Week of 2012 DE 28

SPY fell by 2.2% this week, while my account rose by 0.6% to end the year at -5.4% below baseline.  The loss-floor fell to -6.9% below baseline.  *Sigh* another loser year.  Still, the loss-floor is up from its low of -11.5% (double-bottom in June and August) and my account value was briefly as low as -9.2% during JN 24 to JN 26.  But at no time during the year was my account value *ever* above baseline!  I had hoped for better results from the second year of trading.

On Tuesday, markets were closed for Christmas.

End of year holdings: one tranche of gold, one of “equity bear”, and one of “equity bull”, so I’m effectively flat.

Friday’s allocations:

Daily % gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   IAU  AU14 │ +0.4  13  +0.4  13  +0.4  13  +0.5  13  +0.4  13  │ +0.1 +0.1 SRTY  DE21 │ -0.2  15  +0.1  15  +0.3  15  +0.3  15  +0.3  15  │ -0.4 -0.2 TZA  DE26 │ +0.1  15  +0.1  15  +0.4  15  │ -0.6 -0.6 URTY ¹  DE27 │ -0.1  15  -0.1  15  │ -0.1 -0.1 URTY ²  DE28 │ -0.1  15  │ -0.4 -0.4 SPY │ +13.8     +13.4         +12.9     +12.8     +11.6     │ me │ -6.0 -5.8 -5.4 -5.5 -5.4 │ floor │ -6.5 -6.5 -7.1 -7.0 -6.9 │

URTY ¹: Stopped out.  Stop price way too tight!

URTY ²: End-of-day price recheck said URTY shouldn’t have been sold, so bought it back (for a worse price).

Stock-trading robot

The new holiday-handling code worked correctly!  The robot correctly detected that the market was closed on Tuesday for Christmas and so it did not record garbage prices.

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Acct Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
SRTY		DE 21 11:00			$34.43			DE 28 11:00			$35.17			+0.3%
TZA		DE 26 11:00			$13.97	$13.98		(Not yet)
URTY ¹		DE 27 14:00			$66.53			(Do not sell)	DE 27 14:06			$66.14
URTY ²		DE 27 14:00	DE 28 10:15		$66.53	$67.59		(Not yet)

SRTY: Robot operated correctly, but profit was minimal.

TZA: There is something very screwy going on here.  Stockcharts.com shows the price as being quite far above the SMA(77) indicator, which should have blocked the purchase, but the robot’s calculated SMA(77) is quite different.

URTY: Stop price was way too tight and stopped out immediately.  Revised prices from end-of-day were slightly looser (due to change in the IWM/URTY conversion) and so stop-out “shouldn’t” have happened.  Friday’s stop-update failed because it tried to update URTY first, which had actually stopped out, and so updates for TZA and SRTY didn’t happen.
      There is something wrong with the Donchian channel.  The stop is supposed to be “low of last 11 days” but there was a lower price on DE 14, which somehow got lost after DE 21.  The previous low was NO 16, which had properly held down the robot’s calculated stop for 11 days (but there was no actual URTY holding at that time).

Week of 2012 DE 21

SPY rose by 0.6% this week, whjile my account fell by the same amount.  The loss-floor fell to -6.5%.

US news: On Thursday night, Speaker Boehner of the US House of Representatives announced that attempts to avert the Fiscal Cliff had failed.  The futures market briefly plunged, then recovered.  I expect the market will be going back down soon, but who knows?  Maybe the Obama Administration will continue with stealth money-printing until the re-inauguration, then allow all Hell to finally break loose.

Friday’s allocations:

Daily % gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   IAU  AU14 │ +0.7  14  +0.7  14  +0.5  13  +0.5  13  +0.4  13  +0.4  13  │ +0.1 +0.1 SRTY ¹  DE13 │ -0.2  15  -0.2  15  -0.2  15  -0.2  0  │ SRTY ²  DE17 │ -0.3  15  -0.3  15  -0.3  15  -0.3  0  │ -0.3 -0.3 TNA  DE18 │ +0.2  15  +0.2  15  +0.4  15  +0.1  15  │ -1.1 -0.3 SRTY ³  DE21 │ -0.2  15  │ -0.4 -0.4 SPY │ +13.2     +14.6     +15.8     +15.0     +15.6     +13.8     │ me │ -5.4 -5.7 -5.7 -5.6 -5.6 -6.0 │ floor │ -5.9 -6.2 -7.4 -7.0 -6.8 -6.5 │

SRTY ¹: Leftover trade from last week.

SRTY ²: Stopped out.  The market very quickly reversed direction.

SRTY ³: Hope for next week.

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
SRTY ²		DE 17 11:00			$36.99			DE 17 12:00	DE 17 11:40		$36.40	$36.29		-0.3%
TNA		DE 18 11:00			$62.49	$62.51		DE 21 11:00			$63.12	$63.08		+0.1%
SRTY ³		DE 21 11:00			$34.43			(Not yet)

Gold Trading

Almost all the profit has evaporated from my IAU holding.  Technically, there is little excuse for gold to go any lower unless it’s going to crash.  If it does, hopefully my stop-loss will get me out of it with a miniscule profit, in which case the whole thing will have been merely a waste of time.

