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Tuesday, March 31

Ok, I'm out for today

Traded nice today FX for $4400 and stocks for systematic swing system. 
Now I'm going to cook a nice handcrafted Weiss beer !! 

$XRX Xerox Corp

$XRX Xerox Corp 
2015-03-30
NBO system Narrow Range Breakout
----------
LONG
@13,1416
TP13,8347
SL12,4484

The heat is on !

Trading FX today , looking goood 

Monday, March 30

gbp.usd

small stake in gbp.usd . no corner post :)

working on new systematic trading of ETF

working on new systematic trading system
​of ETF , long term investing , both long & short 

London Grammar - Qube (Live Bij Q)

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VonAnka.se
Provides advance level systematic trading strategies. Trade indices, stocks, commodities. Teknisk aktieanalys med strategi. Trading strategies, education, trade indices, stocks, commodities, training LIVE Twitter @VonAnka_se
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London Grammar - Stay Awake (arte 2014 Live)

----
VonAnka.se
Provides advance level systematic trading strategies. Trade indices, stocks, commodities. Teknisk aktieanalys med strategi. Trading strategies, education, trade indices, stocks, commodities, training LIVE Twitter @VonAnka_se
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trades since friday

trades since friday $2878


monday trades

$FDX Fedex Corp  LONG 166,3 163,8
$MHFI The McGraw-Hill Companies Inc  LONG 105,17 102,76
$MSI Motorola Solutions  LONG 66,27 63,93
$ABBV Abbvie Inc. Common Stock  LONG 58,5 56,85
$WMT Wal-Mart Stores  LONG 82,76 80,65

Friday, March 27

$MOS Mosaic Company

$MOS Mosaic Company 
2015-03-26
NBO system Narrow Range Breakout
----------
LONG
@47,7720
TP49,5161
SL46,0280

Thursday, March 26

smooshing GBP.JPY

 smooshing GBP.JPY

$KMX Carmax Inc

$KMX Carmax Inc 
2015-03-25
NBO system Narrow Range Breakout
-----
SHORT 
@65,3951
TP62,5554
SL68,2349

$OKE Oneok Inc

$OKE Oneok Inc 
2015-03-25
NBO system Narrow Range Breakout
----------
LONG
@48,1329
TP49,9888
SL46,2771

Wednesday, March 25

$COP Conocophillips

$COP Conocophillips 
2015-03-24
NBO system Narrow Range Breakout
----------
LONG
@64,2936
TP66,7309
SL61,8564

$AAPL Apple Inc

$AAPL Apple Inc 
2015-03-23
NBO system Narrow Range Breakout
-----
SHORT 
@125,6981
TP122,7242
SL128,6719

GBP.USD on pullback 5m in chart buy

GBP.USD on pullback5m in chart buy

Tuesday, March 24

EUR.CHF made my day

All you hungry day traders, screaming for profits, shorted EUR.CHF for a nice chunk of 7.7k$  
But I rather let my algos trade so I can read a nice book !  

tuesday trades

$CF Cf Industries Holdings LONG 296,05 SL285,32
$ATVI Activision Blizzard Inc LONG 23,63 SL23,10
$BMS Bemis Company LONG 47,8 45,64
$GOOGL Google Inc LONG 573,7 558,89
$ETN Eaton Corp LONG 69,25 67,21
$DOW DOW Chemical Company LONG 47,74 46,85

Monday, March 23

$ATVI Activision Blizzard Inc

$ATVI Activision Blizzard Inc 
2015-03-20
NBO system Narrow Range Breakout
----------
LONG
@23,6383
TP24,1750
SL23,1017

$AMAT Applied Materials

$AMAT Applied Materials 
2015-03-20
NBO system Narrow Range Breakout
----------
LONG
@24,4398
TP24,9093
SL23,9702
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$CF Cf Industries Holdings

$CF Cf Industries Holdings 
2015-03-20
NBO system Narrow Range Breakout
----------
LONG
@296,0564
TP306,7892
SL285,3236

