Week of 2013 DE 27

IWM rose by 1.5% to a new all-time high. My account rose 2.8% to its highest price since February.  The loss-floor has risen to -5.1%, its highest value since October.

Market news: The Santa Claus rally continues!  Markets were closed on Wednesday for Christmas Day.  Tuesday was a half day.

End-of-year report:  This is the last Friday of the year and the first time I have ever ended a year with a profit.  Unfortunately, my profit is a measly +0.8% while people who just bought IWM and held it all year got +39.5%.  My profit is smaller than the amount of money I took out to put food on the table for my family, so I end the year with less money than I had to start with.  Still, it’s progress.

End of week allocations: 131% long equities, 28% cash

% gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   FRED OC24 │ +0.5 10 +0.9 10 +1.0 10 +0.9 10 +1.0 10 │ -0.6 +0.1 FNSR DE05 │ +0.9 9 +1.0 9 +1.2 9 +2.0 9 +1.9 9 │ -0.8 -0.5 URTY DE13 │ +1.1 11 +1.5 12 +1.6 12 +1.7 12 +1.6 12 │ -0.4 +0.3 TNA DE16 │ +0.9 21 +1.7 22 +1.9 22 +2.0 22 +1.9 22 │ -0.9 +1.1 ATML DE18 │ +0.1 10 +0.3 10 +0.5 10 +0.5 10 +0.5 10 │ -0.8 -0.6 IWM │ +38.0 +39.1 +39.6 +39.6 +39.5 │ me │ -2.0 -0.1 +0.8 +0.7 +0.8 │ floor │ -8.9 -8.0 -6.7 -6.4 -5.1 │

Max-loss: It is nice to see all those positive values in the “End” column!  Even if everything I own stops out, I’ll still have a net profit from all these trades.

Stock-trading robot

No trades this week.  There were several attempts to buy YHOO and one attempt to buy AGQ, but my limit prices were not reached.  The robot will try again on Monday to buy AGQ.

Week of 2013 DE 20

IWM rose by 4.8%, for its biggest weekly gain since January and now at its highest price ever.  My account rose 2.8% for its biggest weekly gain since September of 2012 and now at its highest price since May 2013.  The loss-floor has fallen to -8.9%, its lowest value in five weeks.

US news: On Wednesday, outgoing Fed Chairman Bernanke announced that the Fed will taper its money-printing slightly, from $85 billion a month to $75 starting in January.

Market news: Looks like we have ourselves a Santa Claus rally!  If this continues next week as is typical, I will have had a profitable trading year for the first time ever.  Meanwhile, the buy-and-hold folks will be up 40% for this year.

End of week allocations: 125% long equities, 30% cash

% gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   FRED OC24 │ +0.2 10 +0.3 10 +0.2 10 +0.4 10 +0.3 10 +0.5 10 │ -0.6 -0.6 FNSR DE05 │ +0.4 8 +0.5 8 +0.7 9 +0.7 9 +0.8 9 +0.9 9 │ -0.8 -0.8 URTY DE13 │ +0.1 11 +0.5 11 +0.4 11 +0.9 11 +0.6 11 +1.1 11 │ -0.8 -0.4 TNA DE16 │ -0.0 10 -0.1 10 +0.3 11 +0.0 21 +0.9 21 │ -0.6 -0.9 ATML DE18 │ +0.0 10 +0.0 10 +0.1 10 │ -0.8 -0.8 IWM │ +33.3 +35.1 +34.9 +36.9 +35.7 +38.0 │ me │ -4.8 -4.3 -4.3 -3.2 -3.7 -2.0 │ floor │ -7.5 -7.6 -7.5 -8.3 -8.7 -8.9 │

URTY: Jumped above its 180-hour average on Monday, causing a sudden increase in my stop-price.

YHOO: Yet more attempts to buy this thing, but it never dips down to its 10-day moving average on a day when I have a “Buy” signal, so the purchase-attempts never succeed.  Oh well; I’m overweighted on equities anyway.

