Our core trading logic was contributed to the Journal of Society of Technical Analysts by our CEO. It was published several days ago included our own view of system optimization, risk control. The full version is available via the home page of STA-UK. Welcome all feedback ot market discussions.
For the week ending March 23, USD shorts were pared back from -78K to -59K. EUR longs increased by 3K to 93K. Meanwhile, JPY shorts rose from -40K to -53.5K. GBP longs fell by 7K to 22K. CHF longs were cut back by 2K to 3K while CAD longs were pared back from 10K to 5K (the lowest level YTD). AUD longs were down 2K to 6K and NZD longs declined by 1K to 5K. MXN shorts were pared back from -30K to -21K.
The passive rebalancing model at month-end points to strong USD selling against EUR, JPY, and GBP and moderate USD selling against commodity and Scandinavian FX (Figure 1). The signals have strengthened from our preliminary run (see Thoughts for the Week Ahead: Ripples rock reflation ride, 28 March 2021).
IMM FX Positions: USD shorts’ decline stalls For the week ending April 13, USD shorts increased by 2K to -32K after falling for five weeks in a row. EUR longs declined by 1K to 67K. GBP longs increased from 20K towards 26K. Meanwhile, CHF longs declined from 3K to 1K. NZD longs were scaled back slightly from 3K to 2.5K, while MXN shorts were cut back from -13K to -12K. Net positions in JPY, CAD, and AUD were little changed.
USD shorts reduce to a score of -10 (-/+ 50 scale), as our proxy for technical investors and electronic trading venues reduce shorts. SEK longs unwind and the market builds shorts with a score of -11 driven by all components, with the exception of our real money investor proxy. Similarly, NOK longs unwind to a score of +9. While real money and technical investors hold longs, option investors and electronic trading venues remain short. EUR positioning shifts to a score of -4 from +6 last week, as our proxies for technical investors and electronic trading venues add shorts.
Ahead, all eyes will now on be on today’s NFP report at 13:30 BST. We forecasts a print of 1.15mn (median: 1mn; prior: 916k). The bar is high for these numbers to impress the markets. The above could be on account of the whisper number likely being even greater theconomists’ consensus. Thus for US yields to rise on a beat, we think the number would potentially need to come in well over one million job gains for April.