IWM rose by 0.7% this
week; my account fell 1.4%, matching its
all-time low on AU 09. The loss-floor has risen
to -7.8%. Once again we see that my trading algorithm has a nasty habit of
rising slower than the broad market but falling faster.
Euro news: On Thursday, the European Central Bank unexpectedly cut
its interest rate in half, to 0.25%. Naturally, this caused the herd to
shift some of its assets from EUR to USD, and so the relative value of the
dollar rose sharply. Bizarrely, the US market briefly rose to a new
all-time high before plummeting as one would expect (the dollar rose, so the
value in dollars of each stock share should fall).
US news: On Friday, the US Federal Reserve bought up $5 billion in
Treasuries, its largest POMO purchase in quite some time. It seems the
sellers of those bonds then used the newly-printed cash to buy stock,
causing the market to recover all its losses from Thursday.
End of week allocations:
|
| % gain | │ | Max loss |
|---|
| Sym |
Buy |
│ |
Fri |
Mon |
Tue |
Wed |
Thu |
Fri |
│ |
Beg |
|
End |
|
| URTY ⁰ |
OC17 |
│ |
+0.2 |
11 |
+0.2 |
11 |
+0.2 |
0 |
|
|
|
|
|
|
│ |
|
|
|
| UWM |
OC24 |
│ |
-0.4 |
10 |
-0.2 |
10 |
-0.2 |
10 |
-0.3 |
10 |
-0.7 |
10 |
-0.7 |
10 |
│ |
-0.6 |
|
-0.7 |
| FRED |
OC24 |
│ |
-0.3 |
9 |
-0.1 |
10 |
-0.2 |
9 |
-0.2 |
9 |
-0.3 |
9 |
-0.3 |
9 |
│ |
-1.0 |
|
-1.0 |
| AGQ |
OC25 |
│ |
-0.4 |
10 |
-0.4 |
10 |
-0.4 |
10 |
-0.4 |
0 |
|
|
|
|
│ |
|
|
|
| FNSR ² |
OC30 |
│ |
-0.4 |
11 |
-0.4 |
11 |
-0.4 |
0 |
|
|
|
|
|
|
│ |
|
|
|
| TZA |
OC30 |
│ |
+0.4 |
11 |
+0.1 |
11 |
+0.1 |
11 |
+0.1 |
11 |
+0.1 |
0 |
|
|
│ |
-0.4 |
|
-0.4 |
| YHOO |
OC31 |
│ |
-0.0 |
6 |
-0.0 |
6 |
-0.1 |
6 |
-0.0 |
6 |
-0.0 |
6 |
-0.0 |
6 |
│ |
-0.5 |
|
-0.5 |
| FNSR ³ |
NO01 |
│ |
-0.1 |
9 |
-0.1 |
9 |
+0.2 |
9 |
+0.1 |
9 |
-0.1 |
9 |
-0.1 |
9 |
│ |
-0.7 |
|
-0.7 |
| SRTY ¹ |
NO01 |
│ |
-0.2 |
10 |
-0.4 |
10 |
-0.4 |
10 |
-0.4 |
10 |
-0.4 |
0 |
|
|
│ |
-0.7 |
|
-0.7 |
| URTY ¹ |
NO04 |
│ |
|
|
+0.1 |
11 |
-0.0 |
11 |
-0.2 |
10 |
-0.4 |
10 |
-0.4 |
10 |
│ |
-0.9 |
|
-0.9 |
| SRTY ² |
NO07 |
│ |
|
|
|
|
|
|
|
|
+0.2 |
10 |
+0.0 |
10 |
│ |
-0.6 |
|
-0.6 |
| URTY ² |
NO08 |
│ |
|
|
|
|
|
|
|
|
|
|
-0.0 |
11 |
│ |
-1.3 |
|
-0.8 |
|
| Avail. cash |
│ |
|
4 |
|
-7 |
|
13 |
|
13 |
|
33 |
|
23 |
│ |
|
| IWM |
|
│ |
+31.7 |
|
+33.2 |
|
+32.7 |
|
+32.2 |
|
+30.0 |
|
+32.4 |
|
│ |
| me |
|
│ |
-5.0 |
|
-5.1 |
|
-5.1 |
|
-5.5 |
|
-6.2 |
|
-6.4 |
|
│ |
| floor |
|
│ |
-8.5 |
|
-8.5 |
|
-8.5 |
|
-8.1 |
|
-8.3 |
|
-7.8 |
|
│ |
|
URTY ¹: Bought with “unsettled funds” because half my money
was tied up in already-sold positions (the position-size superscripts for
Monday add up to 97%, plus there’s the 10% of money that I took out). The
unsettled-funds rule doesn’t seem to be very strictly enforced, but
officially I was supposed to be promising to hold URTY ¹ until at
least Tuesday (when URTY ⁰ and FNSR ² settled) but I
actually held it until Thursday so no problem.
