Week of 2011 DE 23

SPY rose 3.8% this week, while my account fell 0.1%.  Next week is expected to be about the same.

		│	Daily % gain size																	│	Max % loss			│	Results
Symbol	since	│	Fri			Mon			Tue			Wed			Thu			Fri		│	Beg		End	│
TZA#0a	NO30	│	-2.5	9		+2.6	9		-10.0	9		-11.2	0							│				│	−4.9%
TZA#0b	NO30	│	+2.5	9		+7.9	9													│				│	+9.7%
TNA	DE15	│	+1.6	10		-3.8	10		+8.1	10		+9.0	10		+11.5	0				│	−10.0		−10.0	│	+0.0%
IAU	DE16	│	+0.2	10		-0.0	10		+1.3	10		+1.3	10		+0.6	10		+0.8	10	│	−5.4		−4.0	│
SPY		│	0.0			-1.0			+1.9			+2.1			+2.9			+3.8		│				│
me		│	0.0			-0.2			-0.0			-0.0			-0.1			-0.1		│				│

TNA: Sold due to drop in MACD, but then the market “melted up” for the Santa Clause rally.  MACD does not do well with melt-ups, but TRIX does.  Perhaps I should use both indicators?

IAU: Doing okay.  Sell next Friday unless it does very well and my stop rises above break-even.

Automated trading: I have written up a system that accesses Schwab’s website using a web browser and some Greasemonkey scripts.  Next week I’ll let it run “dry” to shake out the bugs, then maybe give it some money the following week.  (Might have to wait an extra week if the Santa rally continues and there are no MACD swing trades for the rest of the year.)

MACD-based swing trades

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
TNA		DE 15 14:00	DE 15 16:50		$40.90	$41.00		DE 19 12:00	DE 19 12:10		$40.75	$41.10		-0.6%	+0.0%
TNA#2		DE 20 11:00	skipped		$43.62			DE 21 13:00	skipped		$43.27			-1.0%	+0.0%

TNA: As usual, the model bought for a better price than I did, but I sold for a better price.  Managed to break even, during a week when this ticker rose a lot.

TNA^#2: Skipped this trade bacause PPO-signal was positive.  Avoided a loss.

Week of 2011 DE 15

SPY fell 3.5% this week, while my account rose 1.8%.

		│	Daily % gain size																	│	Max % loss			│	Results
Symbol	since	│	Fri			Mon			Tue			Wed			Thu			Fri		│	Beg		End	│
TZA#2a	NO30	│	-10.7	8		-6.9	8		-1.3	9		+2.8	9		-0.2	9		-2.5	9	│	−13.6		−11.2	│	−4.9%
TZA#2b	NO30	│	-6.0	9		-2.1	9		+3.8	10		+8.1	10		+4.9	10		+2.5	9	│	−9.2		−6.6	│	+9.7%
TNA	DE15	│													-0.8	10		+1.6	10	│	−15.2		−10.0	│
IAU	DE16	│																+0.2	10	│	−5.7		−5.4	│
SPY		│	0.0			-1.5			-2.4			-3.4			-3.1			-3.5		│				│
me		│	0.0			+0.6			+1.5			+2.2			+1.9			+1.8		│				│

IAU: Bought because ZeroHedge recommends it.  They say to hold it for about two weeks.  Toby Connor also recommends gold (hold until it goes stratospheric), but he’s been wrong a lot recently, so I’ll stick to my usual 5½% trailing stop.  If I get only a 38% retrace of the recent drop, that would be a 2.5% profit.

Several times now I have missed trades because I have other things to do in life besides check the market every hour on the hour.  If I can manage to make some money next month, perhaps I should look into a way to automate the trades coming from my model, since it seems to be doing a better job than I am!  Unfortunately, Schwab doesn’t seem to support automated trading.  I found a news article suggesting that they sold their automatic-trading system to UBS.  It is difficult for me to leave Schwab because I have an IRA retirement account with them and am no longer a US resident.

