tag:blogger.com,1999:blog-69500622024-03-14T01:16:31.870-05:00TaylorTreeThe critical ingredient is a maverick mind. Focus on trading vehicles, strategies and time horizons that suit your personality. In a nutshell, it all comes down to: Do your own thing (independence); and do the right thing (discipline). -- Gil BlakeMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.comBlogger613125tag:blogger.com,1999:blog-6950062.post-28282025464669166122012-11-25T05:55:00.000-06:002014-02-03T16:56:51.979-06:00Portfolio Performance - October 2012<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;">
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<td><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhnONMXrA4Hgvbw99DSwIYMu1Q7AKsdj3UaSxfFptM0Rj1nPkCre4oTSLUNwcXcbfo9sdrGM8ceTlQE9u7AVftyNSbvhGzyOjuYlhjATwETcFOxXhYuzy6guXbzezcbi1H1txsf/s1600/ttc_201210_vami-300x185.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhnONMXrA4Hgvbw99DSwIYMu1Q7AKsdj3UaSxfFptM0Rj1nPkCre4oTSLUNwcXcbfo9sdrGM8ceTlQE9u7AVftyNSbvhGzyOjuYlhjATwETcFOxXhYuzy6guXbzezcbi1H1txsf/s1600/ttc_201210_vami-300x185.png" height="123" width="200" /></a>
</td>
<td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjmyVzQWb7c1hawcBTbiKpOc5q03mK05P0f3x0tuQ-EMJDzLwWjhVX8p6GJSKCsWeGrM6UcRcGzbrk6G4NXho9O2xW6t1-IIfhorZ5lH9d4xvL8mw875rmbY2tOJfTCZNiMd5-S/s1600/ttc_201210_roi-300x185.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjmyVzQWb7c1hawcBTbiKpOc5q03mK05P0f3x0tuQ-EMJDzLwWjhVX8p6GJSKCsWeGrM6UcRcGzbrk6G4NXho9O2xW6t1-IIfhorZ5lH9d4xvL8mw875rmbY2tOJfTCZNiMd5-S/s1600/ttc_201210_roi-300x185.png" height="123" width="200" /></a>
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<td align="right"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhaMqahGDhyr-n8rzbIRoBc6r4ADa0uIKYjhzb9Qy79tVNI_KaRa-u6mymOEToplII4xbklq3TsFO4gUQaGSUA911lepB20IABEa_VEiAaT3gQ5mbrdsG14cTtcXOps3Oqw7MoW/s1600/ttc_201210_drawdown-300x185.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhaMqahGDhyr-n8rzbIRoBc6r4ADa0uIKYjhzb9Qy79tVNI_KaRa-u6mymOEToplII4xbklq3TsFO4gUQaGSUA911lepB20IABEa_VEiAaT3gQ5mbrdsG14cTtcXOps3Oqw7MoW/s1600/ttc_201210_drawdown-300x185.png" height="123" width="200" /></a>
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<br />
<strong>ROI Stats</strong><strong></strong><br />
<pre>Oct: <strong>Portfolio(+1.97%)</strong> vs SP500(-1.98%)
Sep: Portfolio(-4.53%) vs <strong>SP500(+2.42%)</strong>
Aug: Portfolio(-1.26%) vs <strong>SP500(+1.98%)</strong>
<strong>Trade Stats</strong>
+---------+---------+-------+--------+------+--------+--------+---------+
| Months | Entries | Exits | Win% | PF | TScore | ZScore | Optf |
+---------+---------+-------+--------+------+--------+--------+---------+
| Oct | 7 | 7 | 71.43% | 4.99 | 1.47 | - 0.38 | 57.12% |
| Sep | 4 | 6 | 33.33% | 0.51 | - 0.72 | 0.88 | -32.27% |
| Aug | 8 | 5 | 40.00% | 0.37 | - 0.84 | 0.11 | -66.78% |
| Last 3 | 19 | 18 | 50.00% | 1.00 | 0.01 | - 0.24 | 0.20% |
| Last 6 | 26 | 25 | 56.00% | 1.18 | 0.34 | 0.49 | 8.54% |
| Last 12 | 65 | 68 | 57.35% | 0.92 | - 0.25 | - 0.19 | - 4.77% |
| All | 226 | 224 | 63.39% | 1.43 | 2.09 | - 2.09 | 19.03% |
+---------+---------+-------+--------+------+--------+--------+---------+
Notes:
* PF - average profits expected per trade:
> 1.0: $1 invested returns > $1 (profitable)
= 1.0: $1 invested returns $1 (breakeven)
< 1.0: $1 invested returns < $1 (loss).
* TScore - observed probability due to chance at 95% CI:
> 1.645: not just dumb luck
<= 1.645: dumb luck.
* ZScore - duration of Win/Lose streaks:
>= 1.645: shorter duration
<= -1.645: longer duration.
* Optf - optimal percent of capital to invest:
> 0: might be worthy to invest
<= 0: save your money.</pre>
Mike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-91115049697806435412012-08-14T13:54:00.000-05:002014-02-04T15:58:31.016-06:00Portfolio Performance - July 2012<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody><tr><td>
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj3g1PxcG-52L6pBhqRFywZFlynfusRXi6c_ZBSRTHDYZo_hpTbY5PopavMe-85e2fiz9evOAuVsHaw_6GiwSfegCHUa5rjIyn7D71qNuT1cvEuIy_0D8CCMRK8286J2ae7MX8-/s1600/ttc_201207_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj3g1PxcG-52L6pBhqRFywZFlynfusRXi6c_ZBSRTHDYZo_hpTbY5PopavMe-85e2fiz9evOAuVsHaw_6GiwSfegCHUa5rjIyn7D71qNuT1cvEuIy_0D8CCMRK8286J2ae7MX8-/s1600/ttc_201207_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgxryQ3-T2QTb_7777iMRmRYBVlDuq3cXXk7zluwmmO6Jzor98P7KEFfoi5L-PjdgK5fPUYtev9FrVMIzA4CNAVFHJfxPNW64XVe2KWynteo7JN0Q6CXf6FS00jFzZB_8C_qYt7/s1600/ttc_201207_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgxryQ3-T2QTb_7777iMRmRYBVlDuq3cXXk7zluwmmO6Jzor98P7KEFfoi5L-PjdgK5fPUYtev9FrVMIzA4CNAVFHJfxPNW64XVe2KWynteo7JN0Q6CXf6FS00jFzZB_8C_qYt7/s1600/ttc_201207_roi.png" height="123" width="200" /></a></div></td><td align="right">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjJFm5_MV1xTe7w-skMRSPXC3TWCWbhQ-ws7F2ity4UeHQH8y8O8RoS5HlRwF_GR8C5mioksRujZHy1GvOCZsD3GV-hqIjsoeYOoPqYlTuIsG_Fpi5sJHWBS9HCx4MXEe7LRX5E/s1600/ttc_201207_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjJFm5_MV1xTe7w-skMRSPXC3TWCWbhQ-ws7F2ity4UeHQH8y8O8RoS5HlRwF_GR8C5mioksRujZHy1GvOCZsD3GV-hqIjsoeYOoPqYlTuIsG_Fpi5sJHWBS9HCx4MXEe7LRX5E/s1600/ttc_201207_drawdown.png" height="123" width="200" /></a></td></tr></tbody></table>
<pre><strong>ROI Stats</strong>
July: <strong>Portfolio(+1.18%)</strong> vs SP500(-6.27%)
June: Portfolio( 0.00%) vs <strong>SP500(+3.96%)</strong>
May: Portfolio(-0.76%) vs <strong>SP500(+1.26%)</strong>
<strong>Trade Stats</strong>
+---------+---------+-------+---------+------+--------+--------+--------+
| Months | Entries | Exits | Win% | PF | TScore | ZScore | Optf |
+---------+---------+-------+---------+------+--------+--------+--------+
| Jul | 2 | 1 | 100.00% | inf | inf | 0.00 | inf |
| Jun | 0 | 0 | 0.00% | 0.00 | 0.00 | 0.00 | 0.00% |
| May | 5 | 6 | 66.67% | 1.46 | 0.41 | 1.94 | 21.13% |
| Last 3 | 7 | 7 | 71.43% | 1.68 | 0.61 | 1.75 | 29.01% |
| Last 6 | 111 | 116 | 61.21% | 1.10 | 0.39 | - 1.10 | 5.36% |
| Last 12 | 60 | 60 | 60.00% | 0.90 | - 0.29 | 0.19 | -6.50% |
| All | 207 | 206 | 64.56% | 1.46 | 2.14 | - 2.10 | 20.40% |
+---------+---------+-------+---------+------+--------+--------+--------+
Notes:
* PF - average profits expected per trade:
> 1.0: $1 invested returns > $1 (profitable)
= 1.0: $1 invested returns $1 (breakeven)
< 1.0: $1 invested returns < $1 (loss).
* TScore - observed probability due to chance at 95% CI:
>= 1.645: not just dumb luck
<= 1.645: shorter duration
= 0: might be worthy to invest
* ZScore - duration of Win/Lose streaks:
>= 1.645: shorter duration
<= -1.645: longer duration.
* Optf - optimal percent of capital to invest:
> 0: might be worthy to invest
<= 0: save your money.</pre>
Mike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-89267712966005049002012-05-05T13:22:00.000-05:002014-02-04T16:01:41.684-06:00Portfolio Performance - Apr 2012<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody><tr><td>
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgiJ6cW5DgR-lhkBVGrhcEflgPMrpFXrzQkKpt5F-l8KdTnCqLxHUXB3xfEeat8LDuf83d8l7x1d8maipFmf-CPhZ8meuoeAx8vMvlHx4zNzYAZeTdOO_PNDNJ7PVuhPO4DFhyphenhyphenb/s1600/ttc_201204_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgiJ6cW5DgR-lhkBVGrhcEflgPMrpFXrzQkKpt5F-l8KdTnCqLxHUXB3xfEeat8LDuf83d8l7x1d8maipFmf-CPhZ8meuoeAx8vMvlHx4zNzYAZeTdOO_PNDNJ7PVuhPO4DFhyphenhyphenb/s1600/ttc_201204_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjIe3vGcrSxtiqpJMQM9yPtjFQFwedw8dUCc_iCsRIt95agC5Nmj6v78Oi0NqEJKuicV0X0FO3u71Bzh-g0h2P4j-S79fHMvCjcZHhB0TBI95r8ISJG_2sUCHvGWh8J_-uSfu6I/s1600/ttc_201204_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjIe3vGcrSxtiqpJMQM9yPtjFQFwedw8dUCc_iCsRIt95agC5Nmj6v78Oi0NqEJKuicV0X0FO3u71Bzh-g0h2P4j-S79fHMvCjcZHhB0TBI95r8ISJG_2sUCHvGWh8J_-uSfu6I/s1600/ttc_201204_roi.png" height="123" width="200" /></a></div></td><td align="right">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiQBqni8j8GaQXSHuoic_1yh5o1L26taBfQH1q9-y1WC8q_JMJHeG3IC68_6x5X75l7t7uahDmxn69PmZcI8IsbVy5VyWQVhA4-Sqy6L-YgKvmUzhyATGJVmPR09vFstjMvT2n1/s1600/ttc_201204_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiQBqni8j8GaQXSHuoic_1yh5o1L26taBfQH1q9-y1WC8q_JMJHeG3IC68_6x5X75l7t7uahDmxn69PmZcI8IsbVy5VyWQVhA4-Sqy6L-YgKvmUzhyATGJVmPR09vFstjMvT2n1/s1600/ttc_201204_drawdown.png" height="123" width="200" /></a></td></tr></tbody></table>
<pre><strong>ROI Stats</strong>
April: Portfolio (-1.75%) vs SP500 (<strong>-0.75%</strong>).
March: Portfolio (<strong>+3.25%</strong>) vs SP500 (+3.13%).
