Q2 2024 Trading Results
I’m squeezing in this post before I head off on a two-week vacation. Responses and posts will be made on a “best efforts basis” during that time.
In this blog and in the Substack chat I write about the trades I’m putting on to express my views in the market. The exact timing and prices of the trades are available only to paid subscribers, because it takes a lot of effort to update the chat in real time and track the performance of every trade. For today, I am opening up my entire trade log, as well as the daily report of current positions that I send to paid subscribers in the Substack chat.
As I do at the end of each quarter, I am tallying up my trading results and seeing how I performed in each asset class. I split up the results by asset class because it’s hard to normalize performance across rates, FX, crypto, commodities, and options, all of which have different volatilities and ways of measuring performance. I will introduce a new measure called R (or unit of pnl risked) which will normalize my performance across all assets.
The full list of trades closed in Q2 is at the end of this section. I exclude positions that are still open, and include closed trades in Q2 that were opened in the previous quarter or earlier (such as the BTC long from last October).
I closed a whopping 49 trades this quarter compared to only 30 trades in Q1. I must have gotten overconfident and traded more actively after a strong Q1, because my win rate was only 35%, compared to 62% in Q1 and 44% during the last seven years. However, the win rate only tells part of a story, as strong risk management allowed me to take small losses while participating in some outsized gains.
Crypto: I made some happy gains from my core allocation to BTC that was established in Q4 2023 and held until April. I also did pretty well buying the dip in May and selling it near the top of the range. Overall I banked 85.3% of gains in the crypto strategy, following a 61% gain in Q1.
Commodities: I scored some nice wins in silver, coffee, and nat gas, and managed to avoid big losses. The commodities strategy was up 40% in Q2, following a 22% gain in Q1.
FX: This asset class was tough to trade this quarter, with volatility dampened and no strong trends materializing. I only closed 8 trades in FX, and lost a total of 3.1%, following a 0.5% loss in Q1.
Equities: I didn’t provide many trading ideas in equities and only made 1.9% in this asset class (following 2.3 % of losses in Q1), most of which came from being long China A50 futures. I actually do trade S&P futures actively, but the trades are too short term to include in this blog. The strategy is quite profitable, with a win rate in the mid 40s and a profit factor (average win divided by average loss) in the range of 1.3-1.5. Going forward I will provide my trading bias (long/buying dips vs short/selling rallies) in the daily position report I send to paid subscribers.
Options: I monetized four call options from the 10x disinflation trade portfolio I put on in November. Two were profitable (Coinbase and SLV) and two expired worthless. The multiple on invested capital from these four trades was 2.5x - a respectable outcome. I have two remaining options (KWEB and NLY calls) that expire in Jan 2025. Going forward, I will leave them off the daily position report and will inform readers when I monetize them.
Rates: The rates market was choppy and I took very few trades in this asset class. I lost a total of 16.5 bp on my rates positions (following 46 bp of gains in Q1).
Trades closed in Q2 2024
Current positions
The daily position report that goes out to paid subscribers has a couple new changes (highlighted in yellow below).
At the bottom of the report, I am including my trading stance in S&P futures. My long or short trading stance is based on my medium term view of the direction of the market, based on Fed policy, global liquidity, geopolitics, flows, positioning, and price action. I am currently long and buying dips, which means I am running a small core long with a trailing stop of 2-3%, and buying dips with a tactical size of 2-3x the core amount. On the tactical trades, I keep tight stops 20-60 bp away from the market and trail them aggressively.
At the top right, you can see the gain/loss column is now expressed in terms of “R”, which represents units of risk. Let’s say I buy S&P futures at 5500 with a stop at 5450 (50 pts away), and I make 150 pts of profit on the trade. The gain/loss column will show a gain of 3, as I made a multiple of 3 on the amount of pnl I risked against my stop. If I stop out at 5450, it will show up as “-1” in the Gain/loss column.
All traders should think in terms of "R when assessing their own performance. Regardless of what asset class you are trading, how large your trading capital is, and how much you risk per trade, the true measure of skill comes down to how much you make vs how much you risk.
Disclaimer: The content of this blog is provided for informational and educational purposes only and should not be construed as professional financial advice, investment recommendations, or a solicitation to buy or sell any securities or instruments. The blog is not a trade signaling service and the author strongly discourages readers from following his trades without experience and doing research on those markets. The author of this blog is not a registered investment advisor or financial planner. The information presented on this blog is based on personal research and experience, and should not be considered as personalized investment advice. Any investment or trading decisions you make based on the content of this blog are at your own risk. Past performance is not indicative of future results. All investments carry the risk of loss, and there is no guarantee that any trade or strategy discussed in this blog will be profitable or suitable for your specific situation. The author of this blog disclaims any and all liability relating to any actions taken or not taken based on the content of this blog. The author of this blog is not responsible for any losses, damages, or liabilities that may arise from the use or misuse of the information provided.