$RAI Reynolds American Inc

$RAI Reynolds American Inc 
2015-03-20
NBO system Narrow Range Breakout
----------
LONG
70,98
TP71,4699
SL69,3234

$GLW Corning Inc

$GLW Corning Inc 
2015-03-20
NBO system Narrow Range Breakout
----------
LONG
@23,8657
TP24,8272
SL22,9043
-----

Thursday, March 19

$HRL Hormel Foods Corp

$HRL Hormel Foods Corp 
2015-03-13
NBO system Narrow Range Breakout
----------
LONG
@56,4018
TP58,6155
SL54,1882

$MA Mastercard Inc

$MA Mastercard Inc 
2015-03-16
NBO system Narrow Range Breakout
----------
LONG
@89,5480
TP91,7840
SL87,3120

thursday trades

$WHR Whirlpool Corp  LONG @202,9544 SL193,9656
$TRIP Tripadvisor Inc  LONG @85,5437 SL82,3463
$PCLN Priceline.Com Inc  LONG @1 206,0140 SL1 164,5360

Wednesday, March 18

Black and Scholes is not a formula but an argument

Black and Scholes is not a formula but an argument , i.e you can calculate when to cross the railroad  and it works fine,  but one event will be fatal, only way around this is to limit the downside, by hedge, pair or % at risk !

Monday, March 16

My Algo is well behaved giving me nice steady returns !

My Algo is well behaved giving me nice steady returns !  GOOD BOY !

average R 0.2196364
std dev 0.84218
median

expe/std dev R 0,3-0,5 Excellent! 0.35

Saturday, March 14

adaptive asset allocation good primer

adaptive asset allocation 

Thursday, March 12

Thursday trade

$SWK Stanley Black & Decker Inc  LONG HIGH RISK 97,2877 95,3423
$SEE Sealed Air Corp  LONG 46,41 44,7507
$FB Facebook Inc  LONG 79.15 76.53
$GS Goldman Sachs Group  LONG 187.58 181.26
$TXN Texas Instruments Inc  LONG 58.17 56.71
$BLK Blackrock  LONG 361,82 354.64
$LRCX Lam Research Corp  LONG 79,64 77.48

Top down or bottom up !

Top down or bottoms up ? 

Wednesday, March 11

SPY since 2015-03-03

Nice shot ! 
$SPX S&P 500 INDEX 
2015-03-03
NBO system Narrow Range Breakout
----------
SHORT 
@2 087,4451
TP2 048,3152
SL2 126,5750
---------
Delta  39,1299
Volume     0,0000
trading strategies
@VonAnka_se

Strategies now updated with learning algorithm

Strategies now updated with learning algorithm. 

Tuesday, March 10

Tuesday trades

$FMC FMC Corp  LONG @62,3229 SL60,4671
$F Ford Motor Company  LONG @16,2051 SL15,8249
$AIV Apartment Investment and Management  LONG @37,4339 SL36,18
$CERN Cerner Corp  LONG @70,9891 SL69,1109
$STX Seagate Technology.  LONG @58,5189 SL56,1711

Friday, March 6

Friday trades

Friday watchlist
$RTN Raytheon Company LONG@107,8971SL105,7729TP110,0213
$CA CA Inc LONG@32,4081SL31,4019TP33,4143
$FDX Fedex Corp LONG@176,4648SL172,3952TP180,5343
$NWL Newell Rubbermaid Inc LONG@39,5530SL38,9270TP40,1791
$DPS Dr Pepper Snapple Group Inc LONG@79,6556SL77,4644TP81,8469

Thursday, March 5

thursday watch lsit

watching these today
$DAL   SHORT   @44,3674 SL45,9326
$TWX LONG @84,7023 SL81,4377
$AMT   LONG @99,6963 SL96,9237
$EMN   LONG @75,2253 SL73,3247
$SRE   LONG @108,5093 106,9


$MYL Mylan Inc

$MYL Mylan Inc 
2015-03-04
NBO system Narrow Range Breakout
----------
LONG
@56,6051
TP58,9752
SL54,2349

Paying ME $BMY Bristol-Myers Squibb Company

Nice call in $BMY  is paying me $$$ Bristol-Myers Squibb Company

Wednesday, March 4

BUY $NKE Nike Inc

BUY $NKE Nike Inc 

2015-03-03
NBO system Narrow Range Breakout
----------
LONG
@99,3043
TP102,3229
SL96,2857

Europe mid caps Pros & Cons

Europe mid caps Pros & Cons





I'm running for

 I'm running for a top down thematic approach to provide a value driven, best ideas portfolio. 
Will be providing you with the knowledge to achieve superior returns with strict attention to capital preservation.