<strong>Trade Stats</strong>
+---------+---------+-------+--------+------+--------+--------+---------+
| Months | Entries | Exits | Win% | PF | TScore | ZScore | Optf |
+---------+---------+-------+--------+------+--------+--------+---------+
<strong>| Apr | 2 | 2 | 50.00% | 0.42 | - 0.41 | inf | -70.13% |
| Mar | 6 | 7 | 71.43% | 4.06 | 1.54 | 0.68 | 53.82% |</strong>
| Last 3 | 14 | 17 | 52.94% | 0.71 | - 0.47 | - 0.99 | -21.60% |
| Last 6 | 38 | 38 | 63.16% | 1.08 | 0.18 | - 0.42 | 4.85% |
| Last 12 | 79 | 81 | 58.02% | 0.85 | - 0.56 | - 0.22 | -10.45% |
| All | 200 | 199 | 64.32% | 1.46 | 2.07 | - 2.30 | 20.14% |
+---------+---------+-------+--------+------+--------+--------+---------+
<strong>Notes:</strong>
* PF - average profits expected per trade:
> 1.0: $1 invested returns > $1 (profitable)
= 1.0: $1 invested returns $1 (breakeven)
< 1.0: $1 invested returns < $1 (loss).
* TScore - observed probability due to chance at 95% CI:
> 1.645: not just dumb luck
<= 1.645: dumb luck.
* ZScore - duration of Win/Lose streaks:
>= 1.645: shorter duration
<= -1.645: longer duration.
* Optf - optimal percent of capital to invest:
> 0: might be worthy to invest
<= 0: save your money.</pre>Mike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com19tag:blogger.com,1999:blog-6950062.post-32871946599076271132012-03-25T10:49:00.000-05:002014-02-04T16:24:26.979-06:00Portfolio Performance - Feb 2012<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody><tr><td>
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgAAMNPgFVguY98CkwPdyQKUTSRbmRvqIncL2HenwZ3IRaMfkONskm3ZFyw4WmDIBlog9eb7fPob5e8DUp-YExZ-kMPQVBGwRnyuUS7GFFVvgG3XCysKmdIhr5UYGz8FrQ3QFel/s200/ttc_201202_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgAAMNPgFVguY98CkwPdyQKUTSRbmRvqIncL2HenwZ3IRaMfkONskm3ZFyw4WmDIBlog9eb7fPob5e8DUp-YExZ-kMPQVBGwRnyuUS7GFFVvgG3XCysKmdIhr5UYGz8FrQ3QFel/s200/ttc_201202_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgSV-2VDZadRgR0SogZ3myN-6fJB2r8kz37wosKJFre7PtLxwbyQX4jt9X7oBEK2amgWlBNXd2PMgfY3fdTVQV5mJnLYrJUTofLF9d0z1JrPBepkdme7GgGdJsl-8VdUbIv43by/s1600/ttc_201202_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgSV-2VDZadRgR0SogZ3myN-6fJB2r8kz37wosKJFre7PtLxwbyQX4jt9X7oBEK2amgWlBNXd2PMgfY3fdTVQV5mJnLYrJUTofLF9d0z1JrPBepkdme7GgGdJsl-8VdUbIv43by/s1600/ttc_201202_roi.png" height="123" width="200" /></a></div></td><td align="right">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhjZHR6fzQWEIb9jCja5NK32YHlITDcKnwC5UEKIvrdOEXVmlBAGbXAy2IttGM7fdcQ5lI9w8s_1ueTfuvGkXiRGfFJSuMvsB125rMPRahLLmhW4uZbT7Nyp5Bp1Cj2_-MunN3a/s1600/ttc_201202_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhjZHR6fzQWEIb9jCja5NK32YHlITDcKnwC5UEKIvrdOEXVmlBAGbXAy2IttGM7fdcQ5lI9w8s_1ueTfuvGkXiRGfFJSuMvsB125rMPRahLLmhW4uZbT7Nyp5Bp1Cj2_-MunN3a/s1600/ttc_201202_drawdown.png" height="123" width="200" /></a></td></tr></tbody></table><pre><strong>February 2012 Stats</strong>
# of Entries...........6
# of Exits.............8
WinRatio..............37.50%
Portfolio's ROI......- 4.35%
Market's ROI.........+ 4.06%
<strong>Cumulative Stats</strong>
WinRatio..............64.21%
Profit Factor..........1.45
t-Test.................2.01
Half-Kelly............19.79%</pre>
Very poor performance for the month of February. The overall market did wonderful. The portfolio was heading in to the last week of February with great results, as well. But, 2 stocks took the portfolio out of the running: <a href="http://finance.yahoo.com/q?d=t&s=TSRA">TSRA</a> & <a href="http://finance.yahoo.com/q?s=cphd&ql=1">CPHD</a>. This hit created the worst drawdown for the portfolio since 2010.
<br /><br />
As a result of this drawdown; I am adjusting the trading system to account for volatility impacts. This is the first adjustment to the trading system since creation back in 2010. The adjustment involves overlaying a stock & market volatility filter to the system.
<br /><br />
On a brighter note; I am heading to <a href="http://www.northalabama.org/">Alabama</a> for a little R&R with the family. We'll be around <a href="http://outdooralabama.com/fishing/freshwater/where/reservoirs/smith/">Lewis Smith Lake</a> and the <a href="http://birminghamal.org/">Birmingham</a> area; so if anyone has any cool restaurants or places to see...drop me a line.
<br /><br />
Later Trades,
<br /><br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-24725276417377669202012-02-11T13:03:00.000-06:002014-02-07T16:19:59.618-06:00Portfolio Performance - January 2012<div style="clear: both; text-align: left;">
<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody>
<tr><td><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj6l9s7fD2SyEGA4hJcqi3Hu9oYuguigy7hxagdttBWnR0AQ3LecwWYpHsRDzduFMtjd2MoX6MHxgVdxaE1OdRHxqvt6fOB34wKKdWSqyNySMWn_uJgKKxSoX4aMNzP4pbI5SeV/s1600/ttc_201201_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj6l9s7fD2SyEGA4hJcqi3Hu9oYuguigy7hxagdttBWnR0AQ3LecwWYpHsRDzduFMtjd2MoX6MHxgVdxaE1OdRHxqvt6fOB34wKKdWSqyNySMWn_uJgKKxSoX4aMNzP4pbI5SeV/s1600/ttc_201201_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgQf6Ate0j9EiT_sI_WVTSI7aNqwU2Hi0QGTtJBiHgMsM2WXMrFT-NneF9lEs4MedS2UgPLxrxBIRYe0v7clflLt3CD1UVH3uMzSXoQO7TCeiwWgCEkAEpia9TihQS_pFveTDtH/s1600/ttc_201201_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgQf6Ate0j9EiT_sI_WVTSI7aNqwU2Hi0QGTtJBiHgMsM2WXMrFT-NneF9lEs4MedS2UgPLxrxBIRYe0v7clflLt3CD1UVH3uMzSXoQO7TCeiwWgCEkAEpia9TihQS_pFveTDtH/s1600/ttc_201201_roi.png" height="123" width="200" /></a></div>
</td><td align="right"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgB2s9SZnwKDuAGqKf5-8AxyajiHIg5FBXIZE5kxWSm88riXK9ui2BxskitcTlYWuOlIjn0hEWVmICE75B8322raEcMj5d369DIf0BuyAs1Tqi0USwcMbT0uYSN-LlIF1Sg535D/s1600/ttc_201201_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgB2s9SZnwKDuAGqKf5-8AxyajiHIg5FBXIZE5kxWSm88riXK9ui2BxskitcTlYWuOlIjn0hEWVmICE75B8322raEcMj5d369DIf0BuyAs1Tqi0USwcMbT0uYSN-LlIF1Sg535D/s1600/ttc_201201_drawdown.png" height="123" width="200" /></a></td></tr>
</tbody></table>
</div>
<strong>January 2012</strong>
<br />
<pre># of Entries..........10
# of Exits.............9
WinRatio..............70.00%
Portfolio's ROI......+ 3.31%
Market's ROI.........+ 4.36%</pre>
Market beat us this month. But, it was a winning month and a good start to the new year. I'll take it.
<br />
<br />
I'm doing something different for 2012. Reading <a href="https://kindle.amazon.com/work/diary-professional-commodity-trader-ebook/B004H3C06S/B004K1F6NG">Diary of a Commercial Commodities Trader from Peter Brandt</a> gave me the idea. Peter does a great job of analyzing his trades from a chart technician perspective in real-time through the book. I normally don't care what the charts look like in choosing my trades. Just take the signals the system gives me.
<br />
<br />
But, the system often generates too many trades for the amount of cash I have on hand. I've not had a good handle on which of the few from the many I should select for that day's cash on hand. For 2012; I'll analyze each signal's chart before and after the trade. See what patterns emerge from this analysis. Worst case...just a bunch of random charts with no impact to the bottom line. Best case...I find a filter or new criteria to add to my system's signal selection process.
<br />
<br />
An example chart from January's best trade - <a href="http://www.google.com/finance?q=scss">SCSS</a>...<br />
<div style="clear: both; text-align: left;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhFix9b7kXlsZc77iSVZlfeFRPjPam7OHTekG3qzLQ_El3unPdK22PxXDDhOt1Hjk8rAAdAzEv2wpc0-iQn9FhzoZVsYFUa9V2z022PaSdprc40PAXCzTsH-6GHdV2WPMgT4cUM/s1600/ttc_w_scss_2012_02_10.png"><img src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhFix9b7kXlsZc77iSVZlfeFRPjPam7OHTekG3qzLQ_El3unPdK22PxXDDhOt1Hjk8rAAdAzEv2wpc0-iQn9FhzoZVsYFUa9V2z022PaSdprc40PAXCzTsH-6GHdV2WPMgT4cUM/s200/ttc_w_scss_2012_02_10.png" /></a>
<br />
<br /></div>
An example chart from January's worst trade - <a href="http://www.google.com/finance?q=type">TYPE</a>...<br />
<div style="clear: both; text-align: left;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjitgltQxeODPnbhaQy6MB7tbxmzImnTm0Cshc1AQlctFoiePzX2nsQNsyhzwJU0jeWiCUxPC1jQiuNjWU4_bHzN4adZGMHxT8SzpO6OUpzC5dpWa7ZlK66BluWx2_KWHPJTgNQ/s1600/ttc_l_type_20120210.png"><img src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjitgltQxeODPnbhaQy6MB7tbxmzImnTm0Cshc1AQlctFoiePzX2nsQNsyhzwJU0jeWiCUxPC1jQiuNjWU4_bHzN4adZGMHxT8SzpO6OUpzC5dpWa7ZlK66BluWx2_KWHPJTgNQ/s200/ttc_l_type_20120210.png" /></a>
<br />
<br /></div>
Finally, want to thank my family for a wonderful visit in Texas. Great food and conversation. Awesome trip!
<br />
<br />
Later Trades,
<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com3tag:blogger.com,1999:blog-6950062.post-71266421908862106852012-01-22T04:28:00.000-06:002014-02-04T16:23:15.595-06:00Portfolio Performance - December 2011<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody>
<tr><td><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhP8kll7XtpVRII3MkDfeNBLhFbJn_vRpl6eGShQJdHWHlm3vcNZ7Y4jZv-AkR38LQYQz7xzqan7uxvDBb4QLxnCigMLNJfN_dW8QpxcC55JA7zNI-USaqK-8WT_eX9YvgpzkIS/s200/ttc_201112_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhP8kll7XtpVRII3MkDfeNBLhFbJn_vRpl6eGShQJdHWHlm3vcNZ7Y4jZv-AkR38LQYQz7xzqan7uxvDBb4QLxnCigMLNJfN_dW8QpxcC55JA7zNI-USaqK-8WT_eX9YvgpzkIS/s200/ttc_201112_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjUtwl6FhivTn-Klah4uVSq0naL02MIjuMWjEnsQTiFZJ4PngWhyphenhyphenLAsZ6zi4HxhaEGWL18XWOM5-9sX6-aGSMAG3daLPnOA4mp8eS3nGLyhXbCyhj5DgMdxT9MVbO4avLX2IQ4o/s1600/ttc_201112_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjUtwl6FhivTn-Klah4uVSq0naL02MIjuMWjEnsQTiFZJ4PngWhyphenhyphenLAsZ6zi4HxhaEGWL18XWOM5-9sX6-aGSMAG3daLPnOA4mp8eS3nGLyhXbCyhj5DgMdxT9MVbO4avLX2IQ4o/s1600/ttc_201112_roi.png" height="123" width="200" /></a></div>
</td><td align="right"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiOMty09LhLacFAgGHtPC9cvKZV0rw2ZwO2VeJwU70FxofrykExZJNoZbacjIR49cCKDZkNZTYna-JUniS4lHzgqsYza9jR8Ucywpv3_u5RuEqPM2oNKEXealk6Zm0YoYFBKtHn/s1600/ttc_201112_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiOMty09LhLacFAgGHtPC9cvKZV0rw2ZwO2VeJwU70FxofrykExZJNoZbacjIR49cCKDZkNZTYna-JUniS4lHzgqsYza9jR8Ucywpv3_u5RuEqPM2oNKEXealk6Zm0YoYFBKtHn/s1600/ttc_201112_drawdown.png" height="123" width="200" /></a></td></tr>
</tbody></table>
<strong>December 2011</strong><br />
<pre># of Entries..........10
# of Exits.............9
WinRatio..............77.78%
Portfolio's ROI......- 0.14%
Market's ROI.........+ 0.85%</pre>
I believed December was going to be a great month. You can see with a 78% win ratio...we were more right than wrong for the month. But, we took a really bad hit on one of the positions. That's what is difficult about the market right now. Most of the trading surprises are still to the downside. Looking forward to the trend of upward surprises.
