Week of 2013 AU 30

IWM fell by 3.4% this week, while my account fell 3.3%.  The loss-floor is steady at -7.2%.

End of week allocations:

% gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   AGQ AU09 │ +3.6 13 +3.9 13 +4.0 12 +3.9 12 +3.4 12 +2.9 13 │ +2.3 +3.1 YHOO ¹ AU21 │ +0.3 11 +0.2 10 +0.0 10 +0.0 10 +0.0 10 +0.0 0 │ -0.2 -0.2 URTY ¹ AU21 │ +0.4 11 +0.4 11 +0.0 10 +0.0 10 +0.0 10 +0.0 0 │ -1.2 -0.8 FNSR ¹ AU22 │ +0.3 12 +0.3 12 -0.2 12 -0.2 12 -0.2 12 -0.2 12 │ -1.0 -1.0 TNA AU26 │ -0.2 10 -0.6 10 -0.6 10 -0.6 10 -0.6 0 │ -0.8 -0.6 ATML AU29 │ +0.2 10 -0.1 10 │ -0.4 -0.4 URTY ² AU29 │ -0.1 10 -0.5 10 │ -1.0 -1.1 YHOO ² AU30 │ -0.1 11 │ -0.8 -0.8 FNSR ² AU30 │ -0.2 8 │ -0.8 -0.8 IWM │ +25.0 +25.0 +22.1 +22.3 +23.6 +21.6 │ me │ -2.5 -2.5 -3.8 -4.0 -4.4 -5.8 │ floor │ -7.2 -7.2 -5.8 -4.8 -6.2 -7.2 │

AGQ: Did great!  Friday morning’s gap-down below stop reduced my gain a little, but still pretty good.  Unfortunately, losses on other trades over the last three weeks ate up all these profits.

YHOO ¹, URTY ¹: Eked out just enough profit to cover trading costs.

FNSR ¹, TNA, URTY ²: Losers.

ATML, YHOO ², FNSR ²: Losers so far.

Stock-trading robot

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Acct Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
AGQ		AU 09 09:30			$18.07			AU 30 09:30			$23.91	$23.87		+3.01%	+2.95%
URTY ¹		AU 20 12:00	AU 21 09:30		$61.76	$61.08		AU 27 11:00			$61.35	$61.43		-0.07%	+0.02%
YHOO ¹		AU 21 09:30			$27.09			AU 27 09:30			$27.24	$27.25		+0.03%
FNSR ¹		AU 22 09:30			$20.62			AU 28 09:30			$20.31			-0.18%	-0.20%
TNA		AU 26 11:00			$57.39	$57.43		AU 27 11:00	AU 27 10:25		$54.44	$54.43		-0.55%	-0.56%
SRTY ¹		AU 28 10:00	(Skipped)		$17.21			AU 28 11:00			$17.21			-0.03%	+0.00%
ATML		AU 29 09:30			$7.32			(Not yet)
URTY ²		AU 29 12:00			$61.85	$61.92		AU 30 13:00			$59.39	$59.27		-0.44%	-0.47%
YHOO ²		AU 30 09:30			$27.39			(Not yet)
FNSR ²		AU 30 09:30			$20.90			(Not yet)
SRTY ²		AU 30 12:00	(Skipped)		$17.24			AU 30 13:00			$17.21			-0.05%	+0.00%
SRTY ³		AU 30 14:00	(Skipped)		$17.30			(Not yet)

AGQ: Stopped out at open.  Didn’t get the opening price, but slightly less.  Still, actual profit very close to model profit!

FNSR ¹: No excuse for model profit to differ from actual profit, so I’m not sure what’s going on here.

TNA: Stopped out.

SRTY: Not working.  Still get “stop-price on wrong side of purchase price” error, which I thought I had fixed already.  Needs more attention.  The SRTY ¹ trade was especially silly, since the stop-price was equal to the purchase price!

Week of 2013 AU 23

IWM rose by 1.8% this week, while my account rose 1.7% to its highest value since MA 31 and nearly up to its value from MR 28.  The loss-floor has fallen to -7.2%.

US market news: On Thursday, the NASDAQ market shut down at 12:21pm due to a quote-storm, which eventually overtook all other markets except ARCA (which apparently was the source of the problem).  Markets reopened at 3:25 EST.  Multiple hours of widespread trading halts seemed to have remarkably little effect on anything — perhaps this market really is completely rigged?

