Thursday, October 27, 2005

Serenity Now

Picture taken with my head out the car while driving through the beautiful Georgia Mountains.


Wednesday, October 26, 2005

Coastline by Major Hurricane Strikes by State

Thought the graph above would better reflect which states receive the most hurricanes per coastline miles. As you can see this is quite different than the original graph showcasing states and their respective hurricanes hit. The prior graph showed Florida, Texas, and Louisiana being the top three. Those are now replaced by Mississippi, Alabama, and Rhode Island. Rhode Island? Say what? Okay, this chart is definitely more interesting than the last one.

Heck, according to this information...Louisiana is in the bottom 6. Also, interesting that Louisiana has more coastline than Texas.


Hurricanes by State

StateHurricanes, originally uploaded by TaylorTree.

Working with the R project's barplot function and decided to play around with some hurricane data. The chart above reflects the number of hurricanes (major) making landfall by state. Nothing too surprising in the numbers.

The mean of the #of hurricanes by state is 22 while the median is 12. Which makes sense due to Florida being hit 5 times more than average. And Texas and Louisiana being hit more than 2 times the average.


Monday, October 24, 2005

Rumor of reduced commissions at Interactive Brokers...

Rumor is that IB dropped commission rates for US Equities to $0.005/share all-inclusive. Read this thread from EliteTrader for more details on the rumor.

Not sure if this is true or not...but if so...might need to re-evaluate my broker choices. Hmm....

Later Trades,


Sunday, October 23, 2005

Moneyball the Market

"Baseball - of all things - was an example of how an unscientific culture responds, or fails to respond, to the scientific method." -- Michael Lewis

The two sides are, on the one hand, the old scouts and, on the other, Billy Beane. The old scouts are like a Greek chorus, it is their job to underscore the eternal themes of baseball. The eternal themes are precisely what Billy Beane wants to exploit for profit - by ignoring them." -- Michael Lewis

"By analyzing baseball statistics you could see through a lot of baseball nonsense. For instance, when baseball managers talked about scoring runs, they tended to focus on team batting average, but if you ran the analysis you could see that the number of runs a team scored bore little relation to that team's batting average. It correlated much more exactly with a team's on-base and slugging percentages. A lot of the offensive tactics that made baseball managers famous - the bunt, the steal, the hit and run - could be proven to have been, in most situations, either pointless or self-defeating." -- Michael Lewis

"tinkering with the records of baseball games to see how the machinery of the baseball offense works. I do not start with the numbers any more than a mechanic starts with a monky wrench. I start with the game, with the things that I see there and the things that people say there. And I ask: Is it true? Can you validate it? Can you measure it? How does it fit with the rest of the machinery? And for those answers I go to the record books...What is remarkable to me is that I have so little company. Baseball keeps copious records, and people talk about them and argue about them and think about them a great deal. Why doesn't anybody use them? Why doesn't anybody say, in the face of this contention or that one, "Prove it"?" -- Bill James

These are some of my favorite quotes from the book, Moneyball by Michael Lewis. I especially like the Bill James quote basically asking why if we have the data and are asking the right questions...why oh why don't we use them in our strategies? Instead we focus on arguing our point with opinions. Enjoy reading books where the author makes the case to invest in stocks because Echo Boomers are an emerging powerful consumer and a host of other dynamics that can't be tested nor quantified on enough data points to matter.

This is why I like the recent Larry Connors book, How Markets Really Work. No opinions or pithy remarks. Connors instead focuses on Moneyballing the Market. Taking commonly held beliefs and turning them upside down and exposing them for what they truly are...eternal themes of the market sung by the Greek chorus of brokers, analysts, and media pundits.

Questions are asked and data is analyzed. And this analysis of data is what triggered this review. It changed the way I create, test, and design my systems. Before I would come up with an idea and immediately run a template system with my idea to expose the common statistics I look, avg gain, max drawdown, etc. From there I would begin filtering to improve and refine.

But, I really like the Connors method instead. He asks a question like is it true that new short-term highs are a sign of a healthy market? Then collects data on short-term highs and corresponding returns and short-term lows and corresponding returns into table form. Then he creates bar charts and equity curves of the comparison between the two to aid in visually analyzing the results of the study. I can see all kinds of possibilities with this method. It feels like more of your original edge is maintained instead of getting bogged down into filtering down the edge into the statistics you are trying to achieve. Plus, via the bar charts and equity curves you can really see whether the edge you think you have is true and robust against a benchmark and opposite view. One of the possibilities of this method is throwing in acrary's random trades from the Edge Test into the mix.

