Friday, 5 September 2014

Week of 2014 SE 04

IWM fell by 0.1% this week, while my account rose 0.4%.  The loss-floor has fallen to -8.9%.

US markets were closed on Monday for Labor Day.

Financial news: Friday’s Non-Farm Payroll report was bad: only 142,000 American jobs were created last month, vs. 220,000 expected.  U6 unemployment is now officially 12.2%, about half its value at the height of the Great Depression.  Sy Harding’s usual rule is that a bad NFP causes the market to drop for three days.  Richard Chappell expects a 1% decline from recent highs.

End of week allocations:

87% equities, 44% cash USD
% gain
size
Max loss
Sym Buy Fri Mon Tue Wed Thu Fri Beg End
YHOO JL22 +2.0 17 +2.3 17 +2.1 17 +2.3 17 +2.4 17 +0.5 +0.9
URTY AU25 +0.1 14 +0.3 14 +0.1 14 -0.1 14 +0.0 14 -0.6 -0.8
UWM SE04 -0.1 14 +0.0 14 -0.8 -0.7
IWM   +1.2      +1.8   +1.1   +0.7   +1.1
me -6.2 -5.7 -6.1 -6.2 -5.8
floor -8.4 -8.2 -8.2 -8.9 -8.9

YHOO: Continuing to do very well!

Stock-trading robot

Ticker
Symbol
Buy dateBuy priceSell dateSell priceAcct Profit
ModelActualMAModelActual M A M A
YHOO JL 22 09:30 $33.48 $33.56 (Not yet)
URTY AU 25 12:00 $87.01 $87.11 (Not yet)
UWM SE 04 SE 04 15:11 $85.29 $85.30 (Not yet)

UWM: Buy-signal for Tuesday; limit-price not reached.  Buy-signal for Thursday was successful.

ATML: “Buy” signals for Tuesday, Wednesday, and Thursday; limits not reached.

TRIX-based trading model: review of results

The TRIX/CHANDELIER-based trading model was put into production on 2013 JL 15, over a year ago.  There were some ramp-up issues, so let’s review the actual gains during the twelve months from August to July, compared with the model gains from that period, from 2012, and the annual averages from 2003‥2011:

Ticker ’13 AU‥’14 JL Average year
actual model 2012 ’03‥’11
ATML +2.4% +0.4% +3.4% +3.3%
FNSR -1.7% -5.4% +5.6% +5.5%
YHOO +0.0% +0.6% +3.3% +2.2%
UWM -1.4% -0.4% +1.3% +2.5%
AGQ* +2.7% +1.0% +6.9% +6.8%
FRED -0.8% +0.4% -3.3% +3.4%
URTY -2.1% -0.9% +4.2% +6.5%
Total -0.9% -4.3% +21.4% +30.2%

*: AGQ starts in 2007, so the long-term average is based on only five years instead of nine.

The overall trend we see here is that 2012 is either equivalent to the preceding nine years or worse, while the 2013/2014 period is markedly worse on nearly every ticker.  So much for the power of forward testing!  I think the basic problem is that “swing trading” has not been effective these past two years.  Some years are like that; you have to hold on until your approach starts working again.

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