End of week allocations:

% gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   UWM JL15 │ -0.3 9 -0.3 9 -0.3 9 -0.3 9 -0.3 0 │ -0.3 -0.3 AGQ AU09 │ +2.7 13 +2.7 13 +2.5 12 +2.5 12 +2.6 12 +3.6 13 │ +1.5 +2.3 ATML AU13 │ +0.1 10 -0.1 10 -0.1 10 -0.1 10 -0.1 10 -0.1 0 │ -0.7 -0.7 YHOO AU21 │ -0.0 10 +0.3 11 +0.3 11 │ -0.2 -0.2 URTY AU21 │ -0.1 10 +0.3 11 +0.4 11 │ -0.5 -1.2 FNSR AU22 │ +0.0 12 +0.3 12 │ -1.0 -1.0 IWM │ +23.2 +22.0 +23.7 +23.0 +24.7 +25.0 │ me │ -4.2 -4.4 -4.6 -4.8 -3.9 -2.5 │ floor │ -6.1 -5.9 -5.3 -6.7 -7.7 -7.2 │

AGQ: Continuing to do well!  Max loss is now 2.3% above water, so a profitable end for this trade seems “guaranteed”.

Gold trading

Still have a “Buy” signal!  Still haven’t bought it.

Stock-trading robot

On Wednesday, all stop-updates failed due to some problem at Schwab, which prevented loading of the subpage that shows how many shares I currently hold.  As of Thursday it was working again so I couldn't debug what had happened.

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Acct Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
UWM		JL 05 09:30	JL 15 09:30		$63.31	$67.95		AU 19 16:00	AU 19 09:31		$65.98	$65.93		+0.41%	-0.31%
AGQ		AU 09 09:30			$18.07			(Not yet)
ATML		AU 13 09:30			$7.53			AU 20 09:30			$7.47			-0.11%
URTY		AU 20 12:00	AU 21 09:30		$61.76	$61.08		(Not yet)
YHOO		AU 21 09:30			$27.09			(Not yet)
FNSR		AU 22 09:30			$20.62			(Not yet)

UWM: Last of the late-to-the-party trades from JL 15.  Because I was so late, this ended up being a loser instead of a winner.  Oh well.  This trade stopped out; I’m still not sure what number to use for “model sell price” for these leveraged tickers; shown here is the stop-price that had been set (there was some “slippage”).

ATML: Perfectly normal trade.  Everything went as expected.  Unfortunately, it was a loser.

URTY: Robot trade did not go through on Tuesday (Schwab timed out), but I didn't notice until end-of-day, so bought the next morning.  Got a better price, anyway.

Week of 2013 AU 16

IWM fell by 2.9% this week, while my account rose 2.2%.  The loss-floor has risen to -6.1%, which is higher than last week’s value for my account, so I’ve actually made a profit and taken some of it off the betting table!

End of week allocations:

% gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   UWM JL15 │ +0.1  10  +0.2  10  +0.2  10  +0.1  10  -0.2  9  -0.3  9  │ -0.3 -0.3 YHOO JL25 │ -0.1  11  +0.2  11  +0.2  11  +0.1  11  +0.0  11  +0.0  11  │ -0.5 -0.5 FNSR AU08 │ -0.2  13  -0.2  13  -0.4  12  -0.4  12  -0.4  12  -0.4  12  │ -1.9 -1.9 AGQ AU09 │ +0.1  10  +0.9  11  +1.0  11  +1.4  11  +2.5  12  +2.7  13  │ -0.7 +1.5 URTY AU09 │ -0.0  11  +0.1  11  +0.1  11  +0.0  11  +0.0  11  +0.0  11  │ -1.0 -1.0 ATML AU13 │ +0.3  10  +0.1  10  +0.0  10  +0.1  10  │ -0.7 -0.7 SRTY AU15 │ +0.1  11  +0.1  11  │ -0.3 -0.3 IWM │ +26.1     +26.7     +26.6     +26.1     +23.7     +23.2     │ me │ -6.4 -5.1 -5.0 -5.1 -4.4 -4.2 │ floor │ -10.8 -10.9 -10.7 -8.2 -6.7 -6.1 │

AGQ: Doing great!  Clearly my best performer so far using the new system.  “Max loss” is now above zero, meaning that some of the profit has already been taken off the betting table.
      The stop price for Tuesday night was too low.  Problem was that the CHANDELIER function uses a Donchian channel, which waits an extra day before recognizing a new peak.  Fixed to use the new peak immediately if it exceeds the Donchian channel.

