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NUI - Intraday trading using Futures

Hi there folks,

Finally, the day has come, and my Darwin is alive! NUI .Wanted to introduce a little bit of the philosophy behind it so you can ponder about whether this Darwin is worth of your time or not.

Overall Description

(Mostly)Intraday discretionary trading based on Market Profile and Order Flow tools (Cumulative Delta, Time and Sales, Footprint, Price Ladder) in currency futures. Only USD exposure, excepting AUDJPY (US equities Proxy). Targeting 5%-15% Monthly Returns. Risk Management - Total daily exposure around 2%. Any losing day means next day exposure gets reduced by half. No positions carried over the weekend. Major data releases are traded.

Current results include the trading during last week of May, all June and July.

How do I work on a daily basis?

  • I look for a bias that determines what kind of movement I’d like to join during the day.

  • Then I look for areas of interest where the market is imbalanced and thus will need to correct itself. Basically, pairing my bias with the liquidity I need to enter the trade. For example, If I expect a bullish push, I look to pair my buying with intraday selling.

  • Then I check for potential areas to cover my position. The idea is that people who get trapped in those imbalances will puke at some point in the future, so I look for those potential “puke” areas to pair my exit with that liquidity. For example, If I’m riding a bullish move, I note where sellers got trapped, and look for potential points where their exits might be. Their exits (sell stops that generate buyside liquidity) provide the liquidity to reverse my position (as I bought, I need to sell, and to sell I need a buyer)

How do I determine a bias?

Over the medium term, I run my own BEER model to check for misalignments in the exchange rates. (Behavioral Equilibrium Exchange Rate – you can read more on that on this paper “Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs”).

I combine that view with Commitment of Traders custom studies, Seasonal Tendencies, and the use of Market Profile.

How do I handle the intraday trading?

Using order Flow tools to detect the mentioned daily imbalances (Cumulative Delta, Time and Sales, Footprint, Order Book reading) in currencies futures – CME.

Darwin objectives

  • Reduced portfolio volatility
  • Drawdown handled with the outmost care.
  • Asymmetric trading with low risk high reward, reflected in a high Loss Aversion Attribute.

Hope that this introduction brings some interest into my way of doing things, I will be around to answer any question if you have them. I will also share a performance review “newsletter” each month from now on.

Thanks for your time.