Friday, 8 June 2012

Week of 2012 JN 08

SPY rose by 4.0% this week, while my account fell 0.3%.  My loss-floor rose because I am out of the market again.

Friday’s allocations:
Daily % gain
size
Max lossFinal
Gain
Sym  Buy Fri Mon Tue Wed Thu Fri Beg   End
 
TNA  MA29 -3.5 29  -3.6 29  -2.7 -1.6%
SRTY  MA30 +1.4 15  +1.4 15  +0.9 +0.2%
TZA  MA30 +0.7 16  +0.8 16  +0.2 16  -0.8 16  -0.6 16  -1.1 -1.4 -0.8 +0.5%
SPY +2.1 +2.1 +2.8 +5.2 +5.2 +6.1
me -8.1 -8.1 -8.4 -8.4 -8.4 -8.4
floor -10.3 -10.0 -8.4 -8.4 -8.4 -8.4

TZA: Sold for 0.2% less than last Friday’s estimate, but account value went down by 0.3% for the week.  Some sort of round-off error.

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActualMAMA
TZA MA 31 11:00 $22.56 $22.60 JN 05 13:00 $23.39 $23.42 +0.6% +0.5%

TZA: Sold Tuesday using the "Alternate sell rule”.  Spent the rest of Tuesday cursing that damned rule.  Wednesday morning the market jumped, so would have sold TZA for a loss at the 10am stop-update.  Hooray for the alternate sell rule!

Custom indicator PEAKFREQ

As of Friday’s close, PEAKFREQ(140,8) = 7, so the SRTY model is disabled but the other models remain on duty, waiting for “buy” signals.

On Thursday, PEAKFREQ got down to 6, so I tried to recreate the previous histogram which showed only two hours of the last 7,000 that had such a low value.  But the numbers are all different on my re-creation!  Something went wrong last time.  Here is the revised chart, showing 6,895 hours from February 2008 through December 2011.  There were only 10 hours during 2008..2011 where PEAKFREQ=4 and only 4 hours with PEAKFREQ=16.  About 13% of all hours have PEAKFREQ<8 (which blocks purchases of SRTY), while 24% of all hours have PEAKFREQ>11 (which blocks TNA and TZA).


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