SCHA: First attempt at a non-robot trade in quite some time.  It seemed obvious that the market would dip on Thursday and that one should “buy the dip”, so I set my limit-price for a 38% retrace.  Well, IWM did indeed retrace on Thursday 38% of its rise from Wednesday’s lows to Wednesday’s highs, but SCHA (which is supposed to be roughly equivalent to IWM) didn’t quite get down that low, so no purchase.  Meanwhile, the robot bought more TNA on Thursday so it’s all good.

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
FRED		OC 18	OC 24 09:30		$16.11	$16.59		(Not yet)
FNSR		DE 05	DE 05 09:40		$20.54			(Not yet)
URTY		DE 13 11:00			$75.60	$75.66		(Not yet)
TNA		DE 16 14:00	DE 16 15:00		$68.86	$69.19		(Not yet)
		DE 19 11:00			$70.78	$70.85
ATML		DE 18	DE 18 09:30		$7.32			(Not yet)

TNA: Slight inaccuracy in Schwab’s real-time price-feed caused the robot to issue its buy-order slightly late on Monday.

ATML: Sold last Friday for $7.37, bought back this Wednesday for only $7.32!

Week of 2013 DE 13

IWM fell by 3.0%, for its biggest weekly drop since August. My account fell only 0.5% this week.  The loss-floor has risen to -7.5%.

End of week allocations:

% gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   FRED OC24 │ +0.3 10 +0.2 10 +0.1 10 +0.1 10 +0.2 10 +0.2 10 │ -0.6 -0.6 ATML NO15 │ +0.3 10 +0.2 10 +0.3 10 -0.2 10 +0.2 10 +0.2 10 │ -0.7 -0.6 URTY ¹ NO21 │ +0.3 11 +0.3 11 +0.3 11 +0.3 11 +0.3 11 +0.3 0 │ -0.6 -0.6 FNSR DE05 │ +0.4 8 +0.7 9 +0.3 8 +0.3 8 +0.3 8 +0.4 8 │ -0.8 -0.8 TNA DE06 │ -0.1 10 -0.2 10 -0.4 10 -0.5 10 -0.5 10 -0.5 10 │ -0.7 -0.5 SRTY ¹ DE11 │ +0.0 11 +0.0 11 +0.0 11 │ -0.8 -0.8 URTY ² DE13 │ +0.1 11 │ -0.6 -0.8 SRTY ² DE13 │ -0.1 10 │ -0.1 -0.1 IWM │ +36.3 +36.3 +35.1 +32.8 +33.1 +33.3 │ me │ -4.3 -4.1 -4.8 -5.0 -5.1 -4.8 │ floor │ -8.7 -8.7 -7.6 -8.4 -7.6 -7.5 │

Another “nothing” week.  My realized gains (the red and orange %gain numbers above) add up to just -0.1%.

On Wednesday, the broad market (IWM) fell 2.3%, but my account (me) fell only 0.2%!  I would have gained for the day if only SRTY ¹ had been purchased several hours earlier.  Its trading model needs more work.

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
FRED		OC 18	OC 24 09:30		$16.11	$16.59		(Not yet)
ATML		NO 14	NO 15 09:41		$7.19	$7.20		DE 13 09:30			$7.37			+0.20%	+0.19%
URTY ¹		NO 21 12:00			$78.74	$78.73		DE 10 11:00			$80.45	$81.01		+0.29%	+0.26%
FNSR		DE 05	DE 05 09:40		$20.54			(Not yet)
TNA		DE 06 12:00			$73.30			DE 11 10:00	DE 11 09:46		$69.92	$69.90		-0.50%
SRTY ¹		DE 11 14:00	DE 11 14:11		$12.59	$12.67		DE 12 10:00			$12.77	$12.76		+0.13%	+0.04%
URTY ²		DE 13 11:00			$75.60	$75.66		(Not yet)
SRTY ²		DE 13 13:00			$12.47			DE 13 14:00	DE 13 13:04		$12.44			-0.05%

FRED: This trade is getting very long in the tooth.  It hasn’t gone anywhere in almost two months!  But it’s not like there’s some better place I could park my money.

