Week of 2012 AL 13

SPY fell by 2.1% this week, while my account fell 0.2% to its lowest value ever.  Just can’t catch a break!  The loss floor rose by 1.1% since I am out of the market again.

			Daily % gain size												│	Max loss			│	Final Gain
Sym	Buy	│	Thu		Mon		Tue		Wed		Thu		Fri		│	Beg		End	│
TZA	AL04	│	-0.2	14	+4.7	15	+6.5	30	+2.2	29	-2.6	29	+1.3	29	│	-8.9		-0.7	│	-0.8%
SPY		│	+11.4		+10.1		+8.3		+9.3		+10.6		+9.3		│				│
me		│	-3.7		-2.9		-1.6		-3.0		-3.9		-3.9		│				│
floor		│	-5.0		-4.3		-6.1		-4.4		-3.9		-3.9		│				│

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		AL 04 11:00			$18.54	$18.46		AL 12 11:00	AL 12 10:33		$19.31	$19.30		-0.1%	-0.2%
		AL 10 12:00			$20.49	$20.50

TZA: This was a stop-out, which actually happened at 10:33am but the model didn’t take notice until 11am.  Buy-price for 1st tranche was better than expected, while the 2nd buy-price and the sell-price were almost on the nose, so why the 0.1% difference in expected profit?  This needs investigation.

New rule: Allow TZA trades at 10am; con­tinue prohi­biting TNA trades at 10am because they would hurt performance.  Under this new rule, TZA would have been sold at 10am on AL 12 (because PPO was so high) rather than setting a stop which then triggered 30 minutes later for a 0.1% bigger loss.

This chart makes it look like I have gone too far in the “minimize risk” direction.  For the No 10am case, everything within the range -2.0% to +2.0% is “churn” and adds up to nothing; only the larger gains contribute to profit. Thus, only 6 of 65 trades are worthwhile!  For the With 10am case, 5 of 71 trades are worthwhile.  This is not good enough.  I do not want a 93% chance of “waste of time” each time the robot opens a trade!