Sunday, 9 February 2014

Week of 2014 FE 07

IWM fell by 1.2% this week, while my account fell 1.4%.  The loss-floor has risen to -7.3%.

US news: Friday’s jobs report was terrible.  Many fewer jobs were created in January than had been expected.  Markets rose anyway, but this could be a short-term fake-out.

End of week allocations:

33% equities, 22% silver, 68% cash
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
ATML¹ JA29 +0.0 11 -0.4 10 -0.3 10 -0.3 10 -0.3 10 -0.3 0 -0.7 -0.7
FNSR JA30 +0.2 10 -0.4 10 -0.3 10 -0.3 10 -0.3 10 -0.3 0 -1.3 -1.3
URTY¹ JA30 -0.2 10 -0.6 10 -0.6 10 -0.6 10 -0.6 0 -1.6 -1.6
SCHH JA31 +0.1 11 -0.0 11 +0.1 11 +0.1 11 +0.1 11 +0.1 11 -0.2 -0.2
SRTY¹ FE03 +0.0 11 -0.2 10 -0.2 10 -0.2 10 -0.2 0 -0.9 -0.9
SRTY² FE05 -0.1 11 -0.3 10 -0.3 10 -0.3 -0.3
ATML² FE06 -0.1 10 -0.1 10 +0.7 +0.7
URTY² FE06 -0.1 11 +0.3 11 -1.2 -1.5
AGQ FE07 +0.1 11 -0.2 -0.2
IWM   -2.6   -5.6   -4.9   -5.6   -5.1   -3.8
me -3.8 -5.3 -5.3 -5.4 -5.7 -5.2
floor -7.7 -7.6 -5.6 -6.0 -6.8 -7.3

[out]: Pulled out some more money to put food on the table.  I need a new job soon!

URTY²: Once again the max-loss value has dropped due to older, higher prices exiting from the averaging period.  New max-loss would have been -1.8 except for the change to the double-TRIX model (see below).

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M  A  M  A 
ATML¹ JA 29 09:30 $8.34 $8.31 FE 04 09:30 $8.11 -0.35% -0.28%
FNSR JA 30 JA 30 10:00 $23.22 FE 04 09:30 $22.49 -0.33%
URTY¹ JA 30 11:00 $82.20 $81.96 FE 03 11:00 $77.22 $77.12 -0.60% -0.63%
SCHH JA 31 09:30 $31.06 FE 06 09:30 $31.38 +0.10%
SRTY¹ FE 03 13:00 $49.78 FE 04 10:00 $49.17 $49.12 -0.13% -0.17%
SRTY² FE 05 11:00 FE 05 10:00 $51.49 $50.48 FE 06 11:00 FE 06 12:34 $48.53 $48.97 -0.55% -0.34%
ATML² FE 06 09:30 $7.60 FE 06 09:30 $7.31 $7.58 -0.39% -0.06%
URTY² FE 06 11:00 FE 06 12:34 $75.45 $75.05 (Not yet)
AGQ² FE 07 09:30 $65.53 $65.04 (Not yet)

SCHH: Profitable (barely) completion of first-ever real-estate trade!  Sold due to failed retest (hadn’t gone up four days after purchase).  Of course, it started rising immediately after I sold it, so I got a “buy” signal for Friday, but the limit-price wasn’t reached.  There’s another ”buy” signal for Monday, but I’ve decided to stop trading this ticker (see below).

SRTY², URTY²: Failed to swap SRTY for URTY on time due to a bug introduced by the new double-TRIX trailing-stop parameter (see below) which was implemented but not (supposedly) yet activated.  Didn’t notice for 1½ hours.

ATML²: Gapped down so hard that it opened below my stop price, then stopped out 30 seconds later.  I believe this is the first time that has happened since installing the new double-TRIX system last July — it was not clear that Schwab would actually accept the stop-order “so soon”.  The model has a special rule for such cases that assumes the worst: my sell-price = low of the day.  Actually I got a much better price than that, so the good news is that the “instant stop-out” thing actually does work, and with a smaller loss than the model calls for.

