Monthly Archives: December 2009

Australian Dollar Trend Broken, For Now Anyway

The Aussie Dollar broke its trend, according to my system on December 16, 2009. This coupled with the recent breakdown of Gold makes me wonder if the shiny stuff is taking a breather or the global economy is truly in the mend. I don’t care anymore, I just care about riding a trend, taking a chunk out of it, and then saying goodbye when it goes bad.

 

Anyway, I'm outta here for the year!  Happy New Year! See you in 2010.

Calling ATR and A Stop Loss Macro In TraderXL Pro

 

Yeah, I still use TraderXL Pro for a bunch of my data manipulation and technical analysis stuff. I use it to download data and run macros through it, macros that I design and then use in my trading screen. After my fucked up 2009 trading year, I had to revamp my entire arsenal of macros and screens for a brighter and more profitable future, I hope.
 
Anyway, below is one of the many macros I use in TraderXL Pro for generating an automatic stop loss using and Average True Range (ATR) function. I then suck this data into my trading screen, and through the use of other magical macros. I then determine if I have to move my stop or sit on my hands.
 
Since I love you guys, here’s the macro call for the ATR function and the stop loss. First name your spreadsheet Current_Stock_Holdings.xls (you can change this later) then copy this into the AutoRun Macro box in BulksquoteXL.
 
AverageTrueRange("G1","X");Current_Stock_Holdings.xls!Module1.Stop_loss_ATR;StockChart("OHLC","J1")
 
 
I use a 20 day time period for my ATR function, as the image above shows. You’ll have substitute “X” in the callout function above for the time period you want. It can be 5, 10, 15, or 50, whatever floats your boat and your needs.
 
Once you’ve done this, then you need to copy and paste in the macro for the stop loss function below. Make sure you save it to your spreadsheet locally. As with the ATR function, you’ll have to edit the X.X that I highlight below to a multiple that you like. It can be 1.5 or 5.5 times the ATR. This will generate wider or tighter stops based on your individual preferences. The smaller the number you input, the tighter the stop you generate. Conversely the larger the number you input, the looser the stop.
 
You can use the Macro Viewer function in TraderXL to import the macro below if you don’t know how to do it manually. Copy and paste the function between the ++++++++’s into a TXT file and then import it.
 
++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
Sub Stop_loss_ATR()
'
' Stop_loss_ATR Macro
' Macro recorded 12/15/2009 by neuralmarkettrends
'
 
'
    Range("H1").Select
    ActiveCell.FormulaR1C1 = "Stop Loss"
    Range("H21").Select
    ActiveCell.FormulaR1C1 = "=(RC[-3]-(RC[-1]*X.X))"
    Range("H21").Select
    Selection.NumberFormat = "0.0000"
    Selection.NumberFormat = "0.000"
    Selection.NumberFormat = "0.00"
    Selection.Copy
    Range("H22:H253").Select
    ActiveSheet.Paste
    Application.CutCopyMode = False
End Sub
 
+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
 
Just a side note, you might be wondering why I call the stockchart function “StockChart("OHLC","J1").” I do that so I can create a nice candlestick chart next to the downloaded data as eye candy.
 
That’s it, there you have it. Now go cause mischief!

50% Off On TraderXL Till December 31, 2009

If you're itching to buy TraderXL and have put it off, now's the time to do it.  They are offering a 50% coupon code for TraderXL and other codes for individual packages. TraderXL is the only XLS addon package that I use religiously for all my technical analysis, data manipulation, and macro writing.  Do it, its worth it!

Current Stock Positions – Dec 2009

I'm using a very simple trend strategy now.  I just buy all-time highs, use strict positioning sizes, and enter a volatility stop each and everytime.  I let the market tell me which stocks to buy (and when to get out) instead of a complicated neural net system.

My $GOLD trade was the beginning of my simplification of my trend strategy, it was a winner and I realized that perhaps I've been doing everything wrong.  It wasn't until November that I started entering positions, losing a bit of money here and there, and then finally honing my new strategy.

