Sunday, December 14, 2008
As you can see, more of the same. Market is down...TaylorTree not so much. The simple strategy of scaling out of the market as the market moves further down reduces our downside volatility at the expense of upside returns. No timing going on here at all. Just positions being sold due to stop losses and a lack of new signals to use up that cash.
By the way, I have updated the looks of the site. It is still a work in progress...but hopefully an improvement. I especially like the Recent Bookmarks and research via TaylorTree sections. Automates the "What I'm Researching" posts.
Wednesday, November 26, 2008
Posted: 26 Nov 2008 12:31 AM CST
find the minimum or maximum over an interval. nice.
Posted: 26 Nov 2008 12:27 AM CST
contains manual and faq. this tool allows dynamic reporting via sweave & R language. can generate latex docs which can gen to pdf or even html via R's R2HTML function.
Posted: 26 Nov 2008 12:24 AM CST
interesting open source latex editor to check out.
Posted: 26 Nov 2008 12:23 AM CST
embed R code via sweave to generate latex document containing results. awesome! must use this for my next presentation paper.
Posted: 26 Nov 2008 12:19 AM CST
nice summary of writeClipboard, readClipboard, and scan, read.table, and write.table functions.
Posted: 25 Nov 2008 12:06 AM CST
Nice intro to parallel programming. Need to spend more time with this paper.
Posted: 24 Nov 2008 11:58 PM CST
nice coverage of programming in R language. From reading data, plotting data, managing code, logging analysis, and bootstrapping.
Friday, November 14, 2008
Posted: 13 Nov 2008 01:00 PM CST
great summaries on the classic rexx functions.
Posted: 13 Nov 2008 12:53 PM CST
Joel on Software's Real World. A must see!
Posted: 13 Nov 2008 12:50 PM CST
great reading list!
Posted: 09 Nov 2008 09:29 PM CST
Posted: 07 Nov 2008 07:36 AM CST
Interesting way to build a web application. Wonder how complex this would be to use versus traditional web-based systems (LAMP)? This may be easier to deploy if the goal of the software is simulation/visualizations. Something to toy with.
Posted: 07 Nov 2008 07:33 AM CST
Another great looking toolset using Yoix that enables plotting functions: line, bar, histograms, etc.
Posted: 07 Nov 2008 07:32 AM CST
Extremely cool visualization toolset from AT&T Labs Research. Handles graphviz files.
Tuesday, November 11, 2008
The human mind is a funny, funny thing...behaving binary with pain. If you've never experienced the pain of a hurricane, snowstorm, loss of a loved one, or the falling knife of the market...you're set to 0. You operate without fear. But, once you experience the pain...you're set to 1. And everything you do from that point forward is now based off that pain. Based off that switch.
And that switch is a bugger to reset. Most people can't do it. The instant the pain hits they begin tweaking their life as if the odds of experiencing that pain again has increased to a 100% certainty. Funny part is...
- the odds of experiencing the pain hasn't increased
- all those tweaks won't do a thing to prevent future pain.
What's my point? Invest in the market knowing the worst will happen. The foundation of your investment strategy should be able to withstand the storm. If you're busy tweaking your strategy right now in an attempt to avoid the next storm, trying to pick and choose your investment spots, thinking all the work you're doing will sidestep the next storm because you figured out how to handle this storm...then your bit is set to 1. And this cowboy quote likely fits:
Timing has a lot to do with the outcome of a rain dance.And with that the performance charts for the month of October 2008.
We're experiencing a fairly hefty drawdown as is the market. I've received several exit signals over the past 2 months. At one of the highest level of cash since investing in the market. And doing nothing but patiently waiting out the storm.
That, and preparing for a cold Missouri winter.
Friday, November 07, 2008
Posted: 06 Nov 2008 11:02 PM CST
Map your memory as a drive? Wonder how this would work if you built a linux server with 32gb memory and mapped at least half that dedicated for simulations? How much faster would this be versus traditional disk-based sims?
Posted: 06 Nov 2008 10:58 PM CST
will this work in updating a dictionary of prices? if you have a dictionary of portfolio positions with values being python lists...would this be a good solution in updating the closing price of the stock (one of the items in the list)?
Friday, October 31, 2008
Posted: 30 Oct 2008 09:56 PM CDT
very cool online book detailing the starting of an open source project.
Posted: 28 Oct 2008 12:04 PM CDT
one of the best job descriptions I've read on working as an operations engineer. best two quotes: "If you don't grow, you'll fail." & "Think of it like any other fun and challenging job you've had -- now remove the margin for error." How true!
