IWM rose by 3.6% this week, to its highest value ever. My account was unchanged. The loss-floor remains at -6.1%.
No trades for me this week.
End of week allocations:
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New double-TRIX trading model
There have been no changes to the robot’s trading models for eleven months (since “Week of 2012 AU 17”). Since that time, there have been about 60 trades but the value of my account has gone approximately nowhere. On June 24th, I went to a programmers’ meet-up and showed them some of the robot’s code. They were flabbergasted that I have continued to work on this thing for 2½ years even though it has never made any money. What kind of crazy crank must I be to do such a thing??? I decided to create a new model for next month’s meetup, perhaps one that would actually work for a change!
| Buy signal: |
When all are true:
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| Sell signal: |
When all are true:
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| Stop-price: |
If close > SMA(m):
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CHANDELIER(c,a) is a standard technical indicator that I haven’t used before. We call DONCHIAN(c,high) to find the ceiling, then “hang” our stop below that by subtracting a times ATR(c), the Average True Range for the period.
TLINE(t,slopelimit,peakdist,slop) is a new technical indicator I made up that is supposed to be a simplistic “trendline” generator. We process each period as follows:- If there is a trendline and high is below it, the trend continues. If trend÷high ≤ slop+1 then this is a possible subpeak; if more than peakdist periods have passed since the previous subpeak and/or the trendline-defining peak₁ or peak₂, then increment the number of subpeaks seen for this trend.
- If high > peak₁, this is our new high-point. It replaces peak₁ and there is no trendline.
- Otherwise, we have a new peak₂. Compute its slope (on a logarhythmic chart) as ⁱ√peak₂÷peak₁ where i is the number of periods that have elapsed since peak₁.
- If this “ith root” ≥ slopelimit, the trendline is not steep enough to be usable so high becomes our new peak₁ and there is no trendline.
- Otherwise, we rescan from peak₁ to count up the subpeaks for the new trendline.
- At the end of each period, if peak₁ was more than t periods ago then it is too old, so replace peak₁ with peak₂ and rescan for a new peak₂ and possible subpeaks.
Here are the parameter values for the first four trades:
| ATML (daily) |
FNSR (daily) |
IWM (daily) |
IWM (hourly) |
|
|---|---|---|---|---|
| TRIX(q) | 3 | 3 | 12 | 75 |
| TRIX(s) | 17 | 17 | 51 | 430 |
| SMA(m) | 230 | 260 | 130 | 580 |
| CHANDELIER(c⁺,a⁺) | 27, 5.0 | 25, 6.0 | 32, 3.7 | 290, 12.9 |
| CHANDELIER(c⁻,a⁻) | 23, 3.8 | 22, 3.8 | 23, 2.6 | 110, 12.1 |
| TLINE(t,slopelimit,peakdist,slop) | 23, 0.998, 2, 0.08 | 35, 0.995, 2, 0.08 | 56, 0.999, 2, 0.07 | 210, 0.9999, 3, 0.09 |
| numsubpeaks | 1 | 1 | 1 | 2 |
| Trade ticker | ATML | FNSR | UWM (2×) | URTY (3×) |
Currently, ATML does not have a “buy” signal but the other three do. Should I buy now, or wait for the next “sell” and then buy on the following “buy” signal? Usually I would wait, but Tim Knight wrote that he thinks the market is going much higher this summer, so I told my broker to buy FNSR, UWM, and URTY at Monday’s open.
| Ticker Symbol | Buy date | Buy price | Sell date | Sell price | Acct Profit | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Model | Actual | M | A | Model | Actual | M | A | M | A | ||||||
| FNSR | MA 29 09:30 | JL 15 09:30 | $12.81 | ??? | (Not yet) | ||||||||||
| UWM | JL 03 09:30 | JL 15 09:30 | $61.24 | ??? | (Not yet) | ||||||||||
| URTY | JL 01 11:00 | JL 15 09:30 | $55.03 | ??? | (Not yet) | ||||||||||
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