Week of 2012 DE 14

(Another blah week where I didn’t feel like writing a report.)

SPY fell by 0.3% this week.  My account did the same.  The loss-floor fell to -6.0%, returning to its value as of OC 05.  So, no progress for the last two months.

My goal of “breaking even for the second year of trading” seems out of reach, although it looks like I will lose much less money this year than last.

Friday’s allocations:

Daily % gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   IAU  AU14 │ +0.8  14  +0.8  14  +0.8  14  +0.8  14  +0.7  14  +0.7  14  │ +0.1 +0.1 SRTY  DE13 │ -0.1  15  -0.2  15  │ -0.8 -0.8 SPY │ +13.5     +12.5     +14.3     +14.4     +13.6     +13.2     │ me │ -5.1 -5.1 -5.1 -5.1 -5.3 -5.4 │ floor │ -5.8 -5.8 -5.8 -5.8 -6.6 -6.0 │

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
SRTY		DE 13 15:00			$37.63			DE 14 11:00			$37.21			-0.2%

SRTY: Robot operated correctly, but produced yet another small loss.

Week of 2012 DE 07

SPY rose by 0.2% this week, while my account fell by 1.2% and returned to its value as of OC 19.  The loss-floor rose to -5.8%, returning to its value as of SE 28.

Friday’s allocations:

Daily % gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   IAU  AU14 │ +0.8  14  +0.9  14  +0.7  14  +0.7  14  +0.7  14  +0.8  14  │ +0.1 +0.1 UGLD  NO09 │ -0.5  15  -0.5  15  -1.0  15  -1.0  14  -1.0  14  -1.0  0  │ -0.8 -0.8 TNA  NO21 │ +1.9  31  +1.9  31  +1.5  31  +1.5  31  +1.5  31  +1.5  0  │ -0.7 +1.5 SRTY  DE04 │ -0.2  15  -0.2  15  -0.2  15  -0.2  0  │ -0.5 -0.5 SPY │ +13.3     +12.8     +12.5     +12.7     +13.1     +13.5     │ me │ -3.9 -3.9 -5.2 -5.2 -5.2 -5.1 │ floor │ -7.5 -7.5 -5.8 -5.8 -5.8 -5.8 │

Stock-trading robot

Robot now has better handling for market-closed days: the 4pm Schwab check is postponed to 4:20 (to ensure that volume has stopped changing) and the barchart.com check no longer erases the volume data from Schwab, so the robot can tell the next morning that there is no new volume.  Still might be a problem with days when the market closes early, but there's only one or two of those per year.

Updated the interface to Schwab so rebuys should be working again.  Schwab’s trade page now has a checkbox to acknowledge that a sell-stop is outstanding when a buy-more is submitted.

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Acct Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
TNA		NO 21 13:00			$52.74			DE 04 11:00	DE 04 11:30		$56.79			+2.1%	+1.5%
		NO 23 11:00	(Skipped)		$54.16
		NO 27 11:00	NO 27 14:26		$55.15
SRTY		(Do not buy)	DE 04 12:00			$38.42			DE 04 14:00			$37.92		+0.0%	-0.2%

TNA: Successful trade, but would have made more money if the second tranche had been purchased on NO 23.  Bug has been fixed.
      A rogue trade caused IWM to go briefly below the stop-price at 10:30, but TNA didn't stop out until 11:30.

SRTY: Borderline trade.  Barchart’s recheck showed that Schwab’s price had been slightly off, so STDDEV hadn’t been quite high enough to justify a trade.  Unavoidable error; small loss.

Gold trading

UGLD: Gap-down below stop-price.  Rats!

On Wednesday, Goldman Sachs told their Muppet-clients to sell gold (implying that gold will go up because Goldman usually steers clients wrong), while David Banister thought that gold was nearing “a major bottom”.  David is sometimes amazingly accurate with his gold predictions; other times he’s no better than a magic 8-ball.

Week of 2012 NO 30

SPY rose by 0.7% this week, while my account was unchanged.  The loss-floor rose to -7.5%.

Canadian market news: Mark Carney, head of the Bank of Canada, has announced that he will be moving to the Bank of England, after spending months vigorously asserting that he would never do such a thing.  I always thought he did a great job protecting Canada’s interests.  On the other hand, he is a Goldmanite and perhaps Canada is better off without him.  We shall see.

