pftq's Stocks and Investing

Trading Guide

Tech Trader

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607 unique view(s)

August 25th, 2015

August 25th, 2015 2:41:02 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Freaking trendline breaks strategy (one of my first super-primitive ones years ago) is doing extremely well.  Up 15% now for the month.  Perhaps I should give the abandoned strategy a more serious look; hard to say.
August 25th, 2015 4:34:00 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Here's a review of where things are at.  Tech Trader did end up taking a hit (largely Monday) and is down 5% off the highs of 20%.  Markets are off about 12% from the highs, however, and SPY is actually negative for the year now.   The playbook currently is in ETFs and market timing.  Positions in individual names remain very neutral as a portfolio thanks to the large exposure cutting that Tech Trader did in July.  Tech Trader is getting longer on each sell off day but only in increments where it thinks might be the bottom, leaving a lot of dry powder to average down.  As the market bounces, Tech Trader will scale some out, and if we go lower, it will average down again.  It will do this until we get back into an uptrend of sorts where market timing signals will then recede and individual names start coming back into play.

Currently it is 112% long by 24% short, with 30% of that long exposure just now being added from Tuesday's close.  If you look at exposures below, you'll see that long is slowly increasing but in the sector charts, all the exposure is coming from ETFs (n/a) which is dwarfing any contribution from individual names right now.  



As usual, a YTD chart of SPY for comparison always highlights how stable Tech Trader's performance is compared to the market despite being largely net long most the year (let's not kid ourselves, SPY looks like a nightmare).
August 25th, 2015 6:43:34 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Prodigal signal returns again.  Let's see if it can finally hold into the close.

Update: No bottom signal per se but Tech Trader bought anyway at the very last minute at $187.41 due to the volume and severe price decline.  Fingers crossed; didn't take a bottom signal to bounce from October.  Very last minute (literally) buy though at the sudden plunge below $188 and only possible because Tech Trader is fully automated.

580 unique view(s)

August 24th, 2015

August 24th, 2015 7:19:07 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
At long last, my once-in-a-blue-moon buy signal on SPY is finally here. I've been waiting all year for this.  Grin
Would wait until close, don't get hasty in case of the remote chance Tech Trader changes its mind.
(but seriously, what are the chances of filling a $10 gap in SPY by end of day?)
Update: Yet again cancelled near the close.  The volume and price action is there though, so it'll probably be soon.  I need to stop posting these in advance before they actually get traded.  The only thing we got is a couple ETFs (XLV and SLV) intraday again. <_<
SPY on Tech Trader

This is what a proper sell off looks like.  Tech Trader wants to buy *everything*.  Days like this are a beautiful example of how Tech Trader is NOT quant or conventional algo trading and definitely not mean reverting. All the other quants I know of started scaling in last week and got hit big time, unlike Tech Trader aiming for precision with technical analysis to figure out the exact bottoms (or at least pretty darn close).
August 24th, 2015 1:11:58 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Lost the SPY bottom at close.  Those last minutes really matter.  The signal eludes me yet again.  Fingers crossed we get it tomorrow.
August 24th, 2015 7:55:55 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
What's even more amazing is how all the intraday signals just sidestepped today's action and stayed quiet to let the big daily ones take over.  None of this is coded.  Freaking swarm intelligence at work here lol

Days like this are a beautiful example of how Tech Trader is NOT quant or conventional algo trading and definitely not mean reverting. All the other quants I know of started scaling in last week and got hit big time, unlike Tech Trader aiming for precision with technical analysis to figure out the exact bottoms (or at least pretty darn close).
454 unique view(s)

August 23rd, 2015

August 23rd, 2015 10:56:13 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Added the strike selection logic for options to the Tech Trader interface.

(note, prices are a bit out of wack on weekends, so if this were run tomorrow morning, we would probably get a nearer-money strike)

I don't know if this is delta or some other metric/technique.  It's how I've always picked my own strikes when trading options, but I never had a name for it.
410 unique view(s)

August 22nd, 2015

August 22nd, 2015 3:53:23 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
It just hit me that SPY is really under $200.  This is like one of the once-in-a-blue-moon opportunities to buy SPY on Tech Trader's bottom signal once it hits.  That's the one we should really be waiting for and should be lining up capital to go in on.  Need to wake up here and stop getting side tracked with UNG and all these other distractions.

This is the bottom signal on SPY since 2008.  Super rare.
406 unique view(s)

August 21st, 2015

August 21st, 2015 6:53:37 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
It's only the first half hour of the day, and Tech Trader is already outpeforming market again, down only .5% when the indicies are down 1%.  Shorts like TASR (5%) helping a lot today.  Added - signs to the charts to show where exposures are short.