The downside of the book? I would enjoy more tests! More questions! It's just rare to find someone who asks and tests the questions you've been asking and answering yourself. Only other book like it that I've found is Altucher's Trade like a Hedge Fund book. I would have also enjoyed some discussion on how the questions asked relate to individual stocks within the general market.

Overall a book that can help in your pursuit of trading Jeet Kun Do. With that in mind, I'll leave you with this quote:

"True observation begins when one is devoid of set patterns." -- Bruce Lee

Side Note
What's happening to my Astros? It's the 8th inning and Astros are down by 2. The Sox pitchers seem to have the Astros ticket. Especially last night when we had just a good lineup at bat and the big wide one took em' by one. Ah! The pain of being a Houston Astros fan. :)

C'mon Stros!

Later Trades,


Sunday, October 16, 2005

I'm Back!

What a week! I've been through Louisiana, Mississippi, Alabama, Georgia, Tennesse, and Arkansas on my travels this past week. We pretty much stayed in and around Atlanta either at a conference or with family. It has been a great experience. Learned a lot at the conference, spent some quality time with family, and enjoyed some great scenery such as the Appalachian Mountains north of Atlanta.

The difficult part was being cut-off from the Internet for such as long time (1 week). Ha ha. And I'm paying for it with all the emails and blogs to read. The blogosphere has been busy!

I also got a chance to dive into the book, How Markets Really Work by Connors and Sen. A great book and one that triggered several system ideas that I'm anxious to work on. I plan to discuss more on this book later in the stay tuned!

Also, thank you to everyone on the baby news congrats. I really appreciate it.

Well, gotta get back to my check out these posts that caught my attention and I'll write more later.
Recent interview of Ryan Jones a.k.a Fixed Ratio Jones by TradingMarkets. Read here.

This article by Steven Gabriel shares some of the insights from the book, How Markets Really Work. Read here.

Nice blog by Dr. Wish that I recently stumbled across. Here's one of his posts detailing the Darvis Method of Trading. Read here. There's some great system ideas in this post to test.
By the way, a big thank you goes out to April for introducing me to Ginger Ale on our recent trip. Great stuff. Can you believe I've never had ginger ale before? I know, I know...I'm showing how backwoods I am. April was kind enough to send me home with two bottles. Also, they grilled some steak that was amazing and were kind enough to share their seasoning secrets...Dale's Seasoning. Amazing stuff. And another thank you to Mysti for taking us to the Fair and letting us borrow their MapQuest to get home. I really don't know how we would have gotten back without it. Thanks guys!

Later Trades,


Friday, October 07, 2005

Having a Baby!

Baby2_Ultrasound, originally uploaded by TaylorTree.

Just got back from the's official...we're having another baby!!!

Enjoy your weekend!


Monday, October 03, 2005

Interview with Hank Camp from TradingMarkets

Lot on my plate tonight but wanted to point you to this great interview of Hank Camp by I jotted down several notes from the interview...including:
Trading using the PREM. I've actually coded a crude version of PREM in my systems before...but never knew the true technical term until this article.

Nice tidbits on quote services and nomenclature of the PREM series (DTN, Esignal, Comstock, and TradeStation). Check out their website for further detail on quote providers here.

Interesting insights into event trading such as "reverse manipulation" during options expiration, days of the week (option expiration Mondays, unemployment report Fridays, and Friday 13th), and William %R.
By the way, do you keep a trading notebook for articles like these? To jot down notes, ideas, further research topics? I've got stacks of these things. I've briefly addressed this topic before on dealing with ADD and the need to write things down...but I think this would benefit all traders out there. For example, tonight I have my notes from the above interview along with action items to test in my nightly system studies.

Actually, first thing I'm starting off with tonight is testing a volatility stop involving the close divided by a long-term moving average. Call this value R. Then smooth R with a shorter moving average duration. Apply a lower band of 3% to 5% from the smoothed R and if the original R drops below the smoothed R...scale out a portion of the whole position or get out entirely. This vol stop was discussed in the recent AIQ Opening Bell newsletter. You can find several issues of the Opening Bell here. Enjoy!

Later Trades,


Lake Livingston - Dry Lake

Lake Livingston - Dry Lake, originally uploaded by TaylorTree.

Another picture of the effects of the water release. This area was a nice little cove where shad would get driven into by the thousands. Great place to cast for bait. Now high and dry.

By the way, had a great idea over the weekend on a topic for this blog. I'll need a little time to research just how I'm going to handle it. But, once the research is complete...I'll share it with ya'll. Should be fun!

Have a great week!


Lake Livingston - Dry Lake II

Lake Livingston - Dry Lake II, originally uploaded by TaylorTree.

Took some pictures of the lake to showcase just how much water has been released from the Lake Livingston Dam. Refer to this post for the before pictures of the lake.