Friday, 18 May 2012

Week of 2012 MA 18

SPY fell by 4.7% this week, while my account rose 0.9%.  I am out of the market again; many pundits believe that next Monday will bring either a large bounce or a crash.

Friday’s allocations:
Daily % gain
size
Max lossFinal
Gain
Sym  Buy Fri Mon Tue Wed Thu Fri Beg   End
 
TZA#0 MA03 +0.7 30  +1.8 30  +1.9 -0.0%
SRTY#0  MA08 -0.1 14  +0.4 -0.3%
SRTY#1  MA14 +0.0 15  +0.1 15  +0.4 15  +1.4 -0.9 -0.9 -0.2%
SRTY#2  MA16 +0.6 16  +1.6 16  +2.1 16  -0.4 -0.3 +1.4%
SRTY#3  MA18 +0.2 16  -1.2 -1.2 -0.3%
SPY +8.1 +6.9 +6.2 +5.8 +4.3 +3.4
me -6.9 -7.1 -7.1 -6.5 -5.5 -6.0
floor -6.9 -7.1 -7.1 -7.5 -7.2 -6.0

This week, I have changed the “Daily % Gain” table so all figures are percentages of my total account, not of the individual trade.  Basically, all numbers are now ⅟₇ of what they used to be.  This removes the disparity between the daily table above and the robot’s weekly table below, which was already using total-account figures.

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActualMAMA
TZA#1 MA 14 11:00 (Skipped) $20.58 (Not yet)
SRTY#1 MA 14 12:00 MA 14 11:00 $51.05 $51.25 MA 09 14:00 $50.57 $50.50 -0.2%
SRTY#2 MA 16 10:00 $50.75 $50.58 MA 18 11:00 $55.75 $55.70 +1.3% +1.4%
SRTY#3 MA 18 12:00 $57.52 $57.50 MA 18 13:00 $56.47 $56.46 -0.3%

TZA#1: Argh!  The robot didn’t buy because it got an IWM real-time quote from Schwab at 11am that was higher than the one for 10am, while stockcharts.com shows a lower price.  Because of the new STDDEV rule, the robot then refused to buy TZA all week, waiting for a bounce that never came.  As I suspected last week, it was a bad idea to sell TZA last Thursday and it might well turn out to have been a bad idea not to overrule the robot and buy TZA this week.

SRTY: This ticker underwent a 1-for-5 reverse split last Friday, so all price-quotes are now five times larger ($50 instead of $10).

SRTY#2: Good timing on the purchase!  The robot shorted the market on Wednesday at what turned out to be nearly the highest price of the day.  Friday’s sale-time wasn’t so hot, though.

SRTY#3: This was stupid.  I have added a new rule: Do not buy SRTY unless at least two hours have passed since the last sale.  This rule increases average profit slightly (from 10.4%/year to 10.5%/year) and improves the win:loss ratio slightly (from 101:118 to 101:116 since 2008) but the main point is that it would have blocked the third trade this week.

Daily stop-update: Friday’s stop price for SRTY#2 should have been $50.40 (for a -0.1% max loss) but the robot chose $49.48 (for -0.3%).  As a result, the max-loss actually went *down* from Thursday’s -0.2%.  I really ought to fix this, by fetching quotes for IWM and SRTY during the same invocation of Opera so their prices will differ by milliseconds instead of seconds.

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