Monday, October 27, 2008
Posted: 26 Oct 2008 02:28 PM CDT
pre-installed linux provider
Posted: 26 Oct 2008 02:26 PM CDT
pre-installed linux computers (laptops, desktops, servers).
Posted: 26 Oct 2008 11:18 AM CDT
date, time, calendar manipulations in R. Sample functions are diffTimeDate, isWeekday, isWeekend, and the very cool timeNdayOnOrAfter, timeNthNdayInMonth, timeLastNdayInMonth.
Posted: 26 Oct 2008 10:17 AM CDT
details how to wall mount your monitor. very cool.
Posted: 23 Oct 2008 06:59 AM CDT
Posted: 22 Oct 2008 12:38 PM CDT
really cool flex library to display graphviz graphs. haven't explored the flex toolset before...but may have to check it out.
Posted: 21 Oct 2008 12:18 AM CDT
Great summary on Workload Manager (WLM)...including tips for setup and troubleshooting existing setups.
Monday, October 20, 2008
Posted: 20 Oct 2008 12:17 AM CDT
extremely cool application dock for windows.
Posted: 20 Oct 2008 12:12 AM CDT
Great collection of python list examples.
Posted: 19 Oct 2008 01:18 AM CDT
great explanation of python classes. check out the final part discussing the __slots__ feature. basically, reserve attributes...those not defined cannot be assigned.
Posted: 18 Oct 2008 12:30 PM CDT
html version of the pytables userguide.
Posted: 17 Oct 2008 04:22 PM CDT
R doc for barplot
Posted: 12 Oct 2008 11:44 PM CDT
queue manager with python binding. looks to be used as a render manager...but could see other uses as well.
Posted: 12 Oct 2008 11:30 PM CDT
excellent article on building a cheap 24 core x 48GB ram linux cluster.
Sunday, October 12, 2008
As you can see, not a great month of performance. And while the downside doesn't feel good...my greatest concern is the upside that will come. When it does...the portfolio will lag the market due to the relatively high level of cash. But, nothing we can do...but be patient and allow the system to do its job.
Last thing you want to do during turbulent times is hit the panic button. Or worse, try to figure this market out. You don't figure a hurricane out while you're in the middle of it. Don't buy a generator, food, and flood insurance during a hurricane. Those are things you buy prior. The only thing you can do when the storm hits is batten down the hatches and hope you prepared enough for the damage to come. After the storm is over...reassess what you did right and what was lacking. Oh, and clear those fallen trees from your portfolio.
On a side note...I've spent the weekend putting together a new office. I've bought several office pieces and trying to find the optimal setup. Once I've got everything moved in...I'll share some pics of the new digs.
Same goes with people. Typically, talk very little about the market to others. And rarely hear more than a peep or two about the market from others in the water cooler discussions.
That is until now. This recent market debacle has really changed things. Howard is causing me to eat mucho brussel sprouts. My wife is hearing about the market on Dr. Phil & Oprah of all things. And even my programming bloggers are discussing the economy and the hoozy whatsits of the markets.
So, what's an outsider to do? Well, we should ask ourselves what a maverick would do and do that. Or watch these videos for inspiration...
If those don't make you laugh...just remember my fellow mavericks...this too shall pass.
Thursday, October 09, 2008
Posted: 08 Oct 2008 12:27 PM CDT
examples of barplotting in R - color the bars, horizontal axis, stacked bar graph, and side by side graphs.
Posted: 08 Oct 2008 12:26 PM CDT
common functions in R - just a brief command set.
Posted: 08 Oct 2008 11:59 AM CDT
very cool desktop for ubuntu.
Wednesday, October 08, 2008
Posted: 07 Oct 2008 10:02 PM CDT
great analysis on evaluating SSD hard drives. read the comments for more info. as an aside...linus has a blog...cool.
Posted: 07 Oct 2008 12:45 PM CDT
monte carlo in python? looks worth exploring further.
Tuesday, October 07, 2008
Posted: 07 Oct 2008 01:45 AM CDT
Cool, print huge posters from normal paper - software breaks up images to fit on 8.5 x 11 paper. Hat-tip to my wife for finding this site.
Posted: 06 Oct 2008 12:43 PM CDT
Great site covering formulas of investment stats. Useful for coding the performance part of the testing platform.
Posted: 05 Oct 2008 11:09 PM CDT
interesting code snippet comparing performance of cpickle and numpy to/from file routines. been thinking about this lately...using numpy directly or cpickle instead of using a bloated dbms for persistent storage of time series on the testing platform.
