Tracking the Systematic Credit and Equity Trades

Avid readers of the Systematic Credit and Equity Trading Indicators report will recognize this ever-present segment which follows a sample number of indicated trades from the system.

In this article, we show you the full tracking - the good, the bad and even the (credit) ugly.

Spread based tracking of published trades in daily reports

See the time series of closing bids for each trade. Note some are very short lived, e.g. NSANY 7.5 30s traded to the target intraday.

In this table, the short sided trades are first. Given the market tightening, the shorts have suffered, but we note, these shorts have suffered less than the general market.

The longs have been performing well and we explore how long and how much below.

Averages

Of the 44 trades, 31 have closed in an average of 12 days. The trades only close when they reach the suggested target in this, the published, version of the model.

Daily spread closes

Basis points remaining to target

The model produces targets for each trade, which close when they hit their target. This representation provides the number of basis points before the trade hits the model target.

Closed and Open trade summary:

Length of trades

Winners vs Losers day by day

This representation provides a look at the number of trades in winning or losing positions on a day by day basis. It doesn't account for the bp movement and represents a straight count.

BP accounting will follow in another post, or can be left as an exercise to the reader.

Summary:

The model produces a stable portfolio of winners with low hold times.

The full model runs for 255 issuers, 6000+ bonds.

The full context of the market can be understood through the longs and shorts the model generates. It should be understood that the balance point in the market is short and not neutral.

Disclaimer - This report is not intended as, and does not constitute an offer, or a solicitation to buy or sell any securities or financial instruments. All data, levels, opinions, and representations herein are provided for informational purposes only and should not be relied upon for making investment decisions. Past performance is not indicative of future results. The authors of this report assume no liability for losses or damages arising from the use of this information. Investors should consult with a qualified financial advisor before making any investment decisions. The information in this report is based on sources believed to be reliable, but no guarantee is made as to its accuracy, completeness, or timeliness.