IWM rose by 1.3% this
week. My account rose 0.1%. The loss-floor has fallen to -9.9%.
End of week allocations:
|
| % gain | │ | Max loss |
|---|
| Sym |
Buy |
│ |
Fri |
Mon |
Tue |
Wed |
Thu |
Fri |
│ |
Beg |
|
End |
|
| UWM |
JL15 |
│ |
+0.2 |
10 |
+0.0 |
10 |
+0.1 |
10 |
+0.1 |
10 |
+0.3 |
10 |
+0.4 |
10 |
│ |
-0.5 |
|
-0.4 |
| URTY ¹ |
JL15 |
│ |
+0.3 |
10 |
+0.1 |
10 |
+0.1 |
10 |
+0.1 |
10 |
+0.1 |
0 |
|
|
│ |
-0.8 |
|
-0.8 |
| AGQ |
JL23 |
│ |
-0.2 |
9 |
-0.4 |
9 |
-0.5 |
9 |
-0.7 |
9 |
-0.7 |
9 |
-0.7 |
9 |
│ |
-0.8 |
|
-0.7 |
| YHOO |
JL25 |
│ |
+0.1 |
11 |
+0.0 |
11 |
+0.1 |
11 |
+0.1 |
11 |
+0.1 |
11 |
-0.1 |
11 |
│ |
-0.7 |
|
-0.6 |
| URTY ² |
JL31 |
│ |
|
|
|
|
|
|
-0.3 |
20 |
+0.5 |
21 |
+0.6 |
21 |
│ |
-2.2 |
|
-2.0 |
| TNA |
JL31 |
│ |
|
|
|
|
|
|
-0.3 |
10 |
+0.1 |
10 |
+0.1 |
10 |
│ |
-0.5 |
|
-0.5 |
|
| IWM |
|
│ |
+26.2 |
|
+25.3 |
|
+25.4 |
|
+25.6 |
|
+27.3 |
|
+27.5 |
|
│ |
| me |
|
│ |
-5.5 |
|
-6.1 |
|
-6.1 |
|
-6.9 |
|
-5.4 |
|
-5.4 |
|
│ |
| floor |
|
│ |
-8.5 |
|
-7.6 |
|
-7.5 |
|
-10.0 |
|
-10.1 |
|
-9.9 |
|
│ |
|
URTY ¹: Another completed trade using the new trading model!
Minimal profit, and bought it back two days later for more money, so not the
best move.
AGQ: Another completed trade. Not a huge loss, but it ate up
all of this week’s profits from the other tickers.
PPO-based swing trades
Retuned using the new archival data. Yellow below indicates changes from
the table given on 2012 JL 20.
| Bull swing (TNA) |
Bear swing (TZA) |
|
| Buy signal: |
|
- Time = 11am–3pm, on the hour
- PEAKFREQ(140,8) ≤ 11
- TRIX(8,2) > 0
- This hour’s price > 99.9% of previous hour’s price
- This hour’s price > stop
- This hour’s price ≥ SMA(1)
- This hour’s price > max of preceding 23 hourly prices
- PPO(8,73,1) < +1.6
- PPO(8,73,12) > +0.16
- PPO(8,73,12) has gone below -0.41 since last sale
- STDDEV(81) < its EMA(8)
|
- Time = 10am–3pm, on the hour
- PEAKFREQ(140,8) ≤ 10
- TRIX(24,2) < 0
- This hour’s price < 100.1% of previous hour’s price
- This hour’s price < stop
- This hour’s price ≤ SMA(74)
- This hour’s price < min of preceding 33 hourly prices
- PPO(10,60,1) > -1.8
- PPO(10,60,8) < -0.05
- PPO(10,60,8) has gone above +0.15 since last sale
- STDDEV(33) < its EMA(4)
|
|
| Alternate buy signal: |
|
| (None) |
- Time = 10am–3pm, on the hour
- This hour’s price < SMA(74)
- This hour’s PPO(10,60,8) minus its value from 20 hours ago < -1.55
- It has been at least 2 hours since last sale.
|
|
| Buy-more signal: |
|
- Time = 10am–4pm, on the hour
- Either
- PPO(8,73,12) has risen by at least 0.001 during each of the last two hours
- PPO(8,73,12) has changed by less than ±0.001 during the last hour and rose by at least 0.001 during each of the preceding two hours
- PPO(8,73,12) fell by at least 0.001 during the two hours before that.
- STDDEV(81) < its EMA(8)
- Have bought no more than 1 tranche so far
- If signal received at 10am or 4pm, postpone purchase to 11am
|
- Time = 10am–4pm, on the hour
- Either
- PPO(10,60,8) has fallen by at least 0.015 during each of the last two hours
- PPO(10,60,8) has changed by less than ±0.015 during the last hour and fell by at least 0.015 during each of the preceding two hours
- PPO(10,60,8) rose by at least 0.015 during the two hours before that.
- STDDEV(33) < its EMA(4)
- Have bought 3 or fewer tranches so far
- If signal received at 4pm, postpone purchase to 10am 10am or
|
|
| Sell signal: |
|
- Time = 11am–3pm, on the hour
- 99.9% of this hour’s price < previous hour’s price
- This hour’s PPO(8,73,12) < -0.41
- PPO(8,73,12) has gone above +0.16 since original purchase
|
- Time = 10am–3pm, on the hour
- 100.1% of this hour’s price > previous hour’s price
- This hour’s PPO(10,60,8) > +0.15
- PPO(10,60,8) has gone below -0.05 since original purchase
|
|
| Alternate sell signal: |
|
- Time = 11am–3pm, on the hour
- This hour’s PPO(8,73,12) minus its value from 20 hours ago < -2.95
- It has been at least 0 hours since last purchase.
|
- Time = 10am–3pm, on the hour
- This hour’s PPO(10,60,8) minus its value from 20 hours ago > +1.3
- It has been at least 2 hours since last purchase.
|
|
| Stop update: |
|
- Time = 10am
- Calculate new stop = lowest price seen in preceding 22 hours.
