Friday, Friday....

What a week! The biggest "incident" was the massive USD/CHF trade someone pulled last night after Europe went home - it was week of NO CHANGE in stocks markets and there is...little or no additional money coming from the cash side... even the put/call ratio is clearly indicating the market has finally given up on the downside - and that my friend is THE time to be alert:

This Friday close - and a Japanese election which will probably see increased focus on domestic demand and doing everything OPPOSITE of what the LDP has done in the last 50 years could be sign of change - change to the better for Japan, but also for less EXCESS saving being sent overseas - Mr. and Mrs. Tokyo no longer "attack" their own currency by doing FX deals blindly......maybe... we will finally see Japanese buy their own stock market? I will look to go long small cap. Japan next week........

We faired ok for the week overall, but only really due to two core positions:

Long Fixed Income Europe and despite last 24 hrs - the continued negative bias on GBP....the rest was no fun - and shorting S&P daily is absolutely presently the best way to spend your hard saved earnings.... but again.. that is a sign.....

I will follow up with further S&P talk this week-end, but some house-keeping on the Puma Modus model sees it stopped in several positions although with good profit: GBP was one (although I maintain the Macro short overall....), T-bonds another - and Bunds came awfully close to stop @ -08 only to close on the high for the week... talk about a strong trend...

The present environment reminds me, again, of 1999/2000, where I was Prop. trading in UBS, Stamford - everyone and I mean everyone around me was raking in more money from their private trading in stocks and shares than from doing their overpaid day job - several people even left to..only manage their own stock portfolio ... greed at its best and worst - Check Yahoo stock from 1999- 2001: http://tinyurl.com/lg8atn

Well,

Safe trading

Steen

Puma Modus Signal

Finally, as promised will we get started on mechanical benchmark model to follow relatively to our own Macro Discretionary fund: Puma Macro. We have called it Puma Modus for now..

The model takes top-down technical view and measures trends, divergence and reveralsals via mean-reversion process.....

Puma Modus present positions would be:

Foreign Exchange

Short GBP.USD (strong trend - but late in the cycle as Bollinger low @ 1.6137 begs)....Short since Aug-12th @ 1.6520. Stop: Close yday plus 1 ATR = 1,6205+0,0183= 1,4394

Short USD.JPY (strong trend - Bollinger @ 93.15)... short since Aug-17 @ 95,24. Stop: Close plus 1 ATR: 93,74 + 1,12 = 94,86

Fixed Income

Long Bunds (Strong trend - late cycle - Bollinger resistance @ 123,26).....Long since Aug-17th @ 121.45 - Stop: Close minus 1 ATR = 122,80 - 0,72 = 122,08

Long T-bonds ...... long since August 14th @ 119 5/32...Stop: Close - 1 ATR = 118.00 - 1.50 = 116 16/32

Commodities

Short Coffee....Short since Aug-19th @ 128.50... Stop: Close + 1 ATR = 124,50 +3,55 = 128,05

Equity

Long KFX (Danish stock market) ...Long Since July 17th @ 293,00 . Stop: Close - 1 ATR = 337,40 - 6,00 = 331,40

Long Dow...Long Since July 15th @ 8600.. Stop: Close - 1 ATR = 9546 - 151 = 9.395

Long FTSE..Long since July 15th @ 4.300.. Stop: close - 1 ATR = 4.892 - 82 = 481

This is indication only and not recommendation............We will make the signals life going forward but todays blog merely to illustrate what a "Benchmark" portfolio would look like... .as soon as model gets NEXT signal we will initiate and track it live...

The Puma Modus clearly respect and have been respecting the strength of the equity markets - presently the warning signal being that all equity markets are trading up against or above their "mean-reversion" high, plus there is several cases of divergence. A macro fund would take some profit or convert to long Calls, but is mechanical model - it understand nothing, it pretends nothing.... ;-)

Otherwise some chart to think about:

• http://twitpic.com/ffbod & http://twitpic.com/ffaim The cash-on-the-sideline issue.. seems to me there is more talk than reality as Money Market Asset ratio to Stock Market capitalization is now below 50, 200 and 500 moving average.......
• Freight rates no longer any fun.....: http://twitpic.com/ff8fz
• How good are the Homes Sales: http://www.reuters.com/article/gc03/idUSTRE57P4VX20090826

Safe trading,

Steen