Friday, 2 August 2013

Week of 2013 AU 02

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
size
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 dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual 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.

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