ATML: Fell 1.9% on Friday — *after* I sold it!  That would have eliminated all the profit I got.

TNA: Stopped out.

URTY: Sold it on Tuesday, bought it back on Friday for a better price!

SRTY ¹: Another Schwab hiccup.  Bought it manually.

SRTY ²: The trading model came up with a stop price that was ridiculously close to the purchase price (because trading had become stuck in a narrow range for many hours), so this one stopped out almost immediately.

Week of 2012 DE 06

IWM fell by 1.4%, as is usual for the week after Thanksgiving. My account fell 0.5% this week.  The loss-floor has fallen to -8.7%.

End of week allocations:

% gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   FRED OC24 │ +0.4 10 +0.3 10 +0.2 10 +0.2 10 +0.3 10 +0.3 10 │ -0.7 -0.6 ATML NO15 │ +0.6 10 +0.6 10 +0.5 10 -0.4 10 +0.4 10 +0.3 10 │ -0.8 -0.7 URTY NO21 │ +0.6 11 +0.3 11 +0.2 11 +0.1 11 +0.1 11 +0.3 11 │ -0.8 -0.6 UWM DE02 │ -0.2 10 -0.3 10 -0.4 10 -0.3 10 -0.1 10 │ -0.8 -0.7 FNSR DE05 │ +0.4 8 +0.4 8 │ -0.5 -0.8 TNA DE06 │ -0.1 10 │ -0.7 -0.7 IWM │ +37.7 +36.2 +35.5 +35.1 +35.2 +36.3 │ me │ -3.8 -4.3 -4.8 -5.0 -4.5 -4.3 │ floor │ -7.6 -7.9 -7.8 -7.8 -8.5 -8.7 │

RYOCX: This leftover position is so small that I generally treat it as part of “cash”.  On DE 02, I received a long-term capital gains distribution which increased my account by 0.04%, which I only noticed because it made the total size of the “allocations” pie chart add up to only 99.96%.  I adjusted the “cash” item to account for this additional money.

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
FRED		OC 18	OC 24 09:30		$16.11	$16.59		(Not yet)
ATML		NO 14	NO 15 09:41		$7.19	$7.20		(Not yet)
URTY		NO 21 12:00			$78.74	$78.73		(Not yet)
UWM		DE 02	DE 02 09:46		$81.67			DE 06 09:30			$80.75			-0.14%
FNSR		DE 05	DE 05 09:40		$20.54			(Not yet)
TNA		DE 06 12:00			$73.30			(Not yet)

UWM: Sold at Friday’s open.  Bought TNA hours later for a higher equivalent price (but the TNA trade is on an hourly “leash” while UWM was daily).

FNSR: Bought Thursday morning based on technical indicators as usual.  After Thursday’s close, FNSR announced quarterly results: 43¢ per share, beating estimates of 30¢.  The stock jumped!

YHOO: Multiple “Buy” signals this week, but price never got down to my limit.  Tim Knight thinks it will drop soon (because of a chart-pattern from eight years ago), but I will let my robot buy it if a suitable opportunity arises.

Week of 2013 NO 29

IWM rose by 2.2% this week; my account rose 1.0%.  The loss-floor has risen to -7.6%.

US markets were closed for Thanksgiving.  Friday was a half-day.

End of week allocations:

% gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   FRED OC24 │ +0.0 10 +0.2 10 +0.2 10 +0.3 10 +0.4 10 │ -1.0 -0.7 ATML NO15 │ +0.4 10 +0.4 10 -0.4 10 +0.6 10 +0.6 10 │ -1.0 -0.8 URTY NO21 │ +0.2 11 +0.2 11 +0.4 11 +0.6 11 +0.6 11 │ -1.2 -0.8 IWM │ +35.5 +35.7 +36.7 +37.8 +37.7 │ me │ -4.8 -4.6 -4.3 -3.8 -3.8 │ floor │ -8.5 -8.3 -7.9 -7.7 -7.6 │

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
FRED		OC 18	OC 24 09:30		$16.11	$16.59		(Not yet)
ATML		NO 14	NO 15 09:41		$7.19	$7.20		(Not yet)
URTY		NO 21 12:00			$78.74	$78.73		(Not yet)

YHOO: Another “Buy” signal detected for Friday, but YHOO never got down to my limit-price.  No signal for Monday.

