Sunday, 2 February 2014

Week of 2014 JA 31

IWM fell by 1.1% this week, while my account fell 1.2%.  The loss-floor has fallen to -7.7%.

Business news: On Tuesday, Turkey hiked their overnight interest rate from 7¾% to 12½% (the US and Euro rates are approximately 0%).  Markets rallied, but within 12 hours had sunk back to where they were before.  This refusal to rally on inflationary news is a bearish sign for world markets.
      On Wednesday, the US Federal Reserve announced that they would continue their “taper” and print up only $65 billion to support the ultrarich in February.  Markets shrugged it off.

End of week allocations:

51% equities, 10% real estate, 59% cash
% gain
size
Max loss
Sym  Buy  Fri  Mon  Tue  Wed  Thu  Fri Beg   End
 
FRED OC24 +1.0 11 +1.0 11 +1.0 11 +0.7 11 +0.7 11 +0.3 11 +0.4 +0.4
ATML¹ DE18 +1.2 12 +1.1 12 +1.2 12 +1.2 12 +1.2 12 +1.2 0 +0.6 +0.6
AGQ JA13 -0.2 10 -0.5 10 -0.5 10 -0.5 10 -0.5 0 -0.5 -0.5
UWM JA21 -0.5 10 -0.5 10 -0.5 10 -0.5 10 -0.5 0 -0.6 -0.6
SRTY JA24 -0.0 10 +0.2 10 +0.2 10 +0.2 11 +0.2 0 -0.9 -0.9
URTY¹ JA28 +0.0 10 -0.5 10 -0.5 10 -0.5 10 -0.4 -0.4
ATML² JA29 -0.1 10 +0.0 11 +0.0 11 -0.7 -0.7
FNSR JA30 -0.0 10 +0.2 10 -1.3 -1.3
URTY² JA30 +0.0 10 -0.2 10 -0.7 -1.6
SCHH JA31 +0.1 11 -0.2 -0.2
IWM   -1.5   -2.9   -1.9   -3.3   -1.9   -2.6
me -2.6 -3.0 -2.8 -3.7 -3.5 -3.8
floor -4.7 -4.0 -3.8 -4.5 -7.1 -7.7

All leftover trades from 2013 have now been sold.  My “loss YTD” figure is still 0.11% less than what Schwab claims.  Schwab’s notion of cash-on-hand is 0.01% greater than predicted by my records.  Still not sure what to do about these.

AGQ: Due to last week’s 1:4 stock split, I ended up with some fractional shares.  After Monday’s sale, the fractional shares were credited as immediate ”cash in lieu”, while the rest of the shares were credited to cash on Thursday as usual.

FRED: My first dividend since 2011!  FRED declared its dividend on NO 27, paid DE 16, but I didn’t notice until this week.  The dividend adds 0.04% to my effective account-profit from this trade, so it’s small enough to get lost in the round-off error.

URTY²: The sharp drop in the max-loss value is due to an artifact of the “chandelier exit” system: we use the last 32 hours of price-data to compute the peak and true-range, so during Wednesday the higher prices from last week dropped out of the calculations.  The new lower stop went into effect after Thursday’s close — just *after* I bought!  Maybe there is an extra day’s delay here that could be removed.

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 JA 31 JA 31 09:30 $17.38 $17.09 +0.75% +0.30%
ATML¹ DE 18 DE 18 09:30 $7.32 JA 28 09:30 $8.18 +1.19% +1.18%
AGQ JA 13 JA 13 09:30 $66.68 JA 27 JA 27 14:59 $63.67 $63.58 -0.46% -0.49%
UWM JA 21 JA 21 11:09 $86.22 JA 27 09:30 JA 27 10:18 $82.68 $81.44 -0.45% -0.69%
SRTY JA 24 13:00 $44.47 $44.50 JA 27 15:00 $45.29 $45.33 +0.16% +0.15%
URTY¹ JA 28 15:00 $82.30 $82.39 JA 29 15:00 JA 29 14:09 $79.18 $79.01 -0.40% -0.45%
ATML² JA 29 JA 29 09:30 $8.34 $8.31 (Not yet)
FNSR JA 30 JA 30 10:00 $23.22 (Not yet)
URTY² JA 30 11:00 $82.20 $81.96 (Not yet)
SCHH JA 31 JA 31 09:30 $31.06 (Not yet)

FRED: An okay trade.  Bought several days late (this was the first trade using a new model), which lost me 0.30% of account-profit.  Stopped out during a panic-open, so I got the lowest price of the day (opened at $17.38, dropped to $17.09 within the first minute, then recovered and stayed above opening price for rest of day).  Got an extra 0.04% of account-profit from the dividend.
      On JA 24, FRED’s price was up 14% after three months, but over the next ten days it dropped to only 5% up.  Quite a fall!  My model parameters for FRED are on the large side, causing long slow trades; the downside is that I will stay too long after the stock goes sour.

