Friday 6 July 2012

Week of 2012 JL 06

SPY fell by 0.5% this week, while my account rose 0.5%.  Both of these figures have returned to within 0.1% of their values as of May 11th, eight weeks ago.  My loss-floor has risen to -7.7%.

Euro economy: Greece has reported to the Troika that its citizens have stopped paying bills in Euros.  The people have lost faith in their currency, so re-drachma-tization *should* occur soon, but it seems the Hellenic Government still isn’t ready to face that music.

US economy: Friday’s Nonfarm Payroll report was bad, so the market fell (and will probably continue falling for Monday and Tuesday).  There have been a slew of negative warnings for the Q2 earnings reports.

US markets: Closed on Wednesday for Independence Day.  Tuesday was a half-day.

Friday’s allocations:
Daily % gain
Max loss
Sym  Buy Fri Mon Tue Wed Thu Fri Beg   End
TZA  JN21 -0.2  15  -0.2  0 
URTY  JN22 +1.4  17  +1.4  17  +1.4  17  +1.4  0 
TNA  JN29 +0.2  15  +0.7  16  +1.3  16  +1.3  16  +0.8  16  -1.9 +0.1
SRTY  JL06 -0.2  15  -0.7 -0.7
SPY +8.5 +8.8 +9.5 +9.0 +8.0
me -7.5 -7.0 -6.4 -6.4 -7.0
floor -9.7 -9.3 -9.2 -8.9 -7.7

TNA: Max-loss above zero!  That hasn’t happened since last November.  The stock got sold later that same day, but still — I made it to the “guaranteed” profit level.

Stock-trading robot

The big problem this week was Opera’s NO_MODIFICATION_ALLOWED_ERR, which I got during Tuesday’s stop-adjust (worked correctly on manual retry).  Same problem occurred during Friday’s stop-adjust (but the adjustment went through anyway?)  Same problem a third time prevented the SRTY purchase from going through (I used a limit order).  Clearly, Schwab has screwed around with their order-entry process YET AGAIN.  I shall have to look into that this weekend.

Another problem: Schwab failed to reset their ”volume so far today” value to zero for July 4th, so the robot did a spurious stop-update on Wednesday.

Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M AMA
TNA JN 29 11:00 $52.88 $52.86 JL 06 11:00 JL 06 11:19 $55.80 $55.84 +0.8%
SRTY JL 06 13:00 JL 06 15:35 $43.55 (Not yet)

TNA: Robot failed to detect the “sell” signal at 11am.  The 10am IWM quote from Schwab was $80.60 ( said $80.54), then the 11am quote from Schwab was $80.54 (stockcharts said $80.44).  So the price of IWM “really” fell 10¢ during that hour but the robot saw a 6¢ drop.  My previous change to the TNA/TZA models was supposed to allow a “slop” of 0.1% price rise while still matching the sell-rule ”price must have fallen during last hour” — but I had coded it wrong so it actually required that the price had to drop by at least 0.1% (= 8¢ for IWM).  The robot tried to sell at noon, but I had already sold manually.  Bug has been fixed, but this reduces 2008..2011 TNA profits by 2.7 %-points (no effect on TZA profits).  Just dropping the “price must fall” rule would cost an additional 7.7 %-points, so I guess I’ll keep putting that off.

SRTY: Robot tried to buy at the proper time, but got the dreaded NO_MODIFICATION_ALLOWED_ERR.  I successfully used a limit-order to obtain the model’s expected price several hours later.

Gold trading

Refinement: Add a 3% hard stop in addition to the 10% trailing.  This reduces 5½ year profit from 15.4% to 15.2%, but reduces the maximum loss from 1.5% to only 0.5%.

Here is my revised model:
Using weekly indicators for IAU.
Buy signal:
  • Time = Friday at 4pm (after-hours trade).
  • MACD(14,25,9) is greater than 0.
  • MACD(14,25,9) has been less than 0 since last sale.
Sell signal:
  • Time = whenever US markets are open.
  • Current price < 90% of highest price seen since purchase or 97% of purchase price.
Here are all trades for the last 5½ years:
2007 JA 192008 MR 20+6.5%
2008 DE 122009 MR 03+1.5%
2009 MA 222009 JN 15-0.5%
2009 SE 042009 DE 17+1.5%
2010 AR 302011 AU 25+6.7%
2012 FE 242012 FE 25-0.5%

On Friday, gold jumped sharply after the NFP report, but then settled back down.  Weekly MACD is still rather negative.  A “buy” signal for this model does not seem imminent.

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