of small losses.

Others on this thread have been badly whipsawed recently because they are trading a short term mechanical trend following system on markets which have showed no clear trends. Longer term players will also have seen their equity curve suffer but may not have been bounced in and out by such whipsaws. They will have been continuously long copper for instance over the past few irritating months.

When I made my comment about Mr Cramer's timeframe being of interest, not his system, I made the mistaken assumption that we were all talking of the more standard trend following systems and not systems aiming to time individual seasonal tendencies in individual markets.

In the context of the more standard mechanical trend following systems most of us follow, I do believe that timeframe is in general of more interest than the specific method used to capture trends. And timeframe is more important in terms of on-going testing for parameter drift. And that is because there are very many profitable systems, all of which can capture trends of any given length. Each system will have its own characteristics but there is no magic to any system. Only the ability to profitably hop in and out of the market at appropriate times. Or even "almost" random times, given a long enough timeframe.

I am sure that I am boring the proverbial butt of the more experienced players but my ignorant prejudices may be of some interest to some of those who have just started their odyssey.

To those few suckers interested in my ramblings, I would say decide what length of trend you are aiming to catch and then test to see how the many, many valid trend following systems catch such trends. Any of the LTTF systems built into TB will do a creditable job. Most systems can be fiddled with to produce a very similar profile. A DMA, aiming to catch a given length of trend, will tend to enter earlier and exit later than a BB Breakout system using wide bands and will have a lower win/loss ratio. But narrow in the bands of the BB Breakout and see how similar it can become to the DMA for any given trend length; at least in terms of the win/loss ratio. And so on with the many, many other systems you can devise.

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