Tuesday 29 January 2013

Week of 2013 JA 25

IWM rose 1.7% this week, to its highest value ever, while my account fell by 0.2%.  The loss-floor is unchanged at +1.0%.

US markets were closed on Monday for Martin Luther King’s birthday.

End of week allocations:
Daily % gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
IAU  AU14 +0.9  18  +0.9  18  +0.9  18  +0.8  18  +0.6  18  +0.1 +0.1
IWM +7.3         +8.1     +7.8     +8.2     +9.0    
me +1.6 +1.7 +1.7 +1.5 +1.4
floor +1.0 +1.0 +1.0 +1.0 +1.0

Stock-trading robot

No activity this week.

It has become apparent that the sale of URTY on January 2nd was the wrong move.  The robot did this because the market had a huge uptick and the URTY trading model says “sell on a big jump” in case it is an exhaustion gap.  But it wasn’t one in this case.  If I had not sold on January 2nd, or 3rd, or 4th, then I would still be holding it today and the stop price would by now be above the price I sold it for.  Oh well.  It’s all probabilities.  I am not changing the trading model based on this one mishap.

Friday 18 January 2013

Week of 2013 JA 18

IWM rose 1.5% this week, to its highest value ever, while my account rose by 0.2%.  The loss-floor is unchanged at +1.0%.

US news: President Obama will re-take his oath of office on Sunday.  The re-inauguration party is on Monday.  Politically, it’s “all downhill from here” and the same might be true of the stock market as well.

End of week allocations:
Daily % gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
IAU  AU14 +0.6  18  +0.7  18  +0.8  18  +0.8  18  +0.9  18  +0.9  18  +0.1 +0.1
IWM +5.8     +5.9     +6.3     +6.0     +7.0     +7.3    
me +1.4 +1.5 +1.6 +1.6 +1.7 +1.6
floor +1.0 +1.0 +1.0 +1.0 +1.0 +1.0

Stock-trading robot

No activity this week.

Monday 14 January 2013

Week of 2013 JA 11

IWM rose 0.1% this week, while my account fell by 0.2%. The loss-floor fell to +1.0%.

IAU: The price of gold did not move much this week.  No one seems to know why — just mutterings about a “rigged market”.  When is the market ever *not* rigged?

End of week allocations:
Daily % gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
IAU  AU14 +0.6  17  +0.5  17  +0.6  18  +0.6  18  +0.7  18  +0.6  18  +0.1 +0.1
SRTY ¹  JA07 -0.1  19  -0.1  19  -0.1  19  -0.1  0  -0.5 -0.5
SRTY ²  JA08 -0.2  19  -0.2  19  -0.2  19  -0.2  0  -0.5 -0.5
IWM +5.7     +5.3     +5.2     +5.7     +6.0     +5.8    
me +1.6 +1.4 +1.3 +1.4 +1.5 +1.4
floor +1.3 +1.2 +1.0 +1.0 +1.0 +1.0

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
SRTY ¹ JA 07 14:00 $30.77 JA 07 15:00 $30.61 -0.1%
SRTY ² JA 08 13:00 $30.97 $30.98 JA 08 14:00 $30.75 -0.2%

The robot worked correctly this week; unfortunately both trades were abortive attempts to ride a downbound train that didn’t actually leave the station.  Oh well; small losses cannot be helped.

Saturday 5 January 2013

Week of 2013 JA 04

Happy New Year!  I have reset the “starting account balance”, which has had a big effect because 25% of the money was withdrawn last year.  Although last week’s final balance was -5.4%, the new chart at right shows +7.4% for the beginning of last year (¼ of money was withdrawn, so ¾ remains, so all percentage changes are now ⁴⁄₃ as large as before).  This week, my account rose from 0.0% (new reference for end of last year) to +1.6%.

Instead of SPY, which isn’t such a good reference since I almost always trade small-caps, I am now using IWM (and it is now shown in blue).  The broad market did very well this week, rising from 0.0% (new reference for end of last year) to +5.7%.  That’s a huge gain for one week!  Hopefully it will retrace soon.

The loss-floor rose to +1.3% this week, which is very good news!  At no time last year did it ever rise above zero.  Last week’s value has been recalibrated to -2.2%, but it’s too difficult to figure out what the preceding values should have been so I’ve restarted the loss-floor line on the chart.

US Market news:  The “fiscal cliff” has been postponed for two months!  The day is saved by politicians in Washington!  Yeah, right.  Can you say “run the printing presses day and night for the next two months”, boys and girls?  I knew you could!

On Tuesday, markets were closed for New Year’s Day.

In the table below, gains and position sizes have been recalculated based on the new starting balance (so IAU is now 17% of account instead of 13% and its last-Friday gain was +0.6% instead of +0.4%).

End of week allocations:
Daily % gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
IAU  AU14 +0.6  18  +0.7  18  +0.9  18  +0.6  18  +0.6  17  +0.1 +0.1
TZA  DE26 +0.5  20  -0.5  19  -0.5  19  -0.5  19  -0.5  0  -0.9 -0.5
URTY ¹  DE27 -0.1  20  -0.1  20  -0.1  0 
URTY ²  DE28 -0.2  20  +1.1  21  +2.6  22  +2.6  22  +2.6  22  -0.5 -0.7
IWM 0.0     +2.2         +5.2     +4.9     +5.7    
me 0.0 +0.4 +2.0 +1.7 +1.6
floor -2.2 -1.8 +1.3 +1.3 +1.3

URTY ²: Max-loss went down on Wednesday, which isn’t normally supposed to happen.  Presumably due to wobble in the IWM/URTY ratio?  Market volume was very high that day due to after-effects of the “fiscal cliff”.

Stock-trading robot

I have adjusted the robot’s archival price-data to reflect the IWM dividends that were paid in September (33¢) and December (76¢).  The December dividend was huge and I think that explains why the stop-price calculation for URTY ¹ was so wrong.  The robot’s indicator values are now much closer to those from stockcharts.com (e.g., they now agree that TZA should have been bought on DE 27 rather than DE 26), but still a bit different: robot says that TZA should have been bought at 11am while stockcharts.com says 12pm.

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
TZA DE 27 11:00 DE 26 11:00 $14.25 $13.98 DE 31 15:00 DE 31 14:57 $13.70 $13.66 -0.8% -0.5%
URTY ¹ DE 27 11:00 DE 27 14:00 $68.07 $66.53 (Do not sell) DE 27 14:06 $66.14 +2.3% +2.4%
URTY ² (Do not buy) DE 28 10:15 $67.59 JA 02 13:00 $76.41

TZA: Revised buy-date and buy-price for new model-data.  This trade stopped out at 14:57, which the robot noticed at 15:00.

URTY: Revised buy-date and buy-price, which happened to be markedly worse than under the old model.  Even with the erroneous stop-price and rebuy, I still ended up making slightly more than the model predicted!