Posted: 05 Oct 2008 11:06 PM CDT
covers many of the faq of SQL developers when developing with PyTables.
Posted: 05 Oct 2008 09:55 PM CDT
Python plotting interface to various backend plotting engines: Gnuplot, Matplotlib, Grace, Veusz, PyX, VTK, VisIt, OpenDX, and a few more. Seems like a fairly straight-forward interface. And choosing the backend used is a one-line import statement. Interesting.
Posted: 05 Oct 2008 12:25 PM CDT
looks like a dead-simple plotting library in python to produce pub quality pdf/ps images. Need to explore.
Sunday, October 05, 2008
Posted: 05 Oct 2008 12:12 AM CDT
Posted: 04 Oct 2008 01:35 PM CDT
the original python interface to the HDF5 library. Have tested this before...need to test again using new architecture. Original tests found speeds that were equivalent to SQLite but of course slower than CSV files.
Posted: 04 Oct 2008 01:33 PM CDT
a python interface to the excellent HDF5 library. worth testing in project.
Posted: 04 Oct 2008 12:24 PM CDT
enjoyed reading this guy's take on Erlang. Of course, he had me with quoting Unix philosophy, "Do one thing and do it well."
Posted: 04 Oct 2008 10:35 AM CDT
Excellent Q&A on choosing the optimal RAID config for disk i/o performance. By the by, stackoverflow is an awesome site for programmers!!!
Saturday, October 04, 2008
Posted: 03 Oct 2008 11:45 PM CDT
breaks down the colors available to R - both number and symbolic name.
Posted: 03 Oct 2008 11:29 PM CDT
Great examples of barplots in R.
Posted: 03 Oct 2008 12:59 PM CDT
Awesome drawing application - auto-recognizes shapes and smooths lines from raw drawings. Great tool for flowcharting, room designs, etc.
Posted: 29 Sep 2008 09:21 PM CDT
takes the basics of python up a notch. definitely pay attention to the dictionary and advanced string formatting examples.
Posted: 02 Oct 2008 11:18 PM CDT
Describes in detail how to design a personal wiki. I enjoyed reading the design...I've built a similar html document system in the past. But, never added the markdown features. May have to try this out.
Monday, September 29, 2008
Posted: 29 Sep 2008 01:05 AM CDT
awesome desktop wallpapers - free download.
Posted: 28 Sep 2008 03:41 PM CDT
great code example of using python and sqlite.
Posted: 28 Sep 2008 12:34 PM CDT
brief coverage of constructing, indexing, slicing, and summation of arrays.
Sunday, September 28, 2008
Posted: 28 Sep 2008 01:15 AM CDT
great cookbook covering python & numpy. hat tip to the Smooth blog. Covers plotting, reversing arrays, etc.
Posted: 28 Sep 2008 01:08 AM CDT
Covers creating arrays in NumPy - covers recarrays. to create recarray: x = np.array([(1.0, 2), (3.0, 4)], dtype=[('x', float), ('y', int)]). Then to view as recarray: x = x.view(np.recarray). x.x
Posted: 28 Sep 2008 01:00 AM CDT
great reference guide to using NumPy.
Posted: 28 Sep 2008 12:08 AM CDT
example of creating structured arrays in numpy.
Posted: 27 Sep 2008 01:16 PM CDT
a great resource for SQLite.
Friday, September 26, 2008
Posted: 26 Sep 2008 01:37 AM CDT
Simple tutorial in R from a finance perspective.
Posted: 26 Sep 2008 01:27 AM CDT
excellent guide to tuning SQLite. Need to try some of this stuff.
Posted: 26 Sep 2008 01:14 AM CDT
very comprehensive tutorial on R language. Covers plotting, creating functions/classes/methods, parallel programming, optimizations, etc. Great coverage of databases (sqlite).
Posted: 26 Sep 2008 12:54 AM CDT
great example of R stock charting.
Posted: 26 Sep 2008 12:51 AM CDT
great primer on reading/writing large files in R language.
Posted: 26 Sep 2008 12:34 AM CDT
several functions to read price series in ASCII format.
Posted: 26 Sep 2008 12:30 AM CDT
R functions for interacting with the CSI Data platform
Posted: 25 Sep 2008 03:34 PM CDT
performance analysis library covering the whole gamut of performance and risk analysis functions.
Posted: 25 Sep 2008 12:27 PM CDT
one of the wikis to consider.
