Showing posts with label portfolio. Show all posts
Showing posts with label portfolio. Show all posts

Saturday, November 06, 2010

Portfolio Performance for October 2010

Back to back months of these kind of numbers make an old trader like me nervous. When's the trap door going to fall?

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.

On to the charts...
As you can see, we are officially out of the almost 3 year drawdown (knocking on wood as I type this).

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+.

Later Trades,


Saturday, October 09, 2010

Portfolio Performance for September 2010

September 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:
As you can see, the portfolio dropped 6% in August followed by a 21% pop in September.

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 Wall Street 2 says it best:
Jacob: "How's your day going?"
Lewis: "I told you...good day I'm okay, bad day...I'm okay. Stop bugging me on my feelings, their irrelevant."

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.
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.

Later Trades,


Sunday, August 08, 2010

Portfolio Performance for July 2010

One thing I've noticed in trading systems over the years is the observer effect. Typically, when a thoroughly backtested system fails...the trader will dismiss the system as being too optimized.

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.

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.

Moving on...

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.

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 is extremely difficult to beat it. Cash drag kills you when the market turns around.
TaylorTree Investment Levels as of 07/2010

The picture above of the alligator is from our stay at The Retreat at Artesian Lakes 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.

Later Trades,


Sunday, July 11, 2010

Portfolio Performance for June 2010

"Time flies like an arrow; fruit flies like a banana" -- Groucho Marx

My how the months have zoomed by. As you can see from the site; I moved from blogger to wordpress. Haven't had the time to do much with the old posts. Most likely I will leave them as is and start from a clean slate. The most important posts anyway are of the portfolio performance and this post will take care of what's happening there.

You can see in the Figure 1 - VAMI; the portfolio is doing well...breaking free from the market. The main reason for this is a new trading system was added on June 1st. This trading system is a short-term mean-reversion system. It is doing as expected but taking some time to get used to. I've spent the better part of 10 years trading a long-term trend-following system. So, moving to a short-term mean-reversion system is going to take some adjustments on my part.

Again, all the charts show the portfolio breaking away from the market. June was a nasty month for the S&P 500...while the portfolio held its own. I feel I still have some work to do on the new system such as the proper risk allocation and determining a better weight for the systems in the portfolio. Also, the new system still has quite a bit of beta that I'd like to scale down. But, overall, a nice start.

On a personal note, I'm back from my yearly pilgrimage to Texas to see family & friends. Trip was good but volatile like the market.

We had to evacuate due to Hurricane Alex in the Gulf - almost lost our car.

Picture above is the day prior to the effects of Hurricane Alex.

And our transmission acted up on our stop at Broken Bow, OK - I'm guessing due to all the hill climbing.

I couldn't get over how clear the water was and the beautiful pine-lined hills surrounding the lake.

We had to cut our losses short in both of the places we would have liked to spend more time. Managing risk vs reward...being a portfolio manager is a 24x7 job.

Later Trades,


Tuesday, January 26, 2010

Portfolio Performance for December 2009

I've missed a few months of posting performance numbers. This post should catch us all up.

Portfolio is still lagging the market. Not by much. I have made a few changes to the portfolio's allocations in late December. Nothing drastic, just pulled a few weeds in the portfolio for tax loss selling.

I have one final module left in the simulation engine to unit test and then I should be free to add the code to report portfolio stats. One goal for 2010 is to post portfolio stats daily like I do the Russell 3000 stats. My other goal for 2010 is to verify a couple of system ideas I've tested recently. If successful, could add coverage to the market I've never had before.

One idea is based off some of the game theory I learned while playing Xbox Live's Modern Warfare 2. In many ways, how you score points in the game is how you make money in the market.

The other idea is one I've been toying with for a few years. How to capture the volatility in the portfolio...or better to remove it. There are some holes in this I probably still have a few years to go. Ha.

Later Trades,


Tuesday, November 10, 2009

Portfolio Performance for September 2009

Wow, I'm really bad at this blog thing. Seems like everyone else out in the blogosphere can sling out posts faster than Roscoe P. Coltrane. While I just get deeper and deeper into coding. Maybe one of these days I'll feel I've coded enough to take a break and share some of what I've been doing. Until then, let's get to September's performance review...

As you can see, September was a good month for the portfolio. Finally, beating the market with a 6.1% return versus the market's 3.6% return. But, one month doesn't a year make. So, need a few more of these to aid with the nasty drawdown for 2009.