MACD-based swing trades

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
TZA#2a		DE 07 11:00	NO 30 09:30		$28.31	$29.97		DE 16 11:00	DE 16 11:10		$28.39	$28.58		+0.0%	‒4.9%
TNA#0		DE 09 14:00	skipped		$45.62			DE 12 12:00	skipped		$42.71			‒6.6%	+0.0%
TNA		DE 15 14:00	DE 15 16:50		$40.90	$41.00		not yet	not yet

TZA^#2a: Bought way too early; sold on time.

TNA^#0: Skipped this trade and avoided a significant loss.  Maybe my model should avoid buying TNA when PPO-signal is positive.  That wouldn’t help overall returns much, but it would avoid a bunch of loser trades.  I don’t need any more aggravation!

TNA: Normal swing trade in progress.  Bought in the aftermarket because I was in a business meeting at 2pm, but ended up getting roughly the same price anyway.

Surfing the oscillations

Last week I wrote: “The sell-limit order for a 38% retrace on that second tranche still hasn’t triggered. Now it’s a race to see whether the tranche sells before I get a ‘buy more’ signal from the model or get stopped out.”  Well, the race was won by the sell-limit order!

So I split the tranches of TZA^#2 back into separate trades: the purchase of TZA^#2a was eventually approved by my MACD model and so I sold it per model, while TZA^#2b never did get approval and was sold at a Fibonacci retracement as shown on this chart.

Week of 2011 DE 09

SPY rose 0.9% this week and is now slightly above its value at the start of the year, while my account fell another 0.8% to its lowest value ever.

		│	Daily % gain size																	│	Max % loss			│	Results
Symbol	since	│	Fri			Mon			Tue			Wed			Thu			Fri		│	Beg		End	│
TZA#2	NO30	│	-2.8	18		-7.8	17		-8.2	17		-7.8	17		+1.0	17		-8.2	17	│	−11.3		−11.3	│
SPY		│	0.0			+1.1			+1.1			+1.5			-0.7			+0.8		│				│
me		│	0.0			-0.8			-0.8			-0.7			+0.6			-0.8		│				│

Euro news: The Euro conference has failed.  The plan for tighter union put forward by Germany+France was officially rejected by the UK and unofficially by Finland, the Netherlands, and perhaps others.  If you believe that ”the news moves the markets”, you would have expected prices to go down today on this really bad news.  If you believe in wave theory, today’s huge run-up was predictable.  Unfortunately, the prediction calls for prices to go so high next week that my TZA shares will stop out, then prices will drop sharply.  I’m still hoping that my shares will survive because the price spike will be weak (maybe today was the top?).

MACD-based swing trades

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
TZA#2		DE 07 11:00	NO 30 09:30		$28.31	$29.97		not yet	not yet
		not yet	NO 30 15:50			$28.50
TNA		DE 09 14:00	not yet		$46.62			not yet

TZA^#2: Yay!  I got a “buy” signal before getting stopped out!  But my attempt to beat my own model has failed pitifully.  Should have waited.  The sell-limit order for a 38% retrace on that second tranche still hasn’t triggered.  Now it’s a race to see whether the tranche sells before I get a “buy more” signal from the model or get stopped out.

TNA: Didn’t buy because I was out driving around town today, so trading was inconvenient.  Maybe buy it Monday if prices don’t come down a lot.  Maybe buy a double-tranche to neutralize the TZA and prevent my account balance from falling any further.

John Murphy suggests that the MACD signal should be negative when the histogram is positive in order to have a proper “buy” signal.  I definitely found this to be the case for my attempts at day-trading a few weeks ago.  And the MACD signal is currently positive so this would suggest not buying TNA.  However, at the hourly level the MACD-signal doesn’t seem effective.  Let's suppose that the tranches consist of 10% of my account put into SCHA (which is unleveraged and has no trading costs, so the math is easy).  Over the last year, my model would have produced 22 profits and 12 losses for a total gain of 3.5%.  If trades with negative PPO-signals were excluded, there would have been 17 profits and 8 losses for a total of 3.3%.  Not useful!

