Friday, 30 March 2012

Week of 2012 MR 30

SPY rose by 0.9% this week, while my account fell 1.1% to its lowest value ever.  My loss floor is now equal to my account because I am out of the market.

Daily % gain
size
Max lossFinal
Gain
Sym  Buy Fri Mon Tue Wed Thu Fri Beg   End
 
TZA  MR22 -4.4  14 -10.3 13 -8.3 13 -6.9 13 -5.9  0   -6.2 -6.2 -8.0%
TNA  MR26 +0.6  14 -1.5  13 -3.2  13 -4.1  13 -5.0  13 -10.5 -10.5 -3.3%
SPY +11.3 +12.8 +12.5 +11.9 +11.7 +12.2
me -2.6 -3.1 -3.4 -3.7 -3.7 -3.7
floor -2.9 -4.7 -4.7 -3.7 -3.7 -3.7

TZA: Gap-down at Monday’s open forced me to take a loss that was larger than my “max loss” number.  This happens less often with index funds than with individual equities, but there is still a chance for it — and more likely now that I am using tighter stops.

TNA: Whiplash!  It’s shit like this, Mr. Market, that drives less-stubborn traders out of the business.  I think the real problem here is that my system assumes a certain time constant for the market’s motions.  When things move faster than that, I get losses.

MACD-based swing trades

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActualMAMA
TZA MR 22 11:00 $18.64 MR 26 09:30 $17.18 -1.0% -1.1%
TNA MR 26 12:00 MR 26 11:01 $65.73 $65.54 MR 28 11:00 $63.45 $63.49 -0.5% -0.4%

TZA: A “perfect trade” in both timing and pricing — yet still it was a huge loser.  Hopefully the usual rule of ”biggest gains come right after biggest losses” will apply.  Difference between model-profit and actual-profit may be related to the fact that IWM just paid a dividend but TZA didn’t.

Monday: Schwab changed their webpage formatting to be more iPad-friendly, causing my robot to lose its ability to fetch quotes.  Also, the robot’s database contained a rogue price for a real-time quote last Thursday, so it wouldn't have bought at 11am anyway.  Fixed the quote-fetch and manually purchased the TNA shares.  I guess I need to replace the robot’s database of Schwab quotes with stockcharts.com quotes every week to keep things in sync.
Tuesday: Another aspect of Schwab’s website-wide reformatting prevented the robot from updating its stop (whose price didn't change anyway).  Fixed.
Wednesday: Successful 10am stop-update (but no change in price), followed an hour later by a successful PPO-based sale.

TRIX-based trend trades

Current value for TRIX(176,16) is -0.00035.  Getting up to a “buy” level of +0.00011 could happen next week.  I plan to install this software into the trading robot over the weekend.

Quarterly summary

Pretty bad: I lost 3.7% of my money this quarter, while IWM gained 9.8%.

Actual Live model Final model
URTY ×0 (n/a)
RWM ×4 JA 06 - FE 01 -1.0%
TNA ×0 (n/a)
TZA ×2 JA 23 - FE 01 -1.3%
TNA ×1 FE 01 - FE 01 +0.0%
TZA ×2 FE 07 - FE 16 -0.4%
TZA ×2 FE 29 - MR 07 +0.5%
TNA ×4 MR 09 - MR 20 +0.0%
TZA ×1 MR 22 - MR 26 -1.1%
TNA ×1 MR 26 - MR 28 -0.4%
3:5 win:loss TOTAL -3.7%
URTY ×0 (n/a)
RWM ×0 (n/a)
TNA ×0 (n/a)
TZA ×2 JA 23 - FE 01 -1.2%
TNA ×0 (n/a)
TZA ×2 FE 07 - FE 16 -0.4%
TZA ×2 MR 02 - MR 07 +0.3%
TNA ×4 MR 09 - MR 20 +0.4%
TZA ×1 MR 22 - MR 26 -1.0%
TNA ×1 MR 26 - MR 28 -0.5%
2:4 win:loss TOTAL -2.6%
URTY ×3 DE 29 - FE 03 +13.0%
RWM ×0 (n/a)
TNA ×2 JA 10 - JA 13 -0.7%
TZA ×0 (n/a)
TNA ×2 FE 01 - FE 07 +1.0%
TZA ×2 FE 10 - FE 16 -1.1%
TZA ×2 MR 02 - MR 07 +0.4%
TNA ×3 MR 09 - MR 20 +0.8%
TZA ×1 MR 22 - MR 26 -1.1%
TNA ×1 MR 26 - MR 28 -0.5%
4:4 win:loss TOTAL +11.8%

The “actual” column shows what really happened.  The “live model” shows what should have happened, using the versions of the model that were current at those trade times.  The “final model” shows what could have happened, had I spent the entire quarter using the version of the model that I have now.

The “final model” is quite unrealistic.  It asserts that I bought URTY on December 29th, even though I had no URTY trend-trading system until March so I couldn’t possibly have bought it in December.  Without URTY, even the “final” model would have lost -1.2% this quarter (vs. +0.9% for Q4 of 2011).

Conclusion: my swing-trading system has “loser quarters” about ⅓ of the time—this was one of them.  Thankfully, the system very rarely has two loser quarters in a row, so there is reason to hope for gains in Q2.

(By the end of Q2, I hope to have a new graphing system to create these charts, which will produce something less ugly than those stupid rectangles.)

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