Thursday, 5 April 2012

Week of 2012 AL 05

SPY fell by 0.8% this week, while my account was un­changed.  The loss floor dropped by 1.3% to make room for my new trade.

US markets are closed tomorrow for Good Friday.

Daily % gain
size
Max lossFinal
Gain
Sym  Buy Fri Mon Tue Wed Thu Fri Beg   End
 
TNA  MR26 -5.0  13 -1.6  0 -3.3%
TZA  AL04       -1.4  14 -0.2  14   -9.2 -8.9
SPY +12.2 +13.0 +12.6 +11.4 +11.4
me -3.7 -3.7 -3.7 -3.9 -3.7
floor -3.7 -3.7 -3.7 -5.1 -5.0

TZA: I didn’t have a lot of faith in this trade, but that’s why I use a trading robot.  All I need is faith in the general system; the individual trades are automated.

The daily stop-setting system works!  On Friday it raised my stop on TZA, even though the IWM stop-price didn’t change, due to random fluctuation in the IWM/TZA ratio (which could perhaps have gone 0.3% in the other direction).  Unless something bad happens Monday morning, I expect that the 10am recalc will raise the TZA stop to somewhere in the neighbourhood of -3.6%.

MACD-based swing trades

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActualMAMA
TZA AL 04 11:00 $18.54 $18.46 (not yet)

TZA: PPO(10,60,12) was rising very slowly Thursday afternoon, until the close when it rose by +0.032.  I require two hours of +0.03 or more in order to trigger a buy-more, so the market needs to rise for at least the first ½ hour Monday morning before plunging or I’ll have to make do with this single tranche.  If the market zooms instead of plunging, the single tranche loss won’t hurt me too much.

TRIX-based trend trades

The trap is set, but has not yet sprung.  TRIX(176,16) peaked at -0.0003 on Tuesday, now it’s back down to -0.0005.  I need +0.00011 to trigger a ”buy”.

This seems to happen over and over: as soon as I put in a recognizer for a price-pattern, that pattern stops happening for weeks or months.  I suspect that this is not a coincidence.  Patterns vary in their obviousness, probably in a way similar to stock prices.  When a pattern becomes so obvious that I notice it and write a recognizer for it, that might indicate that the pattern-obviousness level is approaching a “blow-off top”.  After the blow-off, the pattern recedes for a while and so my recognizer has nothing to recognize.

Surfing the oscillations

In early March, IWM broke its October-November trendline.  It quickly recovered and spent the rest of the month hovering around that line.  Now, in early April, it has broken the new trendline for October-March.  There’s no way to know yet how soon it will recover.  This could be the start of THE BIG ONE, but probably not.

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