<br /><br />
That's actually a study I might explore - tracking the surprise factor. Is the market showing a trend of upside surprises or downside surprises? Or is the market caught in a surprise stasis? How do each of these scenarios effect the system?
<br /><br />
For the year of 2011 - the portfolio eaked out a +4.00% return. Given the volatility of the market; that's a whole lot of work for very little gain. But, we survived. Lived to play another year. In the end, glad to put 2011 to rest and start 2012.
<br /><br />
On a personal note...really excited about taking a trip back home to Texas later this month. I'll be visiting Dallas (Grapevine area), followed by Houston, and finally home sweet Texas home. Excited about visiting with family, eating great Texas food, and hopefully warmer temperatures<br />.
<br />
Later Trades,
<br /><br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com2tag:blogger.com,1999:blog-6950062.post-87491546457891677672011-12-24T04:41:00.000-06:002014-02-04T16:29:33.647-06:00Portfolio Performance - November 2011<strong>November 2011</strong><br />
<pre># of Entries...........5
# of Exits.............2
WinRatio..............50.00%
Portfolio's ROI......+ 0.66%
Market's ROI.........- 0.51%</pre>
<br />
Another less than stellar month for the portfolio. Even though we sneaked in a win over the market...it was not enough to write home about.<br />
<br />
What this portfolio needs more than anything is a big winner to close out the year. But, time is definitely running out on that option.<br />
<br />
That's probably the most difficult part of trading the system in the back half of 2011 - the lack of big winners. The long-only system had the uncanny ability to miss almost all of the huge upside moves and catch most of the downside ones. Despite its penchant for missing the upside - the portfolio has hung in there and weathered a very volatile market environment.<br />
<br />
I will add the following goals for 2012:<br />
<ul><br />
<li>Explore a market direction filter for the system. I've exhausted many of the common ones already. But, believe there may be some value in a breadth reading of all market instruments. Possibly like the Breadth Ratio but instead of volume using <a href="http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_true_range_a">ATR</a>. Similar to the <a href="http://en.wikipedia.org/wiki/Vortex_indicator">Vortex Ratio</a>. Another idea is to utilize the correlation reading of all market instruments to ascertain the investing environment.</li>
<br /><br />
<li>Determine if certain sectors are good or bad for the system. Over the past year I have observed the Pharmaceuticals and Oil & Gas sectors have not faired so well with the system.</li>
<br /><br />
<li>I still have not analyzed earning announcements and their possible impact on the system. This is a must to-do for 2012.</li>
</ul>
<br />
<br />
That's it from the cold Midwest - where I'll spend the day smoking 2 Texas Dr. Pepper briskets. We'll use one of them for Tex-Mex tonight and the other for BBQ sandwiches tomorrow. Can't wait.<br />
<br />
I wish everyone a very Merry Christmas and a Happy New Year!<br />
<br />
Later Trades,<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-29576511387036186542011-11-24T22:04:00.000-06:002014-02-07T16:26:34.771-06:00Portfolio Performance - October 2011<div style="clear: both; text-align: left;">
<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody>
<tr><td><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiBp4oFZcEHL67l7ZH7T8WCpvlqwJB6IL22R3IaIh4CorhxFKg1pk8L4xKZX_X4ZeqT9N-bq_S0rU1XmgG3g06P2OFyxiAZZFtpQE9Up0sMrO68i_II-h-7mRvB4z30esZlzQh2/s200/ttc_201110_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiBp4oFZcEHL67l7ZH7T8WCpvlqwJB6IL22R3IaIh4CorhxFKg1pk8L4xKZX_X4ZeqT9N-bq_S0rU1XmgG3g06P2OFyxiAZZFtpQE9Up0sMrO68i_II-h-7mRvB4z30esZlzQh2/s200/ttc_201110_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiU3rEPmspzJyM466e5Un6Xz-V9VuKKw2e_sr4O7pbH3rr9PhkKWFujcraRjL8SIx90CptnEWS-Vc0_yeAVhX__G14UODK559h6epk18xoyQ92P-v9NSQpJRYfEGUqwmhy-K5vs/s200/ttc_201110_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiU3rEPmspzJyM466e5Un6Xz-V9VuKKw2e_sr4O7pbH3rr9PhkKWFujcraRjL8SIx90CptnEWS-Vc0_yeAVhX__G14UODK559h6epk18xoyQ92P-v9NSQpJRYfEGUqwmhy-K5vs/s200/ttc_201110_roi.png" height="123" width="200" /></a></div>
</td><td align="right"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgaMRvLGnPIWwRuuHuy4vRemacebH1NuhejpsCsINt-KrEgsQCcKo7xrvkApcC-tiI_G9nAhVM9Z2E177MaYJZDs_ENiu5TwBoHsn8CiGSRnm06wRJM_at0_Ju8uX9WDEjvCxNe/s1600/ttc_201110_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgaMRvLGnPIWwRuuHuy4vRemacebH1NuhejpsCsINt-KrEgsQCcKo7xrvkApcC-tiI_G9nAhVM9Z2E177MaYJZDs_ENiu5TwBoHsn8CiGSRnm06wRJM_at0_Ju8uX9WDEjvCxNe/s1600/ttc_201110_drawdown.png" height="123" width="200" /></a></td></tr>
</tbody></table>
</div>
<br />
<strong>October 2011</strong><br />
<pre># of Entries...........1
# of Exits.............5
WinRatio..............20.00%
Portfolio's ROI......+ 0.27%
Market's ROI.........+10.77%</pre>
<br />
October was just plain ugly for the portfolio. Didn't participate any in the market's advance. When the system did try to jump in...it got punished...as you can see from the 20% win ratio. Really frustrating.<br />
<br />
I'm afraid November so far is much the same. As you will see when those numbers are reported.<br />
<br />
Times like these are the most difficult for a system trader. You're following all your rules. You're doing all you're supposed to do. But, your portfolio is not showing any results. That's what tough about this game. It reminds me of the following quote...<br />
<blockquote>
"It's not the first guy out of the water, or the first one done with the run or the obstacle course. It's the guys who wants it bad enough and have the mental toughness to simply make it through. The ones who never give up." -- What it takes to be a Navy Seal by a retired Navy Seal.</blockquote>
<br />
No, not comparing system traders to Navy Seals. But, I do think a lot of what makes system traders successful is never giving up. Having the mental toughness to simply make it through times like this.<br />
<br />
Speaking of trading in tough times...I found the <a href="http://www.mebanefaber.com/2011/11/17/re-thinking-risk-or-why-isnt-there-a-put-write-etf/">paper</a> shared by <a href="http://www.mebanefaber.com/">Mebane Faber</a> to be fascinating. Basically, investing in low-beta stocks are similar in profile to selling puts. Earn a premium for taking all of the downside risk while not participating fully in market rallies. Lots of trading gems in that paper.<br />
<br />
Okay, on to other things. I have been busy lately with releasing a few Python modules over on <a href="http://github.com/TaylorTree">GitHub</a>. The first one covers some basic statistical functions. Useful when you want a series of 50-day simple moving averages or the Welles Wilder moving averages to chart. Check it out here:<br />
<ul><br />
<li><strong>statio</strong> - <a href="https://github.com/TaylorTree/statio">http://github.com/TaylorTree/statio</a></li>
</ul>
<br />
The other one covers pretty formatting of data. This package is very alpha - so could change at any time. But, this one is useful when you want to print a list of Python lists or dictionaries based on various formatting options. Check it out here:<br />
<ul><br />
<li><strong>printio</strong> - <a href="https://github.com/TaylorTree/statio">http://github.com/TaylorTree/printio</a></li>
</ul>
<br />
Finally, hope everyone enjoyed a very Happy Thanksgiving. Mine was good but do miss <a href="http://www.flickr.com/photos/taylortree/3758757694/">home</a>.<br />
<br />
Later Trades,<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-1294502073217200832011-10-08T16:09:00.000-05:002014-02-04T16:32:56.006-06:00Portfolio Performance - September 2011<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody><tr><td>
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgmsXr4np__xLghZ9w20InZYYieImIdX1UXwZb_BfBtCQigb5DZt55k2IBQR0TEecLtdRsE9AlF_P3SQ53mLLjLtpWxWbqL4khfAf2mCMLMvlt9du4rVPVPq28llUGTngf0seSq/s1600/ttc_201109_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgmsXr4np__xLghZ9w20InZYYieImIdX1UXwZb_BfBtCQigb5DZt55k2IBQR0TEecLtdRsE9AlF_P3SQ53mLLjLtpWxWbqL4khfAf2mCMLMvlt9du4rVPVPq28llUGTngf0seSq/s1600/ttc_201109_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEglJL2jR1p_EIgIFfxjsggP2T4sqTW-UEEPIF0eyRxmeW96i0_uEc6OuyRwilRJTwG8DcOd1gyVPs6b5FMVRHXQzSfTWQJ3dWBEKiDOKI3BXFlua51Xo4kAdYSGMvptwz_aMvj7/s1600/ttc_201109_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEglJL2jR1p_EIgIFfxjsggP2T4sqTW-UEEPIF0eyRxmeW96i0_uEc6OuyRwilRJTwG8DcOd1gyVPs6b5FMVRHXQzSfTWQJ3dWBEKiDOKI3BXFlua51Xo4kAdYSGMvptwz_aMvj7/s1600/ttc_201109_roi.png" height="123" width="200" /></a></div></td><td align="right">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjLYpxFKPFX02YBBTkGvFfccv3dXq-QQG6nXxnk9KTO03SfCgGACperQmmhrRA-d37N4EdmsjFANySD2t82LFC5h2OyIQ2LWVSlkmS6TCiGXyCDAUK2aaJNnxZ89ebrlCkxUFZl/s1600/ttc_201109_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjLYpxFKPFX02YBBTkGvFfccv3dXq-QQG6nXxnk9KTO03SfCgGACperQmmhrRA-d37N4EdmsjFANySD2t82LFC5h2OyIQ2LWVSlkmS6TCiGXyCDAUK2aaJNnxZ89ebrlCkxUFZl/s1600/ttc_201109_drawdown.png" height="123" width="200" /></a></td></tr></tbody></table>
<strong>July 2011</strong><br />
<pre>
# of Entries...........6
# of Exits.............9
WinRatio..............66.67%
Portfolio's ROI.......+0.76%
Market's ROI..........-2.15%</pre>
<br />
<br />
<strong>August 2011</strong><br />
<pre>
# of Entries...........0
# of Exits.............1
WinRatio...............0.00%
Portfolio's ROI.......-3.40%
Market's ROI..........-5.68%</pre>
<br />
<br />
<strong>September 2011</strong><br />
<pre>
# of Entries..........14
# of Exits.............9
WinRatio..............66.67%
Portfolio's ROI.......-2.13%
Market's ROI..........-7.18%</pre>
<br />
<br />
What a crazy 3 months this has been in the market. Despite the crazy market; the system performed better than I expected. I've only interceded once in the past 3 months. Going to cash just prior to August 2nd's debt ceiling deadline. The reason for interceding? I knew the system had never been tested over such an event and was not willing to risk real money on an event as crazy as that one. <br />
<br />
In hindsight, interceding was a bad decision. August would have been a profitable month for the system. But, August would also have been an extremely volatile month for the portfolio. So, I lost money in order to sleep better. That's the difficulty in trading systems. We feel the fear...they do not.<br />
<br />
Later Trades,<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com2tag:blogger.com,1999:blog-6950062.post-73543972076881497172011-07-17T15:03:00.000-05:002014-02-04T16:37:10.278-06:00Portfolio Performance - June 2011<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody><tr><td>
