My month to date results for April 2007:

 # closed winning trades : 2

# closed losing trades : 3 

Net monthly profit (loss)% :  29.2%

After last week’s payroll report, the cable feigned weakness early in the week.  The Cable Glider entered a 20 lot (2MM) short position which was closed at a small loss (7 pips = $1400) on Monday evening when the market reversed upward.  The system then entered a 20 lot long position at 10PM EDT on Monday night, and closed out this morning with an 86 pip (=$17200) gain.   The leverage utilized on the past few trades (> 30X) was making me very uncomfortable, but as usual, when I could find no way to ”cap” leverage in the backtest without harming profitability, I just let the system make the choices, and the payoff was handsome indeed.  

This week’s action got me thinking about one of the key tenets of trend following, that of having no directional bias.  I was quite convinced that the dollar *should* strengthen after the payroll number, and had I stuck to that conviction, I would have missed out on the long trade.  I might have fundamental opinions about the market, but my trading decisions are driven purely by the price action.

The Cable Glider’s economic event filters will have the system sitting idle until next Wednesday night.  I’ll be here relaxing, digesting the recent gain, and hopefully I will come back into the market next week with a clear mind and an ego in check.

The performance chart has been updated, and it shows that the model portfolio is at a new equity peak with a 6 month compounded return of 233%.