Immunization open position


Further evolution of our markets is shown in the figure. After breaking the resistance level of 123.00 on the spot market, USD / JPY, it became clear that the U.S. dollar rally will continue. In this situation, it was decided to close the loss-making short position in USD / JPY by buying $ 1.5 million at the rate of 123.20.

As a result, we are left with an unsecured short position in the futures market, which could be more or less safely hold up to 26/12/01 12/23/01 Mr. However, the market ended with the formation of the intermediate yen 1st Elliott waves, and there has been a correction of up to Goal 2 nd intermediate wave. But at this point continues to form the red bars, and the oscillator MACD is still recorded by bears. Therefore it was decided to leave the futures position unchanged. At the same time it does not exclude the possibility of partial immunization due to a short position in the spot market USD / JPY.

Indeed, at this point the dollar against the yen had tried unsuccessfully to overcome the resistance level 124.50, after which there has been a corrective move lower. Because this behavior, the spot rate of our assets are not subject to any changes in the Elliott wave model, we make the correction for the emergence of a new trend has been difficult. It was therefore decided to insure only 50% of all futures position that is sold $ 1 million USD / JPY 123.60 at the market rate. Subsequent dynamics of our spot market has demonstrated a complete bulls rule on it. And as was overcome strong resistance 124.50 - thus, the bar 06/12/01 formed green and MACD oscillators and Sstoch give signals to buy, - offset transaction was made through the purchase of $ 1 million at a price of 124.60. A key moment came 04/01/02, when the yen in the market ended its third generation bear and was built 5th intermediate Elliott wave. Thus been identified goals Wave 4 and appeared index PTI = 99, indicating a high probability (99%) of the adjustment upward.

It should be noted that up to this point, all of the bars on the market formed red, without giving a reason for the withdrawal from the market in order to profit. And the behavior of the spot market USD / JPY? After a month's rally (the contract was formed 21 green bar) on the market completes the construction of the 5th Elliott Wave (and already constructed 5th intermediate wave). Shaped bar - black (neutral) color. Oscillator signals Sstoch MACD and contradictory: Sstoch signals bearish divergence and MACD - signal a bullish consolidation (convergence), which does not exclude the possibility of continuing the upward movement in the spot market. An analysis of the two markets, it was decided, the 4/1/02 to leave unchanged the position in the futures market and the spot to sell $ 2 million USD / JPY 131.40 at the current rate. Immunized position lasted until 1/16/02, when the spot market USD / JPY attempted breaking down the support level of 131.00 and a curve moving average mA (21). The attempt failed. After this course, greatly affected by the curve up and mA (21), and the level of 131.00, having formed a bullish reversal dvuhsvechnuyu figure EG [2]. Sstoch oscillator at this time also gave a buy signal.

Futures market, the yen 01/16/02 as new forces moved down: curves mA (21) and mA (5) downwards, the color forming bars - red, faster curve stochastics crossed SSK slower SSD down. In this situation, close the short position on the spot: buy $ 2 million USD / JPY 132.10 at the market rate.

Overall balance

A short position in futures on the yen lasted until 25/01/02, after which it was closed by placing orders for the purchase of 20 contracts on March futures on the exchange rate 0.007440. And this was a good reason: on the spot market completed the formation of the 5th (and intermediate 5th) Elliott Wave, 135.00 resistance level and has not been broken, the curves show strong stochastic overbought market, and handed a clear bearish MACD signal - divergence . Market Diagnostics yen leads to about the same conclusion.

The final balance at the close of a futures position with the following:

- In the spot market (see Table. Below);

- In the futures market: the sale of 20 March contracts on the Japanese yen at the rate of $ 0.008270 per yen and reverse the transaction at the rate of 0.007440. Since a contract price of 1 point equals $ 5.12 [3], the profits from this position was as follows: 20 x (8270 - 7440) x 12.5 = + $ 207.500.

Thus, the total profit from the work done for the quarter was: + $ 207.500 - $ 8.468 - $ 8.026 - $ 10.574 = + $ 180.432. That is for the week - $ 13.669, which is almost two times more than you would in two subaccounts spot market FOREX [1]. This is understandable, since in this case the efficiency of our bill is significantly higher.

And the last. Opening a position in the futures market, we are in different times were immunized three times its spot sales. Although all three attempts were unprofitable, they allowed our revenues hold open a futures position for a long time.

When graphing package used technical analysis of CQG, Inc.