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During the twelve months of 2020, PAM delivered phenomenal real-dollar trading performance, the best at Seeking Alpha:
PAM's flagship Swing Portfolio, year-to-date (December 31, 2020) delivered $100, 181,522.77 net profit on $11,172,813 operating capital.
Year-to-date performance: 754.20%, on 888-98 win-loss trades.
December 2020 spreadsheet here:
Year to date 2020 spreadsheet here.
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JANUARY 8, 2020
GOOD MORNING ASIA / GOOD EVENING WEST COAST
robert.p.balanModeratorLeaderOwnerJan 8, 2021 4:39 AM
December Payrolls Preview: Brace For A Very Ugly Number
It may well be the Trump admin's "kitchen sink" as "finely-tuned government data" is finally allowed to catch up to reality, potentially resulting in a catastrophically bad number.
robert.p.balanModeratorLeaderOwnerJan 8, 2021 4:48 AM
PAM SELLS (TO EXIT) 1,250 CONTRACTS OF RTYH1 AT 2105 LIMIT OR BETTER, OR AT dOWNWARDS BREACH OF 2075, OCO, GTC
*This order was filled.*
*RTYH1 -- DONE AT BETTER 2107.5 SOLD (TO EXIT) 1,250 CONTRACTS OF LONG RTYH1 OVERHEDGES FOR ALL FUNDS*
QuaziJan 8, 2021 7:54 AM
How much can the employment numbers affect the markets. They didn't hold them back much in July. Even if it causes yields to fall ... I have learned here that it will take equities a day or two to react.
joshweirJan 8, 2021 9:22 AM
I could see it having an impact on USD, and all that goes with it
robert.p.balanJan 8, 2021 10:41 AM
So what happens to Gold when Yields fall Mr. Q?
GOOD MORNING EUROPE / GOOD EVENING WEST COAST
robert.p.balanModeratorLeaderOwnerJan 8, 2021 11:04 AM
Gold was hammered today by the short-covering rally in DXY
khiem.trungJan 8, 2021 11:07 AM
would that blue correction effect in GC too?
robert.p.balanModeratorLeaderOwnerJan 8, 2021 11:06 AM
So we will likely see this illustration posted yesterday. And it may look like this below.
robert.p.balanModeratorLeaderOwnerJan 8, 2021 11:11 AM
If we got this right, this is what Gold may do
So the gold situation may yet evolve into something nice -- we got filled in the short hedges, and we might be able make some money out of it. Put in a small long GCG1 position, let it rise to the terminus of the Wave +C+ of the irregular, and still make some small change from the long GCG1 position.
The DXY has bottomed -- so Gold has likely peaked.
robert.p.balanModeratorLeaderOwnerJan 8, 2021 11:19 AM
Yields may have also peaked -- so a peak in equities may be seen in a day or so.
Falling equities, falling yields suggest risk-on environment -- good for the DXY and bonds. Why? falling bond yields equate to demand for safe haven -- and that is what the US Dollar (DXY) is. If foreigners start going for US securities (the spread between US securities and foreign ones are at their widest in many many years), then that pushes up the Dollar.
Investors are not dumb (but may appear so sometimes). Foreign investors, included in the generalization.
Sometimes, all these is hard to discern because of the leads and lags in response of asset prices to underlying, fundamental situation (particularly for systemic liquidity, which obscures the situation even more). But watch the yields -- yields themselves lag behind the changes in liquidity flows, but yields provide the best optics (of all market prices) to the underlying changes in the liquidity environment. Equities, Gold, Dollar -- they all lag behind changes in yield levels. The problem is that these lags are very variable -- so not trustworthy for use in trading. Not very useful, except for the fact that a change in yield trend will be followed by a change in trend in the price of this X asset Y number of days later.
sparketJan 8, 2021 1:40 PM
So essentially changing yield trends can help us determine if we’re approaching a market top or bottom?
robert.p.balanJan 8, 2021 1:40 PM
sparket --. Yes.
robert.p.balanModeratorLeaderOwnerJan 8, 2021 11:55 AM
PAM SELLS 1500 CONTRACTS OF GCG1 AT 1930 LIMIT OR BETTER (TO EXIT) OR AT DOWNWARD BREACH OF 1905 (TO SHORT HEDGE), OCO, GTC
*This order was filled.*
*GCG1 -- DONE AT 1902.1 SOLD 1500 CONTRACT GCG1 AS SHORT HEDGE FOR THE GCG1 LONG OVERHEDGE -- FOR ALL FUNDS.*
*We expect a large rally back in Gold if/when the DXY corrects lower and retest the wedge breakout trendline. *
But we don't know if gold will fall further. So we just make sure that if gold is coming back, we are out of the short hedge. If gold falls further (DXY rises further), then we get a basis for making decisions -- we bracket the gold price with a low bid and a high bid.
all PAM BUYS BACK (EXITS THE SHORT HEDGE) 1500 CONTRACTS GCG1 AT UPWARDS BREACH OF 1901, GTC -- ALL FUNDS.
