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  I have reset the “starting account balance”, which has had a big effect because 25% of the money was withdrawn last year.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last week’s final balance was -5.4%, the new chart at right shows +7.4% for the beginning of last year (¼ of money was withdrawn, so ¾ remains, so all percentage changes are now ⁴⁄₃ as large as before).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
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 (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 says 12pm.

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!

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