Primer in trading

Efter alla frågor jag har satt ihop en primer om trading , grundläggande och värdefull !

winners & losers

Recent winners tend to perform strongly together, and poorly precisely when recent
losers perform strongly. These strong co-movements introduce significant risk to strategies
that tilt toward price momentum, contributing volatility even when the strategies are well
diversified in names, and negative skew that exposes the strategies to large drawdowns.
Accounting for these tilts, when they are present, dramatically improves the explanatory
power that asset pricing models have explaining variation in realized returns.

Tuesday, March 3

$AAL American Airlines Group Inc.

$AAL American Airlines Group Inc. 
2015-03-02
NBO system Narrow Range Breakout
----------
LONG
@49,0150
TP50,6249
SL47,4050

Monday, March 2

$KRFT Kraft Foods Group Inc

$KRFT Kraft Foods Group Inc 
2015-02-27
NBO system Narrow Range Breakout
----------
LONG
@64,7388
TP66,3264
SL63,1512

$VRTX Vertex Pharmaceuticals Inc

$VRTX Vertex Pharmaceuticals Inc 
2015-02-27
NBO system Narrow Range Breakout
----------
LONG
@121,9476
TP127,1127
SL116,7824

Sunday, March 1

forward contracts

At time zero you enter a short position in forward contracts on 20 shares of the stock XYZ at the forward price of 50.00. Moreover, you sell (write) 5 exotic" options, with the same maturity as the forward contracts, of the following type: they are put options, but using as the underlying asset the average of the today's stock price and the stock price at maturity, rather than using the stock price at maturity as the underlying asset. The option's strike price is 52.00, the option selling price today is 5.00 per option and the today's stock price is 50.00 per share. Assume that, after those trades are put in place, the initial capital you have (need) is invested (borrowed) at zero interest rate. In your answer, use minus sign for a loss.


answer: 
You gain 20×(50−48)=40 from the forward contract. You receive 5×5=25 for the options. You have to pay 5×(52−(48+50)/2)+=15 as the options payoff. Your total profit/ loss isP/L=40+25−15=50

Put & Call Options & butterfly styles.

Put & Call Options & butterfly styles.
the butterfly is interesting if we are in a range & would like to profit from that ( Hell Yeah !)
blue is each profit / loss & red is combined magic  mojo  

Classifications of Financial Instruments

Classifications of Financial Instruments

Black-Scholes -Merton model

Black-Scholes -Merton model 
If you are thinking of an Apple stock, one stock that is moving in time to model.
That's one single value that changes every time frame X.
But it's a one dimensional stochastic process and that's what the Black-Scholes -Merton model is going to model.
BUT treasury bonds, you have many bonds of the same type.
You have a three-year bond, a five-year bond, a 10-year bond, bonds same but with many maturities !
SO it becomes a multidimensional problem, mathematical model that continuously many maturities
of the bonds of the same type.

YOU have to make sure that modeling is CONSISTENT, i.e three-year bond makes sense,
versus the model for the five-year bond so that there is no arbitrage in your model.


YOU have to model bonds of many maturities in a correlated way.

They have to be correlated in a way that makes sense !!! ! !

Vanilla Options

– Call option: a right to buy the underlying 
– Put option: a right to sell the underlying 
– European option: the right can be exercised only at maturity 
– American option: can be exercised at any time before maturity

-------------
• Writing an option: selling the option 
• Premium: price or value of an option 
• Option in/at/out of the money: 
– At: strike price equal to underlying price 
– In: immediate exercise would be profitable 
-Out: immediate exercise would not be profitable

 
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