Friday, 29 April 2011

Week of 2011 AL 29

A good week!  My account rose 1.7% this week, while SPY rose 2.0%.  Everything I own is now worth more than I paid for it, except for CAS which was just bought today.  If all my stops triggered, the expected loss would reduce my account balance to 90.4% which is off the bottom of this chart, but still it’s 0.5% better than last week.

Daily % gainStop %Realized
Symb size when Thu Mon Tue Wed Thu Fri Beg End
UDN 12% MR22 1.3 1.4 1.6 1.9 2.0 2.1 −0.5 +0.3
IAU 12% MR24 4.3 4.4 4.1 6.1 6.5 8.3 −0.5 +0.7
DRETF 16% MR30 0.8 2.1 2.5 0.9 1.8 1.9
TS 6% AL04 -1.8 -2.7 -2.6 -1.3 -0.9 0.5 −7.2 −7.0
REX 6% AL04 1.5 3.2 3.3 3.3 6.4 6.6 −7.2 −6.2
CYD 6% AL04 5.6 3.5 6.5 8.3 7.3 8.1 −8.3 −3.4
PVH 6% AL04 3.3 4.2 3.8 7.3 7.3 5.6 −8.3 −6.6
QTM 6% AL11 10.3 10.0 11.4 10.3 9.7 12.2 +2.8 +3.3
JBHT 6% AL18 -1.2 -1.8 -0.7 0.2 0.2 -0.6 −2.9 −2.9 −2.9%
ATML 6% AL21 1.6 0.7 3.8 4.0 2.9 4.6 −6.5 −3.0
KBALB 6% AL21 -3.6 -4.6 -2.9 -4.4 -4.4 -4.7 −5.3 −5.3 −5.4%
CAS 6% AL29 -1.0 −5.3 −5.3
BZ 6% AL29 4.1 −5.3 −4.6
SPY 0.0 -0.2 0.8 1.4 1.8 2.0
me 0.0 -0.1 0.4 0.7 1.0 1.7
(Average) −4.2%

UDN: Rose rather quickly from 1% gain to 2%, so I sold another ¼ on Wednesday.  Then rose even more quickly to 3% gain, but I didn’t sell another ¼ because the effective stop-gain is now positive.

IAU: Stop price is now above water!  Many pundits think that this thing will be heading skyward for at least another month.

TS: The gain is positive!  It’s not much, but it’s positive.  For the five original weekly-scan purchases (including EK which has stopped out already), average gain is +3.5% over four weeks, while SPY has gained only 2.6% during that time.  Hmm… maybe this weekly-scanner thing actually works???

CYD: Rose by as much as the initial stop would have allowed it to fall, so I sold ¼ because that effectively cut the stop-depth in half.

PVH: I have a limit order on file to sell ¼ if this thing reaches +8%, but it isn't quite there yet.

QTM: Still doing well.  Another win for the weekly-scanner!

JBHT and KBALB: They both got whacked by S&P’s announcement on Monday that the US govt credit rating might have to be lowered someday.  They then recovered after throwing me off, but still nothing to write home about.

CAS and BZ: So far, every daily-scan purchase has been a loser, but I am trying two more.  BZ is especially interesting: it releases its earnings next Monday, but it has already announced a special dividend for shareholders-of-record next Wednesday.  Hopefully the special dividend is a strong hint that the earnings report will be excellent.

Review of last week:
      DUG and EK are way down!  I sold DUG at -5.1% gain; today it would be -10.5%.  I sold EK for -3.3%; today it is down to -16.6%.
      LRN was a buy-failure last week.  If I had bought at the opening price instead of using a limit, it would be a 3.6% gainer today!  Oh well.

Weekly scan:  None of this week’s candidates seem appealing.  A recheck of last week’s candidates and those for the week before doesn’t find anything that I particularly want to buy right now.  Many pundits have been predicting since February that the US markets will drop in mid-June as QE2 is ending, so it will soon be too late to buy a weekly-scan pick and expect its stop to be above water after only six weeks. 

Daily scan:  Buy APA for Monday.  I should come up with a rule for when a daily-scan pick should be converted to a weekly, since APA might be a candidate for that.  The difference is that a daily gets a 5% stop and a pSAR that increases every day, while a weekly gets 8% stop and a pSAR that incrases only on Fridays.

SPY: Buy it on Monday, since several pundits think it will go straight up for the next month.  MACD shows a bullish divergeance: the mid-April trough was not as deep as the mid-March trough.