Gold trading

Still have a “Buy” signal!  But I still haven’t bought it.  Seems less urgent since AGQ is silver so I already have a precious-metals allocation.

Stock-trading robot

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Acct Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
UWM		JL 05 09:30	JL 15 09:30		$63.31	$67.95		(Not yet)
YHOO		JL 25 09:30			$27.73			AU 15 09:30			$27.83			+0.0%
FNSR		AU 08 09:30			$22.10			AU 14 09:30			$21.49			-0.30%	-0.37%
AGQ		AU 09 09:30			$18.07			(Not yet)
URTY		AU 09 11:00			$65.63	$65.60		AU 14 14:00			$66.03	$65.87		+0.01%
ATML		AU 13 09:30			$7.53			(Not yet)
SRTY		AU 15 10:00			$16.51			AU 16 10:00	AU 16 10:33		$16.76	$16.74		+0.25%	+0.11%

YHOO: Correct robot operation, but this trade happened not to make any profit.

FNSR: The loss was slightly larger than expected because the trade size was 13% of account instead of 10% (in order to make the trade size be a whole multiple of 100 shares).
      Robot said “sell” Tuesday night, then “adjSx” for Wednesday night even though I didn’t own it any more.  Problem was that the stop-update code uses only the latest day as the test period and the code for handling trades straddling the beginning of test period was interfering with the “retest after 3 days” rule.  Fixed.

URTY: Correct robot operation.  Due to leverage, profit “should have been” larger than expected, but I didn’t get a good sale price so I ended up getting exactly as little profit as the model called for.

SRTY: Robot got confused because IWM gapped below its 220-hour moving average from Wednesday night to Thursday morning.  On Friday morning it thought the position had stopped out, so I sold manually.  Robot needs more work on dealing with what happens when the stop-régime suddenly flips like this.

Week of 2013 AU 09

IWM fell by 1.4% this week.  My account fell 1.0% to its lowest value ever.  The loss-floor has fallen to -10.8%.

End of week allocations:

% gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   UWM JL15 │ +0.4  10  +0.4  10  +0.2  10  +0.1  10  +0.1  10  +0.1  10  │ -0.4 -0.3 YHOO JL25 │ -0.1  11  -0.1  11  -0.2  11  -0.2  11  -0.1  11  -0.1  11  │ -0.6 -0.5 URTY ² JL31 │ +0.6  21  +0.8  21  +0.1  20  +0.1  20  +0.1  20  +0.1  0  │ -2.0 -1.9 TNA JL31 │ +0.1  11  +0.2  11  -0.1  11  -0.1  11  -0.1  11  -0.1  0  │ -0.5 -0.1 FNSR AU08 │ -0.0  13  -0.2  13  │ -1.6 -1.9 AGQ AU09 │ +0.1  10  │ -0.7 -0.7 URTY ³ AU09 │ -0.0  11  │ -1.0 -1.0 IWM │ +27.5     +27.9     +26.6     +25.7     +26.1     +26.1     │ me │ -5.4 -5.1 -6.4 -6.5 -6.5 -6.4 │ floor │ -9.9 -9.6 -7.3 -7.3 -9.1 -10.8 │

URTY ², TNA: Two more completed trades using the new trading model.  A profit and a loss that cancelled each other out.

Gold trading

We have a “Buy” signal!  But I haven’t bought yet.

Stock-trading robot

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Acct Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
UWM		JL 05 09:30	JL 15 09:30		$63.31	$67.95		(Not yet)
YHOO		JL 25 09:30			$27.73			(Not yet)
URTY ²		JL 31 11:00	JL 31 11:34		$65.97	$65.61		AU 06 11:00	AU 06 11:17		$65.86	$66.09		+0.13%	+0.11%
TNA		JL 31 15:00			$59.39	$59.40		AU 06 11:00	AU 06 10:30			$59.26		-0.18%	-0.06%
SRTY		AU 06 11:00	(Skipped)		$15.78			AU 06 12:00						+0.04%
FNSR		AU 08 09:30			$22.10			(Not yet)
AGQ		AU 09 09:30			$18.07			(Not yet)
URTY ³		AU 09 11:00			$65.63	$65.60		(Not yet)

URTY ²: Robot sale didn’t work, because Schwab once again decided to take over 30 seconds to reply to my request for a quote.  Entered manually.  Note that the “Model buy-price” and “Model sell-price” are the top-of-hour prices for URTY, while the “Model profit” is 3× the profit for the top-of-hour prices of IWM.  Usually they are closely coupled; but in this case, because my trades didn’t go through on time and I am often the only person trading URTY at the top of the hour, the model prices are quite far off, while the model profit ended up being mostly accurate.

