5 July 2017: Cyber attacks

Cyber attacks, data hacks and ransomware threats are commonplace these days. Nuclear plants, container terminals and hospitals are among the organizations which haven fallen victim to this type of crime. How long will it take before stock exchanges will be brought down by cyber attacks? For the main part, stock trading is done by means of computer transactions. So far, no attacks on trading systems have been reported. At various occasions, attacks on websites of stock exchanges (Israel in 2012, the UK in 2016) have been reported. But maybe it should be regarded even more worrisome that no hacks on stock exchanges themselves have been in the news. It could mean that manipulation of trades or share prices is taking place in silence. If stock prices do not move the way you expected, you know who to blame…

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On Monday, US stocks closed the first day of trading in July and that of the second half of 2017 in positive territory. But they lost most of the gains in the last hour of trading. Tech stocks formed an exception: the NASDAQ closed 0.49% lower. The Dow (+0.61%) and the S&P 500 (+0.23%) gave investors a good mood heading into Independence Day. Volatility was down for most of the day, but shot up in the closing 60 minutes. In fact, the VIX had been below Friday’s close for almost all of Monday’s session, but rose to a level higher than Friday’s close in the final minutes. UVXY ETFs made their move in the final trading hour and closed up 2.4%. XIV ETNs followed the opposite pattern and closed down 1.4%.
All of our models were holding XIV ETNs Monday, so they all had to take a loss. Danny Daredevil‘s RSS dropped to 329%. His result for 2017 remained positive: 6%. Adventurous Anny saw her RSS lower to 37%. The return of Solid Suzy and Lazy Larry since the start closed at 23% last Monday.
None of our models gave a trading signal at the end of Monday’s session.

Model Holds Start date

RSS

YTD

QTD

AAR

Danny Daredevil XIV 1 January 2016

329.24%

6.48%

-1.39%

163%

Adventurous Anny XIV 6 March 2017

36.73%

36.73%

-1.39%

159%

Solid Suzy XIV 6 March 2017

23.43%

23.43%

-1.39%

90%

Lazy Larry
XIV 6 March 2017

23.43%

23.43%

-1.39%

90%

RSS = Return Since Start | YTD = Year-To-Date | QTD = Quarter-To-Date | AAR = Average Annual Return

 

As you know, at These Dutch Guys, we are always working on new approaches to stock market trading. Currently, we are investigating the relationship between stages of the Tour de France and the achievements of our volatility-based models. We have some preliminary results.

 

Left: Étape (stage) 18 Tour de France 2017: Briançon > Izoard
Right: Étape Danny Daredevil 2017: January > June