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
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[out]: I have withdrawn 10% of the money from this account, to put food on the table for my family.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:
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).

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.

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