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgeVaxMjWQ5M5-LdZOuj2cSDVWHXn_R_MiOJbJff-WGSQjWQPw5TrKpQTbds_PGOKvEfoIgN0lhxKiyoF0nDfHQ3ALYSq_5R_EBP_Qi4aulD5Vx52XM6ZppWRhY9ynSOa2ckTkl/s200/ttc_201106_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgeVaxMjWQ5M5-LdZOuj2cSDVWHXn_R_MiOJbJff-WGSQjWQPw5TrKpQTbds_PGOKvEfoIgN0lhxKiyoF0nDfHQ3ALYSq_5R_EBP_Qi4aulD5Vx52XM6ZppWRhY9ynSOa2ckTkl/s200/ttc_201106_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgvdje6_d-HLpv7-m_68stiKSu3TCbuuQYg6lfF_1OI1xj__LeBNjdrTVVrd7LGt48bl-GLJyALe1Yvr_g1qZGxMUWT52C9xln_rwAmVoz261bBmTY7LW1Gjvb95JFV6ej0NQTG/s1600/ttc_201106_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgvdje6_d-HLpv7-m_68stiKSu3TCbuuQYg6lfF_1OI1xj__LeBNjdrTVVrd7LGt48bl-GLJyALe1Yvr_g1qZGxMUWT52C9xln_rwAmVoz261bBmTY7LW1Gjvb95JFV6ej0NQTG/s1600/ttc_201106_roi.png" height="123" width="200" /></a></div></td><td align="right">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiwBFMAEYnddQQ0_GmVjD8PEw0UCJdiis3Ka_2FPQoO4yvRblDJHPRF4VbgwQ6NFZ5yi7m1yb1lBh-BTavx99Srre-EJ67CC3Yo5EZXJR-jw1ZHbe9WJ8veYwoCSb72AFxjLBMS/s200/ttc_201106_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiwBFMAEYnddQQ0_GmVjD8PEw0UCJdiis3Ka_2FPQoO4yvRblDJHPRF4VbgwQ6NFZ5yi7m1yb1lBh-BTavx99Srre-EJ67CC3Yo5EZXJR-jw1ZHbe9WJ8veYwoCSb72AFxjLBMS/s200/ttc_201106_drawdown.png" height="123" width="200" /></a></td></tr></tbody></table>
<pre>
# of Entries..........12
# of Exits............10
WinRatio..............30.00%
Portfolio's ROI.......-7.72%
Market's ROI..........-1.83%</pre>
<br />
<br />
June felt like a death by a thousand paper cuts. The month of June stands as the highest system entries, lowest win ratio, and largest monthly drawdown. It's always difficult to continue taking trades when your system is performing badly. Especially, when you can clearly see why the market is a mess for your system. <br />
<br />
The slippery slope is to stop trading until the traffic clears. Do that and sure enough you will miss the turn. I have entertained in the past a more systematic trading halt. Stop taking trades for the month when some trading metric hits a filter. The trading metric could be a win ratio, profit factor, expectancy, drawdown, and a host of others. <br />
<br />
Problem is: I have never found a way to improve systems by trading the equity curve outside of <a href="http://www.tradingmarkets.com/.site/stocks/how_to/articles/-74576.cfm">Anti-martingale fixed-fractional position-sizing</a>. Even when the system exhibits a high <a href="http://www.adaptrade.com/Articles/article-dep.htm">trade dependency</a>. That's not to say it isn't something to explore for your systems. Especially, since improving a system is dependent upon your own definition of improvement.<br />
<br />
No, experiencing a big drawdown is the toughest thing a system trader will encounter. Mostly because there's nothing you can do about it but sit on your programming hands, continue taking entries despite how you feel, and patiently wait it out.<br />
<br />
Later Trades,<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com2tag:blogger.com,1999:blog-6950062.post-27195907449861627142011-07-12T03:02:00.000-05:002014-02-04T16:37:36.361-06:00Monk TradersMichael Martin wrote an interesting <a href="http://martinkronicle.com/2011/07/11/when-technicals-and-fundamentals-align/">post</a> on the importance of fundamentals in trading. Its a good post with solid points. Especially, the part about using your knowledge of the fundamentals of the market in build trading systems.<br/><br/>What struck a chord was the author's take on system traders. Now, I understand who Martin was really writing about. He was referring to the traders who take the easy way out. Those traders who build <a href="http://en.wikipedia.org/wiki/Rube_Goldberg_machine">Rube Goldberg machines</a> rather than a trading system.<br/><br/>But, there are system traders out there who spent time in the trenches learning as much as they could about the markets they trade. Only to give up that knowledge in order to trade the systems they build.<br/><br/>I had to give these trading monks a plug...and <a href="http://martinkronicle.com/2011/07/11/when-technicals-and-fundamentals-align/#comment-248158044">comment</a> on Martin's post. <br/><br/>Martin edited my comment; making me sound smarter than I am. Thanks. Below is the unedited but less eloquent version:<br/><blockquote>You're likely right...the title/moniker of the "expert" systematized trend follower could be their way to mask insecurity about their ignorance of fundamentals. But, let me present another side...<br/><br />I agree with your point that understanding fundamentals are important; even for a systematic trader. But, believe there are levels of system trading that have to be considered.<br/><br />If a person wants to become a non-system trader; then yes...long years of study of both technical and fundamental.<br/><br />If a person wants to become a system trader; then yes...long years of study of both technical and fundamental.<br/><br />Both sets will need to trade and gain experience putting their knowledge to use and more importantly the timing of that knowledge. The system trader is really an automator in this case. Taking intuitive rules the non-system trader has and standardizing them into something the computer can understand and spit out. From there, the system trader can evaluate the results and as you mention review the fundamentals. Trade based on the combination. Many system traders fall into this category.<br/><br />There is another level of system trading. Requiring an additional set of skills in addition to the technical and fundamental. <br/><br />These system traders must forego all their hard-earned knowledge and allow the system to work as designed once placed into production. They cannot care that Sugar fundamentals are aligning with price. They are indeed working on the average expectation of all their trades. And cannot get caught on the slippery slope of asking "why" they've lost money on the trade.<br/><br />So, there is a remote chance you were talking with this level of system trader. Whose title/moniker wasn't created to mask insecurity. But, to shield themselves from things which make trading the system hard. In some ways, these system traders are monks. Having to purge all trading belongings and follow only the rules given by their system.<br/><br />But, I did mention it being a remote chance you were talking with this level of system trader. Anyone in this category would not use the word "expert" in their title. The longer I trade this way the less of an expert I become.<br/><br />Look forward to your <a href="http://www.amazon.com/gp/product/0132616254/ref=as_li_tf_tl?ie=UTF8&tag=1492049-20&linkCode=as2&camp=217145&creative=399373&creativeASIN=0132616254">book</a>. Of course, only in designing my systems.</blockquote><br/><br/>Later Trades,<br/><br/>MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-55747099310563995122011-06-23T12:18:00.000-05:002014-02-04T16:39:03.127-06:00Portfolio Performance - May 2011<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody>
<tr><td><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgBJtHktV6HNf_h6dCwn5G4ulVJCo7prXwsbxWPVHik0qnMdUfR6gh3-26xch_ryuLURyZCmIecd8oVgLX4mSgbxhcMlGuiGnm5_xW6FT-ldx3U9YEO4ZA5vAIgCGYrDssOAQmn/s200/ttc_201105_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgBJtHktV6HNf_h6dCwn5G4ulVJCo7prXwsbxWPVHik0qnMdUfR6gh3-26xch_ryuLURyZCmIecd8oVgLX4mSgbxhcMlGuiGnm5_xW6FT-ldx3U9YEO4ZA5vAIgCGYrDssOAQmn/s200/ttc_201105_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjtIS-m0hoX1WQWu6DT4FHR9f-LCecYU3d2QsGgM71DCphMgY-uKrL_qwMflCqFlIUStyOiSKcC2nQS9iA1vvSWJvcftTUnzKg0TQCjnhg-rHQpXstolaWl3I26tkt8pTMa4xie/s1600/ttc_201105_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjtIS-m0hoX1WQWu6DT4FHR9f-LCecYU3d2QsGgM71DCphMgY-uKrL_qwMflCqFlIUStyOiSKcC2nQS9iA1vvSWJvcftTUnzKg0TQCjnhg-rHQpXstolaWl3I26tkt8pTMa4xie/s1600/ttc_201105_roi.png" height="123" width="200" /></a></div>
</td><td align="right"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi11MFrac6K4C4v20wxug5VYHQnMx2_O1P-lc7aNRt1uSzSbZn0vgASRH0JjSWO207GBQ0n_ZFnalTo-X-xXdXqMRFwEgGiAAa6dHCd-g2wMn8kmL-kgIT-KhOqj_Iqu9Nva6E7/s1600/ttc_201105_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi11MFrac6K4C4v20wxug5VYHQnMx2_O1P-lc7aNRt1uSzSbZn0vgASRH0JjSWO207GBQ0n_ZFnalTo-X-xXdXqMRFwEgGiAAa6dHCd-g2wMn8kmL-kgIT-KhOqj_Iqu9Nva6E7/s1600/ttc_201105_drawdown.png" height="123" width="200" /></a></td></tr>
</tbody></table>
<pre># of Entries...........8
# of Exits.............9
WinRatio..............77.78%
Portfolio's ROI.......+3.44%
Market's ROI..........-1.35%</pre>
<br />
<br />
Later Trades,<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-16994380114294983682011-05-08T10:32:00.000-05:002014-02-04T16:43:26.176-06:00Portfolio Performance - Apr 2011<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody><tr><td>
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgVa-jDj33cZnwwBnGIQo0lqehfvJGFn8oeTWuzc1jGcPK9ccZcIreD_y7FAMmtvGqwdpGin_KPQBGw9SKe6EaD2d-E84HX3wHwXhIi7ZS5p11dJd7kid2QP7jxUw8pd-glSKhG/s1600/ttc_201104_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgVa-jDj33cZnwwBnGIQo0lqehfvJGFn8oeTWuzc1jGcPK9ccZcIreD_y7FAMmtvGqwdpGin_KPQBGw9SKe6EaD2d-E84HX3wHwXhIi7ZS5p11dJd7kid2QP7jxUw8pd-glSKhG/s1600/ttc_201104_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjsYdgzZFdOQXrdm9ROCn3b7t_VHGcbqVKLo_1EUq6HkVu1aZ6NlgQShgNkdW7wb45BzVgT4eHJcR_wb_pCe2O88PDqEky_XnE9OQ-TAKmKHI3rgfazi_sCgI_Fh4HIYK2Eko-0/s1600/ttc_201104_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjsYdgzZFdOQXrdm9ROCn3b7t_VHGcbqVKLo_1EUq6HkVu1aZ6NlgQShgNkdW7wb45BzVgT4eHJcR_wb_pCe2O88PDqEky_XnE9OQ-TAKmKHI3rgfazi_sCgI_Fh4HIYK2Eko-0/s1600/ttc_201104_roi.png" height="123" width="200" /></a></div></td><td align="right">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjSH-Gns9j3yrxK0Yi2TCpbHAuMXa9UfPOTJpRe1BPJJGpssHZYeoXt41pYx-5eGDX_hsNDxxxHaCvMBJQVJ3uZpm6ehvngVgW9iUY-vM8Qt3o3K3bmPSZdMI0YpFNnxvHkGi7x/s1600/ttc_201104_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjSH-Gns9j3yrxK0Yi2TCpbHAuMXa9UfPOTJpRe1BPJJGpssHZYeoXt41pYx-5eGDX_hsNDxxxHaCvMBJQVJ3uZpm6ehvngVgW9iUY-vM8Qt3o3K3bmPSZdMI0YpFNnxvHkGi7x/s1600/ttc_201104_drawdown.png" height="123" width="200" /></a></td></tr></tbody></table>
<pre>
# of Entries...........7
# of Exits.............6
WinRatio..............66.66%
Portfolio's ROI.......+0.89%
Market's ROI..........+2.85%</pre>
<br />
April breaks the portfolio's winning streak over the market. Wasn't a bad month for the portfolio; just couldn't get enough trades due to the earnings season.<br />
<br />
April also marked a milestone birthday for yours truly. The family made it real special by shipping in live <a href="http://www.crawdads.net/">crawfish</a> direct from Louisiana. <br />