Week of 2011 DE 02

SPY rose 6.8% this week, almost returning to its value at the start of the year, while my account fell 2.9%, to its lowest value ever.

		│	Daily % gain size																	│	Max % loss			│	Results
Symbol	since	│	Fri			Mon			Tue			Wed			Thu			Fri		│	Beg		End	│
TZA#1	NO18	│	13.9	23		-2.1	20		-1.5	20		-19.0	20		-17.4	0				│	−3.1		−3.1	│	−0.6%
TZA#2	NO30	│										-3.6	18		-1.6	18		-2.8	18	│	−15.2		−11.3	│
SPY		│	0.0			2.7			3.0			6.9			6.9			6.8		│				│
me		│	0.0			-2.5			-2.5			-3.0			-2.7			-2.9		│				│

World news: On Monday, the central banks of the USA, the UK, the Eurozone, Switzerland, Canada, and Australia decided that they would accept each other’s currency as collateral for swaps, so if you are a bank and all you have is Euros and nobody trusts you enough to loan you US$, the US government will be your lender-of-last-resort.  The stock market surged!  Just like it did the previous times this was tried, in 2008 and 2010.  These intervention surges generally last about a week, so it should be just about over by now.
      An interesting side-note: the decision was made on Monday, but not publically announced until Wednesday, so the crony capitalists of the world could front-run the news at the expense of everyone else.  Increasingly these days, The Powers That Be are not even trying anymore to hide their corruption.
      A broad 7% rise in the market, based solely on an artificial intervention that is only good news for banks and not for industrials, suggests that only the banks matter now; everyone else has stopped trading.

MACD-based swing trades

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
TZA#1		NO 17 13:00	NO 18 10:42		$31.56	$31.73		NO 28 11:00	NO 28 13:15		$34.30	$34.61		+3.6%	−0.6%
		NO 21 11:00	NO 21 11:43		$34.64	$34.71
		do not buy	NO 25 11:22			$37.80
TNA		NO 28 11:00	skipped		$38.21			NO 29 15:00	skipped		$38.01			−1.0%	+0.0%
TZA#2		do not buy	NO 30 09:30			$29.97			not yet
		not yet	NO 30 15:50			$28.50

TZA^#1: Shouldn’t have bought that third tranche.  Too greedy!  Would have been profitable otherwise.

TNA: Skipped this post-intervention swing.  Avoided a loss!

TZA^#2: This really isn’t a swing-trade, since I bought it when PPO was giving a strong “sell” signal.  But it might become a swing trade next week!  As of 4pm Friday, IWM's PPO = -0.56, which would be a “buy” except that my model ignores the 4pm and 10am values.

Surfing the oscillations

Elliott Wave Theory usually consists of counting squiggles and grouping them into threes and fives.  One notable exception: the 3-in-1 rule.  The week starting OC 24 was a “setup week”, followed by three ”inside weeks” and then the week starting NO 21 was a “trigger week” showing a downside breakout.  We should normally expect that that prices will continue falling for months.  But that assumes no intervention by the central banks!

On Monday I assumed that the bull-run was surely almost tapped out, because the lower orange bar was so close.  So I put in a limit order to buy TZA if prices got up to roughly $71.50 on this chart.  On Wednesday I found myself the proud owner of TZA shares, bought for much better than my limit price!  Now what?  I used the blue bar to guess what the new can’t-go-any-higher price would be and put in another limit order, which triggered just before Wednesday’s close.  On Thursday and Friday the market continued even higher.