URTY ²: Price was below SMA(s) when I bought
it (hence low stop-price), but closed above that cutoff so the end-of-day
update raised the stop considerably. If Monday is bearish then the stop
will go back down.
Stock-trading robot
ATML: No trade. Indicators were favourable for Tuesday, but
price never got down to my SMA(q) limit and so the order
expired unfilled. For Wednesday, indicators were no longer favourable.
Ticker
Symbol | | Buy date | | Buy price | | Sell date | | Sell price | | Acct Profit |
|---|
| Model | Actual | | M | A | | Model | Actual | | M | A | | M | A |
|---|
|
| UWM |
|
OC 23 |
OC 24 09:30 |
|
$78.25 |
$78.07 |
|
NO 07 |
NO 07 15:31 |
|
$73.23 |
$73.22 |
|
-0.59% |
-0.65% |
|
| FRED |
|
OC 18 |
OC 24 09:30 |
|
$16.11 |
$16.59 |
|
(Not yet) |
|
|
|
|
|
|
|
| TZA |
|
OC 30 12:00 |
OC 30 12:35 |
|
$20.20 |
$20.19 |
|
NO 04 14:00 |
|
$20.42 |
|
+0.12% |
+0.08% |
|
| YHOO |
|
OC 31 09:30 |
|
$32.43 |
$33.07 |
|
NO 06 09:30 |
|
$33.07 |
|
+0.10% |
-0.03% |
|
| FNSR ³ |
|
NO 01 09:30 |
|
$22.97 |
|
NO 08 09:30 |
|
$22.70 |
|
-0.13% |
|
| SRTY ¹ |
|
NO 01 13:00 |
|
$13.45 |
|
NO 04 10:00 |
NO 04 12:33 |
|
$13.16 |
$12.95 |
|
-0.27% |
-0.40% |
|
| URTY ¹ |
|
NO 04 12:00 |
NO 04 12:07 |
|
$75.94 |
$75.80 |
|
NO 07 11:00 |
|
$73.14 |
$72.91 |
|
-0.40% |
-0.41% |
|
| SRTY ² |
|
NO 07 13:00 |
|
$13.44 |
|
NO 08 10:00 |
|
$13.56 |
$13.51 |
|
+0.10% |
+0.02% |
|
| URTY ² |
|
NO 08 13:00 |
|
$74.88 |
$74.95 |
|
(Not yet) |
|
|
|
|
|
|
UWM: Stopped out. Nicked my stop-price, spent ½ hour below
it, then zoomed back up. Sigh.
FNSR ³: A perfect trade, for a change!
SRTY ¹: Another fumbled trade. It seems Schwab runs much
slower when the market is falling rapidly, increasing the likelihood that
the robot’s orders will time out instead of going through. I didn’t notice
for a while so my sale was quite late and I lost 0.1% more than expected.
SRTY ²: Trade went through nearly perfectly, yet still I
made 0.1% less than expected — presumably due to some leverage effect.
TRIX-based trading model
Results haven’t been so hot recently, so let’s review prior results for the
July‥October period. (The new TRIX-based model went into production on JL 15.)