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEie5cGhaQtBSBI9qBCbxtiNLBhzPkL1UivMuUWQFy76YZu1dnX1Ij7d-ZDbpjr-cB6jts_pkWjpT5-e35qiN0ZKbKlw6_Js4VMY7cMK3MrqaDlShI0oaSsdVAvolGEKP5HueCfm/s1600/ttc_crawfish_bday.jpg"><img src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEie5cGhaQtBSBI9qBCbxtiNLBhzPkL1UivMuUWQFy76YZu1dnX1Ij7d-ZDbpjr-cB6jts_pkWjpT5-e35qiN0ZKbKlw6_Js4VMY7cMK3MrqaDlShI0oaSsdVAvolGEKP5HueCfm/s320/ttc_crawfish_bday.jpg" /></a>
<br />
<br />
Ca C'est Bon!<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-47236341235487705132011-04-12T22:58:00.000-05:002014-02-04T16:45:25.446-06:00Portfolio Performance - Mar 2011<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody><tr><td>
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi5EwhFgAL1PF5-9hkjFUFRrn5Df2PYLrHlq6RWk_vs2xwKYwVHV722nDUCgzP1RyZlG4j7TgWejCc49hmDls5sStCSHaKBUihM96uJquI2g26G92POvnQeL1ox9Jlkw_2FTyuX/s1600/ttc_201103_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi5EwhFgAL1PF5-9hkjFUFRrn5Df2PYLrHlq6RWk_vs2xwKYwVHV722nDUCgzP1RyZlG4j7TgWejCc49hmDls5sStCSHaKBUihM96uJquI2g26G92POvnQeL1ox9Jlkw_2FTyuX/s1600/ttc_201103_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjFcpF7oNX31bEuOJZE423GT9u8llkJCy-QCdTohk5o2W4zF_DEQLNfrOmblwdyoONJOjTAR2m1xqVqTphhGhWAOWRwMZLNx4MGG-Yk66MWO_wC0JD4P5JD62IldlI8ovBd7M2b/s1600/ttc_201103_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjFcpF7oNX31bEuOJZE423GT9u8llkJCy-QCdTohk5o2W4zF_DEQLNfrOmblwdyoONJOjTAR2m1xqVqTphhGhWAOWRwMZLNx4MGG-Yk66MWO_wC0JD4P5JD62IldlI8ovBd7M2b/s1600/ttc_201103_roi.png" height="123" width="200" /></a></div></td><td align="right">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgprBhAL1szk0rBDShVtAs0hV15klnXL2u0rnyNmeEWKymP-lbMbPeed4pqY498mKiHkU-UfEajGjTYCdYlWgE__8jurf5z7TTATDdT4CEdM6INIC5Wj9Fy1mbIHWOm998SxiQm/s1600/ttc_201103_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgprBhAL1szk0rBDShVtAs0hV15klnXL2u0rnyNmeEWKymP-lbMbPeed4pqY498mKiHkU-UfEajGjTYCdYlWgE__8jurf5z7TTATDdT4CEdM6INIC5Wj9Fy1mbIHWOm998SxiQm/s1600/ttc_201103_drawdown.png" height="123" width="200" /></a></td></tr></tbody></table>
<pre>
# of Entries...........8
# of Exits............10
WinRatio..............70.00%
Portfolio's ROI.......+3.38%
Market's ROI..........-0.10%</pre>
<br />
<br />
One of the challenges of trading this system is signal selection. The system generates more signals than money available. A ranking algorithm aids in signal selection and brings the portfolio closer to the signals the simulation would have taken.<br />
<br />
Over time, I have developed a negative bias towards certain signals. By skipping these outliers; I am distancing my portfolio's results from the simulation's results. And I'm struggling with this. What would be ideal is to identify the quantitative nature of these outliers and add to the system's rules. Of course, after rigorous testing. Until then, I'm left with this uneasy balance between trading the system and using bias in my signal selection process.<br />
<br />
Case in point: several of the signals lately (as of 04/12/11) could possibly be held during earnings announcements. I try to avoid holding a stock over its earnings announcement. Yet, the system's simulation tests did not contain this rule set and continued to produce excellent returns overall. Testing my bias is difficult due to the various earnings dates involved. Foregoing earnings season all together in simulations is not an option due to the cash drag effect. One solution to this problem is to collect enough walk-forward data points and manually test the effects of earnings announcements on returns. But, this is a simple example of how a trading bias can manifest in trading your system much differently than your trading system's simulation.<br />
<br />
Later Trades,<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-83004089335119153662011-03-12T14:33:00.000-06:002017-01-25T12:02:40.259-06:00Portfolio Performance for Feb 2011<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody>
<tr><td><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhXhpgW9UlZuEUur6L5HEV5Q-6mtgleNKzUQye8uHJs0yxp4kJrkzBhZfsv3hIGC7yA1kBs65PhBRIgBr_dNltqGezsh6xb0CuMfx_xTkkA-83Z5TV6H5xD4uqCMt-e74udSC8J/s320/ttc_201102_vami.png"><img border="0" height="123" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhXhpgW9UlZuEUur6L5HEV5Q-6mtgleNKzUQye8uHJs0yxp4kJrkzBhZfsv3hIGC7yA1kBs65PhBRIgBr_dNltqGezsh6xb0CuMfx_xTkkA-83Z5TV6H5xD4uqCMt-e74udSC8J/s320/ttc_201102_vami.png" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjal1MdCLGe1bHiYN6GzqGHXrDNrD7FYB0FNGUa-k5mbSkrENXQpTM47iV8X2r24octMXuI7kpu6o9FnChml7GOa64s4tCmHMpUP_hX_t2nz8rMR0ozAdrI2YjPTTyJT_0fGOyq/s320/ttc_201102_roi.png"><img border="0" height="123" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjal1MdCLGe1bHiYN6GzqGHXrDNrD7FYB0FNGUa-k5mbSkrENXQpTM47iV8X2r24octMXuI7kpu6o9FnChml7GOa64s4tCmHMpUP_hX_t2nz8rMR0ozAdrI2YjPTTyJT_0fGOyq/s320/ttc_201102_roi.png" width="200" /></a></div>
</td><td align="right"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEihKvdIITCnea6DFleIhPB7Sy58XmTWIHBxYO2ApPdCwMt8vUsybfWizMGPlGNeoq3UwUXSBLsAjVkRlMMAhLWi9_xxUVizhsfhKxVPUjDaB0bSoSaQ0Bf69imdWcygzulc1P9h/s320/ttc_201102_drawdown.png"><img border="0" height="123" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEihKvdIITCnea6DFleIhPB7Sy58XmTWIHBxYO2ApPdCwMt8vUsybfWizMGPlGNeoq3UwUXSBLsAjVkRlMMAhLWi9_xxUVizhsfhKxVPUjDaB0bSoSaQ0Bf69imdWcygzulc1P9h/s320/ttc_201102_drawdown.png" width="200" /></a></td></tr>
</tbody></table>
<pre># of Entries...........8
# of Exits.............7
WinRatio..............80.00%
Portfolio's ROI........5.82%
Market's ROI...........3.20%</pre>
<br />
<br />
February was a good month for the market and portfolio. The portfolio edging out the market's return for another month.<br />
<br />
Going to go on a bit of a rant here. Something that has bothered me a bit in the trading world for years -- trading psychology. Trading psychology is a market unto itself. Books, blogs, websites, all kinds of info to help you become a better trader. Most of it? The wrong focus.<br />
<br />
Why? The crux of the trading psychology stance is -- don't trade a system (even if its profitable) if it doesn't match your personality. It's all about finding the right match. Like those <a href="http://www.youtube.com/watch?v=QNxOV9cmIZo">eHarmony commercials</a>.<br />
<br />
The trading world wants to embrace a yoga or martial arts viewpoint on trading success. Reminds me how people judged martial arts disciplines prior to UFC coming to light. In fact, I wrote about trading and fighting in a post almost 6 years back <a href="http://taylortree.com/2005/05/be-water-my-friend.html">here</a>.<br />
<br />
Before there was a venue for everyone to see which fighting styles worked...students were inundated with rhetoric, philosophy, etc. You had all these theories about what worked in a real fight. But, nobody was fighting. Just talking and practicing strict rigid disciplines. Then the UFC came along and all these martials arts disciplines came together and actually fought. The winner shocking everyone. All these wonderful well thought-out disciplines just failed. All the finding one's chi and structured katas just failed. Turns out...you've got to fight. It isn't about finding yourself. Isn't about finding your chi. It's about fighting your opponent. It's about taking advantage of your strengths and their weaknesses. See this <a href="http://www.youtube.com/watch?v=WlYD-j9GSvo">video</a> for the story behind UFC and the 1st winner of UFC. Please note...video shows real fighting. And be sure to see Ken Shamrock's interview around 6:18 mark. Along with Joe Rogan's comments around 9:24.<br />
<br />
That's why I wince every time I hear or read about finding a trading system that fits your personality. Or there's only one way of trading - as we often hear with trend following. That's a religion all unto itself.<br />
<br />
Gracie took advantage of his amazing ground game and everyone's lack of to win. But, you cannot stop there. You have to adapt...because your competitor's adapt. The market adapts. The UFC adapts. There is no holy grail. No one way to do things. No black and white. It's all gray. It's all changing...all the time. Cause the participant's are learning all the time.<br />
<br />
<blockquote>
<strong>It's not about finding a system your comfortable with. It's about getting comfortable with a winning system.</strong></blockquote>
<br />
<br />
Despite the religion behind trend-following...I think it's one of the best places to learn how to fight. It teaches you how to get comfortable on your back when the market is clearly kicking your tail. It limits the number of decisions you have to make at a time when your trading instincts and intellect are screaming to run away. Teaching you how to get comfortable with being uncomfortable in trading.<br />
<br />
So, observe the markets, find profitable rules, and trade them. Despite how uncomfortable you find yourself trading them. Cause it's not about you...as Charlie Sheen so eloquently states...it is about <a href="http://www.youtube.com/watch?v=0at81C9xN20">winning</a>.<br />
<br />
Later Trades,<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-33813577943337180482011-02-06T23:20:00.000-06:002014-02-04T16:49:55.347-06:00Portfolio Performance for January 2011<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody><tr><td>
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi85xyzGIit0wN44kgu-8W5Hx1nSOb4B50i9bFmW3E8ozzR2omtJmKSNfSyQkPhev9YxbeLEKvkQZZwkVms1cz6CnDGpkogPcDaiVfF1_m3F0_If_yzeU5F-noAqZ6t2yh3Akb3/s1600/ttc_201101_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi85xyzGIit0wN44kgu-8W5Hx1nSOb4B50i9bFmW3E8ozzR2omtJmKSNfSyQkPhev9YxbeLEKvkQZZwkVms1cz6CnDGpkogPcDaiVfF1_m3F0_If_yzeU5F-noAqZ6t2yh3Akb3/s1600/ttc_201101_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi5qFEqnXEh_IL2He23ucMmBOfkIJBIHKkpB0iVlcnrGLXktRKvTMeAbSyIoa8FGP3dbWiQAiUFYEpYVpV5TNnZ5iTBh4T_yaluq7tZHXM4u8atWh_Rj7DQCH3jJJ6T90p4bped/s1600/ttc_201101_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi5qFEqnXEh_IL2He23ucMmBOfkIJBIHKkpB0iVlcnrGLXktRKvTMeAbSyIoa8FGP3dbWiQAiUFYEpYVpV5TNnZ5iTBh4T_yaluq7tZHXM4u8atWh_Rj7DQCH3jJJ6T90p4bped/s1600/ttc_201101_roi.png" height="123" width="200" /></a></div></td><td align="right">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiQE0x1P3gdL9H6TvnWvCw_njWbkqVXqAAvbgmRn6VlqptTNPY0APn1gUVmWXb2BjgWzHWi1lQM1ToFIBo8pTqaCVi_6f2eQk1ZZiNUmmMOw8qPwfCdtTRqjwPaP1-UA4TGReIg/s1600/ttc_201101_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiQE0x1P3gdL9H6TvnWvCw_njWbkqVXqAAvbgmRn6VlqptTNPY0APn1gUVmWXb2BjgWzHWi1lQM1ToFIBo8pTqaCVi_6f2eQk1ZZiNUmmMOw8qPwfCdtTRqjwPaP1-UA4TGReIg/s1600/ttc_201101_drawdown.png" height="123" width="200" /></a></td></tr></tbody></table>
