Close Out (ITW/IEX)

ITW at 50.4, IEX at 38.67

Short MAR

Buying two January 39 Puts at 0.49

Close Out MSFT

msft at 27.02, April 28 Call on MSFT at 1.08

Monthly update

Back after a two week break. Did some early season riding in Maine. Have not had the time to update the blogs.  Eventually I plan to move this trade signals platform over to collective2.com. I spent significant amount of time in enhancing the trading process. I will post additional results by the end of this month. I promise there will be some interesting findings.  It will give a better view into some of the industries, the return process, and back testing results of the portfolio.  The system is flexible enough to run for short term data as well as long term data. The only problem is the time required to run a 20 year simulation. To give an example, the commercial banks industry has 420 publicly traded names in the US. If we run co-integration test for all pairs in this industry, we are talking of 90 thousand computations for one day. When we run the process for 20 years the problem grows accordingly. We can add additional filters to reduce the number computations. Since I run four threads (because I use a quad machine) the run time is reduced signifincatly but still we are talking about a week to run the trading system for the entire US stock market (60+ industries) for a 20 year time window.


Now to the current portfolio. The pairs positions are being reduced mainly in anticipation of new findings. Better safe than sorry. The gross leverage in the portfolio is now about 130%, net of +50%.
I still don't have a complete picture of November performance.  For most part the month ended flat driven by losses in Google. This had to do with the inability to roll the hedges (on time spread) on black Friday (was on the slopes riding on first snow). No Groupon, and now google seems to be on the come back.  Closed several positions, but didn't have the time to update the posts. Will do a more detailed posting soon.

For now, GDP/TLM has been closed. KDN/WAB has been closed, a few opportunistic shorts on NFLX, and AAPL during last week worked well. The strangle on NFLX has been closed as well. The strangle could have been more profitable if I had used a balanced approach. The slight negative bias on NFLX worked against the portfolio.  January 600 Call on GOOG has been opened at an entry price of 13.2.

Changing TIF to Strangle

Now long Dec 60 Call (With Dec 50 Put).

Short TIF

Sell Dec 2010 60 Call on TIF at 0.68, Buy Dec  2010 50 Put on TIF at 1.06

Close EQR/KRC

EQR at 47.48, KRC at 32.83

NFLX

Sell 11/19 Put (strike 155) at 0.52 (basically close initial short to go long at the price). Real goal is to do a put spread (time), but can't get quote for next maturity. Oh well. For now taking the long bet on nflx. Hoping for no major crash in the next three days. if I could I would cover this with long put for December.

Close Out URBN/TIF

Urbn at 36.1, TIF at 56.1

Close Out DKS/ZUMZ

DKS at 32.9, and ZUMZ at 27.94