Monday, 29 September 2014

Week of 2014 SE 26

IWM fell by 2.5% this week, while my account fell 1.7% to its lowest value ever.  The loss-floor has risen to -9.8%.  My account is all-cash for now.

End of week allocations:

89% cash USD
% gain
size
Max loss
Sym Buy Fri Mon Tue Wed Thu Fri Beg End
YHOO JL22 +3.0 18 +2.2 17 +2.2 17 +2.2 18 +2.2 0 +2.2 +2.2
URTY SE17 -0.3 14 -0.8 14 -0.8 14 -0.8 14 -0.8 0 -0.7 -0.7
TNA SE18 -0.7 21 -1.0 21 -1.0 21 -1.0 21 -1.0 0 -1.0 -1.0
SRTY ¹ SE19 -0.1 11 +0.4 11 +0.3 11 +0.3 11 +0.3 11 +0.3 0 -0.6 -0.6
SRTY ² SE23 -0.0 11 -0.2 11 -0.2 11 -0.2 11 -0.8 -0.5
SRTY ³ SE25 +0.1 11 -0.1 11 -0.4 -0.4
TZA SE25 -0.0 11 -0.3 11 -0.9 -0.7
IWM   -1.0   -2.4   -3.3   -2.7   -4.4   -3.5
me -8.1 -9.2 -9.2 -9.4 -9.3 -9.8
floor -10.0 -10.1 -10.0 -9.4 -10.8 -9.8

YHOO: Excellent!  Stopped out the next day after the Alibaba IPO.

SRTY: Timing is still poor.  Profits and losses for this week cancel each other out.

IWM: Dividend payment of 30.46¢ per share on SE 24.  I have multiplied all historical prices in my database by 0.997260 to prevent indicator-drift.

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 SE 22 10:42 $39.19 $39.18 +2.28% +2.24%
URTY SE 17 13:00 $84.11 $84.08 SE 22 10:00 09:44 $79.57 $79.45 -0.77% -0.76%
TNA SE 18 11:00 $74.00 $74.04 SE 22 10:00 09:30 $70.42 $70.43 -0.97% -0.98%
SE 19 11:00 $73.61 $73.65
SRTY ¹ SE 19 14:00 $38.86 SE 23 10:00 $40.28 $40.27 +0.34% +0.33%
SRTY ² SE 23 14:00 $41.54 SE 24 12:00 $40.73 -0.13% -0.23%
SRTY ³ SE 25 10:00 $41.67 SE 26 15:00 $41.38 -0.07% -0.11%
TZA SE 25 11:00 $16.54 $16.56 SE 26 15:00 $16.17 $16.16 -0.25% -0.28%

YHOO: Sold after two months for ≈17% more than I paid for it!  Unfortunately, losses elsewhere ate up all these gains.

URTY: Seemingly-significant stop-slippage on this sale, yet the account-profit somehow came out well anyway.

SRTY: The purchase and sale prices were right on the nose, but profits were off.  Presumably this is because model-profit is based on the corresponding prices of IWM and sometimes arbitrage fails to keep IWM and SRTY in sync with each other.

TZA: It’s too bad that indicators were just slightly too bullish at the last hour of trading this week.  If the market crashes in October, I’ll probably wish this hadn’t sold.  But if we have a big rally next week, then it will have been a good move.

ATML: “Buy” signal for Monday.  Doesn’t look very promising, especially since Springheel Jack says “all longs should be counter-trend now” but ATML seems to be matching the broad market’s moves.  But the calculated stop-price is quite close to purchase-price so there isn’t much risk.

No comments:

Post a comment