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.

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