Friday 29 November 2013

Week of 2013 NO 29

IWM rose by 2.2% this week; my account rose 1.0%.  The loss-floor has risen to -7.6%.

US markets were closed for Thanksgiving.  Friday was a half-day.

End of week allocations:
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
FRED OC24 +0.0 10 +0.2 10 +0.2 10 +0.3 10 +0.4 10 -1.0 -0.7
ATML NO15 +0.4 10 +0.4 10 -0.4 10 +0.6 10 +0.6 10 -1.0 -0.8
URTY NO21 +0.2 11 +0.2 11 +0.4 11 +0.6 11 +0.6 11 -1.2 -0.8
IWM +35.5 +35.7 +36.7 +37.8 +37.7
me -4.8 -4.6 -4.3 -3.8 -3.8
floor -8.5 -8.3 -7.9 -7.7 -7.6

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
FRED OC 18 OC 24 09:30 $16.11 $16.59 (Not yet)
ATML NO 14 NO 15 09:41 $7.19 $7.20 (Not yet)
URTY NO 21 12:00 $78.74 $78.73 (Not yet)

YHOO: Another “Buy” signal detected for Friday, but YHOO never got down to my limit-price.  No signal for Monday.

UWM: A “Buy” signal was detected for Friday, but didn’t get down to my limit-price.  Try again on Monday.

Saturday 23 November 2013

Week of 2013 NO 22

IWM rose by 1.2% this week; my account rose 0.3%.  The loss-floor has risen to -8.5%.

End of week allocations:
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
FRED OC24 -0.2 9 -0.3 9 -0.3 9 -0.1 10 +0.1 10 +0.0 10 -1.0 -1.0
URTY¹  NO08 +0.4 11 -0.2 11 +0.3 11 +0.3 11 +0.3 11 +0.3 0 -0.8 -0.8
TNA NO11 +0.7 22 +0.3 22 +0.6 22 +0.6 22 +0.6 22 +0.6 0 -0.5 -0.6
ATML NO15 +0.1 10 +0.2 10 -0.1 10 +0.2 10 +0.3 10 +0.4 10 -1.1 -1.0
SRTY NO19 -0.1 11 -0.2 10 -0.2 10 -0.2 10 -0.6 -0.5
URTY²  NO21 +0.0 11 +0.2 11 -1.4 -1.2
IWM +34.3 +33.3 +32.5 +32.5 +34.9 +35.5
me -5.1 -5.6 -5.6 -5.3 -4.9 -4.8
floor -9.4 -9.4 -7.7 -7.4 -8.7 -8.5

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
FRED OC 18 OC 24 09:30 $16.11 $16.59 (Not yet)
URTY¹ NO 08 13:00 $74.88 $74.95 NO 19 11:00 $77.75 $77.72 +0.35% +0.34%
TNA NO 11 12:00 $67.06 $66.94 NO 19 14:00 NO 19 11:00 $66.52 $69.12 -0.02% +0.57%
NO 13 11:00 $67.18 $67.19
ATML NO 14 NO 15 09:41 $7.19 $7.20 (Not yet)
URTY² NO 21 12:00 $78.74 $78.73 (Not yet)

URTY ¹: A good trade.  Timing was on the nose.  Actual prices were close to model prices.  Realized profit was extremely close to the predicted value.  The model correctly chose the high-of-the-day as its sell-time.

TNA: Lucky!  I got a “Pre-emptive sell” signal at 11am because Schwab showed a lower low than other sources.  This caused the robot to sell at what turned out to be nearly the high of the day.  However, after the daily replacement of Schwab data with barchart.com data, now the model says I should have waited three more hours until stopping out with a loss.
      There were repeated stop-update failures this week caused by Schwab taking over 8 seconds to provide its list of securities-already-owned.  This only seems to be happen with trades like TNA that have their stops updated at 10am instead of 4:20pm.  I haven’t done anything about it yet, but an obvious move would be to just lengthen the timeout and see if that helps.

URTY ²: After URTY¹ was sold, the market spent two days going down, then it recovered so the robot bought URTY².  As has been typical recently, the downturn was shallow and short-lived, so the robot ended up paying more to buy the thing back than had been received for its sale.  Oh well; it’s always something.  But this is probably a major part of the reason why my account always seems to go up less than the market does during bull runs but go down at least as much as the market during bear runs.

YHOO: “Buy” signal detected for Monday, but in recent times YHOO has been spending most days completely above the SMA(q) limit-price, so there’s a good chance that the purchase won’t go through.

Friday 15 November 2013

Week of 2013 NO 15

IWM rose by 1.9% this week; my account rose 1.3%.  The loss-floor has fallen to -9.4%.

