Sunday, 22 May 2011

Week of 2011 MA 20

My account lost 0.5% for the week, while SPY lost 0.3%.

IAU: Doing well.  Just bounced off its 50-day average and will probably go higher.  For Monday: buy some more.  I can increase size to 18% of account without pushing my stop below water.

DRETF: Here we go again!  They are issuing yet more new shares on JN14 at last Friday’s price.  I expect that my gain will be stuck near 1% until then.  They had just released Q1 earnings, which were excellent yet again, so the stock should “pop” soon after June 14th.  For Monday: call Schwab to ask how long the trading ban will be; buy some more after that.

Daily % gainStop %Realized
Gain
Symb size when Fri Mon Tue Wed Thu Fri Beg End
 
IAU 12% MR24 3.5 4.4 2.9 3.5 3.6 4.9 +1.3 +2.0
DRETF 16% MR30 0.4 1.5 1.3 2.1 1.5 0.9
REX 6% AL04 4.6 1.6 0.9 2.4 3.8 3.1 −2.1 +1.3
PVH 6% AL04 4.8 2.3 1.0 2.1 3.7 -1.3 −2.4 −2.1
SPY 6% MA02 -2.6 -3.2 -3.2 -2.3 -2.1 -2.9 −4.2 −4.0
PALL 6% MA06 -2.5 -2.0 -0.9 0.9 0.1 1.2 −4.2 −3.5
BPI 6% MA09 9.2 6.7 5.1 8.6 9.6 5.8 −4.5 +1.3
ASG 6% MA09 -0.4 -1.1 -2.2 -1.3 -1.3 -0.8 −4.4 −4.4 −0.8%
HZO 6% MA09 0.8 -0.6 -7.2 -7.1 -6.5 -9.1 −4.4 −4.4 −4.7%
FDM 6% MA10 -1.3 -3.1 -3.4 -2.0 -2.1 -3.0 −4.4 −4.4 −2.3%
SBNY 6% MA11 -2.3 -2.1 -1.0 -0.3 -0.5 -1.7 −4.4 −4.4 (MA23)
TNA¹ 6% MA16 -2.7 -3.6 0.7 1.4 -0.8 −3.4 −3.4 −5.1%
TNA² 6% MA17 -0.5 3.9 4.6 2.4 −2.4 +2.0 +4.3%
TNA³ 6% MA19 -0.3 -2.4 −2.4 −1.5 −1.4%
me 0.0 -0.4 -1.0 0.1 0.2 -0.5
(Average) −1.6%

REX: Had to sell half of it to get the stop above water.

BPI: Had to sell half of what was left to get the stop above water.

PVH: Never got high enough to justify selling some.  Plummeted on Friday for no apparent reason.

SPY: Never got high enough to sell it.  I guess I’ll keep it for another two weeks or so, in case there is another rally.

PALL: Doing well, but it will be another month or so until the stop gain is positive.

ASG, HZO, FDM, and SBNY: All four initial tries of the 16-day oscillator are losers!  I think this was caused by last week’s rally in the US dollar.  The pundits warned me that the rally was coming, but I didn’t understand how significant it would be.

TNA¹: This initial try of the TNA predictor was a loser.

TNA²: I tried a day-trade, with trailing 2% stop.  Winner!

TNA³: Another day-trade.  Loser!

Weekly scan:  For the five original picks from AL04, the average gain is now -2.5%, while SPY has gained +0.4% during those seven weeks.  Not very impressive!  QTM did well and now BPI has an above-water stop.  I think the weekly-scanner needs to be retuned, perhaps next month.  I would like the *median* gain to be positive, so I can reasonably expect a gain from each purchase.  The current tuning is for maximizing the *average* gain, but I’m getting tired of all the losses and anyway the sell-by-quarters system drastically reduces the maximum possible gain.  For Monday: buy VSR.  Maybe sell it on MA27 before its “earnings fever” wears off.

16-day oscillator

Revised criteria, which are now pickier that the stock chart needs to show an 'M' shape and have decent volume:
  • SMA(16,close) > today’s high.
  • SMA(16,close) < low of 8 days ago.
  • SMA(16,close) > high of 16 days ago.
  • SMA(16,close) < low of 24 days ago.
  • SMA(16,close) > high of 32 days ago.
  • Yesteray’s close < close of 5 days ago. (changed)
  • Close for 9 days ago > close of 13 days ago. (changed)
  • Close for 21 days ago < close of 25 days ago. (changed)
  • Close for 29 days ago > close of 33 days ago. (new)
  • Close for 8 days ago > close of 24 days ago × 0.99 (new)
  • Today’s close > yesterday’s close.
  • SMA(200,close) < today’s low.
  • SMA(60,close) > $2.00.
  • Today’s volume > 20,000 shares.
  • SMA(60,volume) > 20,000 shares. (new)
  • Exchange = NYSE, AMEX, or NASDAQ.
Using these criteria, SBNY would not have been selected on MA10.

New rule: If $USD closes above its six-day price channel, don’t buy anything the next day and sell any 16-day osc picks currently owned.  During the last four months, $USD closed above its price channel on FE11, MR10, MA05, MA06, MA11, and MA13.

Effects of new rule: For JA31, BOFI would have been sold for +0.2% gain on FE11 instead of -0.8% gain on FE14.  For FE25, GWW would have been sold for +1.1% instead of +2.1% (oh well) but SNV would have been -4.4% in either case.  The main effect is on MA05 and MA06 which had ten picks, mostly losers, whose purchase would have been blocked by this rule — including ASG.  For MA09 this rule would have forced sale on MA11, reducing the loss for HZO to only -2.0%.

This rule raises average gain from -0.3% to +0.8%.  Assuming that I buy only one pick for each day that has picks, and that pick has the average gain for the day, the expected gain is now +3.7% for an eight-day swing.

For Monday: sell SBNY and don’t buy anything.  There haven’t been any hits since MA09.

TNA prediction: The new pickier 16-day oscillator yields very few hits, so it is no longer effective for predicting when to buy TNA.

TNA day trades: Can’t figure out how to make these consistently profitable enough to cover their trading costs.

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