UWM: A “Buy” signal was detected for Friday, but didn’t get down to my limit-price.  Try again on Monday.

Week of 2013 NO 22

IWM rose by 1.2% this week; my account rose 0.3%.  The loss-floor has risen to -8.5%.

End of week allocations:

% gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   FRED OC24 │ -0.2 9 -0.3 9 -0.3 9 -0.1 10 +0.1 10 +0.0 10 │ -1.0 -1.0 URTY¹  NO08 │ +0.4 11 -0.2 11 +0.3 11 +0.3 11 +0.3 11 +0.3 0 │ -0.8 -0.8 TNA NO11 │ +0.7 22 +0.3 22 +0.6 22 +0.6 22 +0.6 22 +0.6 0 │ -0.5 -0.6 ATML NO15 │ +0.1 10 +0.2 10 -0.1 10 +0.2 10 +0.3 10 +0.4 10 │ -1.1 -1.0 SRTY NO19 │ -0.1 11 -0.2 10 -0.2 10 -0.2 10 │ -0.6 -0.5 URTY²  NO21 │ +0.0 11 +0.2 11 │ -1.4 -1.2 IWM │ +34.3 +33.3 +32.5 +32.5 +34.9 +35.5 │ me │ -5.1 -5.6 -5.6 -5.3 -4.9 -4.8 │ floor │ -9.4 -9.4 -7.7 -7.4 -8.7 -8.5 │

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
FRED		OC 18	OC 24 09:30		$16.11	$16.59		(Not yet)
URTY¹		NO 08 13:00			$74.88	$74.95		NO 19 11:00			$77.75	$77.72		+0.35%	+0.34%
TNA		NO 11 12:00			$67.06	$66.94		NO 19 14:00	NO 19 11:00		$66.52	$69.12		-0.02%	+0.57%
		NO 13 11:00			$67.18	$67.19
ATML		NO 14	NO 15 09:41		$7.19	$7.20		(Not yet)
URTY²		NO 21 12:00			$78.74	$78.73		(Not yet)

URTY ¹: A good trade.  Timing was on the nose.  Actual prices were close to model prices.  Realized profit was extremely close to the predicted value.  The model correctly chose the high-of-the-day as its sell-time.

TNA: Lucky!  I got a “Pre-emptive sell” signal at 11am because Schwab showed a lower low than other sources.  This caused the robot to sell at what turned out to be nearly the high of the day.  However, after the daily replacement of Schwab data with barchart.com data, now the model says I should have waited three more hours until stopping out with a loss.
      There were repeated stop-update failures this week caused by Schwab taking over 8 seconds to provide its list of securities-already-owned.  This only seems to be happen with trades like TNA that have their stops updated at 10am instead of 4:20pm.  I haven’t done anything about it yet, but an obvious move would be to just lengthen the timeout and see if that helps.

URTY ²: After URTY¹ was sold, the market spent two days going down, then it recovered so the robot bought URTY².  As has been typical recently, the downturn was shallow and short-lived, so the robot ended up paying more to buy the thing back than had been received for its sale.  Oh well; it’s always something.  But this is probably a major part of the reason why my account always seems to go up less than the market does during bull runs but go down at least as much as the market during bear runs.

YHOO: “Buy” signal detected for Monday, but in recent times YHOO has been spending most days completely above the SMA(q) limit-price, so there’s a good chance that the purchase won’t go through.

Week of 2013 NO 15

IWM rose by 1.9% this week; my account rose 1.3%.  The loss-floor has fallen to -9.4%.

