Intraday Trading : Buying on the minimums (S-L), July 31, 2008
This page last changed on Jul 31, 2008 by iank@bearcave.com.

For July 31, the short minus long (S-L) moving average model is used. The parameters are calculated in the same way that the parameters for the MACD Extended model are calculated (e.g., see Calculating Model Parameters from Minimum Points). Three points are used from each day, as was done for July 29, 2008.

Parameters calculated from dates: July 24, 2008, July 25, 2008, July 28, 2008, July 29, 2008 and July 30, 2008

GOOG -5.64
GS -0.3
CME -5.19
FCX -1.28
OIH -2.34
RIG -1.2
AMGN 4.56
BIIB -0.34
CMI -0.57
ERTS -0.36
ICE -1.54
CAT -0.44
BBBY -0.32
BRCM -0.35
GENZ -0.39
AMZN -1.11

These values do look odd, particularly for AMGN. Looking at some plots, it's not obvious that there's a bug however, although there's some additional testing that should be done if we continue. There is a lot more volatility in the S-L model than the MACD Enhanced model.

For some reason IB zeros out the account actions for the day on their GUI, although it seems to still be available as a report. I didn't capture a screen shot before it disappeared. The trading model did a lot of trading, as the trace below shows. It lost about $2,000. There may be a bug in the parameter calculation. It needs to be checked, assuming that we continue. But this model looks considerably less promising than the MACD Extended model, which is either mildly profitable or loses money at a much slower rate.

GS: BUYING with a market order  at 2008-07-31 10:12:58 782
GS: Fill price : 183.76 at 2008-07-31 10:13:00 032
GS: For GS MAD = 0.17499999999999716, MAD * 6.0 = 1.049999999999983 at 2008-07-31 10:13:00 032
GS: Issuing stop order at price 182.71 at 2008-07-31 10:13:00 032
error: 131 | 202 | Order Canceled - reason:
GS: Hit convex signal turn Fill price = 184.2 at 2008-07-31 10:23:01 300

AMGN: BUYING with a market order  at 2008-07-31 10:27:36 663
AMGN: Fill price : 63.05 at 2008-07-31 10:27:37 165
AMGN: For AMGN MAD = 0.01999999999999602, MAD * 6.0 = 0.11999999999997613 at 2008-07-31 10:27:37 165
AMGN: Issuing stop order at price 62.93 at 2008-07-31 10:27:37 165
AMGN: Stop order hit at 62.92 at 2008-07-31 10:35:52 593

BIIB: BUYING with a market order  at 2008-07-31 10:54:55 134
BIIB: Fill price : 72.05 at 2008-07-31 10:55:07 940
BIIB: For BIIB MAD = 0.04999999999999716, MAD * 6.0 = 0.29999999999998295 at 2008-07-31 10:55:07 941
BIIB: Issuing stop order at price 71.75 at 2008-07-31 10:55:07 941
BIIB: Stop order hit at 71.73 at 2008-07-31 11:06:21 612

GS: BUYING with a market order  at 2008-07-31 11:07:56 485
GS: Fill price : 184.74 at 2008-07-31 11:07:56 987
GS: For GS MAD = 0.21999999999999886, MAD * 6.0 = 1.3199999999999932 at 2008-07-31 11:07:56 987
GS: Issuing stop order at price 183.42 at 2008-07-31 11:07:56 987
error: 138 | 202 | Order Canceled - reason:
GS: Hit in-market time limit Fill price = 184.08 at 2008-07-31 11:24:08 544

CMI: BUYING with a market order  at 2008-07-31 11:45:04 317
CMI: Fill price : 68.57 at 2008-07-31 11:45:04 816
CMI: For CMI MAD = 0.07500000000000284, MAD * 6.0 = 0.45000000000001705 at 2008-07-31 11:45:04 816
CMI: Issuing stop order at price 68.12 at 2008-07-31 11:45:04 816
CMI: Stop order hit at 68.1 at 2008-07-31 11:58:48 551

GENZ: BUYING with a market order  at 2008-07-31 11:58:28 527
GENZ: Fill price : 77.16 at 2008-07-31 11:58:31 538
GENZ: For GENZ MAD = 0.03999999999999204, MAD * 6.0 = 0.23999999999995225 at 2008-07-31 11:58:31 538
GENZ: Issuing stop order at price 76.92 at 2008-07-31 11:58:31 538
error: 143 | 202 | Order Canceled - reason:
GENZ: Hit in-market time limit Fill price = 77.06 at 2008-07-31 12:14:36 224

AMGN: BUYING with a market order  at 2008-07-31 12:05:21 453
AMGN: Fill price : 62.62 at 2008-07-31 12:05:21 952
AMGN: For AMGN MAD = 0.030000000000001137, MAD * 6.0 = 0.18000000000000682 at 2008-07-31 12:05:21 952
AMGN: Issuing stop order at price 62.44 at 2008-07-31 12:05:21 952
error: 145 | 202 | Order Canceled - reason:
AMGN: Hit in-market time limit Fill price = 62.49 at 2008-07-31 12:21:26 460