The portfolio finished the month up 2.82%. Not a particularly stellar month for the portfolio; but I'll take a win over the market anytime.<br />
<br />
<pre>
# of Entries.......8
# of Exits.........7</pre>
<br />
As you can see with the above entries & exits; still not much activity for the portfolio in January. I'm hoping this next month brings more action to the table.<br />
<br />
On the development side of the house; I hit a snag with the simulation engine's backend database architecture. So, I've spent a few weeks performance testing the database components. I believe I've got all the performance issues squared away and plan to get back on track with the conversion over the next few weeks.<br />
<br />
Later Trades,<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com2tag:blogger.com,1999:blog-6950062.post-18334490136099019632011-01-16T23:16:00.000-06:002014-02-05T16:16:42.633-06:00Portfolio Performance for December 2010<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody><tr><td>
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjK2T5bWxDw-cnF6jMplCHpSOKmrkEEPHD8iiyC_A0dGShy7gym19EWfWXtGzq2BPj4Dk-Wl0ou8_wkTPeT9huVkybif1J_Ng7t461WWEjwG7XcGXWLIQozPkpZCQpMmODRTfrN/s1600/ttc_201012_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjK2T5bWxDw-cnF6jMplCHpSOKmrkEEPHD8iiyC_A0dGShy7gym19EWfWXtGzq2BPj4Dk-Wl0ou8_wkTPeT9huVkybif1J_Ng7t461WWEjwG7XcGXWLIQozPkpZCQpMmODRTfrN/s1600/ttc_201012_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhbgIFy3zfIvbCpsuc6sdvIVBq5s2HjUZTxmOCA_6voQzBdUY1oq5gKz42Gwo6fNE52t2Fg4Yp2pzMqruimeBiwm6-ZZwDaUVWxesyCuNWHWZVN3ztxH4Z-E_yaRbvEYcpxdeRG/s1600/ttc_201012_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhbgIFy3zfIvbCpsuc6sdvIVBq5s2HjUZTxmOCA_6voQzBdUY1oq5gKz42Gwo6fNE52t2Fg4Yp2pzMqruimeBiwm6-ZZwDaUVWxesyCuNWHWZVN3ztxH4Z-E_yaRbvEYcpxdeRG/s1600/ttc_201012_roi.png" height="123" width="200" /></a></div></td><td align="right">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiHiGEdbYCYY1Sh9G9BfODHa57uZeZd_MzlmlvNZ8hpE7XVtNVnysimNRy9vc5_bz_t5Kxqqcl6BHw8i02-GesKCzq7uWA6GSiBviu7I0gM2L1-uSuw3TfaK4ZuGm2sJv6E34hr/s1600/ttc_201012_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiHiGEdbYCYY1Sh9G9BfODHa57uZeZd_MzlmlvNZ8hpE7XVtNVnysimNRy9vc5_bz_t5Kxqqcl6BHw8i02-GesKCzq7uWA6GSiBviu7I0gM2L1-uSuw3TfaK4ZuGm2sJv6E34hr/s1600/ttc_201012_drawdown.png" height="123" width="200" /></a></td></tr></tbody></table>
Market did great in December (+6.53%); while the portfolio was stuck in neutral (-0.36%). <br />
<br />
The majority of positions just didn't budge. As a result, most positions were held to term limit. Which dropped the monthly number of trades down a bit when compared to average. <br />
<br />
# of Trades for Dec 2010:<br />
# of Long Entries........7<br />
# of Long Exits.......... 7<br />
<br />
Goal for January is to start migrating the backtesting engine from the old database design to the hopefully new & improved version.<br />
<br />
As a side note, I've added a new movie to my all-time favorites list: <a href="http://www.imdb.com/title/tt1285016/">The Social Network</a>. A must-see if you've ever hacked a few lines here or there.<br />
<br />
Later Trades,<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com2tag:blogger.com,1999:blog-6950062.post-28257245002280930642011-01-16T14:50:00.000-06:002014-02-04T16:51:23.975-06:00Collecting Max Items in PythonLately, I've needed a way to collect a running list of the top X values and their associated items in Python. This is useful if you'd like to know such things as:<ul><li>Top 100 price gainers in your price series database;</li><li>Top 10 most volatile stocks in your price series database;</li><li>Top 5 longest running batch jobs in your operations arena;</li><li>Any many more...</li></ul>
<strong>Here's the MaxItems code to do the job:</strong>
<pre class="prettyprint linenums lang-py">
import heapq
class MaxItems(object):
"""
Caches the max X items of whatever you're analyzing and
returns a list containing only those max X values and
associated items.
"""
def __init__(self, size):
self.size = size
self._recs = []
def push(self, value, items):
if len(self._recs) < self.size:
heapq.heappush(self._recs, (value, items))
else:
minitem = heapq.heappushpop(self._recs, (value, items))
def items(self):
return heapq.nlargest(self.size, self._recs)
</pre>
<strong>Example call and results:</strong>
<pre class="prettyprint linenums lang-py">
pricegains = []
pricegains.append({'symbol':'GOOG', 'gain':234.0})
pricegains.append({'symbol':'YHOO', 'gain':124.0})
pricegains.append({'symbol':'IBM', 'gain':1242.0})
pricegains.append({'symbol':'GE', 'gain':1800.0})
pricegains.append({'symbol':'ENE', 'gain':0.0})
pricegains.append({'symbol':'KREM', 'gain':12.0})
maxitems = MaxItems(3)
for row in pricegains:
maxitems.push(row['gain'], row)
print maxitems.items()
----------------------------------------------------------
Results of call:
(1800.0, {'symbol': 'GE', 'gain': 1800.0})
(1242.0, {'symbol': 'IBM', 'gain': 1242.0})
(234.0, {'symbol': 'GOOG', 'gain': 234.0})
</pre>
The <a href="http://docs.python.org/release/2.6.6/library/heapq.html">heapq</a> module works nicely in accomplishing the task. What's ironic is Python's heapq module implements the min-heap algorithm which works out nicely and efficiently in determining the maximum values over a list. But, does not work out so efficiently for determining the minimum values over a list.
<br /><br />
I'll cover the MinItems class in another post. But, to give you a hint of what does work in collecting the minimum values over a list is one of the alternatives I explored in building the MaxItems class...<br /><br />
<strong>Alternative yet Inefficient version of MaxItems:</strong>
<pre class="prettyprint linenums lang-py">
import bisect
class MaxItems2(object):
"""
Caches the max X items of whatever you're analyzing and
returns a list containing only those max X values and
associated items.
"""
def __init__(self, size):
self.size = size
self._recs = []
def push(self, value, items):
if len(self._recs) < self.size:
bisect.insort(self._recs, (value, items))
elif bisect.bisect(self._recs, (value, items)) > self.size:
bisect.insort(self._recs, (value, items))
minitem = self._recs.pop(0)
def items(self):
return sorted(self._recs, reverse=True)
</pre>
MaxItems2 takes advantage of the <a href="http://docs.python.org/release/2.6.6/library/bisect.html">bisect</a> module and while it works great; performance is at a minimum 2x worse on average than using the heapq method.<br />
<strong>Test Code:</strong>
<pre class="prettyprint linenums lang-py">
import random
pricegains = []
maxitems = MaxItems(100)
for x in xrange(500000):
gain = random.uniform(1.0,500.0)
maxitems.push(gain, ('This', 'is', 'Record'))
rows = maxitems.items()
</pre>
Calling the above code with the wonderful <a href="http://docs.python.org/library/timeit.html">timeit</a> module produced the following results:<ul><li>heapq method: Ten iterations finished in 1.90 seconds.</li><li>bisect method: Ten iterations finished in 3.80 seconds.</li></ul>If you know of a faster way to collect the top x of a group of items...please share.
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-35434122994906064162010-12-04T13:36:00.000-06:002014-02-05T16:18:51.644-06:00Portfolio Performance for November 2010<table border="0" cellpadding="0" cellspacing="0" style="width: 100%px;"><tbody><tr><td>
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgkhXiSKB5WK1fPlJpqOE5cJchz8H3UKkBsSHgbuAiB0i2FLjmxd0Kh9WCBvIosq4c_QA1TYJpqznVj71sNQFclw2rwD6rSOjnTMK2kz59w0qg7cbCRVbszwJC1ZEQaUkO1uNb3/s1600/ttc_201011_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgkhXiSKB5WK1fPlJpqOE5cJchz8H3UKkBsSHgbuAiB0i2FLjmxd0Kh9WCBvIosq4c_QA1TYJpqznVj71sNQFclw2rwD6rSOjnTMK2kz59w0qg7cbCRVbszwJC1ZEQaUkO1uNb3/s1600/ttc_201011_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg0gUY-RBODaLQB841dXsCJ0jrOVY4ItM4lVD1CN7PZFjb9KbAb4fmixZ-Ur3RXHPREMa-AcYOBK1Vv4frZ5BkjnvsJNhrcGcZLdesg0_chClNuAGaU_q8IsckLc-40hBi1zKmY/s1600/ttc_201011_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg0gUY-RBODaLQB841dXsCJ0jrOVY4ItM4lVD1CN7PZFjb9KbAb4fmixZ-Ur3RXHPREMa-AcYOBK1Vv4frZ5BkjnvsJNhrcGcZLdesg0_chClNuAGaU_q8IsckLc-40hBi1zKmY/s1600/ttc_201011_roi.png" height="123" width="200" /></a></div></td><td align="right">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiacnEm7I0OOcdLJfG6lx2EaflRtJeQwgfy0QEdEmzIpWQvtVG26u3-0djYqXPfqD7EnCNXu5WrkRnWpEbWWrms2dY4-Cx_PRtFxeUC0fZ3Yir5E9xDsf3QdM31xLMVeJ_Fn1If/s1600/ttc_201011_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiacnEm7I0OOcdLJfG6lx2EaflRtJeQwgfy0QEdEmzIpWQvtVG26u3-0djYqXPfqD7EnCNXu5WrkRnWpEbWWrms2dY4-Cx_PRtFxeUC0fZ3Yir5E9xDsf3QdM31xLMVeJ_Fn1If/s1600/ttc_201011_drawdown.png" height="123" width="200" /></a></td></tr></tbody></table>
Portfolio ended the month of November up 1.65% versus the market's -.23%. Sure doesn't reflect the volatility that November gave us.<br />
<br />
The difficulty in managing a portfolio, as we all know, is handling "emotions". Most people when they think of emotions think of impulsiveness, recklessness, and not thinking things through. I'm not describing that at all. Dealing with emotions is dealing with my logic and experience. You've got a system handing you signals that have been thoroughly tested in all kinds of markets. But, your intellect wants to use your experience and logic to protect the portfolio from market damage.<br />
<br />
You are bombarded with all the facts surrounding the markets and your brain wants to assemble the pieces into a perfect future of the investment landscape. You've got years of market experience, sound reasoning, and other "smart" market pundits and prognosticators on your side demanding you to interject your system's signals. How can you possibly take this next trade when the market's volatility is too smooth? Not enough risk is being reflected in the markets. The market has gone up too far and too fast for too long. The trap door is in plain sight and will open and your returns will fall...right?<br />
<br />
This is why I trade systems. To protect my portfolio from the "emotions" of my highly analytical mind. And this November was a wonderful reinforcement of that lesson. I can't stress enough how important it is to review your backtests, especially the drawdowns and corresponding recoveries. Ask yourself, can you still enter trades given the investment landscape in that time period? Really think about this question...because that question will pop up often in your system trading future.<br />
<br />
Later Trades,<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-22027827872259855492010-11-25T17:55:00.000-06:002015-12-06T00:29:51.016-06:00Running Variance<a href="http://en.wikipedia.org/wiki/Algorithms_for_calculating_variance">Variance</a> - kinda the bread and butter for analysis work on a time series. Doesn't get much respect though. But, take the square root of the variance and you get the almighty <a href="http://en.wikipedia.org/wiki/Standard_deviation">standard deviation</a>. Today, though, let's give variance its due...<br />
