Product Update: TradeBook – Spec & Hedge

Good Afternoon,

TradeBook – Spec

We have made a new “ER” (Emailed Report) that is built around our TradeBook Report. This ER will be sent out daily, around 3:00 AM PDT to anyone who wants to receive it. The report is a summary of how TradeBook-Spec has performed since inception (March 2017).

It has performed quite well, I might add – up $140 million in 15 months. The book reminds me of the Cowboy Trading days back in the 90s – back when VaR was a POOMA number each trader tossed at his Risk Manager whenever he was bothered.

The point of TradeBook isn’t to brag about a really big number; instead, the purpose is to validate a legitimate trading system around APT. We think we’ve done it with TradeBook, but our opinion isn’t worth as much as yours.

Drop me a note if you want to start getting TradeBook, I am attaching today’s report to this post.

TradeBook – Hedge

We’ll be rolling out a single hub version of TradeBook over the next couple of days. This version is identical to Spec, except it has only one hub and no Locational Spreads. We will be making four of these: NP15, SP15, Palo, and MidC. All settings are identical, except for the basket of Tradeable Products.

The returns are not additive since there are no locational spreads; in some instances, the individual Hub performs better than the spec version. If you prefer receiving Hedge vs Spec, let me know and include which hub(s) you want.

Mike

 

 

June 12 2018, 11:59:34 am

Greetings,

Ansergy’s “Speculative Tradebook” reflects an automated trading system built off of the firm’s proprietary APT Ranking System. APT ranks over 1000 derivatives against each other. TradeBook applies those rankings to determine Buy, Sell, and Hold signals. Each day, beginning in early 2017, TradeBook executes a handful of trades (10 average opens per day). This report summarizes the book’s performance and includes the Open Positions, Daily PnL Changes, Cumulative PnL, and recent Trades.

Cumulative Profit and Loss

A plot of daily total PnL since the inception of TradeBook – Speculative. All marks are against End of Day Ice Settles. Open positions are marked against most recent settle. Yes, the PNL hit $180 million in about one year of trading. We are not recommending anyone try to replicate this book; it has enormous positions and a massive VaR. The point of TradeBook – Spec is to validate that a trading system can be built around APT. We are confident these results can be vastly improved upon, this book is for informational purposes only. NOTE: log the site to view hub-level performance: https://wp.ansergy.com/apt-pnl-daily-chart/


Daily Profit and Loss

A plot of daily profit and loss for the total book. All positions are marked against the most recent ICE settles. NOTE: log the site to view hub-level performance. https://wp.ansergy.com/apt-profit-and-loss-chart/


TradeBook Metrics

A summary of performance by selected metrics. Margin reflects the average $/MWh profit (loss); win% is the number of times the trade had margins > $0.00. Trades is the total number of times TradeBook executed an Open Trade. Losses are the number of times the trade type had margins <$0.00. NOTE: Log the site to view additional metrics. https://wp.ansergy.com/apt-metrics/


Profit and Loss by Period – Heavy Load

A summary of total and hub On Peak profit and loss by the traded period. Includes performance for expired periods. Log the site to filter or download: https://wp.ansergy.com/apt-pnl-summary/


Profit and Loss by Period – Light Load

A summary of total and hub Off Peak profit and loss by the traded period. Includes performance for expired periods. Log the site to filter or download: https://wp.ansergy.com/apt-pnl-summary/


Position Report – HL

Summary of Open Positions by Period and Hub for Heavy Load. Log the site to filter or download: https://wp.ansergy.com/apt-position/


Position Report – LL

Summary of Open Positions by Period and Hub for Light Load. Log the site to filter or download: https://wp.ansergy.com/apt-position/


Recent Trades – Opens

The last 100 Opening Trades executed by Tradebook. Log the site to view all the trades or to access the glossary of terms and other important information. https://wp.ansergy.com/apt-trades-summary/


Recent Trades – Close

The last ten days of closing trades executed by Tradebook. Log the site to view all closing trades or to access the glossary of terms and other relevant information. https://wp.ansergy.com/apt-trades-summary/


The algorithms deployed in both APT and TradeBook are complex, if you would like to discuss with Mike you may contact him at [email protected] or call 206-877-0991. Ansergy does not trade, nor is it making trading recommendations. TradeBook is offered for informational purposes only. Ansergy assumes no liability, implied or express, for any trades anyone executes.

Michael Griswold, COE
email: [email protected]
phone: 206-877-0991
icechat: mgriswold3