Friday, 9 December 2011

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 % lossResults
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 dateBuy priceSell dateSell priceProfit
ModelActualMAModelActualMAMA
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!

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