End of week allocations:

% gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   FRED OC24 │ -0.3 9 -0.3 10 -0.3 9 -0.4 9 -0.4 9 -0.2 9 │ -1.0 -1.0 URTY NO08 │ -0.0 11 -0.0 11 +0.0 11 +0.3 11 +0.3 11 +0.4 11 │ -0.8 -0.8 TNA NO11 │ -0.1 11 -0.0 11 +0.5 22 +0.5 22 +0.7 22 │ -0.7 -0.5 ATML NO15 │ +0.1 10 │ -1.1 -1.1 IWM │ +32.4 +32.4 +32.5 +34.1 +33.8 +34.3 │ me │ -6.4 -6.4 -6.4 -5.6 -5.7 -5.1 │ floor │ -7.8 -8.5 -8.4 -9.0 -8.3 -9.4 │

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
FRED		OC 18	OC 24 09:30		$16.11	$16.59		(Not yet)
URTY		NO 08 13:00			$74.88	$74.95		(Not yet)
TNA		NO 11 12:00			$67.06	$66.94		(Not yet)
		NO 13 11:00			$67.18	$67.19
ATML		NO 14	NO 15 09:41		$7.19	$7.20		(Not yet)

TNA: The purchase of the second tranche on Wednesday looks to have been well-timed!

ATML: Another buy-failure on Wednesday — price too high all day.  On Thursday, the official low of the day was my limit-price ($7.19), but my order did not go through.  Retry on Friday using Thursday’s SMA(q) = $7.20.  Success!

Week of 2013 NO 08

IWM rose by 0.7% this week; my account fell 1.4%, matching its all-time low on AU 09.  The loss-floor has risen to -7.8%.  Once again we see that my trading algorithm has a nasty habit of rising slower than the broad market but falling faster.

Euro news: On Thursday, the European Central Bank unexpectedly cut its interest rate in half, to 0.25%.  Naturally, this caused the herd to shift some of its assets from EUR to USD, and so the relative value of the dollar rose sharply.  Bizarrely, the US market briefly rose to a new all-time high before plummeting as one would expect (the dollar rose, so the value in dollars of each stock share should fall).

US news: On Friday, the US Federal Reserve bought up $5 billion in Treasuries, its largest POMO purchase in quite some time.  It seems the sellers of those bonds then used the newly-printed cash to buy stock, causing the market to recover all its losses from Thursday.

End of week allocations:

% gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   URTY ⁰ OC17 │ +0.2 11 +0.2 11 +0.2 0 │ UWM OC24 │ -0.4 10 -0.2 10 -0.2 10 -0.3 10 -0.7 10 -0.7 10 │ -0.6 -0.7 FRED OC24 │ -0.3 9 -0.1 10 -0.2 9 -0.2 9 -0.3 9 -0.3 9 │ -1.0 -1.0 AGQ OC25 │ -0.4 10 -0.4 10 -0.4 10 -0.4 0 │ FNSR ² OC30 │ -0.4 11 -0.4 11 -0.4 0 │ TZA OC30 │ +0.4 11 +0.1 11 +0.1 11 +0.1 11 +0.1 0 │ -0.4 -0.4 YHOO OC31 │ -0.0 6 -0.0 6 -0.1 6 -0.0 6 -0.0 6 -0.0 6 │ -0.5 -0.5 FNSR ³ NO01 │ -0.1 9 -0.1 9 +0.2 9 +0.1 9 -0.1 9 -0.1 9 │ -0.7 -0.7 SRTY ¹ NO01 │ -0.2 10 -0.4 10 -0.4 10 -0.4 10 -0.4 0 │ -0.7 -0.7 URTY ¹ NO04 │ +0.1 11 -0.0 11 -0.2 10 -0.4 10 -0.4 10 │ -0.9 -0.9 SRTY ² NO07 │ +0.2 10 +0.0 10 │ -0.6 -0.6 URTY ² NO08 │ -0.0 11 │ -1.3 -0.8 Avail. cash │ 4 -7 13 13 33 23 │ IWM │ +31.7 +33.2 +32.7 +32.2 +30.0 +32.4 │ me │ -5.0 -5.1 -5.1 -5.5 -6.2 -6.4 │ floor │ -8.5 -8.5 -8.5 -8.1 -8.3 -7.8 │

URTY ¹: Bought with “unsettled funds” because half my money was tied up in already-sold positions (the position-size superscripts for Monday add up to 97%, plus there’s the 10% of money that I took out).  The unsettled-funds rule doesn’t seem to be very strictly enforced, but officially I was supposed to be promising to hold URTY ¹ until at least Tuesday (when URTY ⁰ and FNSR ² settled) but I actually held it until Thursday so no problem.