LIQUIDITY MODELS UPDATE
robert.p.balanModeratorLeaderOwnerJan 8, 2021 1:40 PM
This chart shows the changes in the 10Yr Yield, the SPX and the Vix -- we showed this in the latest article published by Seeking Alpha. There is a link to this chart at the PAM Analytics -- it is updated after every NY close.
Like all aggregated data, the indicated top by the models, is diffuse. But we are already at the topping out period as indicated y the historical behavior of Bank Reserves (dashed, black line) vs SPX. We are very close to the top indicated by the modeled behavior of the Fed Balance sheet (purple and solid black lines).
VIX, SPX and 10Yr Treasury Bond Yield, with the MOTU front run removed, hew to the progress of the 2020 TCB (green line).
This model is specific to the SPX -- we modeled the behavior of the SPX versus aspects of the behavior of the Fed's balance sheet, historical and current.
The timing indications provided by this construct are somewhat diffuse -- but we can clearly see the deterioration of liquidity flows. Current balance sheet (green line) has basically collapsed. The historical 4 yr average which includes the 2020-2021 data (yellow line) has clearly collapsed as well. All of these are happening in the context of historical averages, which show the same pattern. Clearly the Fed has gone lazy, and is following the set patterns of issuing liquidity according to historical and seasonal scheduling.
This model is specific to the 10YR YIELD -- we modeled the behavior of the Long Bond Yield versus aspects of the behavior of the Treasury Cash Balance, historical and current. We added the actual (nominal) Fed Balance Sheet (green line) and the Bank Reserves at the Fed (purple line). The bank reserves actual data usually lead the behavior of the actual Fed balance sheet data. Which is why we mostly use the bank reserve data in most of our analysis.
This model is specific to the BioTech Sectors.
LABU DATA -- frontrun of the MOTU's was removed; it is clear that it's the change rate of the Biotech asset prices which links to the liquidity flows
The Biotech sector is a great EWP study. This market is fond of irregulars (bull and bear killers) -- but has very uncluttered wave structures. Looking for a higher high next week, then a top.
A retracement of that five-wave move up to complete in March.
flamarkJan 8, 2021 3:25 PM
Thanks for Including XBI..very helpful.
robert.p.balanJan 8, 2021 3:28 PM
You are very welcome Mark.
robert.p.balanModeratorLeaderOwnerJan 8, 2021 2:40 PM
For the employment data today, we have already hedged the small overhedges and scalpers of the ES and YM -- all we need to do is put in place a short hedge to protect the remaining 1,250 contracts of long RTY.
We will put that order some distance away -- just in case we get a severe negative gut reaction from the employment data (which is unlikely to last).
all PAM SELLS 1250 OF RTYH1 AT BREACH OF 2010 TO HEDGE THE REMAINING RTYH1 LONG OVEHEDGES, GTC -- ALL FUNDS.
Back at NY Market Open
Manu.PJan 8, 2021 2:44 PM
2010 OR 2100 ?
robert.p.balanModeratorLeaderOwnerJan 8, 2021 2:56 PM
at 2100 you are hedged now.
You may want to hedge now -- but I will try not to be hedged looking for a top early next week,
I hope we get a setback with the employment data. I would like to reset the 1250 contracts exited from the RTYH1 overhedge. Or maybe use that freed margin to make a bid for NQ at lower levels,
*DXY is making that downward test of the trendline breakout. Time to take out the Gold short hedge.*
robert.p.balanModeratorLeaderOwnerJan 8, 2021 3:01 PM
all PAM BUYS BACK 1500 CONTRACTS OF GCG1 TO EXIT THE SHORT HEDGE, AT 1881 LIMIT OR BETTER, OR AT UPWARDS BREACH OF 1892, OCO, GTC -- ALL FUNDS
PAM BUYS BACK 1500 CONTRACTS OF GCG1 TO EXIT THE SHORT HEDGE, AT 1881 LIMIT OR BETTER, OR AT UPWARDS BREACH OF 1892, OCO, GTC
*This order was partially filled.*
*GCG1 DONE AT 1892.3 BOUGHT BACK 376 CONTRACTS GCG1 (OUT OF 1,500 CONTRACTS, WAIT FOR A COMPLETE FILL OR THE ORDER, GTC) -- ALL FUNDS*
robert.p.balanModeratorLeaderOwnerJan 8, 2021 3:46 PM
all PAM RESETS THE PREVIOUSLY EXITED LONG RTYH1 OVERHEDGE AT BREACH OF 2110, BUYS 1250 CONTRACTS OF RTYH1, AS PART OF THE OVERHEDGE, GTC -- FOR ALL FUNDS.
