Friday 27 September 2013

Week of 2013 SE 27

IWM fell by 0.1% this week; my account did the same.  The loss-floor has risen to -4.7%.

US news: The government’s world will end on Tuesday if Congress doesn’t get their act together and pass a new budget.  As usual, Republicans are violating their Constitutional oath of office by threatening to make the USA default on its debts if they don’t get their way on social issues.

End of week allocations:
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
URTY SE04 +1.5 12 +1.5 12 +1.5 12 +1.5 12 +1.7 12 +1.5 12 +0.2 +0.3
FNSR SE10 +0.0 9 -0.2 9 -0.2 9 -0.2 9 -0.2 9 -0.2 0 -1.0 -1.0
UWM SE13 +0.3 11 +0.4 11 +0.4 11 +0.4 11 +0.5 11 +0.4 11 -0.3 -0.2
IWM +29.2 +29.2 +29.2 +29.2 +29.7 +29.1
me -2.8 -2.9 -2.9 -2.9 -2.6 -2.9
floor -5.6 -5.6 -4.7 -4.6 -4.7 -4.7

ATML: Has been falling all this week.  Good thing I sold it last week!

YHOO: Up a whopping 8.5% this week!  But it spent the whole time above its SMA(10) so I didn’t buy it.  Tim Knight says he’s shorting it now.

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
URTY SE 04 11:00 $60.82 $60.80 (Not yet)
FNSR SE 10 09:30 $23.53 SE 24 09:30 $23.14 -0.19% -0.18%
UWM SE 13 09:30 $69.80 (Not yet)

FNSR: Normal trade, properly executed.  Not sure why the gain calculation is off by 100 ppm.  The model calls for me to buy this back Monday morning.

MACD-based trading model

No progress, but this still isn’t good enough.  Right now I do not have a lot of confidence in any of my bearish trading models — and we’re heading into October (the month of mega-crashes).

Wednesday 25 September 2013

Week of 2013 SE 20

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
size
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 dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual 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.

Monday 16 September 2013

Week of 2013 SE 13

IWM rose by 2.9% this week, while my account rose 1.2%.  The loss-floor has risen to -7.0%.

End of week allocations:
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
ATML AU29 +0.3 10 +0.4 10 +0.6 10 +0.4 10 +0.4 10 +0.3 10 -0.4 +0.0
YHOO AU30 +0.3 11 +0.3 11 +0.3 11 +0.3 11 +0.3 0 -0.7 -0.7
URTY SE04 +0.2 11 +0.6 11 +1.0 11 +0.9 11 +0.7 11 +0.9 11 -1.4 -0.4
TNA SE05 -0.1 11 +0.4 11 +0.7 11 +0.7 11 +0.5 11 +0.5 11 -0.7 +0.5
FNSR SE10 +0.0 9 -0.2 9 -0.1 9 -0.1 9 -1.1 -1.1
UWM SE13 +0.0 10 -0.7 -0.7
IWM +24.1 +25.9 +27.2 +27.2 +26.3 +27.0
me -5.1 -4.0 -3.1 -3.5 -3.9 -3.9
floor -8.9 -6.3 -7.4 -7.5 -6.8 -7.0

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
ATML AU 29 09:30 $7.32 SE 04 09:30 (Not yet) $7.32 -0.03%
YHOO AU 30 09:30 $27.39 SE 09 09:30 $28.32 +0.31%
URTY SE 04 11:00 $60.82 $60.80 (Not yet)
TNA SE 05 15:00 $55.37 $55.39 SE 13 11:00 SE 13 10:11 $58.10 +0.47% +0.46%
FNSR SE 10 09:30 $23.53 (Not yet)
UWM SE 13 09:30 $69.80 (Not yet)

ATML: Still haven’t sold it.  Raised stop to break-even on Monday.

YHOO: Trade went exactly as expected and made money.  Unfortunately, YHOO jumped after I sold it.  Oh well.

TNA: Stopped out, eleven minutes after the stop price was raised.  This is the first profit since the TNA model was retuned on AU 02; it *almost* cancels out the previous losses.

SRTY: Still not working.  In some cases, it seems that the problem is stop-prices that are too close to purchase-prices, so when I translate the prices from IWM to SRTY the result is an impossible number.  I've turned this model off for now.

Friday 13 September 2013

Week of 2013 SE 06

IWM rose by 2.5% this week, while my account rose 0.7%.  The loss-floor has fallen to -8.9%.

US markets were closed on Monday for Labor Day.

