Tuesday 3 January 2012

Week of 2011 DE 30

SPY fell by 0.7% this week, while my account fell only 0.4%.  For the year, SPY fell less than 1% while my account fell more than 17%.  I should’ve just put my money in SPY and left it there all year!

I have rebased the chart so the beginning-of-2011 values are now 0% instead of 100%.  Next week I will rebase the chart again so this week’s ending values (which are also start-of-2012 values) will correspond to “0% change” on the chart.

Daily % gain
Max % lossResults
Symbol  since Fri   Mon   Tue   Wed   Thu   Fri Beg   End
IAU  DE16 +0.8  10 -0.1  10 -2.6  10 -3.1  10 -2.0  10 −4.0 −4.0 −4.1%
SPY 0.0 +0.1 -1.2 -0.2 -0.7
me 0.0 -0.1 -0.3 -0.4 -0.4

Markets were closed on Monday, in observance of Christmas.

IAU: Stopped out on Thursday, making a lower low.  This is not a good time to be holding gold.  I will wait awhile.

Going into New Year’s, my holdings are now 100% cash (including unsettled cash from sale of IAU).  Next year my “gains this year” and “gains from transactions initiated this year” will be the same, unlike this year when there was a 2% unrealized gain carryover from 2010 that kept tripping me up.

MACD-based swing trades

My automated trading system for TNA/TZA swing trades is live and seemingly operational!  But there were no swing trade set-ups this week, so it hasn’t actually done anything yet.

New rule: Do not buy TNA when PPO-signal > -0.7; do not buy TZA when PPO-signal < +0.55.  Along with the “tweaks” below, for TNA this rule improves the 2011 win:loss ratio from 22:14 to 16:7, avoiding many losses while keeping most gains.  Overall profit increases from 2.52% to 2.53%, so basically no change.  For TZA this improves the win:loss ratio from 11:8 to 9:3 and increases profit from 7.25% to 7.28%.

Tweaks: Increase TNA delta from 1.1 to 1.2; increase neg-delta from 0.35 to 0.40.  Decrease TZA neg-delta from 1.45 to 1.15.  In part these tweaks are needed to reduce the negative impact of the new PPO-signal rule, because otherwise the delta rule would just buy the stocks anyway!

The TNA swing-trading rules seem to work well now.  Average gain per swing is 4.6% for the last 12 months, with roughly 3:1 odds. For the last 18 months (all the data I have), the average gain is also 4.6% but the odds are only 2:1.

The TZA rule needs more work.  Average gain is 18% for 12 months, with 3:1 odds, but for 18 months the average gain is only 10.4% and again the odds are 2:1.  There are still several nasty -5% losses, such as the -5.6% loss for October 27th.  For TNA, I was able to eliminate the nasty -3% loss in October via the above tweaks; maybe the same can be done for TZA with some more tweaking.

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