TNA: Stopped out.

SRTY: Missed this trade because the model uses low-of-last-hour but Schwab provides low-of-day-so-far.  Minimal profit, but still the model needs adjustment to be more realistic.  Should use close-of-last-hour for hourly trades.

FNSR: Jumped after positive earnings surprise Tuesday night.  Hasn’t moved much since.

URTY ³: Robot purchase went through successfuly.  And I bought it back for less than I had sold it for previously!

Week of 2013 AU 02

IWM rose by 1.3% this week.  My account rose 0.1%.  The loss-floor has fallen to -9.9%.

End of week allocations:

% gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   UWM JL15 │ +0.2  10  +0.0  10  +0.1  10  +0.1  10  +0.3  10  +0.4  10  │ -0.5 -0.4 URTY ¹ JL15 │ +0.3  10  +0.1  10  +0.1  10  +0.1  10  +0.1  0  │ -0.8 -0.8 AGQ JL23 │ -0.2   9  -0.4  9  -0.5  9  -0.7  9  -0.7  9  -0.7  9  │ -0.8 -0.7 YHOO JL25 │ +0.1  11  +0.0  11  +0.1  11  +0.1  11  +0.1  11  -0.1  11  │ -0.7 -0.6 URTY ² JL31 │ -0.3  20  +0.5  21  +0.6  21  │ -2.2 -2.0 TNA JL31 │ -0.3  10  +0.1  10  +0.1  10  │ -0.5 -0.5 IWM │ +26.2     +25.3     +25.4     +25.6     +27.3     +27.5     │ me │ -5.5 -6.1 -6.1 -6.9 -5.4 -5.4 │ floor │ -8.5 -7.6 -7.5 -10.0 -10.1 -9.9 │

URTY ¹: Another completed trade using the new trading model!  Minimal profit, and bought it back two days later for more money, so not the best move.

AGQ: Another completed trade.  Not a huge loss, but it ate up all of this week’s profits from the other tickers.

PPO-based swing trades

Retuned using the new archival data.  Yellow below indicates changes from the table given on 2012 JL 20.