robert.p.balanModeratorLeaderOwnerJan 8, 2021 3:57 PM
PAM BUYS BACK 1500 CONTRACTS OF GCG1 TO EXIT THE SHORT HEDGE, AT 1881 LIMIT OR BETTER, OR AT UPWARDS BREACH OF 1892, OCO, GTC
*This order was completely filled.*
*GCG1 -- DONE AT 1879.4 BOUGHT 1124 CONTRACTS GCG1 TO COMPLETE THE EXIT FROM SHORT HEDGE FOR LONG GC TRADES, FOR ALL FUNDS*
vm12953Jan 8, 2021 5:40 PM
Can you please update 10 yr yield EWP .
robert.p.balan January 7, 2021 10:25 PM
Looks like a small wave 2 in irregular forming in the 10yr yield. May form a double top in the high frequency data. Could be enough to send the equities another higher high -- then reckoning tomorrow upon release of the employment data. according to TimK.
Terminal breakout rally, I believe.
robert.p.balanModeratorLeaderOwnerJan 8, 2021 7:03 PM
PAM SELLS 1250 OF RTYH1 AT BREACH OF 2010 TO HEDGE THE REMAINING RTYH1 LONG OVEHEDGES, GTC -- ALL FUNDS.
*Modify to:*
all PAM SELLS 1250 OF RTYH1 AT BREACH OF 2050 (FROM 2010) TO HEDGE THE REMAINING RTYH1 LONG OVEHEDGES, GTC -- ALL FUNDS.
robert.p.balanModeratorLeaderOwnerJan 8, 2021 8:46 PM
DXY correction (Wave 2) looks like an irregular-- C wave terminus at 89.55 -- lower if it is the guy with the long mullet.
DXY Wave 2 may come with a final equity rally (and probably final yield rally as well).
The FX market is sensing a top in equities. Pundits say the Dollar is rising due to rising rates. Idiots. There is, at this point, negative correlation between yields and DXY -- key word: risk-off. Lower rates driven by demand for US govt securities -- that firms up the buckaroo due to capital account inflows to the US.
nick.88Jan 8, 2021 8:53 PM
So expecting gold to get decimated when DXY W3 kicks in robert? Just planning my hedges
robert.p.balanModeratorLeaderOwnerJan 8, 2021 8:54 PM
Gold will be massacred.
robert.p.balanModeratorLeaderOwnerJan 8, 2021 8:55 PM
I posted this on Jan 5
This too. But I was playing too cute with the gold long trade. But we will still get out of that one especially if we get a guy with a very long mullet.
federergoatJan 8, 2021 9:02 PM
the long gold trade referred to the one with the executed price of 1921 at January 6th?
robert.p.balanModeratorLeaderOwnerJan 8, 2021 9:03 PM
Yes -- I should have gone out on even on that one -- but I wanted a $10 profit and got a $60 potential loss instead. See how greed kills FG?
TradeNvestJan 8, 2021 9:05 PM
For clarity, we are still net long1500 GC contracts?
federergoatJan 8, 2021 9:06 PM
Yes that is correct
TradeNvestJan 8, 2021 9:07 PM
Ok... thank you
robert.p.balanModeratorLeaderOwnerJan 8, 2021 9:07 PM
Yes. because I also tried to make a lot of money on the short hedge -- which we did. All reckoned it is probably a $28 potential loss, net if realized now.
Looks like the situation is ripe for the MOTUs to push equities during Asian time -- they will likely do it via the yields to force the CTS and HFs to puke their long bond positions.
as well as buy back their Gold sales.
*My long YM and ES positions are hedged -- margins freed. Can put it in ES*
all PAM BUYS 1000 CONTRACTS ESH1 AT BREACH OF 3820 GTC -- FOR ALL FUNDS.
robert.p.balanModeratorLeaderOwnerJan 8, 2021 10:08 PM
PB after my breach buy entrv.
User.49362576Jan 8, 2021 10:09 P
The order still valid?
robert.p.balanJan 8, 2021 10:10 PM
Yes of course -- I hope he gets it.
robert.p.balanJan 9, 2021 10:45 AM
He got it.
PAM BUYS 1000 CONTRACTS ESH1 AT BREACH OF 3820 GTC -- FOR ALL FUNDS.
*This order was filled,*
*ESH1 -- DONE AT 3821 BOUGHT 1000 CONTRACTS ESH1 AS PART OF OVERHEDGE, FOR ALL FUNDS.
Aspen2012Jan 8, 2021 10:58 PM
Have a great weekend Robert!
sparketJan 9, 2021 12:46 AM
Enjoy the weekend everyone!