Friday, 22 April 2011

Week of 2011 AL 21

My account rose 0.8% this week, while SPY rose 1.3%.  Over the last month my account has risen 1.5% while SPY has risen 1.8%.  At this rate, I would be lucky to reach 106% for the year, which seems inadequate for the amount of effort expended.  Hopefully there are further improvements that can be made to the stock-picking program.

And… we have our first losers from the new program!  EK is the first weekly-scan loser and DUG the first loser from the daily-scan. 

Markets are closed 2011 AL 22 for Good Friday.

Daily % gainStop %Realized
Symb size when Fri Mon Tue Wed Thu Beg End
UDN 12% MR22 0.5 -0.3 0.2 1.1 1.3 -1.3 -0.5
IAU 12% MR24 3.1 3.7 3.8 4.2 4.3 -1.5 -0.5
DRETF 16% MR30 -2.5 -1.8 -0.9 0.1 0.8
EK 6% AL04 1.1 0.2 -0.7 -1.3 -3.4 -3.4 -3.4 −3.3%
TS 6% AL04 -2.4 -5.3 -3.6 -2.4 -1.8 -8.3 -7.2
REX 6% AL04 1.3 0.6 -1.2 0.5 1.5 -8.4 -7.2
CYD 6% AL04 -2.0 -3.0 -2.5 1.1 5.6 -8.3 -8.3
PVH 6% AL04 -0.4 -1.0 -0.6 3.2 3.3 -8.3 -8.3
QTM 6% AL11 10.0 7.9 8.4 8.9 10.3 1.1 2.8
DUG 6% AL13 -2.4 0.6 -1.6 -5.8 -6.9 -4.0 -2.0 −5.1%
JBHT 6% AL18 -2.2 -2.8 -1.6 -1.2 -5.3 -2.9
LRN 6% AL20 1.3 0.8 -5.4 fail
ATML 6% AL21 1.6 -8.3 -6.5
KBALB 6% AL21 -3.6 -5.3 -5.3
SPY 0.0 -1.1 -0.6 0.8 1.3
me 0.0 -0.4 -0.3 0.4 0.8
(Average) −4.2%

UDN: Finally went up enough to sell ¼, but even so the stop is still underwater.

IAU: One more week until my stop is above water!

DUG: Each day I raised the stop, but in the end it didn’t matter: DUG gapped down and grabbed the full 5% initial risk, same as if I hadn’t adjusted the stop at all.  Oh well.  DUG is a gainer only 50% of the time and this wasn’t one of those times.

QTM: Sold ¼ on Monday, which raised my effective stop to +2.8%.  Hopefully this is enough stop-height to ensure that I won’t end up with a loss no matter what QTM does next.

ATML: This showed up on a daily scan!  I’ve had my eye on ATML for two months, wondering when the next good entry point would be.  I’ve given it an 8% trailing stop.  It went up the first day, so the stop automatically went up as well.  Nice!  But really I should recode my analysis program to see whether trailing stops are a good idea and how deep they should be.

DRETF: This week's gain figures for DRETF (but not for the account as a whole) include +0.5% for the dividend that was declared Monday.  Record-date will be AL29 and pay-date MA15 but probably a few days later for this "foreign" stock.

KBALB: Why is it that almost everything drops the day I buy it?  Maybe my analysis program should be looking a little further back, buying things that were good candidates two days ago rather than yesterday.

New rule: Don’t buy stocks that are below their 200-day (40-week) moving average.  This would eliminate EK and DUG but none of the others.  REX and QTM both rose above their 200-day averages during the week before I bought them, while PVH had passed through that goalpost two weeks before purchase.

IBIO: This was a buy-failure last week.  As it turned out, it would have been a -3.5% loser after four days.  Today’s price would be a -7.6% loss.  Good thing I didn’t give it a higher limit!

LRN: Buy-failure this week.  I held LRN for five days last month, gaining +0.8%.  When it showed up on the daily scan, I hoped for a repeat this month.  Oh well.

Weekly scan:  No pick this week.  I bought ATML instead.

Daily scan:  No pick for Monday, because there won’t be enough cash available until DUG and ¼UDN settle on Tuesday.

Monday, 18 April 2011

Week of 2011 AL 15

My account rose 0.3% this week, while SPY fell 0.6%.

The five “weekly” stocks bought two weeks ago still aren’t going anywhere.  The weekly that was bought a week ago has done very well but is obviously atypical.  The US dollar held steady while gold continued upward.  DRETF seems to be in a broadening-wedge pattern.

Once again there were no realized gains this week.

