Saturday 26 October 2013

Week of 2013 OC 25

IWM rose by 0.5% this week; my account fell 1.1%.  The loss-floor has fallen to -7.6%.

End of week allocations:
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
URTY OC17 +0.4 11 +0.4 11 +0.4 11 +0.3 11 +0.5 11 +0.5 11 -1.0 -0.8
FNSR OC21 -0.0 10 +0.1 10 -0.1 10 -0.9 9 -1.0 9 -1.9 -1.8
YHOO OC21 +0.1 13 +0.1 13 -0.2 12 -0.3 13 -0.3 13 -1.2 -1.2
UWM OC24 +0.1 10 +0.1 10 -0.7 -0.7
FRED OC24 -0.1 9 -0.2 9 -1.0 -1.0
AGQ OC25 +0.2 10 -0.6 -0.5
IWM +34.1 +33.9 +34.2 +33.8 +34.5 +34.6
me -2.3 -2.3 -2.1 -2.7 -3.3 -3.4
floor -3.8 -6.5 -6.2 -6.2 -7.1 -7.6

FNSR: Ouch!  This stock dropped 8% on Thursday, with no news other than that some VP sold a small fraction of his holdings.  Thankfully I had put only 10% of my money into it, so I lost only 0.8%.

[out]: I have withdrawn 10% of the money from this account, to put food on the table for my family.  I need a new job quick!

Next Monday: The robot has issued a “sell” order for FNSR.

Double-TRIX trading model

Tweak: previously, this model would buy at the opening price and would refuse to place an order if the preceding closing price was greater than SMA(q).  Now it places a limit order for the SMA(q) price, which means the purchase might fail to go through (another limit-buy could be placed for the following day if conditions are still copacetic).  This is a huge improvement in situations (such as the one YHOO was in last month) where the stock keeps rising and stays above SMA(q) for weeks on end, so I would never buy it.  Now the robot will buy as soon as price momentarily pierces the average on its low for a day, even if its closes are never below average.  Still, this wouldn’t have helped with YHOO, which didn’t even touch its average for a month.

I have added a new ticker for this model.  Parameters:
(daily)
Model ticker: FRED
Trade ticker FRED
TRIX(q) 26
TRIX(s) 54
SMA(q) 2
SMA(s) 150
CHANDELIER(c⁺,a⁺) 32, 4.9
CHANDELIER(c⁻,a⁻) 25, 4.6
RETEST(w,m) 5, 1.005

Stock-trading robot

The model-data shown below include the effect of the new tweak, even though I didn’t install the tweak until Wednesday so earlier trades aren’t actually “wrong”.

To deal with the new buy-limit orders, the table below shows the “Model buy-date” without a time unless the limit is above the opening price, in which case the buy-time should have been 09:30 (if the limit is below the open but above the low, the purchase happened “sometime” that day).  The “Model sell-date” continues to show the time as 09:30 because those are market-price orders and always go through at the open.

To make the “Acct Profit” figures more accurate, I now adjust the Model profit based on the size of the position (the model assumes that the position size is always 10%, but sometimes I buy more or less to get an even multiple of 100 shares for non-ETF tickers).

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
URTY OC 17 13:00 OC 17 13:30 $75.24 $75.00 (Not yet)
FNSR OC 22 OC 21 09:30 $26.10 $26.06 (Not yet)
YHOO OC 23 OC 21 09:30 $33.57 $33.65 OC 25 09:30 OC 24 16:41 $32.40 $33.03 -0.48% -0.26%
UWM OC 23 OC 24 09:30 $78.25 $78.07 (Not yet)
FRED OC 18 OC 24 09:30 $16.11 $16.59 (Not yet)
AGQ OC 25 09:30 $21.10 $21.07 (Not yet)

FNSR: New model says I should have bought later (price was below SMA(q) at Friday’s close, but stayed above it all day Monday).  Buy-price about the same either way.

YHOO: Stayed above SMA(q) all day Monday and again on Tuesday, so should have bought on Wednesday for a slightly-better price.
      On Thursday, the robot had a problem because it didn’t have historical data for FRED.  So I fixed that and reran the daily update — which created duplicate OC 24 price-records for all tickers!  This caused the robot to say that I should have sold YHOO that morning, so I sold it after hours.  Later I removed the duplicate records and determined that the sale was supposed to be Friday morning — got a better price, anyway.

FRED: I characterized this model quite some time ago, but was waiting for a “Sell” signal before enabling it for trading.  Well, the Sell came and went and I didn’t notice!  So this purchase was late.

AGQ: Normal trade using new tweaked system.  Now sure why I got a better price than the official open.

Monday 21 October 2013

Week of 2013 OC 18

IWM rose by 3.6% this week; my account rose 0.4%.  The loss-floor has risen to -3.8%.

US news: Republicans caved at the last minute, so the US government is back in business.  It immediately printed up $300 billion to make up for lost time.

End of week allocations:
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
URTY ¹ OC10 +0.6 11 +0.7 11 +0.5 11 +0.5 11 +0.5 11 +0.5 0 -0.9 -0.8
URTY ² OC17 +0.1 10 +0.4 11 -1.6 -1.0
IWM +30.5 +31.1 +29.8 +31.5 +32.6 +34.1
me -2.7 -2.6 -2.8 -2.8 -2.7 -2.3
floor -4.1 -4.0 -2.8 -2.8 -4.1 -3.8

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
URTY ¹ OC 10 11:00 $67.90 $68.06 OC 15 14:00 $71.96 $71.90 +0.56% +0.42%
URTY ² OC 17 13:00 OC 17 13:30 $75.24 $75.00 (Not yet)

URTY ² Robot trade did not go through (Schwab returned error), so I entered it manually.

