IWM rose by 0.9% this week, while my account fell 0.5%. The loss-floor has fallen to -12.2%.
|End of week allocations:
97% equities, 26% silver, 10% cash
[out]: Withdrew more money on Monday to put food on the table for my family.
URTY ¹: Sold at low-of-week. :-(
ATML: Doing great!
[cash]: Negative balance on Thursday — I bought URTY with unsettled funds.
|Buy date||Buy price||Sell date||Sell price||Acct Profit|
|FRED||OC 20||(Skipped)||$14.31||DE 03||$14.27||-0.07%||+0.00%|
|URTY ¹||OC 28 13:00||12:00||$79.36||$79.03||DE 01 11:00||$83.10||$83.11||+0.70%||+0.64%|
|UWM||NO 21||NO 28 12:58||$85.85||$85.72||(Not yet)|
|ATML||NO 24 09:30||11:31||$7.41||$7.58||(Not yet)|
|YHOO||DE 04 09:30||NO 26 09:30||$50.19||$51.56||(Not yet)|
|TZA||DE 01 10:00||(Skipped)||$13.71||DE 03 11:00||$13.07||-0.49%||+0.00%|
|SRTY ¹||DE 01 12:00||$35.75||DE 02 10:00||$35.12||$35.10||-0.19%||-0.22%|
|SRTY ²||DE 02 13:00||$34.96||DE 03 10:00||$34.27||$34.29||-0.21%||-0.23%|
|AGQ||DE 04||09:45||$42.03||(Not yet)|
|URTY ²||DE 03 15:00||DE 04 11:00||$85.90||$86.52||(Not yet)|
FRED: Finally got a ”sell” signal. I saved a small amount of money by skipping this trade.
YHOO: Finally got a ”buy” signal. Would have saved money if I had entered the trade properly and not bought so soon.
TZA: This trade failed to go through, apparently due to a momentary glitch at Schwab. I tried manually buying it at the same price later that day, but the limit-order was not reached so I gave up on it.
AGQ: Bought at low of day! Then it went lower the next day.
URTY ²: Not sure why this trade was late. It seemed okay at the time, but now the model says I should have bought earlier.
New trading models
I finally finished a project that’s been on hold for months: I have refactored the trading models so the common code is pulled out into a separate file of macros. This makes it much easier to just code up a new model when I think of something. Since none of my current short-selling models seem to work very well, I’ve tried a whole bunch of new short models in the last two weeks — but none of them work well enough to use. Here are two examples:
Short: Before 4pm, when|
Cover: Before 4pm, when|
Stop: Updated at 4pm, use the lesser of
Basically, we short when slow-TRIX is favorable, price is below the lower Bollinger band, and has just dropped by a significant amount. We cover when quick-TRIX is unfavorable. There is a fixed stop at EMA and a trailing stop that’s based on the Average True Range rather than a fixed percentage.Results using TWM (2× leveraged inverse ETF):
This just isn’t very impressive. In order to avoid losing money during 2002‥2007, I can make only 2% during 2008, when the market dropped 33% in a month! It dropped 20% in 2011 but I get only 0.5%.
Short: Before 4pm, when|
|Stop: Updated every hour, use high from two hours ago.|
This model has the problem that Schwab doesn’t give me hourly highs, just high-of-day-so-far, so I would have to use barchart.com whose quotes are delayed by 20 minutes. So actually implementing this thing would be difficult.Results using TZA (3× leveraged inverse ETF):
I studied the chart for 2008 while constructing this model — and it does okay for that year only! It doesn’t manage to make anything in 2011 and its long-term average is a net loss. Useless.
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