Posted: 25 Sep 2008 12:23 PM CDT
cool themes for TiddlyWiki
Thursday, September 25, 2008
Posted: 24 Sep 2008 12:50 PM CDT
nice example of a stock trading DSL. Not familiar with Groovy...research more.
Posted: 24 Sep 2008 12:55 AM CDT
Great tutorial on python. - love the format.
Posted: 23 Sep 2008 11:15 PM CDT
another interesting plotting package in R language.
Tuesday, September 23, 2008
Since I'm using python...figured I had to give the matplotlib library a try. It is nice...simple...but something was missing. Couldn't put my finger on it. So, dug around and played with the R language plotting libraries. A bit more my speed...though a bit particular in the settings. Anyway, here's a function I wrote to generate bar charts using R with a replacement for pie charts in mind...
# Simple bar chart - use instead of pie chart when possible.
barPie <- function(xSeries, chTitle="Your Bar Chart", xLab="X Label",
xSeries <- sort(xSeries)
# save off original settings in order to reset on exit
oldPar <- par(no.readonly=TRUE)
# set page margins in inches
# pad 30% for labels
# start plotting at 0.0 unless negative
if (min(xSeries) < 0.0)
xLim = c((min(xSeries) * 1.3), (max(xSeries) * 1.3))
xLim = c(0.00, (max(xSeries) * 1.3))
# horizontal barplot in color baby!
bp <- barplot(xSeries, horiz=T,
xlab=xLab, las=1, col=rainbow(length(xSeries)),
axes=F, cex.names=0.7, main=chTitle)
# if x negative then start label at 0.0
# otherwise, start label at value of x.
xVals = ifelse(xSeries < 0.0, 0.0, xSeries)
text(xVals, bp, paste(xSeries, xDesc, sep=""),pos=4, cex=0.65)
# format x axis
xRange <- formatC(pretty(xSeries), 1, format="f")
axis(1, at=xRange, labels=as.character(xRange), cex.axis=0.75)
#restore par value to previous state
Used data from my portfolio to plot sector allocations and called the function...
sectors <- c(10.64,119.83,162.66,66.48,71.78,35.44,32.77,161.17,53.91,
sectors <- round((sectors/sum(sectors)*100.00), 1)
# write to png driver
barPie(sectors, "Sector Allocation", "Pct Allocated")
# stop writing to png driver
And here's the result...
Posted: 22 Sep 2008 11:26 PM CDT
perl script feeding Gnuplot to plot streaming data in real-time. Interesting find...hat tip to Hackszine.com
Posted: 22 Sep 2008 10:21 PM CDT
need to review this...looks like an all encompassing plotting package for the R language. Barcharts, piecharts, gantt charts, oh my!
Monday, September 22, 2008
Posted: 21 Sep 2008 09:28 PM CDT
the how-to of creating extensions to the R language.
Posted: 21 Sep 2008 07:21 PM CDT
central location of texts covering python.
Posted: 21 Sep 2008 06:25 AM CDT
R language package containing functions for ohlc plots, sharpe ratio, sterling ratio, maxDrawDown, rolling analysis, ema, sma, emwa, etc.
Sunday, September 21, 2008
Posted: 21 Sep 2008 01:37 AM CDT
nice site covering all the R essentials - reading data, graphing, stats.
Posted: 21 Sep 2008 01:28 AM CDT
search the R language mailing list.
Posted: 21 Sep 2008 01:26 AM CDT
cookbook of the R language
Posted: 20 Sep 2008 10:47 PM CDT
examples of various charts (line, bar, pie, dot, histogram) in R language
Posted: 20 Sep 2008 10:45 PM CDT
brief tutorial covering pie, bar, scatter, and line charts in R language.
Posted: 20 Sep 2008 10:26 PM CDT
great gallery of R Language graphs.
Posted: 20 Sep 2008 10:16 PM CDT
gallery of R language graphics by category such as Finance, Econometrics, SocialSciences, etc.
Posted: 20 Sep 2008 10:13 PM CDT
book on the graphics available with the R language. Very nice!
Posted: 20 Sep 2008 10:12 PM CDT
table of colors available in R language.
Posted: 20 Sep 2008 10:10 PM CDT
showcases all the colors available in graphing with the R language.
Posted: 20 Sep 2008 08:34 PM CDT
brief summary of matplotlib's api.
Posted: 20 Sep 2008 08:26 PM CDT
Several excellent examples of using numpy and pylab (matplotlib) together.
Posted: 20 Sep 2008 03:33 PM CDT
interesting code examples of bar charts in pylab.