URTY ²: Price was below SMA(s) when I bought it (hence low stop-price), but closed above that cutoff so the end-of-day update raised the stop considerably.  If Monday is bearish then the stop will go back down.

Stock-trading robot

ATML: No trade.  Indicators were favourable for Tuesday, but price never got down to my SMA(q) limit and so the order expired unfilled.  For Wednesday, indicators were no longer favourable.

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Acct Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
UWM		OC 23	OC 24 09:30		$78.25	$78.07		NO 07	NO 07 15:31		$73.23	$73.22		-0.59%	-0.65%
FRED		OC 18	OC 24 09:30		$16.11	$16.59		(Not yet)
TZA		OC 30 12:00	OC 30 12:35		$20.20	$20.19		NO 04 14:00			$20.42			+0.12%	+0.08%
YHOO		OC 31 09:30			$32.43	$33.07		NO 06 09:30			$33.07			+0.10%	-0.03%
FNSR ³		NO 01 09:30			$22.97			NO 08 09:30			$22.70			-0.13%
SRTY ¹		NO 01 13:00			$13.45			NO 04 10:00	NO 04 12:33		$13.16	$12.95		-0.27%	-0.40%
URTY ¹		NO 04 12:00	NO 04 12:07		$75.94	$75.80		NO 07 11:00			$73.14	$72.91		-0.40%	-0.41%
SRTY ²		NO 07 13:00			$13.44			NO 08 10:00			$13.56	$13.51		+0.10%	+0.02%
URTY ²		NO 08 13:00			$74.88	$74.95		(Not yet)

UWM: Stopped out.  Nicked my stop-price, spent ½ hour below it, then zoomed back up.  Sigh.

FNSR ³: A perfect trade, for a change!

SRTY ¹: Another fumbled trade.  It seems Schwab runs much slower when the market is falling rapidly, increasing the likelihood that the robot’s orders will time out instead of going through.  I didn’t notice for a while so my sale was quite late and I lost 0.1% more than expected.

SRTY ²: Trade went through nearly perfectly, yet still I made 0.1% less than expected — presumably due to some leverage effect.

TRIX-based trading model

Results haven’t been so hot recently, so let’s review prior results for the July‥October period.  (The new TRIX-based model went into production on JL 15.)

Actual		│	Model …
	2013	│	2013	2012	2011	2010	2009	Avg		2008	2007	2006	2005	2004	Avg
AGQ	+1.7%	│	+1.9%	+3.7%	-0.7%	+5.1%	+7.1%	+3.4%		-1.2%	+1.8%	N/A	N/A	N/A	+0.3%
ATML	+0.1%	│	-0.5%	-2.8%	-0.9%	+2.4%	+0.2%	-0.3%		-1.4%	+0.4%	-1.5%	-0.9%	-0.5%	-0.7%
FNSR	-2.0%	│	-0.9%	-1.7%	+1.1%	-1.0%	+6.3%	+0.8%		+1.0%	-1.3%	+2.0%	+0.9%	-1.7%	+0.2%
FRED	-0.2%	│	+1.0%	-2.7%	+0.6%	+1.2%	-0.1%	-0.0%		+2.8%	-0.5%	-0.3%	+1.9%	+0.6%	+0.9%
SCHH	+0.0%	│	+0.0%	-0.4%	+0.5%	+0.3%	+0.2%	+0.1%		-0.6%	+0.5%	+0.7%	+0.2%	N/A	+0.2%
URTY	+1.5%	│	+3.3%	+2.1%	+7.9%	+4.2%	+7.6%	+5.0%		+1.2%	+0.7%	+2.7%	-1.3%	-1.1%	+0.4%
UWM	-0.3%	│	+0.7%	+0.4%	+1.6%	+1.1%	+1.4%	+1.0%		-0.4%	-0.3%	+0.5%	+0.3%	+0.0%	+0.0%
YHOO	+0.1%	│	-0.2%	+0.6%	+1.2%	+1.4%	+3.3%	+1.3%		-2.0%	+3.4%	-0.1%	+1.4%	+1.0%	+0.7%
total	+0.9%	│	+5.3%	-0.8%	+11.3%	+14.7%	+26.0%	+11.3%		-0.6%	+4.7%	+4.3%	+2.8%	-1.2%	+2.0%

