Tuesday, 20 August 2013

Week of 2013 AU 16

IWM fell by 2.9% this week, while my account rose 2.2%.  The loss-floor has risen to -6.1%, which is higher than last week’s value for my account, so I’ve actually made a profit and taken some of it off the betting table!

End of week allocations:
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
UWM JL15 +0.1  10  +0.2  10  +0.2  10  +0.1  10  -0.2  9  -0.3  9  -0.3 -0.3
YHOO JL25 -0.1  11  +0.2  11  +0.2  11  +0.1  11  +0.0  11  +0.0  11  -0.5 -0.5
FNSR AU08 -0.2  13  -0.2  13  -0.4  12  -0.4  12  -0.4  12  -0.4  12  -1.9 -1.9
AGQ AU09 +0.1  10  +0.9  11  +1.0  11  +1.4  11  +2.5  12  +2.7  13  -0.7 +1.5
URTY AU09 -0.0  11  +0.1  11  +0.1  11  +0.0  11  +0.0  11  +0.0  11  -1.0 -1.0
ATML AU13 +0.3  10  +0.1  10  +0.0  10  +0.1  10  -0.7 -0.7
SRTY AU15 +0.1  11  +0.1  11  -0.3 -0.3
IWM +26.1     +26.7     +26.6     +26.1     +23.7     +23.2    
me -6.4 -5.1 -5.0 -5.1 -4.4 -4.2
floor -10.8 -10.9 -10.7 -8.2 -6.7 -6.1

AGQ: Doing great!  Clearly my best performer so far using the new system.  “Max loss” is now above zero, meaning that some of the profit has already been taken off the betting table.
      The stop price for Tuesday night was too low.  Problem was that the CHANDELIER function uses a Donchian channel, which waits an extra day before recognizing a new peak.  Fixed to use the new peak immediately if it exceeds the Donchian channel.

Gold trading

Still have a “Buy” signal!  But I still haven’t bought it.  Seems less urgent since AGQ is silver so I already have a precious-metals allocation.

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)
YHOO JL 25 09:30 $27.73 AU 15 09:30 $27.83 +0.0%
FNSR AU 08 09:30 $22.10 AU 14 09:30 $21.49 -0.30% -0.37%
AGQ AU 09 09:30 $18.07 (Not yet)
URTY AU 09 11:00 $65.63 $65.60 AU 14 14:00 $66.03 $65.87 +0.01%
ATML AU 13 09:30 $7.53 (Not yet)
SRTY AU 15 10:00 $16.51 AU 16 10:00 AU 16 10:33 $16.76 $16.74 +0.25% +0.11%

YHOO: Correct robot operation, but this trade happened not to make any profit.

FNSR: The loss was slightly larger than expected because the trade size was 13% of account instead of 10% (in order to make the trade size be a whole multiple of 100 shares).
      Robot said “sell” Tuesday night, then “adjSx” for Wednesday night even though I didn’t own it any more.  Problem was that the stop-update code uses only the latest day as the test period and the code for handling trades straddling the beginning of test period was interfering with the “retest after 3 days” rule.  Fixed.

URTY: Correct robot operation.  Due to leverage, profit “should have been” larger than expected, but I didn’t get a good sale price so I ended up getting exactly as little profit as the model called for.

SRTY: Robot got confused because IWM gapped below its 220-hour moving average from Wednesday night to Thursday morning.  On Friday morning it thought the position had stopped out, so I sold manually.  Robot needs more work on dealing with what happens when the stop-régime suddenly flips like this.

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