For an intro into variance...check out these posts:<br />
<ul>
<li><a href="http://www.experiment-resources.com/statistical-variance.html">Statistical Variance</a></li>
<li><a href="http://www.youtube.com/watch?v=IUixkNvGuWc">Statistics - Calculating the Variance</a> (video)</li>
</ul>
Problem with variance is calculating it in the traditional sense. Its costly to compute across a time series. It can be quite a drag on your simulation engine's performance. The way to reduce the cost is to calculate the running variance. And that's when you get into quite a briar patch - loss of precision and overflow issues. See <a href="http://www.johndcook.com/blog/">John D. Cook's</a> post covering the variance briar patch:<br />
<ul>
<li><a href="http://www.johndcook.com/standard_deviation.html">Accurately computing running variance</a></li>
</ul>
And a few more posts by John covering different variance formulas and their outcomes:<br />
<ul>
<li><a href="http://www.johndcook.com/blog/2008/09/26/comparing-three-methods-of-computing-standard-deviation/">Comparing three methods of computing standard deviation</a></li>
<li><a href="http://www.johndcook.com/blog/2008/09/28/theoretical-explanation-for-numerical-results/">Theoretical explanation for numerical results</a></li>
</ul>
John does great work and I learn a lot from his posts. But, I was still having problems finding a variance formula that fit my needs:
<br />
<ul>
<li>Reduced the precision loss issue as much as possible;</li>
<li>Allowed an easy way to window the running variance;</li>
<li>Allowed an easy way to memoize the call.</li>
</ul>
Thankfully, I found a post by <a href="http://subluminal.wordpress.com/">Subluminal Messages</a> covering his very cool <a href="http://subluminal.wordpress.com/2008/07/31/running-standard-deviations/#more-15">Running Standard Deviations</a> formula. The code doesn't work as is - needs correcting on a few items - but you can get the gist of the formula just fine. The formula uses the power sum of the squared differences of the values versus Welford's approach of using the sum of the squared differences of the mean. Which makes it a bit easier to memoize. Not sure if its as good in solving the precision loss and overflow issues as Welford's does....but so far I haven't found any issues with it.<br />
<br />
So, let's start with the formula for the Power Sum Average (\(PSA\)):<br />
<br />
\( PSA = PSA_{yesterday} + ( ( (x_{today} * x_{today}) - x_{yesterday} ) ) / n) \) <br />
<br />
Where:
<br />
<ul>
<li>\(x\) = value in your time series</li>
<li>\(n\) = number of values you've analyzed so far</li>
</ul>
You also need the Simple Moving Average, which you can find in one of my previous posts <a href="http://www.taylortree.com/2010/06/running-simple-moving-average-sma.html">here</a>.<br />
Once you have the \(PSA\) and \(SMA\); you can tackle the Running Population Variance (\(Var\) ):<br />
<br />
\(Population Var = (PSA_{today} * n - n * SMA_{today} * SMA_{today}) / n \) <br />
<br />
Now, one problem with all these formulas - they don't cover how to window the running variance. Windowing the variance gives you the ability to view the 20 period running variance at bar 150. All the formulas I've mentioned above only give you the running <strong>cumulative</strong> variance. Deriving the running windowed variance is just a matter of using the same SMA I've <a href="http://www.taylortree.com/running-simple-moving-average-sma/">posted about before</a> and adjusting the Power Sum Average to the following:<br />
<br />
\( PSA = PSA_{yesterday} + (((x_{today} * x_{today}) - (x_{yesterday} * x_{yesterday}) / n) \) <br />
<br />
Where:
<br />
<ul>
<li>\(x\) = value in your time series</li>
<li>\(n\) = the period</li>
</ul>
[Update] If you want the sample Variance you just need to adjust the Var formula to the following:<br />
<br />
\(Sample Var = (PSA_{today} * n - n * SMA_{today} * SMA_{today}) / (n - 1) \) <br />
<br />
Okay, on to the code.<br />
<strong><br /></strong>
<strong>Code for the Power Sum Average</strong>:
<br />
<pre class="prettyprint linenums lang-py">def powersumavg(bar, series, period, pval=None):
"""
Returns the power sum average based on the blog post from
Subliminal Messages. Use the power sum average to help derive the running
variance.
sources: http://subluminal.wordpress.com/2008/07/31/running-standard-deviations/
Keyword arguments:
bar -- current index or location of the value in the series
series -- list or tuple of data to average
period -- number of values to include in average
pval -- previous powersumavg (n - 1) of the series.
"""
if period < 1:
raise ValueError("period must be 1 or greater")
if bar < 0:
bar = 0
if pval == None:
if bar > 0:
raise ValueError("pval of None invalid when bar > 0")
pval = 0.0
newamt = float(series[bar])
if bar < period:
result = pval + (newamt * newamt - pval) / (bar + 1.0)
else:
oldamt = float(series[bar - period])
result = pval + (((newamt * newamt) - (oldamt * oldamt)) / period)
return result</pre>
<strong>Code for the Running Windowed Variance</strong>:
<br />
<pre class="prettyprint linenums lang-py">def running_var(bar, series, period, asma, apowsumavg):
"""
Returns the running variance based on a given time period.
sources: http://subluminal.wordpress.com/2008/07/31/running-standard-deviations/
Keyword arguments:
bar -- current index or location of the value in the series
series -- list or tuple of data to average
asma -- current average of the given period
apowsumavg -- current powersumavg of the given period
"""
if period < 1:
raise ValueError("period must be 1 or greater")
if bar <= 0:
return 0.0
if asma == None:
raise ValueError("asma of None invalid when bar > 0")
if apowsumavg == None:
raise ValueError("powsumavg of None invalid when bar > 0")
windowsize = bar + 1.0
if windowsize >= period:
windowsize = period
return (apowsumavg * windowsize - windowsize * asma * asma) / windowsize
</pre>
<strong>Example call and results:</strong>
<br />
<pre class="prettyprint linenums lang-py">list_of_values = [3, 5, 8, 10, 4, 8, 12, 15, 11, 9]
prev_powersumavg = None
prev_sma = None
prev_sma = None
period = 3
for bar, price in enumerate(list_of_values):
new_sma = running_sma(bar, list_of_values, period, prev_sma)
new_powersumavg = powersumavg(bar, list_of_values, period, prev_powersumavg)
new_var = running_var(bar, list_of_values, period, new_sma, new_powersumavg)
msg = "SMA=%.4f, PSA=%.4f, Var=%.4f" % (new_sma, new_powersumavg, new_var)
print "bar %i: %s" % (bar, msg)
prev_sma = new_sma
prev_powersumavg = new_powersumavg
----------------------------------------------------------
Results of call:
bar 0: SMA=3.0000, PSA=9.0000, Var=0.0000
bar 1: SMA=4.0000, PSA=17.0000, Var=1.0000
bar 2: SMA=5.3333, PSA=32.6667, Var=4.2222
bar 3: SMA=7.6667, PSA=63.0000, Var=4.2222
bar 4: SMA=7.3333, PSA=60.0000, Var=6.2222
bar 5: SMA=7.3333, PSA=60.0000, Var=6.2222
bar 6: SMA=8.0000, PSA=74.6667, Var=10.6667
bar 7: SMA=11.6667, PSA=144.3333, Var=8.2222
bar 8: SMA=12.6667, PSA=163.3333, Var=2.8889
bar 9: SMA=11.6667, PSA=142.3333, Var=6.2222
</pre>
Of course, as I said in the beginning of this post, just take the square root of this Running Windowed Variance to obtain the <a href="http://en.wikipedia.org/wiki/Standard_deviation">Standard Deviation</a>.<br />
<br />
Later Trades,
<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com11tag:blogger.com,1999:blog-6950062.post-91991637339808113812010-11-06T09:41:00.000-05:002014-02-05T16:21:05.078-06:00Portfolio Performance for October 2010Back to back months of these kind of numbers make an old trader like me nervous. When's the trap door going to fall?<br />
<br />
No doubt the current market environment is to the system's liking. One thing I need to explore is the system's position sizing algo. I position size based on the volatility of the stock over x days. But, lately the volatility on the stocks selected have been so small. Which is seriously underestimating the true risk of the position. So, need to perform some studies on how to handle volatility shrinkage during boom times like these.<br />
<br />
On to the charts...<br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgRF-dTNa0X-L9lZj15ExgC25irqq1qRZdTJCsJ-_SyT2I64fIJGZjKyiSejMwJjTwiGPBYr8smY951XNwt_uOn17s50e2reJlUa03b0K_ZGjk8Dah7chF1qqyk0FFagBJoE_sS/s1600/ttc_201010_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgRF-dTNa0X-L9lZj15ExgC25irqq1qRZdTJCsJ-_SyT2I64fIJGZjKyiSejMwJjTwiGPBYr8smY951XNwt_uOn17s50e2reJlUa03b0K_ZGjk8Dah7chF1qqyk0FFagBJoE_sS/s1600/ttc_201010_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhnz6Ee8J521opBxKyVzwn8BtuMfYBi3sz0IVXXHZdcEp6DyuD0kT0BDtGk_bPygQmcqohFK7bvIcdqVccQmj_EYohuvL_9pLHLuzaO_FwiemFBUijXXYPMfFCkSyRz7VmNCYQf/s1600/ttc_201010_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhnz6Ee8J521opBxKyVzwn8BtuMfYBi3sz0IVXXHZdcEp6DyuD0kT0BDtGk_bPygQmcqohFK7bvIcdqVccQmj_EYohuvL_9pLHLuzaO_FwiemFBUijXXYPMfFCkSyRz7VmNCYQf/s1600/ttc_201010_roi.png" height="123" width="200" /></a></div></td><td align="right">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj_Jaq7_XFrYpdce4jL5g6eBzYTRVj_3xVymfJObyoOqHqdB7pxssnMUovNIwuSbKmerxAfyNtJAwJUUrvCvH84kC05X-FxxyECtL3z_9Gz38ziyURNmSZ6VbLOE9WgFidYirzV/s1600/ttc_201010_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj_Jaq7_XFrYpdce4jL5g6eBzYTRVj_3xVymfJObyoOqHqdB7pxssnMUovNIwuSbKmerxAfyNtJAwJUUrvCvH84kC05X-FxxyECtL3z_9Gz38ziyURNmSZ6VbLOE9WgFidYirzV/s1600/ttc_201010_drawdown.png" height="123" width="200" /></a></td></tr></tbody></table>
As you can see, we are officially out of the almost 3 year drawdown (knocking on wood as I type this).<br />
<br />
What's ahead for TaylorTree? Spending what free time I have on preparing for another Missouri winter. Don't believe this Texas boy will ever get used to the cold. Also, working on the continued upgrade of the database and record structures of the simulation engine. Tests so far have proved the new structures are much faster and memory efficient...but have yet to test on the type of data demands the simulation engine handles - 10GB+.<br />
<br />