ATML¹: Great trade!

AGQ: Stopped out in the middle of the day, so I’m not sure why there was stop-slippage.  Anyway, it’s close enough — and silver’s price has dropped another 2% since, so I’m glad that I’m out of it.

UWM: Something went wrong with this trade.  The model now says that UWM should have been sold at the open via the “retest” rule (failure to be above purchase price after three days).  What actually happened is that it stopped out — and with slippage: the stop price was supposed to be $81.51.

SRTY: End-of-week price is roughly the same as where I sold it, although a price of $47.00 was available several times during the week.

URTY¹: Yet more stop-slippage.  What was up with the market-makers this week?

ATML²: Opened below my limit price.  For some reason I got a slightly-better deal than the open.  Still, bought it back for more than I had sold it for.  Hasn’t gone anywhere since.  Could still end up being a good trade.

FNSR: Had sold JA 22 for $23.75, bought back JA 30 for $23.22.  And now its price is up to $23.72!  So basically I gained 0.2% account-profit simply from *not* holding this ticker during a particular week.

SCHH: First-ever trade of a real-estate ETF!  This was one of the original tickers included within the new system installed last July.  Every night for six months the robot looked at the market and said “no” to buying this stock the next day, until JA 30 when it finally said “yes”.  The ticker opened JA 31 at $31.08 and dropped to my limit-price within the first minute.  It then spiked down to $30.91 at 09:32, then ramped up to $31.40 by 10:12 and stayed there for the rest of the day.  Looking good so far!

Trading model review

Now that the FRED trade has closed, let’s review results for the trading models over the last 3½ months.

REGULAR DAILY TRADES

Atmel: Pretty good!  Two gains, no losses, total +1.4%.  Trade in progress = -0.01%.  Buy-and-hold would have yielded +1.6%.
Finisar: not so hot.  Three losses, only one gain (but bigger than any of the losses), total -0.6%. Trade in progress: +0.2%.  Buy-and-hold would have yielded -0.1%.
Fred’s: disappointing.  One gain, total +0.3%.  Model says I should have received +0.75%, but I bought several days late and the stop-slippage on the sale was nasty.  Buy-and-hold would have yielded +0.9%.
Yahoo:: poor.  I missed out on the big Nov/Dec run-up because this ticker spent most of its time above the blue SMA line so all buy-limit orders failed.  Three losses, one gain, total -0.4%.  Buy-and-hold would have yielded +0.7%.
Real estate:: It’s nice that I avoided the Nov/Dec run-down, but I also missed out on the Jan run-up because of that spike on DE 27 which pushed the dotted red line skyward, preventing any trades.  Result: no gains or losses, total 0%.  Trade in progress = +0.1%.  Buy-and-hold would have yielded -0.1%.

LEVERAGED DAILY TRADES

Russell 2000: (2× bullish via ticker UWM): terrible.  This model’s timing did not match the market’s timing.  Four losses, total -1.5%, including two nasty stop-outs.  Buy-and-hold would have yielded +1.0%.
Silver: (2× bullish via ticker AGQ): Not good.  Four losses, no gains, total -2.0%.  Three trades were stop-outs, one was a same-day stop-out.  About the only good thing was that buy-and-hold would have yielded -2.3%, so I did better than that at least!

LEVERAGED HOURLY TRADES (Russell 2000 derivatives)

URTY: (3× bullish, using TRIX model): Pretty good!  Five gains, three losses, total +1.5%.  Trade in progress = -0.2%. Buy-and-hold = +1.5%.
TNA: (3× bullish, using PPO model): Excellent!  Two gains (both with rebuys), one loss, total +2.0%.  Buy-and-hold = +1.5%.
TZA: (3× bearish, using PPO model): As expected.  This is a “correction” trade and there haven’t been any corrections of note.  One gain, no losses, total +0.1%.  Buy-and-hold = -1.5%.
SRTY: (3× bearish, using MACD model): Disappointing.  Three gains, three losses, total -0.5%.  Buy-and-hold = -1.5%.

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