Daily % gainStop %Realized
Symb size when Fri Mon Tue Wed Thu Fri Beg End
UDN 12% MR22 0.4 0.2 0.5 0.4 0.7 0.5 -1.8 -1.3
IAU 12% MR24 2.1 1.5 0.7 1.0 2.2 3.1 -2.3 -1.5
DRETF 16% MR30 -1.3 -2.3 -5.7 -4.3 -2.8 -2.5
EK 6% AL04 3.0 -1.3 -1.0 -0.4 -2.8 1.1 -5.5 -3.4
TS 6% AL04 0.1 -0.1 -2.3 -2.4 -2.3 -2.4 -8.3 -8.3
REX 6% AL04 -1.4 -1.0 -2.4 -2.2 -2.3 1.3 -8.4 -8.4
CYD 6% AL04 0.9 -1.1 -3.6 -3.0 -2.7 -2.0 -8.3 -8.3
PVH 6% AL04 -3.9 -2.5 -1.2 -0.8 -0.1 -0.4 -8.3 -8.3
QTM 6% AL11 -1.4 -5.4 10.7 15.4 10.0 -8.3 1.1
DUG 6% AL13 0.5 -0.7 -2.4 -5.3 -4.0
IBIO 6% AL15 5.6 -5.3 fail
SPY 0.0 -0.3 -1.0 -1.1 -1.0 -0.6
me 0.0 -0.6 -1.7 -0.4 0.2 0.3
(Average) n/a

QTM: A weekly-scan pick that has done uncommonly well.  I tried a fancy move that once again didn’t work: On Thursday night I changed QTM from a hard -8% stop to a trailing 11% (because there have been days recently when QTM dropped by 10% but was still worth keeping).  Also I put in an order to sell ¼ with a limit of 15% gain.  Results: QTM gapped down at the open, so my 11% stop turned into 14%.  Also my limit never fired.  I’ve put in a market order for Monday to sell ¼ at around 10% but really I should update my analysis program to see whether this is still a good idea.  It might be that *either* a trailing stop *or* selling a quarter are good ideas, but not both.

DUG: Daily-scan pick that hasn’t done well so far.  Goldman Sachs and Saudi Arabia think the price of oil should go down, while Bank of America thinks it should go up.  All of these entities are manipulating the price of oil, which relates vaguely to the prices of oil-company stocks that DUG bets will go down.

IBIO: Daily-scan pick; purchase failure.  I used the buy-limit price from my analysis program, but it wasn’t high enough.  Would have done well if I had caught it.

Weekly scan:  No pick this week.  I’m still waiting for the first five to start going somewhere.

Daily scan: Buy JBHT on Monday.  It was a buy-candidate four times in the last three years.  One was a buy-failure and the other three were all small gainers.

Saturday, 9 April 2011

Week of 2011 AL 08

My account rose 0.6% this week, while SPY fell 0.2%.

I decided not to buy CZM (which did well) because it's a Chinese stock like CYD (which did okay) and I didn’t want to be “overweighted on China”.  So instead I bought PVH which did badly.  Overall, 3 of the 5 initial purchases using the weekly scanner had gains in their first week and none of them stopped out, which was better than expected.

For a sample of 100 stocks over the last three years, the weekly scan’s average result is a gain of 4.6% over 5 weeks (so maybe 40% per year), while the daily scan’s average is 1.8% gain in 6 days (plus 3 days' settlement time, so maybe 50% per year, assuming as usual that volatility cancels out compounding).

Daily % gainStopRealized
Symb size when Fri Mon Tue Wed Thu Fri Beg End
UDN 12% MR22 -0.8 -0.8 -0.8 -0.4 -0.4 0.4 -2.1 -1.8
IAU 12% MR24 -1.0 -0.7 1.0 1.2 1.2 2.1 -3.2 -2.3
DRETF 16% MR30 -2.0 -3.3 -3.0 -3.8 -3.2 -1.3
EK 6% AL04 0.5 2.0 3.6 3.0 3.0 -8.3 -5.5
TS 6% AL04 -0.2 -0.3 -1.5 -3.5 0.1 -8.3 -8.3
REX 6% AL04 -0.8 -0.1 2.5 1.3 -1.4 -8.4 -8.4
CYD 6% AL04 1.4 1.2 1.3 1.2 0.9 -8.3 -8.3
PVH 6% AL04 -1.8 -0.9 -2.1 -2.5 -3.9 -8.3 -8.3
SPY 0.0 0.1 0.1 0.4 0.1 -0.2
me 0.0 -0.2 0.2 0.3 0.2 0.6
(Average) n/a

UDN: This thing moves very slowly.  Some pundits think it might jump 6% soon, but it’s gone up only 8% over the last year.  I’ve put in a limit order to sell ¼ of it if it goes up another 0.6%.  I need more spare cash to buy weekly-scan and daily-scan picks!

