IWM rose by 2.2% this
week, while my account rose 1.1%.
The loss-floor has risen to -5.6%.
US market news: On Wednesday, Federal Reserve chairman Bernanke
announced that he was not ready to “taper” off the $85 billion of
newly-printed money going into the stock market each month. This is
effectively an admission that the US economy is not doing well and needs
continued life-support to prevent the lifestyles of the rich and famous from
collapsing along with everyone else’s. Markets jumped on the news, but
there will probably be a major correction soon.
End of week allocations:
|
| % gain | │ | Max loss |
|---|
| Sym |
Buy |
│ |
Fri |
Mon |
Tue |
Wed |
Thu |
Fri |
│ |
Beg |
|
End |
|
| ATML |
AU29 |
│ |
+0.3 |
10 |
+0.4 |
10 |
+0.6 |
10 |
+0.6 |
10 |
+0.5 |
10 |
+0.4 |
10 |
│ |
+0.0 |
|
+0.4 |
| URTY |
SE04 |
│ |
+0.9 |
11 |
+1.0 |
11 |
+1.3 |
12 |
+1.6 |
12 |
+1.6 |
12 |
+1.5 |
12 |
│ |
-0.4 |
|
+0.2 |
| FNSR |
SE10 |
│ |
-0.1 |
9 |
-0.1 |
9 |
+0.0 |
9 |
+0.1 |
9 |
+0.0 |
9 |
+0.0 |
9 |
│ |
-1.1 |
|
-1.0 |
| UWM |
SE13 |
│ |
+0.0 |
10 |
+0.0 |
10 |
+0.2 |
10 |
+0.4 |
11 |
+0.4 |
11 |
+0.3 |
11 |
│ |
-0.7 |
|
-0.3 |
|
| IWM |
|
│ |
+27.0 |
|
+27.3 |
|
+28.5 |
|
+29.8 |
|
+29.6 |
|
+29.2 |
|
│ |
| me |
|
│ |
-3.9 |
|
-3.7 |
|
-2.8 |
|
-2.1 |
|
-2.4 |
|
-2.8 |
|
│ |
| floor |
|
│ |
-7.0 |
|
-6.7 |
|
-6.6 |
|
-5.9 |
|
-5.6 |
|
-5.6 |
|
│ |
|
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 |
|---|
|
| ATML |
|
AU 29 09:30 |
|
$7.32 |
|
SE 04 09:30 |
SE 20 10:14 |
|
$7.32 |
$7.65 |
|
-0.03% |
+0.39% |
|
| URTY |
|
SE 04 11:00 |
|
$60.82 |
$60.80 |
|
(Not yet) |
|
|
|
|
|
|
|
| FNSR |
|
SE 10 09:30 |
|
$23.53 |
|
(Not yet) |
|
|
|
|
|
|
| UWM |
|
SE 13 09:30 |
|
$69.80 |
|
(Not yet) |
|
|
|
|
|
ATML: Raised the stop again for Monday, and again for
Thursday, and again for Friday — when it stopped out. I tend to make
my manual stops too tight; we shall see if this was a good move. Anyway, I
earned +0.4% on a trade that would have been roughly break-even if the robot
system had worked properly.
ATML, YHOO: Both of these have been doing very well
recently. I held ATML due to a mistake, but didn't
hold YHOO because the robot sale went through properly. This shows
how nasty the SMA(q) rule is: if price jumps and then hugs the
SMA line on the way up, my robot will just sit on the sidelines. I wish I
didn’t need the SMA(q) rule, but otherwise the robot would
have suffered extreme losses during some historical periods.
MACD-based trading model
I cannot get the double-TRIX model to produce decent results
for SRTY, so I have switched it back to the double-MACD model.
| Parameter |
|
Tuning |
|
2008 |
2007 |
| PEAKFREQ(n,size)
| |
140,8 |
140,8 |
| minfreq
| |
8 |
8 |
| MACD(qS,sS,nS)
| |
15,66,9 |
15,71,9 |
| MACD(qQ,sQ,nQ)
| |
4,16,4 |
4,17,4 |
| MACDchan
| |
12 |
12 |
| SMA
| |
26 |
150 |
| stddev
| |
7 |
5 |
| stddev-EMA
| |
8 |
12 |
| floor-init
| |
1.027 |
1.027 |
| floor-ticks
| |
15 |
10 |
| wait-ticks
| |
2 |
3 |
| Year |
|
Results (using 10% tranche) |
| -3×IWM |
2008 |
2007 |
| 2003 |
-135% |
-3.8% |
-2.2% |
| 2004 |
-51% |
-4.7% |
-4.4% |
| 2005 |
-9% |
-1.5% |
-4.7% |
| 2006 |
-51% |
-5.9% |
-4.4% |
| 2007 |
+6% |
-5.8% |
-4.7% |
| 2008 |
+114% |
+12.0% |
+14.7% |
| 2009 |
-99% |
+3.2% |
+8.1% |
| 2010 |
-71% |
-0.3% |
+3.1% |
| 2011 |
+18% |
+3.9% |
+5.2% |
| 2012 |
-43% |
-1.5% |
+0.4% |
| 2013 H1 |
-45% |
-2.0% |
-1.9% |
The "2008" tuning is the old one, based on 2008‥2011 with no indicator ramp-up
period (because that was all the data I had then). The new "2007" tuning is
based on 2007‥2011 with the last two months of 2006 for ramp-up.
Unfortunately, the new tuning works well only for the years on which it was
tuned. Losses for earlier years are excessive. This needs more work.