DanEric thinks the market is going down next week, but will just be a short correction and then the Christmas rally will start in earnest.  I think the market will spend the rest of the month oscillating between the NO 28 lows and the DE 02 highs, like it did back in August.  I suppose this will depend on what the Euro leaders come up with at next Friday’s save-the-Eurozone meeting.  Just in case, I have a limit order to sell half the TZA if prices retrace 38% of their recent ramp, which would again be about $71.55 on this chart.  DanEric thinks this could happen as soon as Monday.

Week of 2011 NO 25

SPY fell 4.5% this week, while my account rose 2.2% to its highest value in five weeks.  Conditions look ripe for a major downswing next week, but all my bear-market gains so far are still at risk because the TZA max-loss is not yet positive.

US markets were closed on Thursday for Thanksgiving.  Friday was a half-day.

		│	Daily % gain   size   owned												│	Max % loss		│	Results
Symbol	since	│	Fri		Mon		Tue		Wed		Thu		Fri		│	Beg	End	│
SCHA	OC31	│	-3.7	10	-6.0	10	-6.8	10	-9.6	0					│			│	−3.6%
IAU	NO03	│	-2.3	14 50	-3.5	13 50	-3.0	6 50	-3.1	6 50			-3.5	0 50	│	−3.3	−3.3	│	−3.3%
PPLT	NO14	│	-4.0	6	-6.5	6	-5.2	0							│			│	−3.4%
TZA	NO18	│	-0.2	6	2.3	13	4.9	14	14.7	15			13.9	23	│	−13.1	−3.1	│
SPY		│	0.0		-1.8		-2.2		-4.3				-4.5		│			│
me		│	0.0		0.1		0.4		1.5				2.2		│			│

IAU: On Monday, gold fell more than 5.5% from its recent peak.  This is a fairly reliable sign that gold is not going up any time soon.  The gold bugs are still screaming “BUY GOLD!” but they always say that at the beginning of a decline.  Maybe buy it back after the crash.

MACD-based swing trades

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
SCHA		OC 31 09:30	OC 31 09:35		$33.54	$33.40		NO 22 10:48	NO 18 11:06		$31.16	$32.18		−7.1%	−3.6%
TZA		NO 17 13:00	NO 18 10:42		$31.56	$31.73		not yet	not yet
		NO 21 11:00	NO 21 11:43		$34.64	$34.71
		not yet	NO 25 11:22			$37.80

SCHA: I was right to sell early.  The weekly-swing model never did give a “sell” signal until the emergency trailing stop kicked in.

TZA: Original tranche bought late.  Second tranche bought roughly on time.  Third tranche bought early for extra profit on Friday.  Still have lots of cash to buy more tranches next week.  The US$ is rising, so cash is an “investment” right now.

Week of 2011 NO 18

SPY fell 3.7% this week, while my account fell 1.1% to its lowest value ever.  Half of the loss is due to the fall in the price of gold+platinum, which I was sort of expecting once I heard that “21 of 22 gold traders surveyed” thought that gold would go up.  If over 90% of people agree on something, that thing is probably a falsehood.

Euro news: All major Euro countries are experiencing declining prices for their national-debt bonds.  Investors are fleeing!

US news: The bankruptcy of MF Global, and its return of only 60¢ on the dollar of customer money (that was supposed to be fully guaranteed by the futures exchange) is causing speculators to leave the futures market because it's “not safe”.
      Toby Connor explains why it is reasonable to expect the stock market to drop 20% in the next two weeks, because of the “daily cycle” that is now coming to a close.  Hopefully I will make more money this time than I did on the October downswing (5%) or the August downswing (0%!).