AMGN: BUYING with a market order  at 2008-07-31 12:52:21 198
AMGN: Fill price : 62.62 at 2008-07-31 12:52:25 348
AMGN: For AMGN MAD = 0.07000000000000028, MAD * 6.0 = 0.4200000000000017 at 2008-07-31 12:52:25 348
AMGN: Issuing stop order at price 62.2 at 2008-07-31 12:52:25 348
error: 149 | 202 | Order Canceled - reason:
AMGN: Hit in-market time limit Fill price = 62.76 at 2008-07-31 13:08:28 048

AMGN: BUYING with a market order  at 2008-07-31 13:11:53 558
AMGN: Fill price : 62.79 at 2008-07-31 13:12:00 312
AMGN: For AMGN MAD = 0.010000000000005116, MAD * 6.0 = 0.060000000000030695 at 2008-07-31 13:12:00 312
AMGN: Issuing stop order at price 62.73 at 2008-07-31 13:12:00 312
AMGN: Stop order hit at 62.72 at 2008-07-31 13:19:14 475

AMGN: BUYING with a market order  at 2008-07-31 13:35:17 627
AMGN: Fill price : 62.72 at 2008-07-31 13:35:18 127
AMGN: For AMGN MAD = 0.03999999999999915, MAD * 6.0 = 0.23999999999999488 at 2008-07-31 13:35:18 127
AMGN: Issuing stop order at price 62.48 at 2008-07-31 13:35:18 127
error: 154 | 202 | Order Canceled - reason:
AMGN: Hit in-market time limit Fill price = 62.62 at 2008-07-31 13:51:23 770

GS: BUYING with a market order  at 2008-07-31 13:40:58 318
GS: Fill price : 183.14 at 2008-07-31 13:41:00 820
GS: For GS MAD = 0.060000000000002274, MAD * 6.0 = 0.36000000000001364 at 2008-07-31 13:41:00 820
GS: Issuing stop order at price 182.78 at 2008-07-31 13:41:00 820
error: 156 | 202 | Order Canceled - reason:
GS: Hit in-market time limit Fill price = 182.93 at 2008-07-31 13:57:20 689

AMGN: BUYING with a market order  at 2008-07-31 13:56:06 886
AMGN: Fill price : 62.66 at 2008-07-31 13:56:16 895
AMGN: For AMGN MAD = 0.030000000000001137, MAD * 6.0 = 0.18000000000000682 at 2008-07-31 13:56:16 895
AMGN: Issuing stop order at price 62.48 at 2008-07-31 13:56:16 895
error: 159 | 202 | Order Canceled - reason:
AMGN: Hit in-market time limit Fill price = 62.7 at 2008-07-31 14:12:39 047

AMGN: BUYING with a market order  at 2008-07-31 14:26:34 770
AMGN: Fill price : 62.9 at 2008-07-31 14:26:37 022
AMGN: For AMGN MAD = 0.03999999999999915, MAD * 6.0 = 0.23999999999999488 at 2008-07-31 14:26:37 022
AMGN: Issuing stop order at price 62.66 at 2008-07-31 14:26:37 022
error: 163 | 202 | Order Canceled - reason:
AMGN: Hit in-market time limit Fill price = 63.08 at 2008-07-31 14:42:41 653

GS: BUYING with a market order  at 2008-07-31 15:18:43 793
GS: Fill price : 184.07 at 2008-07-31 15:18:53 302
GS: For GS MAD = 0.1599999999999966, MAD * 6.0 = 0.9599999999999795 at 2008-07-31 15:18:53 302
GS: Issuing stop order at price 183.11 at 2008-07-31 15:18:53 302
error: 166 | 202 | Order Canceled - reason:
GS: Hit in-market time limit Fill price = 183.76 at 2008-07-31 15:35:00 330

AMGN: BUYING with a market order  at 2008-07-31 15:32:31 558
AMGN: Fill price : 62.8 at 2008-07-31 15:32:32 413
AMGN: For AMGN MAD = 0.030000000000001137, MAD * 6.0 = 0.18000000000000682 at 2008-07-31 15:32:32 413
AMGN: Issuing stop order at price 62.62 at 2008-07-31 15:32:32 413
error: 168 | 202 | Order Canceled - reason:
AMGN: Hit in-market time limit Fill price = 62.66 at 2008-07-31 15:48:41 337

BIIB: BUYING with a market order  at 2008-07-31 15:43:59 529
BIIB: Fill price : 70.55 at 2008-07-31 15:44:03 301
BIIB: For BIIB MAD = 0.030000000000001137, MAD * 6.0 = 0.18000000000000682 at 2008-07-31 15:44:03 301
BIIB: Issuing stop order at price 70.37 at 2008-07-31 15:44:03 302
BIIB: Stop order hit at 70.35