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Tuesday, May 3, 2016

Yen (6J) Scalping +$280 after fees

Second trade: New top - ok; Rule #2-ok,  26 ticks +$162.5 - $7.5 fees
Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Net Price Order Type
5/3/2016 9:30 FUTURE BUY 1 TO CLOSE /6JM6 16-Jun FUTURE 0.009437 0.009437 LMT
5/3/2016 0:36 FUTURE SELL -1 TO OPEN /6JM6 16-Jun FUTURE 0.00945 0.00945 LMT
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Numbers
1. Notional 12, 500, 000.00 japanese yen.
2. Implied volatility as of today is ~ 13%
3. Expected daily move 12500000*0.13/sqrt(365)=85, 056 yen=$800
which is 800/6.25=128 ticks
4. Today's actual range was 120 ticks.
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STRATEGY 1
1. Sell new top (about +0.5SD ); +60 ticks
2. Take profit at 0.25SD;               30 ticks
3.Stop loss +1SD;                         128 ticks.
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1. Rule #1 was not fulfilled. The position was opened below slightly the previous top.
2. The drawdown of ~-$500 was experienced.
2. The profit of $125 was taken, which is 20 not 30 ticks.

Conclusion is that Rule #1 must not be violated.
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Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Net Price Order Type
5/1/2016 18:13 FUTURE BUY 1 TO CLOSE /6JM6 16-Jun FUTURE 0.009381 0.009381 LMT
4/29/2016 15:28 FUTURE SELL -1 TO OPEN /6JM6 16-Jun FUTURE 0.009391 0.009391 LMT

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