		│	Daily % gain   size   owned												│	Max % loss		│	Results
Symbol	since	│	Fri		Mon		Tue		Wed		Thu		Fri		│	Beg	End	│
SCHA	OC31	│	-0.3	10	-1.4	10	-0.4	10	-2.0	10	-3.6	10	-3.7	10	│	−6.7	−6.7	│	−3.6%
IAU	NO03	│	1.3	13	0.9	13	1.0	13	-0.1	13	-2.5	13 50	-2.3	14 50	│	−2.0	−3.3	│
TZA#-1	NO07	│	-6.9	11	-0.9	11	-6.8	11	-2.4	0					│			│	−7.3%
TZA#-3	NO08	│	-0.1	4	4.0	0									│			│	−2.3%
TNA#1	NO11	│	-0.8	6	-5.0	6	-1.3	6	-5.9	6	-10.2	0			│	−15.1	−15.1	│	−5.0%
PPLT	NO14	│			-0.7	6	-0.9	6	-2.1	6	-4.2	6	-4.0	6	│	−3.4	−3.4	│	−3.4%
TZA#+1	NO18	│											-0.2	6	│	−15.0	−13.1	│
SPY		│	0.0		-1.0		-0.5		-2.1		-3.6		-3.7		│			│
me		│	0.0		-0.4		-0.3		-0.6		-1.1		-1.1		│			│

SCHA, TNA^#1, TZA^#+1: See “MACD-based swing trades” below.

IAU: On Thursday, gold crashed through my stop price, but once again I didn’t set up the contingent sell order properly and so only half the shares got sold.  The other half are still protected by the 5.5% trailing stop (now up to -3.3%).  This decline in the price of gold suggests that the upcoming correction will be a biggie.

PPLT: The drop in the price of precious metals (caused in large part by the rising USD) stopped me out on Thursday.  This was not the proper week to jump onto the gold+platinum train!  Maybe try again after the crash...

Pie chart: Because of the tilted 3-D viewpoint, the ½iau that I sold looks like a much larger pie-slice than the ½IAU that I still have; actually, they represent the same amount of money.

MACD-based swing trades

Ticker	│	Buy-date		│	Buy-price		│	Sell date		│	Sell-price		│	Profit
Symbol	│	Model	Actual	│	M	A	│	Model	Actual	│	M	A	│	M	A
SCHA	│	OC 31 09:30	OC 31 09:35	│	$33.54	$33.40	│	not yet	NO 18 11:06	│		$32.18	│		−3.6%
TNA#1	│	NO 11 11:00	NO 11 11:03	│	$47.36	$47.35	│	NO 14 12:00	NO 14 12:04	│	$45.32	$45.16	│	−4.7%	−5.0%
TNA#2	│	NO 15 15:00	skipped	│	$46.99		│	NO 14 12:00	skipped	│	$44.74		│	−5.2%	+0.0%
TZA#+1	│	NO 17 13:00	NO 18 10:42	│	$31.56	$31.73	│	not yet	not yet	│			│

SCHA: Weekly trade cancelled early, since it seems that a crash began on Thursday.  It turns out that the weekly swing-trading system doesn’t work all that well.  Over the last five years it would have had 2 gains and 4 losses.  It needs more work.

TNA^#1: Hourly swing trade.  Another loss.

TNA^#2: Skipped this hourly trade, avoiding yet another loss.

TZA^#+1: Initially skipped this hourly trade, but hopped on the bandwagon a day later.  So far, so good!

New rule: I have now formalized my rule for when to add more capital to an hourly swing trade.

• TNA: Buy more if IWM’s PPO-histogram falls by at least 0.01 for two consecutive hours, then rises by at least 0.01 during each of the following two hours.
• TZA: Buy more if IWM’s PPO-histogram rises by at least 0.07 for two consecutive hours, then falls by at least 0.07 during each of the following two hours.

This rule increases profits drastically!  For the August crash (JL 25-AU 15), this rule would have increased my account value by 10.6%.  The previous rule without the buy-more clause would have yielded only 3.8%; I actually ended up keeping none of the August profits.
      For the October dip (SE 28-OC 07), the new rule wouldn’t have worked so well: -1.4% for the new system, -0.2% for the old.
      Over the last year, the new rule would have generated about 27% total gains, while the old rule would have yielded only 10% total gains.  Looks great!  Now “all” I have to do is implement the trades.