Bull swing (TNA)	Bear swing (TZA)
Buy signal:
Time = 11am–3pm, on the hour PEAKFREQ(140,8) ≤ 11 TRIX(8,2) > 0 This hour’s price > 99.9% of previous hour’s price This hour’s price > stop This hour’s price ≥ SMA(1) This hour’s price > max of preceding 23 hourly prices PPO(8,73,1) < +1.6 PPO(8,73,12) > +0.16 PPO(8,73,12) has gone below -0.41 since last sale STDDEV(81) < its EMA(8)	Time = 10am–3pm, on the hour PEAKFREQ(140,8) ≤ 10 TRIX(24,2) < 0 This hour’s price < 100.1% of previous hour’s price This hour’s price < stop This hour’s price ≤ SMA(74) This hour’s price < min of preceding 33 hourly prices PPO(10,60,1) > -1.8 PPO(10,60,8) < -0.05 PPO(10,60,8) has gone above +0.15 since last sale STDDEV(33) < its EMA(4)
Alternate buy signal:
(None)	Time = 10am–3pm, on the hour This hour’s price < SMA(74) This hour’s PPO(10,60,8) minus its value from 20 hours ago < -1.55 It has been at least 2 hours since last sale.
Buy-more signal:
Time = 10am–4pm, on the hour Either PPO(8,73,12) has risen by at least 0.001 during each of the last two hours PPO(8,73,12) has changed by less than ±0.001 during the last hour and rose by at least 0.001 during each of the preceding two hours PPO(8,73,12) fell by at least 0.001 during the two hours before that. STDDEV(81) < its EMA(8) Have bought no more than 1 tranche so far If signal received at 10am or 4pm, postpone purchase to 11am	Time = 10am–4pm, on the hour Either PPO(10,60,8) has fallen by at least 0.015 during each of the last two hours PPO(10,60,8) has changed by less than ±0.015 during the last hour and fell  by at least 0.015 during each of the preceding two hours PPO(10,60,8) rose by at least 0.015 during the two hours before that. STDDEV(33) < its EMA(4) Have bought 3 or fewer tranches so far If signal received at 4pm, postpone purchase to 10am 10am or
Sell signal:
Time = 11am–3pm, on the hour 99.9%  of this hour’s price < previous hour’s price This hour’s PPO(8,73,12) < -0.41 PPO(8,73,12) has gone above +0.16 since original purchase	Time = 10am–3pm, on the hour 100.1% of this hour’s price > previous hour’s price This hour’s PPO(10,60,8) > +0.15 PPO(10,60,8) has gone below -0.05 since original purchase
Alternate sell signal:
Time = 11am–3pm, on the hour This hour’s PPO(8,73,12) minus its value from 20 hours ago < -2.95 It has been at least 0 hours since last purchase.	Time = 10am–3pm, on the hour This hour’s PPO(10,60,8) minus its value from 20 hours ago > +1.3 It has been at least 2 hours since last purchase.
Stop update:
Time = 10am Calculate new stop = lowest price seen in preceding 22 hours. Raise new stop to 0% of the highest price seen in preceding 22 hours, if less than that If I don’t currently own TNA, replace stop with the newly-calculated value.  Otherwise: Discard new stop (and keep the old one) if the new value is lower Sell now if lowest price of last 22 hours occurred during the last hour Otherwise, convert the IWM-based stop to the corresponding TNA price and update the standing stop-order at Schwab	Time = 10am Calculate new stop = highest price seen in preceding 22 hours. Lower new stop to 105.5% of the lowest price seen in preceding 22 hours, if greater than that If I don’t currently own TZA, replace stop with the newly-calculated value.  Otherwise: Discard new stop (and keep the old one) if the new value is higher Sell now if highest price of last 22 hours occurred during the last hour Otherwise, convert the IWM-based stop to the corresponding TZA price and update the standing stop-order at Schwab

For TNA, some of these revised parameter values cause the corresponding feature to be disabled.  SMA(1) is always equal to the current price, so this clause will never block a purchase.  This hour’s PPO(8,73,12) minus its value from 20 hours ago must be > 99, which disables the alternate-buy rule.  The stop is raised only if it is 0% of the price, which disables the trailing-stop element of the rule.

Below is a comparison of the old and new parameter-sets.  The old parameter-set was tuned on 2008‥2011, while the new one was tuned on 2002‥2011.  The “All” column assumes that I invest 300% of my money in IWM, while the two “TNA” columns assume that I invest 30% of my money in IWM (but actually 10% in TNA), while the “TZA” columns assume that I hold a 30% short position in IWM (but actually I will go 10% long TZA).

				TNA			TZA
		All		old	new		old	new
2003		135%		1.6%	6.6%		-0.2%	0.5%
2004		51%		5.0%	7.0%		-1.6%	0.7%
2005		9%		0.7%	-1.7%		0.1%	0.2%
2006		51%		-1.5%	-3.2%		-3.2%	-1.3%
2007		-6%		-1.1%	0.8%		-3.6%	-0.2%
2008		-114%		10.5%	8.5%		20.5%	24.9%
2009		99%		4.1%	14.9%		2.7%	1.6%
2010		69%		11.6%	9.6%		8.1%	5.6%
2011		18%		8.0%	8.4%		15.3%	13.2%
2012		36%		2.6%	-2.0%		-3.1%	-0.9%
TOTAL		351%		41.9%	52.4%		35.5%	44.7%

Note that both old and new tunings for both tickers show multi-year periods of losess!  The new TNA model would not have done well in either 2005 or 2006, while the new TZA model would have done badly in 2006 and 2007.  Also note that both retuned models show losses for 2012.

Gold trading

Still no “Buy” signal.  Weekly MACD(14,25,9) = -0.01, but I want to see a positive value.  Keep waiting.