End of week allocations:
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
ATML AU29 -0.1 10 -0.1 10 +0.2 10 +0.3 10 +0.3 10 -0.4 -0.4
YHOO AU30 -0.1 11 +0.1 11 +0.2 11 +0.3 11 +0.3 11 -0.8 -0.7
FNSR AU30 -0.2 8 -0.1 8 -0.1 8 -0.1 8 -0.1 0 -0.8 -0.8
URTY ¹ SE03 -0.4 10 -0.4 10 -0.4 10 -0.4 0 -0.9 -0.9
URTY ² SE04 +0.0 11 +0.1 11 +0.2 11 -1.6 -1.4
TNA SE05 -0.2 10 -0.1 11 -0.7 -0.7
IWM +21.6 +22.5 +23.5 +23.7 +24.1
me -5.8 -5.7 -5.3 -5.2 -5.1
floor -7.2 -6.5 -8.0 -8.9 -8.9

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
ATML AU 29 09:30 $7.32 SE 04 09:30 (Not yet) $7.32 -0.03%
YHOO AU 30 09:30 $27.39 (Not yet)
FNSR AU 30 09:30 $20.90 SE 03 09:30 $20.82 -0.06%
SRTY ¹ AU 30 14:00 (Skipped) $17.30 SE 03 13:00 $16.65 -0.41% +0.00%
SRTY ² SE 03 14:00 (Skipped) $17.37 SE 04 16:00 $17.21 -0.12% +0.00%
URTY ¹ SE 03 11:00 $60.83 $60.73 SE 03 11:00 $59.20 $58.60 -0.37% -0.38%
URTY ² SE 04 11:00 $60.82 $60.80 (Not yet)
TNA SE 05 15:00 $55.37 $55.39 (Not yet)

ATML: Robot said “sell” Tuesday night, but the order did not go through (Schwab took too long to load the page) and I didn’t notice for a day.  Meanwhile, ATML went back up again, but there was no ”buy” signal because of the SMA(q) rule.  So I decided to continue holding it until the next ”sell” signal.

SRTY: Still not working.  In some cases, it seems that the problem is stop-prices that are too close to purchase-prices, so when I translate the prices from IWM to SRTY the result is an impossible number.

Friday 6 September 2013

Week of 2013 AU 30

IWM fell by 3.4% this week, while my account fell 3.3%.  The loss-floor is steady at -7.2%.

End of week allocations:
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
AGQ AU09 +3.6 13 +3.9 13 +4.0 12 +3.9 12 +3.4 12 +2.9 13 +2.3 +3.1
YHOO ¹ AU21 +0.3 11 +0.2 10 +0.0 10 +0.0 10 +0.0 10 +0.0 0 -0.2 -0.2
URTY ¹ AU21 +0.4 11 +0.4 11 +0.0 10 +0.0 10 +0.0 10 +0.0 0 -1.2 -0.8
FNSR ¹ AU22 +0.3 12 +0.3 12 -0.2 12 -0.2 12 -0.2 12 -0.2 12 -1.0 -1.0
TNA AU26 -0.2 10 -0.6 10 -0.6 10 -0.6 10 -0.6 0 -0.8 -0.6
ATML AU29 +0.2 10 -0.1 10 -0.4 -0.4
URTY ² AU29 -0.1 10 -0.5 10 -1.0 -1.1
YHOO ² AU30 -0.1 11 -0.8 -0.8
FNSR ² AU30 -0.2 8 -0.8 -0.8
IWM +25.0 +25.0 +22.1 +22.3 +23.6 +21.6
me -2.5 -2.5 -3.8 -4.0 -4.4 -5.8
floor -7.2 -7.2 -5.8 -4.8 -6.2 -7.2

AGQ: Did great!  Friday morning’s gap-down below stop reduced my gain a little, but still pretty good.  Unfortunately, losses on other trades over the last three weeks ate up all these profits.

YHOO ¹, URTY ¹: Eked out just enough profit to cover trading costs.

FNSR ¹, TNA, URTY ²: Losers.

ATML, YHOO ², FNSR ²: Losers so far.

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
AGQ AU 09 09:30 $18.07 AU 30 09:30 $23.91 $23.87 +3.01% +2.95%
URTY ¹ AU 20 12:00 AU 21 09:30 $61.76 $61.08 AU 27 11:00 $61.35 $61.43 -0.07% +0.02%
YHOO ¹ AU 21 09:30 $27.09 AU 27 09:30 $27.24 $27.25 +0.03%
FNSR ¹ AU 22 09:30 $20.62 AU 28 09:30 $20.31 -0.18% -0.20%
TNA AU 26 11:00 $57.39 $57.43 AU 27 11:00 AU 27 10:25 $54.44 $54.43 -0.55% -0.56%
SRTY ¹ AU 28 10:00 (Skipped) $17.21 AU 28 11:00 $17.21 -0.03% +0.00%
ATML AU 29 09:30 $7.32 (Not yet)
URTY ² AU 29 12:00 $61.85 $61.92 AU 30 13:00 $59.39 $59.27 -0.44% -0.47%
YHOO ² AU 30 09:30 $27.39 (Not yet)
FNSR ² AU 30 09:30 $20.90 (Not yet)
SRTY ² AU 30 12:00 (Skipped) $17.24 AU 30 13:00 $17.21 -0.05% +0.00%
SRTY ³ AU 30 14:00 (Skipped) $17.30 (Not yet)

AGQ: Stopped out at open.  Didn’t get the opening price, but slightly less.  Still, actual profit very close to model profit!

FNSR ¹: No excuse for model profit to differ from actual profit, so I’m not sure what’s going on here.

TNA: Stopped out.

SRTY: Not working.  Still get “stop-price on wrong side of purchase price” error, which I thought I had fixed already.  Needs more attention.  The SRTY ¹ trade was especially silly, since the stop-price was equal to the purchase price!