Week of 2011 NO 11

SPY rose 0.9% this week, while my account fell by 1.0% to its third-lowest value ever.  0.7% of my loss is due to TZA^#1, which dropped sharply Friday morning before I could do anything about it.  The rest is due to wrongly-timed day trades.

Euro news: Goldman Sachs (“The Squid”) has installed its puppet governments in Greece, Italy, and the European Central Bank.  The end may be nigh.  Or the EU might last a few more months.

US news: The bankruptcy of MF Global (brought down by Goldmanite Jon Corzine) may be this year’s ”Bear Stearns moment”, implying that there may be six more months until the ”Lehman moment” when the global stock market collapses.  There is now only one week left before the congressional supercommittee reports that it can’t do anything about Republican econoterrorism, which will kick off the automatic austerity measures and (possibly?) riots.  The Black Bloc (who are apparently police officers wearing costumes) have started attacking the Occupy Wall Street protesters.

		│	Daily % gain size												│	Max % loss		│	Results
Symbol	since	│	Fri		Mon		Tue		Wed		Thu		Fri		│	Beg	End	│
SCHA	OC31	│	0.1	10	0.0	10	1.2	10	-3.2	9	-2.7	10	-0.3	10	│	−7.2	−6.7	│
TZA#0	OC31	│	-3.3	16	-2.9	0									│			│	+3.1%
TNA#1	NO02	│	5.0	6	4.5	6	9.1	6	-7.9	0					│			│	+4.3%
TNA#2	NO03	│	-0.3	12	-0.8	13	3.6	0							│			│	+1.8%
IAU	NO03	│	-0.4	13	1.9	13	1.2	13	0.3	13	-0.2	13	1.3	13	│	−2.0	−2.0	│
TNA#3	NO04	│	0.4	6	-0.1	6	4.3	6	-10.6	0					│			│	−0.9%
TNA#4	NO04	│	0.1	6	-0.4	6	4.1	6	-10.8	0					│			│	+0.3%
TZA#1	NO07	│			-6.2	6	-10.3	5	3.3	12	1.22	12	-6.9	11	│	−15.6	−11.1	│	−7.3%
TZA#2	NO07	│			-3.5	9	-7.7	11	5.5	11	3.4	0			│			│	−3.4%
TZA#3	NO08	│					-3.1	4	10.8	4	8.6	4	-0.1	4	│			│	−2.3%
TNA#5	NO11	│											-0.8	6	│	−15.3	−15.1	│
SPY		│	0.0		0.6		1.9		-1.8		-0.9		0.9		│			│
me		│	0.0		-0.3		-0.6		-0.2		-0.4		-1.0		│			│

SCHA: Not going anywhere, but PPO is still positive so keep it for another week.

IAU: On Thursday, gold got down to only 8¢ above my stop price!  But didn’t stop out and now it’s going back up.  It seems gold is making a low every eight days or so, with the next bottom at maybe $17.79 on NO 23.  However, Kevin McElroy writes that platinum might be a better buy right now.  Platinum and gold track very closely, so I guess I'll buy only one of them now.
      For Monday: put about 5% of my funds into buying PPLT.

TZA^#1: Bought more on Wednesday because PPO returned to -0.5 and the shares made a new low for the day. Husbanded it all day as a day-trade, but kept it so now it's a swing!  Nasty drop Friday morning wiped out my gains.

TZA^#2: Bought because it plateaued below the swing-trade recommended price. Bought again because the market it rose to its 20-hour average. Sold because the market was still above 20-hour average at end of day.

TZA^#3: See ”Day-trading” below.

TNA^#5: Bought because market jumped Friday morning, but then it plateaued for the rest of the day.

