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.