IAU: Finally went up.  At this rate, it will be another three weeks before my stop is above water.  I’m still seeing lots of pundits saying that it will rise 40% over the next three months, plus a few who think it will have a correction first.

Weekly Scan

Changes to weekly-scan parameters: Schwab does not support fractional stop-loss percentages, so I reduced my stop-depth from 8.5% to 8%.  To permit purchase, I now require that PPO(4,10,7) must be at least 1.25%, the weekly low must not be more than 5% above SMA(8), and ROC(7) must be less than 8%.

There are lots of hits this week!  Likely candidates: COPX, QTM, PBY, CIS.  Of these, QTM has highest PPO and lowest price compared to SMA.  PBY has the next-best PPO but CIS has the next-best price.  Decision: buy QTM at Monday's open.

Daily Scan

I ended up taking the no-brainer approach: the daily scanner uses the same program code as the weekly scanner, but with different parameters:
5%Max stop depth
0.3%Max price increase from decision to purchase
0.5%Min PPO histogram
110%Min rise in PPO from previous day
6%Max distance from SMA up to daily low.
10%Max ROC
0.8%Min PVO histogram
0.95Min ratio of +DI/-DI
0.16, 0.16pSAR params
11, 27, 9PPO and PVO params
12ROC param
14DI param
8SMA param
It’s interesting how similar many of these values are to the weekly scan.

Many days have lots of hits with these parameters, but not today!  The scan finds only AER, which just had a big jump and might fall back on Monday.  Reducing the min-PPO criterion finds HGR, which might be good.  Decision: buy nothing; recheck Monday night.  I don’t have enough open portfolio slots to buy a daily-scan every day, so I shouldn’t waste a slot on a marginal candidate.

Saturday, 2 April 2011

Week of 2011 AL 01

Not much change this week.  I mostly stayed out of the market and worked on my computer program for selecting stocks to buy.  It uses weekly indicators to decide over the weekend what to buy the following Monday.  My latest parameter set produces roughly 30% stop-outs, 17% small losses, 16% small gains, and 37% big gains.

For a sample of 69 stocks over the last three years, there were 10,000 weekly buying opportunities, of which my program selected only 74.  The average gain was +7.9%!
Here are my latest parameters:
8.5%Max stop depth
4%Buy-limit: Max rise in price between decision to buy and market price.
105%Min increase in PPO rise from prev week
100.05%Max ratio of weekly low to SMA of closing prices
9.5%Max ROC
-0.75%Min PVO-histogram
75%Min ratio of +DI/-DI
0.16, 0.16pSAR params
4, 10, 7PPO params
4, 10, 7PVO params
7ROC param
7DI param
8SMA param

If a stock meets all these criteria, buy it!  Use weekly pSAR as the stop, unless that value is lower than the max stop depth.

Daily % gainStopRealized
Symb size when Fri Mon Tue Wed Thu Fri Beg End
TYD 11% MR15 -4.3 -4.3 -4.9 -4.3 -5.0 -4.3 -7.6 quit −4.9%
TYP 10% MR16 -13.2 -12.5 -13.3 -13.6 -13.3 -13.0 -15.2 ppo −13.2%
UDN 12% MR22 -1.2 -1.2 -1.2 -1.1 -0.9 -0.8 -2.7 -2.1
IAU 12% MR24 -1.0 -1.6 -1.7 -1.5 -0.5 -1.0 -3.9 -3.2
DRETF 16% MR30 -1.0 -0.9 -2.0 (foreign)
SPY 0.0 -0.4 0.3 1.0 0.8 1.2
me 0.0 -0.1 0.1 0.0 0.1 -0.1
(Average) −9.1%

I sold TYD because it wasn’t going anywhere but down.  I sold TYP because the daily PPO value turned negative, so I needed a reason to keep it and there wasn’t any.

I bought back DRETF because it had big gains while I wasn’t holding it.  Also, the expected market meltdown didn’t materialize and that was what I had sold it for.

Using my new stock screener, I have selected EK, TS, REX, CYD, and CZM for purchase next week.  A reasonable expectation would be that one or two will stop out the first week, one or two will stop out within the first month with small losses, and the other one or two will eventually show gains after a month or two and maybe big gains after several months.  Trend investing is very slow!

Next I need to come up with a new swing-trading system, probably based on earnings-swings since those seem fairly reliable.