MACD-based swing trades

Ticker	│	Buy-date		│	Buy-price		│	Sell date		│	Sell-price		│	Profit
Symbol	│	Model	Actual	│	M	A	│	Model	Actual	│	M	A	│	M	A
SCHA	│	OC 31 09:30	OC 31 09:35	│	$33.54	$33.40	│	---	---	│			│
TZA#1	│	NO 07 13:00	NO 07 12:31	│	$30.95	$31.33	│	NO 11 11:00	NO 11 11:02	│	$28.95	$28.95	│	−1.7%	−7.6%
TZA#1	│	---	NO 09 13:21	│		$30.96	│	NO 11 11:00	NO 11 11:02	│	$28.95	$28.95	│		−6.5%
TNA#5	│	NO 11 11:00	NO 11 11:03	│	$47.36	$47.35	│	--	--	│			│

SCHA: Normal weekly trade in progress.

TZA^#1: Bought too early for a bad price.  Sold on-time for the expected price.  Bought more at a better price, but this ended up just increasing the magnitude of my loss.

TNA^#5: Normal hourly trade in progress.

Here is a chart of the hourly PPO indicator.  Note that it used to have roughly one peak per week, but since mid-October there are now roughly two peaks per week.  The market seems to be ”marching on the double” nowadays.  Perhaps I should avoid trading during such double-time periods, or maybe I need to calculate a different set of parameter values for such periods.

Day-trading

On Tuesday I eyed out a day-trading rule and tried it out: using the 1-minute PPO(10,30,20) indicator, buy when the signal and histogram are both positive and sell when histogram goes negative.  Result: loss.  After doing the trade, I wrote a program to determine what I should have done.  Result: I should have bought when the signal was NEGATIVE! But at least I got the PPO parameters correct.

• Use PPO(10,30,20)
• Buy when PPO-signal ≤ -0.16 and PPO-histogram ≥ +0.10
• Sell when PPO-histogram ≤ -0.02
• Trailing stop = 1.5%

This rule would have made money over the last month, but not very much and not during this week (four trades, total -0.5%).  This rule triggers very rarely and most are before 11 AM when I’m not watching the market.  Conclusion: I do not know how to do profitable day-trading at this time.

Week of 2011 NO 04

SPY fell 2.5% this week, while my account rose by 1.1%.  The rise would have been 1.9% but for one mistake on Wednesday!

Euro news: The prime minister of Greece decided to hold a referendum on whether to accept the EU bailout.  He was summoned to the G20 meeting in Cannes and told the following: (1) No referendum allowed, because “yes” is the only permitted answer; (2) No election allowed, because Greece can’t afford it and the EU won’t pay for it; (3) Do exactly as we say or the spigot of bailout money gets turned off immediately.  I am left wondering how long it will be before the Greek government collapses and then Germany sends in troops to prevent anarchy—and perhaps also to install some overseers to help the Greek serfs “put their minds to working” for their new masters.

		│	Daily % gain size owned												│	Max % loss		│	Results
Symbol	since	│	Fri		Mon		Tue		Wed		Thu		Fri		│	Beg	End	│
RWM	JL01	│	-4.4	19 50	-3.2	19 50	-1.7	19 50	-2.7	19 50	-3.9	0 50			│			│	−3.4%
old puts		│	-2.2	0 0	-2.3	0 0	-2.3	0 0	-2.3	0 0	-2.3	0 0			│			│	−2.2%
RPRX	JL25	│	-29.6	4	-31.4	4	-33.1	4	-29.4	0					│			│	+20.6%
NOp7½	JL25	│	7.6	0	-3.8	0	8.0	0	-16.4	0					│			│	−28.0%
IAU#0	OC25	│	1.5	13	0.0	13	0.0	13	1.1	0					│			│	+1.6%
TZA#0	OC27	│	-18.1	4	-11.4	4	-2.8	0							│			│	−14.9%
TNA#0	OC27	│	0.8	20	-7.4	20	-16.6	20	-11.3	0					│			│	+2.3%
SCHA	OC31	│			-0.6	10	-4.0	9	-1.9	10	0.5	10	0.1	10	│	−8.0	−7.2	│
TZA	OC31	│			3.0	8	10.5	17	3.0	16	-4.9	16	-3.3	16	│	−14.9	−4.0	│	+3.1%
TNA#1	NO02	│							-0.6	6	6.9	6	5.0	6	│	−15.1	−1.5	│	+4.3%
TNA#2	NO03	│									1.5	12	-0.3	12	│			│	+1.8%
IAU	NO03	│									-0.3	7	-0.4	13	│	−2.3	−2.0	│
TNA#3	NO04	│											0.4	6	│	−0.8	−0.9	│	−0.9%
TNA#4	NO04	│											0.1	6	│	−0.7	+0.3	│	+0.3%
SPY		│	0.0		-2.5		-5.2		-3.7		-1.9		-2.5		│			│
me		│	0.0		0.5		1.4		0.6		1.3		1.1		│			│