August 21st, 2015 8:03:25 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Starting to get longer with some intraday volume exhaustion again, starting with XLU.  I expect we might see more names over the next couple trading days though.  This is Tech Trader's way of scaling in lol
XLU on Tech Trader
August 21st, 2015 9:19:08 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Trendlines killing it again today up 2% on average across its names.  80% of them working in its favors and majority of them short signals.  Really regret not seeing the DIA short yesterday; need to not neglect my older strategies so much.
August 21st, 2015 12:08:19 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
UNG flagging some intraday seller exhaustion... I'd much rather see buys on the main US indicies though; still waiting on the huge cluster of bottom signals on those and preferably on the daily chart (haven't had one on SPY for almost a year).
UNG on Tech Trader
UNG on Tech Trader
August 21st, 2015 1:25:00 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Very strong outperformance in Tech Trader again by the end of day.  SPY is down 3% at the end of the day.  Tech Trader is down only 1%, again while gradually covering shorts and adding ETF names (currently 82% long by 24% short).

August 21st, 2015 8:40:21 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Well this is a bit unsettling.  Trendlines might short SPY which is breaking its uptrend (depending on end of day).  Pretty scary given the high hitrate of Trendline breaks. Would be an interesting match up if RSI2 took the other side with a long signal.
August 21st, 2015 5:48:56 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Totally forgot to follow up on the SPY trendline break to the downside.  It definitely broke.  What would be most exciting now is if we can open down next week and then get the RSI2 bottom on SPY to flip long.
August 21st, 2015 5:52:31 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
For those curious on what these trendline breaks look like over longer horizon, here's every break from 1998 onwards.
August 21st, 2015 8:16:48 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Saved 2 cents on XLU calls thanks to the option pricing mechanism lol

2015-08-21 08-02-48: TTFund_TDA_Options: Checking for fair value of XLU Sep 11 2015 46 Call...
2015-08-21 08-02-48: TTFund_TDA_Options: Spread too wide.  Basing price on midpoint $0.37 between 0.35x0.38
2015-08-21 08-02-48: TTFund_TDA_Options: Comparing extrinsic value $0.37 on XLU Sep 11 2015 46 Call with $0.28 on XLU Sep 11 2015 46 Put...
2015-08-21 08-02-48: TTFund_TDA_Options: Buying at cheaper price $0.36 for XLU Sep 11 2015 46 Call
2015-08-21 08-02-48: TTFund_TDA_Options: Fair value check complete: Best price at $0.36 in spread of 0.35x0.38
August 21st, 2015 8:56:43 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
XLU bouncing already.  Calls that TT bought up 20% month out and 30% weekly.  The bounces from the capitulation point almost always happens, but it's hard to tell for how long and how high.
282 unique view(s)

August 20th, 2015

August 20th, 2015 1:12:28 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Great show of strength today for Tech Trader against the market sell off.  Tech Trader in total, even with yesterday's IWM buy, is only down 0.5%.  SPY is down over 2% and IWM is down almost 3%.  Shorts like GRUB (5%), ADI (7%), and GRMN (2%) contributed a lot to outperformance, but it's nonetheless 40% net long, meaning longs were pretty resilient as well.

What's interesting to note is that Tech Trader isn't buying the dip today; no bottom or RSI signals on the major indices.  There was one yesterday and a leftover from last week, but not the usual 3-5 cluster or more with aggressive averaging down.  Again, exposures are at year lows of 65% long vs 28% short.

The n/a sector is ETFs, which consists of EEM and IWM collectively being down about 2% individually but affect less than .3% of the portfolio and are offset everything else.  The most any individual name is losing the portfolio is no more than about .1% either.



Again, the sell off is barely a blip in Tech Trader's P&L while you can see SPY for the YTD time frame being very volatile.


SPY on Tech Trader
August 20th, 2015 7:11:47 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
A lesser talked about strategy for Trendline Breaks is also killing it this week.  This is the one that a friend and I used to trade around manually because it doesn't have automated exits.  The paper portfolio just gets out on the first day of gain or after 1 stdev loss.  It's a good gauge for where things are at though, especially if it's >100% short and making 4% in a few days.
August 20th, 2015 2:35:46 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Updated the last post to include percentages on the column charts and a second chart showing how no single name lost more than .1% of the portfolio.
August 20th, 2015 5:54:52 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
What's interesting to note is that Tech Trader isn't buying the dip today; no bottom or RSI signals on the major indices.  There was one yesterday and a leftover from last week, but not the usual 3-5 cluster or more with aggressive averaging down.  Again, exposures are at year lows of 65% long vs 28% short.
220 unique view(s)

August 19th, 2015

August 19th, 2015 8:29:18 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Tech Trader starting to get longer again with the market sell off starting with IWM.  Things getting interesting after a boring few days.
IWM on Tech Trader
August 19th, 2015 9:01:52 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Pretty much every time we have a big sell off like today, we're seeing Tech Trader yet again hold up fine despite being more than 50% net long.  Right now SPY is down 1.2%, IWM 1.5%, and EEM 2%, but Tech Trader is only down 0.5%, which is basically a normal fluctuation on any given day.  On the performance chart for the year, it's barely a blip whereas you see SPY chopping up and down below.