Stock-trading robot

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Acct Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
UWM		JL 05 09:30	JL 15 09:30		$63.31	$67.95		(Not yet)
URTY ¹		JN 25 10:00	JL 15 09:30		$50.02	$63.70		JL 29 13:00			$64.50	$64.55		+2.6%	+0.1%
AGQ		JL 23 09:30			$18.08			JL 23 16:00	JL 23 10:54		$16.68			-0.79%	-0.72%
YHOO		JL 25 09:30			$27.73			(Not yet)
URTY ²		JL 31 11:00	JL 31 11:34		$65.97	$65.61		(Not yet)
TNA		JL 31 15:00			$59.39	$59.40		(Not yet)

URTY ¹: Once again, got very little profit because I was very late to a trade-already-in-progress.  Still, got a profit!

AGQ: Stopped out.  Robot functioned properly, but this trade happened to be a loser.

URTY ²: Robot purchase didn’t work, due to bugs in the debugging code I inserted to try to deal with SRTY trades.  By the time I bought manually, it was ½ hour later and prices had conveniently fallen.  Unfortunately, I bought twice as much as intended because the tranche-size was still set to 20% of account, even though I have started using 10% tranches recently.

Week of 2013 JL 26

IWM fell by 0.2% this week.  My account fell 0.1%.  The loss-floor has risen to -8.5%.

I converted eleven years of hourly charts to a fresh database of IWM historical prices.  This should yield better results, as now the database is consistent (all downloaded on the same day) and much larger (the old database went back only to 2008, which is not enough to see all the market’s moods).

End of week allocations:

Daily % gain size │ Max loss Sym  Buy │  Fri  Mon  Tue  Wed  Thu  Fri │ Beg   End   FNSR JL15 │ +0.1  10  +0.2  10  +0.1  10  +0.2  10  +0.2  10  +0.2  10  │ -1.5 -1.4 UWM JL15 │ +0.2  10  +0.3  10  +0.2  10  +0.1  10  +0.2  10  +0.2  10  │ -0.6 -0.5 URTY JL15 │ +0.3  10  +0.4  10  +0.4  10  +0.1  10  +0.4  10  +0.3  10  │ -1.3 -0.8 AGQ JL23 │ +0.1  10  -0.1  10  -0.1  10  -0.2   9  │ -1.2 -0.8 SRTY JL24 │ -0.1  10  -0.1  10  -0.1  10  │ YHOO JL25 │ +0.2  10  +0.1  10  │ -0.7 -0.7 IWM │ +26.4     +26.7     +26.6     +25.5     +26.7     +26.2     │ me │ -5.4 -5.2 -5.1 -5.8 -5.2 -5.5 │ floor │ -9.3 -9.1 -9.9 -9.5 -9.0 -8.5 │

FNSR: First completed trade using the new trading model!  Sold it for 3% more than I paid for it, but had invested only 10% of my money, so (with trading costs) gained only 0.2% from it.

Double-TRIX trading model

Now supports short-selling models.

	Long	Short
Buy signal:	When all are true: TRIX(q) > its EMA(2) Either TRIX(q) < 0 OR TRIX(s) > its EMA(2) close ≤ SMA(q) Low > stop For a daily trade, the signal is given after the daily close and so the purchase is at tomorrow’s opening price.  For hourly, signals are given on the hour 11am‥3pm and the purchase is immediate.	When all are true: TRIX(q) < its EMA(2) Either TRIX(q) > 0 OR TRIX(s) < its EMA(2) close ≥ SMA(q) High < stop For a daily trade, the signal is given after the daily close and so the purchase is at tomorrow’s opening price.  For hourly, signals are given on the hour 10am‥3pm and the purchase is immediate.
Sell signal:	When all are true: TRIX(q) < its EMA(2) TRIX(s) < its EMA(2) For a daily trade, the signal is given after the daily close and so the sale is at tomorrow’s opening price.  For hourly, signals are given on the hour 11am‥3pm and the sale is immediate.	When all are true: TRIX(q) > its EMA(2) TRIX(s) > its EMA(2) For a daily trade, the signal is given after the daily close and so the sale is at tomorrow’s opening price.  For hourly, signals are given on the hour 10am‥3pm and the sale is immediate.
Retest sale:	When exactly w periods have passed after a purchase, if close < m times the purchase price, then sell (next day for daily, immediately for hourly).	When exactly w periods have passed after a purchase, if close > m times the purchase price, then sell (next day for daily, immediately for hourly).
Stop price:	If close > SMA(s): stop = CHANDELIER(c⁺,a⁺) Otherwise: stop = CHANDELIER(c⁻,a⁻) For daily or hourly trades, the stop is recalculated once per day, after market close, and is used as the stop-price for the following day.  At any time, if low < stop, then we recognize that the shares were sold and the trade is over.	If close < SMA(s): stop = CHANDELIER(c⁺,a⁺) Otherwise: stop = CHANDELIER(c⁻,a⁻) For daily or hourly trades, the stop is recalculated once per day, after market close, and is used as the stop-price for the following day.  At any time, if high > stop, then we recognize that the shares were sold and the trade is over.

