Saturday 21 January 2012

Week of 2012 JA 20

SPY rose by 2.1% this week, while my account fell by 0.4%.  This week there is a new blue line, indicating the loss-floor.  If all stops trigger (currently there is only one), my account balance will fall to -0.9% for the year-to-date; last week the floor was -0.7%.

It has now been 37 days since the last spike-low on Nov. 25th.  Usually the spike-lows are every 35-40 days.  It was 46 days from 2009 NO 30 until 2010 FE 05, but that low’s downswing began after 35 days and as of today the market shows no sign of going down yet.

US markets were closed on Monday, for Dr. Martin Luther King Jr.’s birthday.  Friday was the Options Expiration day for this month.

Daily % gain
Max % lossResults
Symb  Buy Fri   Mon   Tue   Wed   Thu   Fri Beg   End
RWM  JA06 -1.5  10 -0.8  14 -2.2  17 -2.8  17 -2.9  17 −6.9 −5.1
SPY +2.7 +3.1 +4.2 +4.7 +4.8
me -0.1 -0.1 -0.4 -0.5 -0.5

RWM: Reset the trailing stop from 8% to 5%, but this had little effect because RWM’s recent price peak was almost 3% lower than the last peak seen before the reset.
      On Sunday, I lowered the buy-trigger from SPY=$130.50 to SPY=$130.25; on Tuesday SPY peaked at $130.29 at 9:50am, so Schwab bought RWM for me before I got out of bed.  Life was good!  On Wednesday, SPY peaked at $130.84 at the close, so I bought more RWM in the after-market.  Then SPY continued rising for the rest of the week.  :-(
      Some would claim that these additional purchases of RWM were wrong because I was “adding to a losing position”.  Well, maybe.  But I did not lower my stop-price, so each additional buy has a tighter stop than its predecessor.  Wednesday’s buy increased my profit potential by 0.3% while increasing my max-loss by only 0.1%.

MACD-based swing trades

This is now four weeks in a row with no swing trades!  I hope all those people who bought the “Santa rally” and the “January effect” are having a good time.  As for me, I will continue waiting for the bimonthly spike-low.

Bugfix: There was a typo in my robot trader’s code.  PPO(50,30,10) consists of three values: signal, moving-average, and histogram.  Instead of the ”signal” value, I think it was actually using the ”moving-average” value.  So I fixed that and then retuned.  I now test close>SMA(23) instead of close>SMA(20).  This doesn’t seem to help TNA any, but improves results for TZA slightly.  Maybe I should drop this test.
      TNA: max-signal was -0.7, now -0.1 (which is much more lenient). Rebuy-delta was 0.01, now 0.03 (better results during 2010, not much worse for 2011).
      TZA: max-signal was -0.55, now 0.00 (i.e., any positive PPO-signal for IWM is now “good enough” to buy TZA). Epsilon was 0.5, now 0.25. Neg-epsilon was -0.7, now -0.4.  Delta was 2.2, now 1.35. Neg-delta was 1.15, now 1.45. Rebuy-delta was 0.07, now 0.01.
      Epsilon for TNA remains at 0.4.  Because neg-epsilon for TZA used to be more than that but is now equal, there is no longer an overlap zone where TNA has received a “buy” signal but TZA has not received a ”sell”.

Results still aren’t so hot.  For the last 19 months, the TNA trader would have had 28 wins & 15 losses, for a total account-gain of 15%, while the TZA trader would have had 21 wins & 18 losses, for a total account-gain of 40%.  Nice overall gain, poor win:loss ratio!  I feel like something better should be possible.  With these parameters, my account value this year would already have sustained two losses of 0.8%, on JA 03 and again on JA 10.  That wouldn’t have been a fun way to start the year!

New parameter: ”max-rebuys” prevents the system from mindlessly buying ever more tranches – I have limited funds!  Set to 3 (for original buy plus three rebuys).  Theoretically this could allow me to raise the tranche size from 10% to 25%, to use up all available money with four tranches, but practically I think I have to stick with 20% to ensure that I can buy one tranche of TNA at the spike-low, at the same time that I sell the four tranches of TZA.  This change would double my overall-gains to 70%/year, but would make losses due to robot-trader bugs twice as large.  I think I’ll wait for some profits before trying this.

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