AGQ: Profits calculated using SLV and then doubled.  Data for SLV goes back only to 2006 or so.  Nasty stopout-with-slippage on AU 30 cost me 0.2% more than predicted.  Otherwise these trades went as per model.

ATML: Robot error in my favour gave me extra profit this year.  Also, the model’s new buy-limit rule was unfavourable this year but wasn’t in actual use for most of the period.  Maybe should have a “sell in May and go away” rule for ATML?

FNSR: Was supposed to buy MA 29, but actually bought JL 15 (so got 0.8% less gain for the period).  Half the years have losses during this 4-month period.

FRED: Was supposed to buy JA 30, making +1.0% for JL and AU, but I didn’t actually do that.  Was supposed to buy again on OC 18 but didn’t actually get started trading this thing until OC 24.

SCHH: No trades this year; results seem within range.  Past years calculated using VNQ since SCHH is so new.  No 2004 data for VNQ.

URTY: Was supposed to buy JN 25 but actually bought JL 15, so got 2.0% less profit than the model predicted for the period.  Otherwise these trades generally went as per model.

UWM: Was supposed to buy JL 03 but actually bought JL 15, so got 1.0% less profit than the model predicted.

YHOO: The new buy-limit rule was unfavourable this year but wasn’t actually in use (so avoided a loss of 0.4%).

total: Use the “Avg” value to fill in for N/A.

Overall summary: As usual, I installed this new model just as the market was turning unfavourable for it.  I just need to keep the robot going until the next favourable period.

MACD-based trading model

Actual		│	Model …
	2013	│	2013	2012	2011	2010	2009	Avg		2008	2007	2006	2005	2004	Avg
SRTY	+0.2%	│	-0.4%	-0.3%	+6.7%	+0.6%	+1.9%	+1.7%		+12.0%	-1.7%	-1.3%	+1.1%	-1.9%	+1.6%

SRTY: This model only does well during years that have bear-market 20% corrections, of which there have been remarkably few during the Bernanke era.  During the period, I switched SRTY over to a TRIX-based model which didn’t work very well so I switched it back; also, due to robot issues there were several loser trades that didn’t go through.  As a result, the “actual” and ”model” results for July‥October 2013 aren’t really comparable.

PPO-based trading model

This model was retuned on AU 01, but that turned out not to have any effect on the trades during the period.

Actual		│	Model …
	2013	│	2013	2012	2011	2010	2009	Avg		2008	2007	2006	2005	2004	Avg
TNA	-0.2%	│	-0.1%	-1.8%	+1.2%	+4.5%	+9.0%	+2.6%		+2.4%	+2.1%	-2.9%	-0.3%	+1.9%	+0.6%
TZA	-0.3%	│	-0.6%	-0.5%	+13.4%	+0.0%	+0.0%	+2.5%		+16.4%	+0.0%	-1.3%	+0.0%	-0.0%	+3.0%

TNA: Trades went as expected.  Difference in outcome is due to round-off error and/or leverage effects.

TZA: There was only one trade during the period, which ended with a stop-out.  The model watches IWM and then multiplies profit by 3, but leverage effects caused me to do much better than predicted.