I have added some additional tickers to the set that this model can work with.  SRTY will now be traded using this model rather than the MACD-based one.  Also, the URTY model has been retuned since now there is more archival IWM data to train it on:

		(daily)								(hourly)
Model ticker:		ATML	FNSR	YHOO	SCHH	IWC	SLV	IWM		IWM	IWM
Trade ticker		ATML	FNSR	YHOO	SCHH	IWC	AGQ (2×)	UWM (2×)		URTY (3×)	SRTY (3×)
TRIX(q)		3	3	2	4	14	4	12		16	5
TRIX(s)		17	17	28	23	64	23	51		97	6
SMA(q)		9	1	10	8	4	1	3		1	1
SMA(s)		240	270	120	210	190	250	130		180	220
CHANDELIER(c⁺,a⁺)		27, 4.9	25, 6.0	27, 5.0	10, 5.0	19, 4.7	11, 4.6	32, 3.4		314, 12.9	305, 11.1
CHANDELIER(c⁻,a⁻)		21, 4.2	22, 3.8	21, 3.9	20, 2.3	22, 2.7	20, 2.3	23, 2.7		32, 11.1	24, 3.9
RETEST(w,m)		4, 1.01	3, 0.99	3, 0.995	3, 1.01	4, 0.995	1, 0.99	3, 1.00		999, 1.0	999, 1.0

The RETEST function doesn’t seem to be useful for hourly trading, so I’ve set its parameters to (999,1.0) to disable it for those cases.

IWC is currently on a “buy” signal, but I haven’t bought because it looks like the uptrend is nearly over.  I’m waiting for some retrace action before beginning to use this model.

I have done a test to see whether it really makes sense to model one ticker while trading another.  Here is a chart of simulated gains:

Year	AGQ	SLV (2×)	Model SLV, trade AGQ
2010	1.0%	4.4%	4.7%
2011	8.2%	9.5%	9.8%
2012	1.6%	2.7%	2.7%

As you can see, modelling AGQ directly doesn’t work very well because the leverage interferes with the technical indicators.  Trading a double-sized tranche of SLV is okay (except it uses up twice as much capital), but best results are obtained when modelling SLV while trading AGQ.

MACD-based short-swing/news trades

This model is now out of use.  Next week, I will start using the new double-TRIX model to trade SRTY.

PPO-based swing trades

This model should be retuned now that I have a lot more archival data available.  The TNA and TZA trades haven’t been doing very well with their current tunings.

Gold trading

No “Buy” signal yet for this model, but getting close!  Maybe next week.

Stock-trading robot

Some glitches this week, but it seems the stop-update for daily trades is now working.

Ticker Symbol		Buy date			Buy price			Sell date			Sell price			Acct Profit
		Model	Actual		M	A		Model	Actual		M	A		M	A
FNSR		MA 29 09:30	JL 15 09:30		$12.81	$18.48		JL 25 09:30			$18.67			4.6%	0.2%
UWM		JL 05 09:30	JL 15 09:30		$63.31	$67.95		(Not yet)
URTY		JN 25 10:00	JL 15 09:30		$50.02	$63.70		(Not yet)
AGQ		JL 23 09:30			$18.08			(Not yet)
SRTY		JL 24 15:00	JL 24 14:00		$16.06	$16.10		JL 25 10:00	JL 24 14:00		$15.97	$16.08		-0.1%
YHOO		JL 25 09:30			$27.73			(Not yet)

FNSR: Got very little profit because I was very late to a trade-already-in-progress.  Still, got a profit!

URTY: The new model parameters would have bought on JN 25 rather than JL 01.

SRTY: Last trade using the old MACD-based model.  The robot screwed up and set a stop price that was above the purchase price, so Schwab sold it immediately.  I think this robot problem affects all short hourly models, so it needs looking into.  Luckily, the trade turned out to be a loser so there was no excess loss from aborting it.