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 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.