Friday’s allocations:

Daily % gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   IAU  AU14 │ +1.1  14  +1.1  14  +1.1  14  +0.9  14  +0.9  14  +0.8  14  │ +0.1 +0.1 UGLD  NO09 │ +0.4  15  +0.4  15  +0.2  15  -0.4  14  -0.2  14  -0.5  14  │ -0.8 -0.8 TNA  NO21 │ +0.5  15  +0.6  15  +0.4  30  +1.1  31  +2.1  31  +1.9  31  │ -0.7 -0.7 SRTY  NO28 │ -0.2  15  -0.2  15  -0.2  15  │ -0.5 -0.5 SPY │ +12.6     +12.4     +11.8     +12.7     +13.2     +13.3     │ me │ -3.9 -3.9 -4.3 -4.5 -3.3 -3.9 │ floor │ -7.3 -7.1 -8.1 -7.7 -7.6 -7.5 │

TNA: Doubled my bet, then raised the stop so I ended up with the same max-loss again.

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
TNA		NO 21 13:00			$52.74			(Not yet)
		NO 23 11:00	(Skipped)		$54.16
		NO 27 11:00	NO 27 14:26		$55.15
SRTY		(Do not buy)	NO 28 11:00			$40.59			NO 28 12:00			$40.14		+0.0%	-0.2%

TNA: Robot once again failed to rebuy, so I used a limit-order.  It looks like all rebuys fail now because Schwab's new interface requires checking a box if you enter a market order while a stop order is outstanding.  Still haven't done the rework to handle holidays properly. Also, it looks like the PPO values for stockcharts.com now differ significantly from the robot's.  Something has gotten out of sync.

SRTY: The robot is clearly malfunctioning.  It should not have bought SRTY because price was not below hourly SMA(27).  I think the historical data has gotten screwed up, perhaps because of the many recent manual adjustments due to holidays, etc.  I should “declare an emergency” and fix it up this weekend. (Data seems okay. Price was off by a penny and SMA was very close. No emergency after all.)

Gold trading

Gold’s price hasn't gone anywhere since I raised my bet.  Daily MACD is now zero.  I will allow one day of negative MACD, but if it doesn’t pull up by the second day, the UGLD bet should be closed as a loss.  Meanwhile, IAU is doing reasonably well and should be kept.

Seasonal trading strategy

I wasn’t paying attention last week and didn’t notice that daily MACD went positive on November 21st, so I was supposed to buy SCHA for the winter.  Oh well.  Not sure what to do now; I don’t really have enough money to place another bet, since so much is tied up in gold.  Might have to skip this for 2012 and try again next year.  Or, if the market falls back to the NO 21 price, perhaps buy with a limit-order.

Week of 2012 NO 23

Didn’t feel like writing a report this week.

US markets for were closed Thursday for Thanksgiving.

Friday’s allocations:

Daily % gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   IAU  AU14 │ +0.8  14  ? +1.0  14  +1.0  14  +1.1  14  │ +0.1 +0.1 UGLD  NO09 │ -0.5  14  ? -0.1  15  -0.1  15  +0.4  15  │ -1.3 -0.8 TZA  NO14 │ +0.2  15  -0.6  14  -0.6  14  -0.6  14  -0.6  0  │ -1.0 -1.0 TNA  NO21 │ -0.0  15  +0.5  15  │ -1.9 -0.7 SPY │ +8.7     ?     +10.9     +11.1         +12.6     │ me │ -4.9 ? -5.2 -5.1 -3.9 │ floor │ -7.5 ? -7.1 -8.9 -7.3 │

Monday: Didn’t feel like recording the daily values.

Friday: Daily values reconstructed after the fact.  This happened to have been a very good day (except for the failure to double up on TNA).

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		NO 14 11:00			$17.87			NO 19 10:00			$17.21	$17.17		-0.5%	-0.6%
TNA		NO 21 13:00			$52.74			(Not yet)
		NO 23 11:00	(Skipped)		$54.16

The robot once again mishandled the market closure, causing it to fail to rebuy at 11 AM on Friday.  By the time I noticed, it was too late to get that price.  Need to fix this.

Week of 2012 NO 16

Didn’t feel like writing a report this week.

Friday’s allocations:

Daily % gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   IAU  AU14 │ +1.0  14  +1.0  14  +0.9  14  +0.9  14  +0.8  14  +0.8  14  │ +0.1 +0.1 UGLD  NO09 │ -0.0  15  -0.1  15  -0.2  15  -0.2  15  -0.4  14  -0.5  14  │ -1.3 -1.3 SRTY  NO12 │ -0.1  15  +0.0  15  +0.9  16  +1.1  16  +1.1  15  │ -0.8 -0.4 TZA  NO14 │ +0.4  15  +0.6  15  +0.2  15  │ -1.1 -1.0 SPY │ +10.1     +10.2     +9.8     +8.3     +8.1     +8.7     │ me │ -5.6 -5.7 -5.7 -4.5 -4.4 -4.9 │ floor │ -7.6 -8.4 -8.1 -8.1 -9.1 -7.5 │

SRTY: A decent-sized win, which more than makes up for this week’s losses on gold.

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
SRTY		NO 12 12:00			$42.87			NO 15 14:00			$46.33			+1.1%
TZA		NO 14 11:00			$17.87			(Not yet)

The robot is functioning normally.