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
| │ | Max loss | │ | Final 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 date | Buy price | Sell date | Sell price | Acct Profit | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Model | Actual | M | A | Model | Actual | M | A | M | A | ||||||
| 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%.
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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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