| Actual |
│ |
Model … |
|
2013 |
│ |
2013 |
2012 |
2011 |
2010 |
2009 |
Avg |
|
2008 |
2007 |
2006 |
2005 |
2004 |
Avg |
| AGQ |
+1.7% |
│ |
+1.9% |
+3.7% |
-0.7% |
+5.1% |
+7.1% |
+3.4% |
|
-1.2% |
+1.8% |
N/A |
N/A |
N/A |
+0.3% |
| ATML |
+0.1% |
│ |
-0.5% |
-2.8% |
-0.9% |
+2.4% |
+0.2% |
-0.3% |
|
-1.4% |
+0.4% |
-1.5% |
-0.9% |
-0.5% |
-0.7% |
| FNSR |
-2.0% |
│ |
-0.9% |
-1.7% |
+1.1% |
-1.0% |
+6.3% |
+0.8% |
|
+1.0% |
-1.3% |
+2.0% |
+0.9% |
-1.7% |
+0.2% |
| FRED |
-0.2% |
│ |
+1.0% |
-2.7% |
+0.6% |
+1.2% |
-0.1% |
-0.0% |
|
+2.8% |
-0.5% |
-0.3% |
+1.9% |
+0.6% |
+0.9% |
| SCHH |
+0.0% |
│ |
+0.0% |
-0.4% |
+0.5% |
+0.3% |
+0.2% |
+0.1% |
|
-0.6% |
+0.5% |
+0.7% |
+0.2% |
N/A |
+0.2% |
| URTY |
+1.5% |
│ |
+3.3% |
+2.1% |
+7.9% |
+4.2% |
+7.6% |
+5.0% |
|
+1.2% |
+0.7% |
+2.7% |
-1.3% |
-1.1% |
+0.4% |
| UWM |
-0.3% |
│ |
+0.7% |
+0.4% |
+1.6% |
+1.1% |
+1.4% |
+1.0% |
|
-0.4% |
-0.3% |
+0.5% |
+0.3% |
+0.0% |
+0.0% |
| YHOO |
+0.1% |
│ |
-0.2% |
+0.6% |
+1.2% |
+1.4% |
+3.3% |
+1.3% |
|
-2.0% |
+3.4% |
-0.1% |
+1.4% |
+1.0% |
+0.7% |
|
| total |
+0.9% |
│ |
+5.3% |
-0.8% |
+11.3% |
+14.7% |
+26.0% |
+11.3% |
|
-0.6% |
+4.7% |
+4.3% |
+2.8% |
-1.2% |
+2.0% |
AGQ: Profits calculated
using SLV and then doubled. Data for SLV goes back only
to 2006 or so. Nasty stopout-with-slippage on AU 30 cost me 0.2% more than
predicted. Otherwise these trades went as per model.
ATML: Robot error in my favour gave me extra profit this
year. Also, the model’s new buy-limit rule was unfavourable this year but
wasn’t in actual use for most of the period. Maybe should have a “sell in
May and go away” rule for ATML?
FNSR: Was supposed to buy MA 29, but actually bought JL 15
(so got 0.8% less gain for the period). Half the years have losses during
this 4-month period.
FRED: Was supposed to buy JA 30, making +1.0% for JL and AU,
but I didn’t actually do that. Was supposed to buy again on OC 18 but
didn’t actually get started trading this thing until OC 24.
SCHH: No trades this year; results seem within range. Past
years calculated using VNQ since SCHH is so new. No
2004 data for VNQ.
URTY: Was supposed to buy JN 25 but actually bought JL 15,
so got 2.0% less profit than the model predicted for the period. Otherwise
these trades generally went as per model.
UWM: Was supposed to buy JL 03 but actually bought JL 15, so
got 1.0% less profit than the model predicted.
YHOO: The new buy-limit rule was unfavourable this year but
wasn’t actually in use (so avoided a loss of 0.4%).
total: Use the “Avg” value to fill in for N/A.
Overall summary: As usual, I installed this new model just as the market
was turning unfavourable for it. I just need to keep the robot going until
the next favourable period.
MACD-based trading model
| Actual |
│ |
Model … |
|
2013 |
│ |
2013 |
2012 |
2011 |
2010 |
2009 |
Avg |
|
2008 |
2007 |
2006 |
2005 |
2004 |
Avg |
| SRTY |
+0.2% |
│ |
-0.4% |
-0.3% |
+6.7% |
+0.6% |
+1.9% |
+1.7% |
|
+12.0% |
-1.7% |
-1.3% |
+1.1% |
-1.9% |
+1.6% |
SRTY: This model only does well during years that have
bear-market 20% corrections, of which there have been remarkably few during
the Bernanke era. During the period, I switched SRTY over to a
TRIX-based model which didn’t work very well so I switched it back; also,
due to robot issues there were several loser trades that didn’t go through.
As a result, the “actual” and ”model” results for July‥October 2013 aren’t
really comparable.
PPO-based trading model
This model was retuned on AU 01, but that turned out not to have any effect
on the trades during the period.
| Actual |
│ |
Model … |
|
2013 |
│ |
2013 |
2012 |
2011 |
2010 |
2009 |
Avg |
|
2008 |
2007 |
2006 |
2005 |
2004 |
Avg |
| TNA |
-0.2% |
│ |
-0.1% |
-1.8% |
+1.2% |
+4.5% |
+9.0% |
+2.6% |
|
+2.4% |
+2.1% |
-2.9% |
-0.3% |
+1.9% |
+0.6% |
| TZA |
-0.3% |
│ |
-0.6% |
-0.5% |
+13.4% |
+0.0% |
+0.0% |
+2.5% |
|
+16.4% |
+0.0% |
-1.3% |
+0.0% |
-0.0% |
+3.0% |
TNA: Trades went as expected. Difference in outcome is due
to round-off error and/or leverage effects.
TZA: There was only one trade during the period, which ended
with a stop-out. The model watches
IWM and then multiplies profit
by 3, but leverage effects caused me to do much better than predicted.