Positions sold or reduced

  1. $GOLD (sold 6/3/09)
  2. $JNJ (sold 12/22/09)

Current Positions

  1. $DTV
  2. $WCRX
  3. $JNJ
  4. $V

Stalking

  1. $TEVA
  2. $SWN

Mea Culpa – What I Learned From This Market Crash

I got my ass spanked in the markets over the last year.  My 401k portfolios are surviving after some severe drawdowns (25%) between 2008 and 2009 and my trading capital in my Forex and Stock accounts got destroyed.  Luckily it was only risk capital, money I could afford to lose, but it still hurts anway.  So what did I learn from this hell of a market?  I learned that I’m not as smart as the market and that I tried to second guess it too much.  When times were good my system worked, when times got bad It hammered me. 

Perhaps the biggest thing I learned in this market crash is that nearly all my neural net trading models FAILED.  Yes, the models that were designed to alert me to impending market doom failed for the most part.  My volatility and timing model did OK but they had some major issues as well which I’ll discuss below. 

So today’s post is really a cathartic one for me.  It’s a mea cupla of sorts, a post in which I take my lumps and start to exorcise my trading demons.  It’s about the things I did wrong over the past year and hopefully a reminder to never repeat again.  Plus, it’s another way to ease myself into trading and posting to this blog again. 

As I rebuild my portfolios in 2010, I expect not to solely rely on neural net models again.  I realized that in a crazy market, neural nets can’t adjust fast enough.  As the market was crashing, my models were generating BUY signals when the market was obviously telling me they were wrong.  If only I had listened to the market instead of the models!  I learned that my biggest mistake was something called “confirmation bias.”  I wanted to believe what my models were telling and I traded accordingly.  Why?  Well it always seemed to have worked in the past, so why should this time be different? 

By the time I realized that there was a discontinuity between what the market was TRYING to tell me and what my models were generating, it was too late.  I had to unwind many positions at a big loss

I also made some severe psychological mistakes like not following strict money management rules and getting caught up in the market hype.  I thought it would never happen to me but it did.  In the end, I loosely followed money management rules and leveraged myself too much.  I didn’t honor all stops and threw caution to the wind.  In the end, I got what I deserved.

However, a few of my models performed OK.  My market timing and volatility models held up surprisingly well in the face of this Armageddon. A few wheels came off of them when the $VIX hit 80+ but it managed to generate signals at all upcoming market inflection points.  The problem with the timing model was that it generated too many BUY signals, not necessarily at the wrong time, but not at the optimal time.  The timing model hit all the turning points in the market but it couldn’t differentiate which ones were the major ones, the ones where I should’ve moved more money into the markets.  

So I got trapped in positions that in a normal market pullback made sense, but not in a market crash.  As a result of this shotgun approach, my 401K is up 20% for they year, as opposed to the 60% that the market has rebounded too.  Oh well, I guess I’ll have to refine or rebuild those models. 

This learning lesson doesn’t mean that I’m abandoning neural net models completely, I’m just reassessing how they’ll fit into my overall trading system.  I’m also sticking with a trend approach to trading but severely simplifying it.  I’m not as smart as the market and why should I spend time building sophisticated trend models when I can just look at Price and Volume, and trade accordingly.  I will listen to what the market is telling me and avoid the hype in the news.  Money talks, Bullshit walks.

In the end, this market crash taught me many BIG lessons and that I’m taking to heart.  I’m a bit older and hopefully wiser now and look forward to a new year, filled with trading opportunities no matter if we’re in Depression, Recession, or Bull Market. 

In closing this post, I wanted to thank all my readers who stuck around.  My feedburner stats have keep relatively stable since I posted about closing down this blog.  I do plan on returning to posting in 2010 but the frequency and content is still up for grabs, and I plan on providing a separate subscription service (separate newsletter of sorts) in the future. 

Thanks for reading.  I want to wish each and every one of you a Happy Holiday season and a Happy New Year, may 2010 be profitable for you!