This a quick and dirty evaluation of 2015 trade ideas. The process is straight forward. Identify all posts tagged by "trade ideas" with a clear trade mentioned. Discard all trade ideas that cannot be evaluated without a proper pricing set up (like vol relative value or carry or even directional with large Vega or skew exposures). Evaluate the rest by the movement of the underlying market variable. Identify the movement in 1 week, 2-week etc. periods after the first time the idea was discussed. Identify the nature (long term or short term) from the context. Finally emphasize the PnL horizon which is relevant to the view (short term, ST is between 1 weeks to 1 month, long term between 1m to 1y).
The result is very good. Of course the caveats are:
- It does not capture the PnL swings in between the look up points. That can either cause the trade to hit stop loss or target profit. Given most of this are macro (and hence without a clearly defined target level), the chances of hitting stop loss is skewed.
- Does not include any vol, RV or carry or higher-order trades. It is a pain to price them, so evaluation.
- No sizing is done, however since there are no major left tail PnL, accounting for sizing will not be adverse from a portfolio point of view.
- No FX adjustment used for non-FX cross market trades.
