Trades So Far (Exc. Hedge) in Order of Latest…
VNDA: VANDA PHARMACEUTICALS +$670
DNOW: NOW INC +$1,053
KFY: KORN FERRY +$1,047
NSIT: INSIGHT ENTERPRISES +$1,203
CMTL: COMTECH TELECOMMUNICATIONS +$2,623
GLUU: GLU MOBILE (-$5)
VPG: VISHAY PRECISION GROUP +$440
HI: HILLENBRAND (-$575)
NSIT: INSIGHT ENTERPRISES +$288
Good job and welcome !
Quick Note to Traders…
Just converted Russell2000 September Expiring Micro-Futures (the “Hedge”) to December.
Normally a broker would liquidate an expiring future in a timely manner, but alas, in the case of C2 this did not happen this morning, so had to be done manually.
Bottom line - resulted in a small but unnecessary loss of $120 on the strategy, on the assumption the micro’s would be auto-closed out by C2 on expiry.
We are still up around 10% since launch 30 days ago.
New All Time High - We Are Now Up +13% Since Launch.
Note: This is a Hedged “Market Neutral” Strategy…
Quick Note to Followers of Strategy:-
This week, the stock AYI showed up on my results, which was subsequently traded. The stock should not have shown up, as I operate a strict built-in rule to my algo whereby I do not trade any stocks which are releasing earnings in the 7 days post-entry.
I subsequently enquired with my data provider, regarding this issue, to which a reply has been received.
One of my strategies on the database includes a built in rule “weekstoq>0”, which should not bring up stocks which are going to report earnings in the next 7 days. However, this week “AYI” stock appeared in the results incorrection. I bought the stock, and today (3 days into the week) they have reported earnings. I am running a loss as a result. Your backend earnings-date confirms the date “4th October BMO”, which is still less than 7 days since I ran the screen on Monday morning. The rule “WeeksToQ>0” should have filtered AYI out. Can you explain?
WeeksToQ is an approximation. We calculate it ourselves and in order to prevent look-ahead bias we are doing it by looking at the previous year’s earnings release date and adding a year. It is better to confirm with the NYSE/Nasdaq database to re-check exact dates.
Long story short = lesson learnt. I will (in future) always double (and triple) check directly with the exchanges, for exact earnings dates before making any trades, as AYI should never have been traded this week.
Thankfully we have made up a good proportion of the AYI loss in the last few days.
I wanted to share this as a heads-up with all my followers
Loss on the AYI error-trade (see above post) almost completely recovered… the strategy continuing to profit. We are up 4% today - should go to 100% profitable months by end of Oct…
New All Time High - Fully Hedged (Market Neutral) 1:1 Long/Short Portfolio…
Another Day - Another New All Time High (+3% Today, Fully-Hedged Long/Short)…
New Record High. Also Considering Price Drop to $135/Mo For Limited Time.