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 loss │ Final Gain Sym  Buy │ Fri Mon Tue Wed Thu Fri │ Beg   End │   TNA  MA29 │ -3.5 29  -3.6 29  -2.7 0  │ │ -1.6% SRTY  MA30 │ +1.4 15  +1.4 15  +0.9 0  │ │ +0.2% TZA  MA30 │ +0.7 16  +0.8 16  +0.2 16  -0.8 16  -0.6 16  -1.1 0  │ -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 date			Buy price			Sell date			Sell price			Acct Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
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).