Friday, 4 May 2012

Week of 2012 MA 04

SPY fell by 2.7% this week, while my account was un­changed after being down 2.4% at mid-week.  My loss floor rose by 0.4%.

US market news: On Tuesday, the market rose sharply after a surprisingly-good ISM report was released at 10am; then small-cap prices nosedived in the afternoon (I would have been better off in the large-cap SPY).  Wednesday morning’s ADP report was bad, so the market gapped down, then recovered.  On Friday, the NFP report was bad, so the market tanked and did not recover.  Overall, the US market seems bearishly biased right now.  Sy Harding has noticed that the NFP report is The Big One, often moving the market by a large amount over the following one to three days.  So there is reason to hope for continued bearishness next Monday.

Friday’s allocations:
Daily % gain
Max lossFinal
Sym  Buy Fri Mon Tue Wed Thu Fri Beg   End
TZA#0  AL23 -12.9  13 -10.0 13 -10.3  0       -9.9%
TNA  AL26 +3.6  15 +0.2 15 -1.9  30 -1.1  29 -5.4  29 -10.8  28 -9.3 -4.7 -4.7%
SRTY  MA02 -2.9  15 +1.0  15 +7.0  16 -7.3 -3.3 +6.5%
TZA#1  MA03 +0.5  15 +6.5  16 -13.0 -3.8
SPY +11.9 +11.5 +12.1 +11.8 +11.0 +9.2
me -6.3 -6.8 -7.4 -8.7 -8.0 -6.3
floor -8.3 -7.3 -8.3 -9.4 -11.4 -7.9

TNA: Seventh loss in a row!  And a double tranche!  And it tanked immediately after I bought the 2nd tranche!  So disheartening.

SRTY: Second trade with this new model is a winner!  And the win was more than twice as large as the first trade’s loss.  Now that’s more like it!

Stock-trading robot

Buy dateBuy priceSell dateSell priceAcct Profit
TNA AL 26 12:00 $58.55 $58.51 MA 02 10:00 MA 02 09:31 $57.33 $57.18 -1.4% -1.5%
MA 01 11:00 $61.40 $61.39
SRTY MA 02 11:00 $9.19 $9.20 MA 04 15:00 $9.81 +0.9% +1.0%
TZA#1 MA 03 12:00 $18.58 (Not yet)

TNA: Stop-out at 9:31, which the model noticed at 10:00.  I’m not sure what number to use for “model TNA sell price”, since the model is actually using IWM prices, so I show the lowest TNA price of the preceding three days.  Actually the robot takes the IWM stop-price and then multiplies by the leverage, which generally produces a lower TNA stop-price than that.  Anyway, the “model acct profit” works out to -1.4% as expected.

SRTY: Got the expected prices, but profit was slightly better than expected due to leverage.

TZA#1: If the market drops on Monday, the robot could buy another tranche as early as 11am.  Otherwise, the max-loss floor could rise above break-even as early as Tuesday.

Daily stop-update: Didn’t work well this week.  On Wednesday, the initial stop for SRTY was miscalculated, so I fixed it manually.  On Thursday, the robot picked a ridiculous 13% max-loss for TZA (should have been 8%).  On Friday the daily stop-update failed so I did it by hand.  The underlying problem is that SRTY is a short-selling model (so the robot does its calculations with negated prices) but unlike TZA it has no stop based on “x% below peak”, just a hard floor based on “low of last x days”, so the algorithm has problems with calling abs() and max() in the proper order.  Hopefully this will be fixed up by Monday.

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