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Saturday, January 26, 2013

Weekend Portfolio Analysis (01-26-2013)

Another week of slow and painful upside movement. SPX from 1485.98 to 1502.96 for a 1.14% gain. Many traders, including myself have been predicting a top for a while. We've had no success. The only thing I have forecasted correctly was the fact that if the market kept going up it would be in a slow fashion, and so it has been with gains of 0.38% two weeks ago,  0.94% last week and 1.14% this week. The market simply doesn't crash to the upside.

This was a pretty active week for me where I entered an SPX 1450/1445 February Put Credit Spread to mitigate some of the upside exposure. Details about that trade here. That position is doing good now with an 87.21%  probability of success and a temporary +$75 profit.

Then on Friday I rolled up the SPX 1520/1525 February Call Credit Spread  to 1530/1535. Details about that trade can be found here.

The new position on the SPX index is a 1445/1450/1530/1535 Iron Condor with expiration in 19 days. Total credit of 1.20, which represents a maximum $600 potential for  5 contracts per leg.

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This position feels more comfortable now. I like it.

There's also a RUT 920/925 Call Credit Spread in the portfolio. It's getting a little heat right now with
a -$300 temporary loss and a 67% probability of success. I'm not totally happy with it, but I'm not in panic mode either.

(Click on image to enlarge)

Finally, I also opened a March SPX 1355/1360/1560/1565 Iron Condor this week. There's a lot of fight ahead with this one (47 days to expiration). For now, it is not concerning. -$62.50 temporary loss and a 76.68% probability of success.

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Overall I have 3 positions: A RUT Bear Call Spread in February, an SPX Iron Condor in February and an SPX Iron Condor in March. Each one taking up about 20% of the total capital in terms of margin. The portfolio is around 60% invested and 40% in cash.

Plan for the week

Very simple. I believe I won't need to touch the Iron Condors. There's decent room in both cases. The only concerning position this week is the RUT 920/925 Spread. I will adjust it further up if RUT hits 918.

If RUT falls let's say to 890 I will be looking to sell Puts, probably in the 840 neighborhood.

Market conditions right now

I don't want to sound like a broken record, but my outlook is the same: Down or slowly creeping higher. I would love to see and end to this uptrend, but with the candle the market made on Friday it is hard to forecast an imminent reversal. Very solid candle, almost entirely body and no wicks.

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Stochastics at 91, very overbought. (93 last week)
McClellan at 100 is not overbought. (128 last week)
75.72% of stocks are above their 20 SMA (78.83% last week)
84.60% of stocks are above their 50 SMA (84.98% last week)

I hate to say it, but the market looks less overbought than last week, which looked less overbought than the week before. We're obviously overbought in general, and with optimism at extreme levels. But market internals signal a little room if the market wants to creep higher. The SPX index has closed positive for 8 consecutive days, also an uncommon fact.

On the Forex Front

The Live Forward testing of the LT Trend Sniper is going well. This week with a 102 pip winner +1.51% equity growth. This system, as you know was designed to follow the monster trends that take place in the EURUSD currency pair every year. Although this was a small victory, it is irrelevant, only to prove that the code is working and by now free of bugs. The real goal is to catch one of those 500 pip to 1000 pips trends this year. If it happens the system will catch it.

LT Trend Sniper is giving another long EURUSD signal as of right now, and it should re-enter on Sunday, January 27, at 5pm Eastern time.

For more details
LT Trend Sniper - A forex strategy that works
LT Trend Sniper Characteristics and Backtesting Results
LT Trend Sniper live testing Results

Economic Calendar

Very busy schedule with Durable Goods Orders starting the week. FOMC will be the focus on Wednesday along with GDP, and then the Employment Report and ISM Manufacturing on Friday.

Good luck this week folks!

Check out Track Record for 2013

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