AGQ: Got a “buy” signal for Thursday.  My limit-price was close to the low of the day.  Official results at 4:20pm said the order should have succeeded, but it hadn’t (so robot tried to adjust the stop on a position it didn’t actually hold).  I decided to rerun the buy on Friday with the same limit price (Wednesday’s close).  This order went through within the first minute after Friday’s open.
      Meanwhile, due to records adjustments (or something), the official results now say that Thursday’s buy actually *shouldn’t* have gone through, so there should have been a repeat buy-order on Friday using Thursday’s close as the limit.  Well, I got a better price than that!

Double-TRIX trading model

I have added a new parameter to the model: trailing-stop.  The stop price is now constrained so it cannot be less than trailing-stop times the peak price seen since buying the ticker.  This allows other parameters to be retuned more aggressively, which improves profit and/or reduces average daily risk.

(daily) (hourly)
Model ticker: ATML FNSR YHOO SCHH FRED SLV IWM IWM
Trade ticker ATML FNSR YHOO SCHH FRED AGQ (2×) UWM (2×) URTY (3×)
TRIX(q) 3 3 2 4 18 4 26 27
TRIX(s) 14 17 26 17 59 29 54 97
SMA(q) 7 1 10 12 10 3 2 1
SMA(s) 270 270 120 210 150 250 150 180
CHANDELIER(c⁺,a⁺) 28, 4.5 26, 3.9 38, 4.9 6, 4.1 32, 3.4 11, 4.6 32, 4.8 312, 11.1
CHANDELIER(c⁻,a⁻) 22, 4.2 22, 3.8 21, 3.9 16, 2.4 23, 2.7 20, 2.2 25, 4.3 28, 9.6
RETEST(w,m) 4, 1.02 2, 0.97 3, 0.99 2, 1.06 3, 1.005 10, 0.98 5, 1.005 999, 1.0
Trailing-stop 0.84 0.74 0.84 0.80 0.89 0.84 0.79 0.88
Results for the last twelve years (or all available years, if less):
Old profit 32% 48% 19% ~6% 26% 27% 16% 60%
New profit 37% 38% 21% ~8% 26% 31% 23% 56%
Buy-and-hold 0% -4% +29% ~+1% +1% ~+9% ~+23% ~+34%
Old daily risk +0.5% +1.0% +0.1% +0.1% -0.3% -0.3% -0.4% +0.7%
New daily risk +0.1% +0.3% -0.2% +0.3% -0.4% -0.3% -0.6% +0.6%
New win:loss 8:4 7:5 9:3 4:4 9:3 6:2 11:1 9:2
(Yellow indicates a change from the previous model.)

Profits assume that tranches are 10% of my account.  Buy-and-hold profits for SCHH, AGQ, UWM, and URTY are estimated (from VNQ, SLV, and IWM) because these ETFs haven’t been around long enough.  Old/New profits for SCHH are also estimated for a similar reason.  “Daily risk” is the average daily difference between stop-price and purchase-price; if negative, then on an average day when I’m holding this ticker the stop is above the original purchase-price.  “Win:loss” is the number of profitable years vs. losing years.

Based on these results, I have decided to discontinue trading of FNSR and SCHH.  These have the worst win:loss ratios.  For FNSR, either the daily risk is terrible or the trading profit takes a big hit.  For SCHH, profits just aren’t very big regardless — and this model has had losses for each of the last three years.  Both these tickers have “buy” orders for Monday, but I’m not buying them.

Since there are now fewer tickers being traded, I have increased the tranche size from 10% to 13% for these double-TRIX models.  All profit and risk figures above should be multiplied by 1.3 to get the new values.  The TNA and TZA models are unaffected since they use PPO rather than TRIX (and they have “rebuy” rules to increase their position sizes).

The new model-parameters agree that I should be holding URTY and not holding ATML, FRED, UWM, or YHOO.  However, because of the new SMA(q) parameter for AGQ, the revised model says I shouldn’t have bought that yet — it has a “buy” signal for Monday.  Of course, the revised model also says I am to put 13% of my account in these tickers but I bought only 10%.

MACD-based trading model

This thing really doesn’t work very well.  It needs replacement.  However, I do not yet have a suitable replacement model for SRTY.

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