RPRX: There’s something wrong with this math.  The put-option prices were not actually as ridiculous as shown here.  Anyway, it looks like I’ll be discontinuing the use of options for the time being.

IAU: Re-bought on Thursday because this week’s price chart for gold looks very strong.  Bought more ”at the dip” on Friday.  My basic plan for the moment is to stick with the -2.0% fixed stop until the price rises to +3.5%, then switch to a 5.5% trailing stop. That should be good for the long haul since gold never drops 5.5% from its peak unless it’s continuing down for a while, as happened on SE 15.

RWM: Sold because last week’s revised calculations indicated that I shouldn’t hold this long-term.  On Sunday, I put in a sell-limit order to sell at a 38% retrace (from the OC 27 low up to the double-top on OC 18 and OC 20).  That order triggered at 9:35am on Monday!  Instead, I should have used a retrace back to the double-top on OC 06/07, which would have triggered on Tuesday.  Oh well; I’m not sure how I could have known that.

SCHA: Opposite of RWM.  On Sunday, I put in a buy-limit order that triggered Monday morning at 9:35am.  As of Friday, the weekly PPO is still positive, so keep this for another week.

TZA and TNA^#1: See “MACD-based swing trades” below.

TNA^#2, TNA^#3, and TNA^#4: These were day trades.  I look for a period of consolidation, followed by a sudden uptick in the 1-minute MACD(10,30,20) indicator.  Still not sure how to set the stop price.  For TNA^#2 I bought at two times on Thursday, then sold both at the close.  For TNA^#3 the trade stopped out after five minutes; for TNA^#4 it stopped out after 20 minutes.  I could get roughly the same results by betting 2‒3 times as much money on SCHA instead of TNA, which would avoid the transaction fee but require committing more capital for three days until the trade settles.

MACD-based swing trades

Ticker	│	Buy-date		│	Buy-price		│	Sell date		│	Sell-price		│	Profit
Symbol	│	Model	Actual	│	M	A	│	Model	Actual	│	M	A	│	M	A
SCHA	│	OC 31 09:30	OC 31 09:35	│	$33.54	$33.40	│	---	---	│			│
TZA	│	OC 31 11:00	OC 31 11:16	│	$29.59	$29.64	│	NO 02 14:00	NO 02 15:40	│	$32.69	$31.33	│	+10.4%	+5.7%
TZA	│	---	OC 31 16:25	│		$31.00	│	NO 02 14:00	NO 02 15:40	│	$32.69	$31.33	│	+5.5%	+1.1%
TNA #1	│	NO 02 13:00	NO 02 15:56	│	$44.58	$45.67	│	NO 04 14:00	NO 02 13:19	│	$47.96	$47.83	│	+7.6%	+4.9%

SCHA: Normal weekly trade in progress.

TZA: Was out shopping and couldn’t sell at 2pm—this would have made a big difference!  The market fell a lot just before Monday’s close, so I bought some more after-hours.  This would have been a good move if I had sold at the proper time.

TNA^#1: Didn’t buy at 1pm because TZA not sold yet; was out shopping at 2pm & 3pm.  Not sure why I sold early, but that didn’t make much difference.