Later Trades,<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com4tag:blogger.com,1999:blog-6950062.post-15905559414602890392010-10-09T10:14:00.000-05:002014-02-05T16:23:34.387-06:00Portfolio Performance for September 2010September was a great month for the portfolio. Adding another positive month to the new system's belt. So far, 3 out of 4 positive months for the new system. Marking August as the only negative month. This reminds me, I need to code some reports to track this type of information. Add it to the many list of things to do. On to the charts:<br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhe2aLu9NUr98jdw3sPlNrsCcVEBv00uNqPIdsDsxFtqA5oSzNRnm9WJYBZGGcxERos7MArevTStkkcnvp6M09v1DO3NcQINmqlcQioBHEb2YTtGNJTafj7P2kpC50cNW0FqYUb/s1600/ttc_201009_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhe2aLu9NUr98jdw3sPlNrsCcVEBv00uNqPIdsDsxFtqA5oSzNRnm9WJYBZGGcxERos7MArevTStkkcnvp6M09v1DO3NcQINmqlcQioBHEb2YTtGNJTafj7P2kpC50cNW0FqYUb/s1600/ttc_201009_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj8WafjbJ6vMLCbF_w2fyTbd1VnbM_uZmM2aKT5VujUDgwJTyK03te6JdJ42VrgOSZcCwsLqLlz-a8DdnFfFfLOsi6QKyXTjIBRnkWsCeb493U1LbxfpnkeAjFdkbMN-k605bql/s1600/ttc_201009_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj8WafjbJ6vMLCbF_w2fyTbd1VnbM_uZmM2aKT5VujUDgwJTyK03te6JdJ42VrgOSZcCwsLqLlz-a8DdnFfFfLOsi6QKyXTjIBRnkWsCeb493U1LbxfpnkeAjFdkbMN-k605bql/s1600/ttc_201009_roi.png" height="123" width="200" /></a></div></td><td align="right">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiYaN9WGNYOTdc584Jrpf6f3QiKNe3kxMu0iuxL1kRgagwI-8BVWB__ZpDKcss8APpulATrqhrIM2mnfPxfngjjmTmgkukzrEijsmhoXxNuSY62SDwr4LRhyphenhyphencv51wEjpVX53k8a/s1600/ttc_201009_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiYaN9WGNYOTdc584Jrpf6f3QiKNe3kxMu0iuxL1kRgagwI-8BVWB__ZpDKcss8APpulATrqhrIM2mnfPxfngjjmTmgkukzrEijsmhoXxNuSY62SDwr4LRhyphenhyphencv51wEjpVX53k8a/s1600/ttc_201009_drawdown.png" height="123" width="200" /></a></td></tr></tbody></table>
As you can see, the portfolio dropped 6% in August followed by a 21% pop in September.<br />
<br />
After a great month; it's easy to pat yourself on the back. If anything the years have taught me; September was just another month. I haven't done anything to garner a great month or a bad month. Perhaps this quote from <a href="http://www.imdb.com/title/tt1027718/">Wall Street 2</a> says it best:<br />
<blockquote>
Jacob: "How's your day going?"<br />
Lewis: "I told you...good day I'm okay, bad day...I'm okay. Stop bugging me on my feelings, their irrelevant."</blockquote>
<br />
Checking out the Drawdown chart above, we're inching ever closer to getting back to even. Hard to imagine we've been living in drawdown for almost 3 years.<br />
That's it from the trading turret where I'm watching the colorful leaves fall. Looking forward to a weekend of grilling, finishing up some remodel work, and enjoying a few seasonal beers of the Fall.<br />
<br />
Later Trades,<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-77393257983128784432010-09-11T14:10:00.000-05:002014-02-04T09:59:51.215-06:00Running SumWe've covered <a href="http://taylortree.com/running-simple-moving-average-sma/">Running SMAs</a> and <a href="http://taylortree.com/exponential-moving-average-ema/">EMAs</a>...let's dig into Running Sums or often called Running Totals. Formula as follows:<br />
\(Sum_{today} = Sum_{yesterday} + (price_{today} - price_{today - period})\)
<br />
<br />
Where \( price_{today - period} \) represents the price that is dropping off the slice you are summing. For example:<br />
<br />
Take a list of numbers = 20, 40, 60, 80, 100, 120.<br />
The formula for the 3-bar running sum would be:<br />
<pre class="prettyprint linenums lang-py">bar 1: 20
bar 2: 20 + 40 = 60
bar 3: 20 + 40 + 60 = 120
bar 4: 40 + 60 + 80 = 180
</pre>
Or we can apply our formula from above as \( Sum_{today} = 120 + (80 - 20) \) <br />
<pre class="prettyprint linenums lang-py">bar 5: 60 + 80 + 100 = 240
</pre>
Or use formula of \( Sum_{today} = 180 + (100 - 40) \) <br />
<pre class="prettyprint linenums lang-py">bar 6: 80 + 100 + 120 = 300
</pre>
Or use formula of \( Sum_{today} = 240 + (120 - 60) \) <br />
<br />
Coding in Python we get:
<br />
<pre class="prettyprint linenums lang-py">def running_sum(bar, series, period, pval=None):
"""
Returns the running sum of values in a list of tuple - avoids summing
entire series on each call.
Keyword arguments:
bar -- current index or location of the value in the series
series -- list or tuple of data to sum
period -- number of values to include in sum
pval -- previous sum (n - 1) of the series.
"""
if period < 1:
raise ValueError("period must be 1 or greater")
if bar <= 0:
return series[0]
if bar < period:
return pval + series[bar]
return pval + (series[bar] - series[bar - period])
</pre>
Example call and results:
<br />
<pre class="prettyprint linenums lang-py">list_of_values = [20, 40, 60, 80, 100, 120]
prevsum = list_of_values[0] #first sum is the first value in the series.
for bar, price in enumerate(list_of_values):
newsum = running_sum(bar, list_of_values, 3, pval=prevsum)
print "bar %i: %i" % (bar, newsum)
prevsum = newsum
----------------------------------------------------------
bar 0: 20
bar 1: 60
bar 2: 120
bar 3: 180
bar 4: 240
bar 5: 300
</pre>
Mike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com1tag:blogger.com,1999:blog-6950062.post-74854148241552226022010-08-08T00:15:00.000-05:002014-02-05T16:29:57.818-06:00Portfolio Performance for July 2010One thing I've noticed in trading systems over the years is the <a href="http://en.wikipedia.org/wiki/Observer_effect_(physics)">observer effect</a>. Typically, when a thoroughly backtested system fails...the trader will dismiss the system as being too optimized.
<div class="separator" style="clear: both; text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiVpG9JCQi3ZgTqJ44j9UYuKpH8sbN-L52DXm_v6D4kb4gbs4ASU_z1CxcIDsZ_-4uZwal0wURmhbCMEfzishp2l_DHJ1FLPsBiWoEe4RssF0akb8NNRiiz_mk16s1Oixv3vGzU/s1600/ttc_vacation_gator_at_feet.jpg" imageanchor="1" style="clear: left; float: right; margin-bottom: 1em; margin-left: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiVpG9JCQi3ZgTqJ44j9UYuKpH8sbN-L52DXm_v6D4kb4gbs4ASU_z1CxcIDsZ_-4uZwal0wURmhbCMEfzishp2l_DHJ1FLPsBiWoEe4RssF0akb8NNRiiz_mk16s1Oixv3vGzU/s400/ttc_vacation_gator_at_feet.jpg" /></a></div><br />
<br />
You never hear about the observer effect with real-time trading of the system. That is probably the most difficult aspect of developing systems. Just the mere fact of participating in the price pattern you've discovered changes the price pattern. Despite how small a fish you may be in the market.<br />
<br />
All we can hope for as system traders is finding an edge that is large enough to accommodate the increased order flow. So, when we jump in and reduce the edge...there is still enough leftover for us to be profitable. I guess, that is why I've always traded very long-term systems. And probably why I still lack confidence in this new short-term mean-reversion system.<br />
<br />
Moving on...<br />
<br />
July was an excellent month for the market. The portfolio was trounced. But, still finished the month with another positive number. This marks the second month trading the new system.<br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjyJxdkdhYXw6KnpYLfcQlA6gl6O3xsc5J2_Rla2Ku_5zkLE_NQqHzu9CYDg5dTsXoIkM8of-3Q87tPMgFDKw1PWzmLHkbGz_Rv8vkAda3tUjo1s_kyF8Bv1uYydMknHxb7XDDS/s1600/ttc_201007_vami.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjyJxdkdhYXw6KnpYLfcQlA6gl6O3xsc5J2_Rla2Ku_5zkLE_NQqHzu9CYDg5dTsXoIkM8of-3Q87tPMgFDKw1PWzmLHkbGz_Rv8vkAda3tUjo1s_kyF8Bv1uYydMknHxb7XDDS/s1600/ttc_201007_vami.png" height="123" width="200" /></a></td><td><div align="center">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg2vJaDXDeMMgRJoOvhtktIt-4fWGPCUExYAi9s90q6hrGS_VcYDu_jchudSmJgGqvKsQEOJw1d23ax4sBKjWwtSee4mH4uuvl4I0Mdg0wI08o_EaRFbnOoidpRcBiKimQDSYtV/s400/ttc_201007_roi.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg2vJaDXDeMMgRJoOvhtktIt-4fWGPCUExYAi9s90q6hrGS_VcYDu_jchudSmJgGqvKsQEOJw1d23ax4sBKjWwtSee4mH4uuvl4I0Mdg0wI08o_EaRFbnOoidpRcBiKimQDSYtV/s400/ttc_201007_roi.png" height="123" width="200" /></a></div></td><td align="right">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgiXzpsoxxMM2bcp7d54UgWizwnSy6DfwwH8w6ZsKIAEE7HrxjctI_VOpt-7MPp49yO1KAW-qiscgqBzG6wDWRi-YU47nzNLrsnLpK-WN-CpV5FEzqbsIwA0dcG44p9hT8ilTCw/s400/ttc_201007_drawdown.png"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgiXzpsoxxMM2bcp7d54UgWizwnSy6DfwwH8w6ZsKIAEE7HrxjctI_VOpt-7MPp49yO1KAW-qiscgqBzG6wDWRi-YU47nzNLrsnLpK-WN-CpV5FEzqbsIwA0dcG44p9hT8ilTCw/s400/ttc_201007_drawdown.png" height="123" width="200" /></a></td></tr></tbody></table>
<br />
Adding a new chart to the reporting: Investment Levels. This reflects the amount of capital that TaylorTree is invested at the end of the month. As you can see, when the portfolio is less than 100% invested in the market and the market has a month like this one...it is extremely difficult to beat it. Cash drag kills you when the market turns around.<br />
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhTVoWgQ8L28-s25yf3BMoxdjj_mNZDNB5uLUAVr3qsBhAz7mN_en2xlyyCnQhlNY-2eLerB5y-XJ_Zw7xKXmuW0wQMKyGvqYZhwgt-qhdIf6Ie3WLSv_eWf32cJbIJJ0YDoW4S/s1600/ttc_201007_investment.png"><img alt="TaylorTree Investment Levels as of 07/2010" class="alignnone size-medium wp-image-423" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhTVoWgQ8L28-s25yf3BMoxdjj_mNZDNB5uLUAVr3qsBhAz7mN_en2xlyyCnQhlNY-2eLerB5y-XJ_Zw7xKXmuW0wQMKyGvqYZhwgt-qhdIf6Ie3WLSv_eWf32cJbIJJ0YDoW4S/s1600/ttc_201007_investment.png" height="225" title="TaylorTree Investment Levels as of 07/2010" width="300" /></a><br />
<br />
The picture above of the alligator is from our stay at <a href="http://www.artesianlakes.com/">The Retreat at Artesian Lakes</a> located just outside Cleveland, TX. They had several cabins overlooking the lakes. Step out on your front porch and this 6ft alligator would come swimming up - day or night.<br />
<br />
Later Trades,<br />
<br />
MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0tag:blogger.com,1999:blog-6950062.post-48198044947585269802010-08-07T14:32:00.000-05:002014-01-02T13:06:10.450-06:00New BooksReceived 2 books today:<br/><ul><br/> <li> <a href="http://www.amazon.com/Art-Capacity-Planning-Scaling-Resources/dp/0596518579/ref=sr_1_1?s=books&ie=UTF8&qid=1281209477&sr=1-1">The Art of Capacity Planning</a> by John Allspaw</li><br/> <li> <a href="http://www.amazon.com/House-Advantage-Playing-Odds-Business/dp/0230622720/ref=sr_1_1?s=books&ie=UTF8&qid=1281209456&sr=1-1">The House Advantage</a> by Jeffrey MA</li><br/></ul><br/>I first heard about <a href="http://www.kitchensoap.com/about-me/">John Allspaw</a> from his excellent slides, <a href="http://www.slideshare.net/jallspaw/ops-metametrics-the-currency-you-pay-for-change">Ops Meta-Metrics</a>. When I found out he had a book covering capacity planning...well, had to buy it.<br/><br/><a href="http://en.wikipedia.org/wiki/Jeff_Ma">Jeffrey MA</a> was the the basis for the main character in the fun book, <a href="http://www.amazon.com/Bringing-Down-House-Inside-Students/dp/1417665637/ref=sr_1_3?ie=UTF8&s=books&qid=1281209415&sr=8-3">Bringing Down the House</a>. I'm a stats junkie...so any book covering stats and business is a must-read for yours truly.<br/><br/>MTMike Taylorhttp://www.blogger.com/profile/03074565631668167250noreply@blogger.com0