11/10/2011 Portfolio Update

Trading Signals:

TZA buy stop trigged so TNA closed and TZA opened today.

The system will try to long gold tomorrow. Set DGP buy stop at $62.25, stop loss around $55.24.

And form today on, I’ll use 10 as the mini unit for how many shares to buy instead of 100 as the mini unit to avoid the TMF bad example. Because now the max TMF loss would be $1,367 instead of max $1,000 allowed which is too large. And this explains why you see the total TZA shares bought today is 180 instead of 200. I need control the loss more precisely to make sure every positions in the portfolio are equal, not, say, TMF risks $1,367, while DGP risks only $800, otherwise the so called “automatic hedge” are weighted in particular positions therefore not “neutral” enough.


8 Comments on "11/10/2011 Portfolio Update"
  1. Comment left on:
    November 11, 2011 at 1:12 am
    Anonymous says:

    Cobra, a question I should ask you earlier. It seems that you are using ~3.5*ATR(10) for the new DGP position, while for today’s TZA you were using ~1.7*ATR(10). Is the stop loss a parameter that is optimized for each asset class?

    • Comment left on:
      November 11, 2011 at 9:09 am
      Cobra says:

      No. it’s not fixed stop loss, the further stretched, the larger the stop loss.

  2. .
    November 11, 2011 at 3:34 am

    […] $ 55.24.And form today on, I’ll use 10 as the mini unit for how many shares to buy instead of 100 [Read the Rest] Cobra’s Market ViewA Fun Fact… This day in history… Related posts:11/01/2011 Portfolio […]

  3. Comment left on:
    November 11, 2011 at 9:52 am
    Anonymous says:

    One more question, since I just start the DGP position, should I buy double-sized position to match your current portfolio since it already has a DGP position? OR should I just wait for the next buy signal to come up?

    • Comment left on:
      November 11, 2011 at 11:05 am
      Cobra says:

      you shouldn’t double.

      The pyramid position will be “close at will” whenever a breakeven stop loss can be set. So when you have your first breakeven stop loss while I closed my position, you can hold as your base. The next time, I try to pyramid again, that’s your first “close at will” position. In this way, the system is designed that anyone can follow at any time, there’s no worry of being not following for awhile then you have to wait for the next round to follow. No, you don’t need.

      By follow, I mean “faked follow”, the system here is not supposed to be followed, you should be clearly aware of that.

  4. Comment left on:
    November 11, 2011 at 2:04 pm
  5. Comment left on:
    November 11, 2011 at 3:17 pm
    Anonymous says:


    Thanks for your explanation! Greatly appreciated. This portfolio gives me a very good opportunity to train my position trading.

    Another thought about the hedging strategy that is implied in this portfolio. Apparently as of today, the portfolio is equity-bearish. Is it possible sometime that the holdings of all assess classes happen to be all positively correlated, i.e. long dollar, short gold, long bond, short oil, and short equity. If this happens, the hedging mechanism will fail. How can this be avoided?

    • Comment left on:
      November 11, 2011 at 3:33 pm
      Cobra says:

      It’s “automatic hedge” so hedge is not the portfolio’s goal. The goal is to make money not risk zero. So don’t read much about the hedge, if in the transition period, you get some degree of hedge automatically, be happy with that. Pay attention to “transition period”, nowadays everything are related, so only in transition period, because some asset moves a little earlier, so you get a short period of “hedging”.

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