SPY on Tech Trader
August 19th, 2015 10:29:04 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
IWM already up 0.7% from Tech Trader's bottom call this morning.  Don't even have to wait for the Fed.

IWM on Tech Trader
August 19th, 2015 11:06:33 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Looks like the algos were expecting the news not to come out until 2pm EST and are just now reading it lol.  IWM surging above $120 now.  Well over 1% from the bottom signal on IWM
August 19th, 2015 11:53:33 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
It turns out Tech Trader would have bought these months ago if we just had the stocks in the scan list.  Unfortunately, Tech Trader is only looking at top 1000 stocks right now; need to have much more capital before we can think of increasing the universe, else the size of each position will be too small.  Just something to keep in mind for the future as far as capacity for Tech Trader is concerned.

183 unique view(s)

August 17th, 2015

August 17th, 2015 11:19:43 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Great example on GRUB of Tech Trader's option pricing algo at work.  Normally I would have just crossed the spread, but it now knows to aim for $.50 on a spread of $.45x$.70 based on how other contracts are priced.
Edit: Not trading this specific strike/contract.  Just wanted to show how TT would price a wide spread.  Sorry for the confusion.


In other news, XLP has exited around $50.20 for about a 1.2% total gain (QQQ had 2.4%, XLK 2.1%, and XLF 2%).  Still holding EEM which is taking a hit, but it's small compared to what the others made already.  Slow day overall.



August 17th, 2015 11:40:46 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Clarification on GRUB - Not trading this specific strike/contract.  Just wanted to show how TT would price a wide spread.  Sorry for the confusion.
157 unique view(s)

August 15th, 2015

August 15th, 2015 8:37:43 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Fixed images
142 unique view(s)

August 14th, 2015

August 14th, 2015 11:15:55 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Just finished adding the ability for Tech Trader to automatically figure out fair value for options based on intrinsic/extrinsic of other contracts.  I'll never get ripped off by a 40% spread again! Bahaha
August 14th, 2015 9:59:38 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Seeing some slight rotation into other sectors like XLP and XLF while QQQ and XLK retreat, which is great since QQQ and XLK were sold yesterday while XLP and XLF are still being held. Tongue
137 unique view(s)

August 13th, 2015

August 13th, 2015 7:42:29 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Tech Trader almost closed its QQQ and XLK longs from yesterday this morning, but that pullback in the first hour was enough to give it more runway.  Looks like the pattern has been selling from Europe market hours and then relief after.
QQQ on Tech Trader
August 13th, 2015 8:29:47 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
HIG, older position from a month back, now ripping on speculation.
HIG on Tech Trader
August 13th, 2015 10:18:56 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Tech Trader barely took a hit during the market sell off and is now outperforming the market again on the rally.  SPY only up .3% and QQQ up .5%, but Tech Trader is up over 1% with only 68% net long exposure and no leverage.  Both the market timing ETF plays (QQQ, etc) and idiosyncratic stock picks (GPRO, HIG, etc) are contributing significantly today.

August 13th, 2015 9:08:24 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Every pullback and higher low we get reduces the desire for Tech Trader to sell.  If anything, we'd want a slow grind up here to really squeeze as much gain as we can from this trade.
August 13th, 2015 9:33:47 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Tech Trader finally out of QQQ at $111 (just take a guess for the reason).  One-month out ATM calls up 85%.  Still holding the other ETFs, which seem to be playing catch up now.
Edit: XLK out as well; basically the same as QQQ.
August 13th, 2015 1:02:48 PM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Market closes down 10-20 bps.  Tech Trader is up 80bps end of day.
111 unique view(s)

August 12th, 2015

August 12th, 2015 7:29:31 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Tech Trader's going for it here on this China yuan devaluation sell off.  Intraday bottoms on both XLF @ $24.7 and EEM @ $35.3.  Looking for another bounce here in the next few days.
XLF on Tech Trader
EEM on Tech Trader
August 12th, 2015 8:06:06 AM PST
Posted by pftq | #
pftq (Official) says on The Tech Trader Wall...
Looks like this is one of the bigger sell offs of the year.  Just got 3 more names with seller exhaustion and volume capitulation QQQ, XLP, and XLK.  Finally seeing a real flush here.... haven't had clusters like this since last year.
QQQ on Tech Trader
XLK on Tech Trader
XLP on Tech Trader