Next week: The robot will buy FNSR and YHOO at Monday’s open.

Monday 14 October 2013

Week of 2013 OC 11

IWM rose by 0.8% this week; my account rose 0.3%.  The loss-floor has risen to -4.1%.

I did not feel like doing daily updates this week, so the following “% gain” table is fragmentary.

End of week allocations:
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
UWM SE13 +0.5 11 ? ? +0.2 ? +0.2 ? +0.2 ? +0.2 0 -0.2 -0.2
FNSR OC02 +0.4 10 ? ? ? ? ? ? +0.3 ? +0.3 9 -0.8 -0.8
URTY ¹ OC04 -0.1 10 -0.2 ? -0.2 ? -0.2 ? -0.2 0 -1.2 -1.2
SRTY OC08 -0.0 11 +0.2 ? +0.2 ? +0.2 11 -0.8 -0.7
URTY ² OC10 -0.0 10 +0.6 11 -1.2 -0.9
IWM +29.7 ? ? ? ? +30.5
me -3.0 ? ? ? ? -2.7
floor -5.9 ? ? ? ? -4.1

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
UWM SE 13 09:30 $69.80 OC 08 09:30 $71.81 $71.69 +0.21% +0.23%
FNSR OC 02 09:30 $22.73 OC 10 09:30 $23.57 +0.34% +0.28%
URTY ¹ OC 04 15:00 OC 04 13:00 $71.63 $71.31 OC 07 11:00 $69.83 $69.89 -0.26% -0.23%
SRTY OC 08 14:00 $15.25 $15.26 OC 09 13:00 $15.59 $15.58 +0.20% +0.18%
URTY ² OC 10 11:00 $67.90 $68.06 (Not yet)

For the last six weeks, the robot has been doing reasonably well on its broad-market IWM-derivative trades:

As is the usual case for these things, there were three small gains and three small losses, which sum up to exactly zero, plus one big gain of +1.7% which is my net profit.  Of course, it would be better if the chaff trades could have been skipped — but there is no way to know when placing the trades which one is going to be the winner.  The trade currently in progress (named URTY ² in the table above) is not shown here, but it was purchased just after the gap-up on OC 10 so things are looking good so far.

Thursday 10 October 2013

Week of 2013 OC 04

IWM rose by 0.6% this week; my account fell 0.1%.  The loss-floor has fallen to -5.9%.

US news: The federal government remains shut down.  Wall Street doesn’t care, as long as the Fed continues to hand out free money to banksters.

End of week allocations:
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
URTY ¹ SE04 +1.5 12 +1.5 12 +2.0 12 +1.8 12 +1.5 12 +1.7 12 +0.3 +0.4
UWM SE13 +0.4 11 +0.4 11 +0.6 11 +0.6 11 +0.3 11 +0.5 11 -0.2 -0.2
FNSR ¹ SE30 -0.1 9 -0.1 9 -0.1 9 -0.1 9 -0.1 0 -0.8 -0.8
TZA SE30 -0.1 10 -0.3 10 -0.3 10 -0.3 10 -0.3 0 -0.3 -0.3
ATML OC01 -0.1 10 -0.1 10 -0.2 10 -0.2 10 -0.9 -0.9
FNSR ² OC02 +0.1 9 +0.0 10 +0.4 10 -0.8 -0.8
URTY ² OC04 -0.1 10 -1.2 -1.2
IWM +29.1 +29.2 +30.7 +30.1 +28.8 +29.7
me -2.9 -3.0 -2.7 -2.8 -3.6 -3.0
floor -4.7 -5.9 -5.9 -6.6 -6.6 -5.9

FNSR: Technical indicators wobbling around zero, so bought Monday, sold Tuesday, bought back Wednesday (for a worse price).

URTY: More wobbling.  Sold Friday (for a very good price), bought back an hour later (slightly worse price).

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
URTY ¹ SE 04 11:00 $60.82 $60.80 OC 04 12:00 $71.15 $71.12 +1.63% +1.67%
UWM SE 13 09:30 $69.80 (Not yet)
FNSR ¹ SE 30 09:30 $22.89 OC 01 09:30 $22.59 -0.16% -0.14%
TZA SE 30 10:00 SE 30 12:50 $23.35 $22.85 OC 01 11:00 OC 01 10:56 $22.20 -0.55% -0.31%
ATML OC 01 09:30 $7.45 OC 04 09:30 $7.34 -0.17%
FNSR ² OC 02 09:30 $22.73 (Not yet)
URTY ² OC 04 15:00 OC 04 13:00 $71.63 $71.31 (Not yet)

URTY ¹: Excellent!  Gained almost 14% in a month.  Since I bet only 12% of my money, the total account balance increased by 1.7% as a result of this trade.

URTY ²: Not sure why the robot bought two hours early.  Schwab’s price-quotes were off by several cents at 10am and also at 1pm, which could be a sufficient explanation since the technical “buy” indicators were so marginal.

TZA: Failed to buy at 10am; still having a problem with calculating the initial stop for a short-buy.  Bought manually at 12:30pm.  Stopped out the next day, anyway.