End of week allocations:
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
FRED OC24 -0.3 9 -0.3 10 -0.3 9 -0.4 9 -0.4 9 -0.2 9 -1.0 -1.0
URTY NO08 -0.0 11 -0.0 11 +0.0 11 +0.3 11 +0.3 11 +0.4 11 -0.8 -0.8
TNA NO11 -0.1 11 -0.0 11 +0.5 22 +0.5 22 +0.7 22 -0.7 -0.5
ATML NO15 +0.1 10 -1.1 -1.1
IWM +32.4 +32.4 +32.5 +34.1 +33.8 +34.3
me -6.4 -6.4 -6.4 -5.6 -5.7 -5.1
floor -7.8 -8.5 -8.4 -9.0 -8.3 -9.4

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
FRED OC 18 OC 24 09:30 $16.11 $16.59 (Not yet)
URTY NO 08 13:00 $74.88 $74.95 (Not yet)
TNA NO 11 12:00 $67.06 $66.94 (Not yet)
NO 13 11:00 $67.18 $67.19
ATML NO 14 NO 15 09:41 $7.19 $7.20 (Not yet)

TNA: The purchase of the second tranche on Wednesday looks to have been well-timed!

ATML: Another buy-failure on Wednesday — price too high all day.  On Thursday, the official low of the day was my limit-price ($7.19), but my order did not go through.  Retry on Friday using Thursday’s SMA(q) = $7.20.  Success!

Sunday 10 November 2013

Week of 2013 NO 08

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
size
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 dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual 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.

Friday 1 November 2013

Week of 2013 NO 01

IWM fell by 2.9% this week; my account fell 1.6%.  The loss-floor has fallen to -8.5%.

End of week allocations:
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
URTY OC17 +0.5 11 +0.5 11 +0.6 11 +0.1 11 +0.2 11 +0.2 11 -0.8 -0.8
FNSR ¹  OC21 -1.0 9 -1.1 9 -1.1 9 -1.1 9 -1.1 0 -1.8 -1.8
UWM OC24 +0.1 10 +0.0 10 +0.1 10 -0.2 10 -0.3 10 -0.4 10 -0.7 -0.6
FRED OC24 -0.2 9 -0.1 9 +0.0 9 -0.0 10 -0.3 9 -0.3 9 -1.0 -1.0
AGQ OC25 +0.2 10 +0.1 10 +0.1 10 +0.3 10 -0.4 10 -0.4 10 -0.5 -0.4
FNSR ² OC30 -0.6 9 -0.4 9 -0.4 9 -0.9 -0.9
TZA OC30 +0.1 11 +0.2 11 +0.4 11 -0.4 -0.4
YHOO OC31 -0.1 6 -0.0 6 -0.5 -0.5
FNSR ³ NO01 -0.1 9 -0.7 -0.7
SRTY NO01 -0.2 10 -0.7 -0.7
IWM +34.6 +34.5 +34.9 +33.1 +32.3 +31.7
me -3.4 -3.5 -3.2 -4.2 -4.8 -5.0
floor -7.6 -6.9 -6.8 -8.1 -7.1 -8.5

FNSR: Three losses in one week!  Another explicable downdraft on Wednesday.  Meanwhile, the technical indicators are still hovering arond zero, so the robot keeps buying it back.

FRED: The position size momentarily went to 10 on Wednesday, because everything else dropped but FRED didn’t so it was a larger proportion of my account.  Then it dropped on Thursday to rejoin the pack.

Stock-trading robot

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 OC 31 14:00 $76.46 $76.45 +0.2%
FNSR ¹ OC 22 OC 21 09:30 $26.10 $26.06 OC 28 09:30 $23.22 -1.1%
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 NO 01 09:30 $20.23 $20.19 -0.4%
FNSR ² OC 30 09:30 $23.79 $23.84 OC 31 09:30 $22.67 $22.72 -0.5% -0.4%
TZA OC 30 12:00 OC 30 12:35 $20.20 $20.19 (Not yet)
YHOO OC 31 09:30 $32.43 $33.07 (Not yet)
FNSR ³ NO 01 09:30 $22.97 (Not yet)
SRTY NO 01 13:00 $13.45 (Not yet)

TZA: Schwab fumbled the purchase, so I bought it manually.

SRTY: Normal trade.  This is the first time in months that an inverse-ETF purchase actually went through properly!

FNSR ², YHOO, FNSR ³: These all got the new buy-limit orders, but the limits were higher than the opening prices so they all went through at 9:30am.  So why didn’t I get the opening prices?