- Raise new stop to 0% of the highest price seen in preceding 22 hours, if less than that
- If I don’t currently own TNA, replace stop with the newly-calculated value. Otherwise:
- Discard new stop (and keep the old one) if the new value is lower
- Sell now if lowest price of last 22 hours occurred during the last hour
- Otherwise, convert the IWM-based stop to the corresponding TNA price and update the standing stop-order at Schwab
|
- Time = 10am
- Calculate new stop = highest price seen in preceding 22 hours.
- Lower new stop to 105.5% of the lowest price seen in preceding 22 hours, if greater than that
- If I don’t currently own TZA, replace stop with the newly-calculated value. Otherwise:
- Discard new stop (and keep the old one) if the new value is higher
- Sell now if highest price of last 22 hours occurred during the last hour
- Otherwise, convert the IWM-based stop to the corresponding TZA price and update the standing stop-order at Schwab
|
For TNA, some of these revised parameter values cause the
corresponding feature to be disabled. SMA(1) is always equal
to the current price, so this clause will never block a purchase. This
hour’s PPO(8,73,12) minus its value from 20 hours ago must be > 99, which
disables the alternate-buy rule. The stop is raised only if it is 0%
of the price, which disables the trailing-stop element of the rule.
Below is a comparison of the old and new parameter-sets. The old
parameter-set was tuned on 2008‥2011, while the new one was tuned on
2002‥2011. The “All” column assumes that I invest 300% of my money
in
IWM, while the two “
TNA” columns assume that I invest
30% of my money in
IWM (but actually 10% in
TNA), while
the “
TZA” columns assume that I hold a 30% short position
in
IWM (but actually I will go 10% long
TZA).
|
|
|
|
TNA |
|
TZA |
|
|
All |
|
old |
new |
|
old |
new |
| 2003 |
|
135% |
|
1.6% |
6.6% |
|
-0.2% |
0.5% |
| 2004 |
|
51% |
|
5.0% |
7.0% |
|
-1.6% |
0.7% |
| 2005 |
|
9% |
|
0.7% |
-1.7% |
|
0.1% |
0.2% |
| 2006 |
|
51% |
|
-1.5% |
-3.2% |
|
-3.2% |
-1.3% |
| 2007 |
|
-6% |
|
-1.1% |
0.8% |
|
-3.6% |
-0.2% |
| 2008 |
|
-114% |
|
10.5% |
8.5% |
|
20.5% |
24.9% |
| 2009 |
|
99% |
|
4.1% |
14.9% |
|
2.7% |
1.6% |
| 2010 |
|
69% |
|
11.6% |
9.6% |
|
8.1% |
5.6% |
| 2011 |
|
18% |
|
8.0% |
8.4% |
|
15.3% |
13.2% |
| 2012 |
|
36% |
|
2.6% |
-2.0% |
|
-3.1% |
-0.9% |
|
| TOTAL |
|
351% |
|
41.9% |
52.4% |
|
35.5% |
44.7% |
Note that both old and new tunings for both tickers show multi-year periods
of losess! The new
TNA model would not have done well in either
2005 or 2006, while the new
TZA model would have done badly in 2006
and 2007. Also note that both retuned models show losses for 2012.
Gold trading
Still no “Buy” signal. Weekly MACD(14,25,9) = -0.01, but I want to see a
positive value. Keep waiting.
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 |
|---|
|
| UWM |
|
JL 05 09:30 |
JL 15 09:30 |
|
$63.31 |
$67.95 |
|
(Not yet) |
|
|
|
|
|
|
|
| URTY ¹ |
|
JN 25 10:00 |
JL 15 09:30 |
|
$50.02 |
$63.70 |
|
JL 29 13:00 |
|
$64.50 |
$64.55 |
|
+2.6% |
+0.1% |
|
| AGQ |
|
JL 23 09:30 |
|
$18.08 |
|
JL 23 16:00 |
JL 23 10:54 |
|
$16.68 |
|
-0.79% |
-0.72% |
|
| YHOO |
|
JL 25 09:30 |
|
$27.73 |
|
(Not yet) |
|
|
|
|
|
|
|
| URTY ² |
|
JL 31 11:00 |
JL 31 11:34 |
|
$65.97 |
$65.61 |
|
(Not yet) |
|
|
|
|
|
|
|
| TNA |
|
JL 31 15:00 |
|
$59.39 |
$59.40 |
|
(Not yet) |
|
|
|
|
|
|
URTY ¹: Once again, got very little profit because I was
very late to a trade-already-in-progress. Still, got a profit!
AGQ: Stopped out. Robot functioned properly, but this trade happened to
be a loser.
URTY ²: Robot purchase didn’t work, due to bugs in the
debugging code I inserted to try to deal with SRTY trades. By the
time I bought manually, it was ½ hour later and prices had conveniently
fallen. Unfortunately, I bought twice as much as intended because the
tranche-size was still set to 20% of account, even though I have started
using 10% tranches recently.