Sunday, September 06, 2009

Portfolio Performance for August 2009

What a bad month for the portfolio. The S&P 500 is really trouncing me. And what's worse, I'm not quite sure the reason. I'm 98% invested in the market. And not trailing...actually delinking from the market. The coming months will shed more light on why the portfolio is zigging when the market is zagging.

On to other things...

You'll notice I'm posting Russell 3000 stats each day. And posting a weekly roundup each Sunday. These should become a regular thing since the whole process is now automated. Hopefully, I'll get a monthly roundup setup as well to start posting the end of this September.

At this point, not a whole lot is being tracked on the daily stats. My main goal is to use the stats as a way to ensure my pricing database is correct. At the end of the daily stats post, you'll find the following line:
Price verification found 0 errors

This line represents that out of all the Russell 3000 end of day quotes posted...none of the following errors were found for a given period:
pricerec['high'] is not less than pricerec['low']

pricerec['low'] is not greater than pricerec['high']

pricerec['close'] is not greater than pricerec['high']

pricerec['open'] is not greater than pricerec['high']

pricerec['close'] is not less than pricerec['low']

pricerec['open'] is not less than pricerec['low']

pricerec['low'] is not equal to or less than 0.00

pricerec['high'] is not equal to or less than 0.00

pricerec['close'] is not equal to or less than 0.00

pricerec['open'] is not equal to or less than 0.00

The daily stats posting also lists the number of stocks that did not receive a price quote for the day via this field:
Total Inactive this period = 0

And new listings...which are not as important for the Russell 3000 since these should only change once a year.

Of course, you can see the number of new all-time highs and lows along with a link to google finance for the corresponding stocks.

Overall, these daily stats are just an easy way to keep up with the price database each day. A stock market dashboard, if you will. With the overall goal of incorporating a portfolio dashboard into these daily stats in order to answer the question...why is my portfolio delinking from the market? Ha.

Later trades,


Saturday, August 08, 2009

Portfolio Performance for July 2009

Another month in the green. Let's hope we can keep the momentum going for the portfolio. Still getting trounced by the market, but hopefully I'll start catching up now that 100% of the portfolio is invested.

On to system development news...
I'm deep in the heart of testing all the changes made to the backtesting engine. Most of the simulation output was converted from plain text (csv) files to sqlite tables. This option will broaden the front-end options available to the platform. Testing should wrap up by the end of August. Then I can start sharing some of the results on this blog.

Later Trades,


Monday, July 27, 2009

Portfolio Performance for June 2009

June was a great month, both personally and for the portfolio. My family and I headed off to Texas for a few weeks to spend time with family and escape to the hill country for some good old R&R.

It was great visiting with everyone, checking out the beautiful Texas scenery, and enjoying some great food. There's a place in Liberty called Jax that served great catfish and an equally great ambiance. The restaurant is just across the street from the the place is the true heartbeat of the town. Could have been a setting out of a John Grisham novel. Very cool.

The picture taken to above was a rainbow we caught on our way back from dinner just before sunset. Felt it was appropriate considering the portfolio beat the market for the first month since February.

Not obvious in the above chart, but the S&P 500 returned only 0.02% for the month of June. And the portfolio returned 1.58%. Not much to brag about but nice to breathe some air for a month.

For the month of June, the portfolio is approximately 21% in cash which is quickly dropping due to the high number of signals received in the month of July.

As far as the portfolio simulation engine...I've had some exciting progress this past month.It really helped getting some quiet time. Each morning, I would get my coffee, sit out on the front porch, watch the hummingbirds go to war, the doves get lovey, and hack away on the simulation engine. I've created a new database that utilizes the Python's struct module for binary storage, SQLite for storing pointers to the records, and Numpy for field named record access. The best part is the database requires very little memory, has a small disk footprint, and is faster than anything I've worked with before. Previously, using a database of any kind was not an option. The aha moment was in realizing the bottleneck in performance was due to the number of records stored not the size of the records. Therefore, my main goal was to reduce the number of rows in the table and scale horizontally in the table versus vertically. This drastically reduced the lookup time.

Now, I'm in the process of refining the reporting engine and building a price series plotting framework with Matplotlib and Numpy. So, far the results look very promising. Nice to finally get some pretty charts to the simulation engine instead of a clunky MS Excel interface. Still more work ahead.

Heck, I've made so much progress sitting out watching those birds in the morning that I came home and started on a flower garden in our backyard. I've just finished tilling up the dirt and planting a few plants. We've already got hummingbirds fighting and a squirrel trying to figure out how to open that bird feeder. Now, I just need to get to hacking!

Later Trades,


Tuesday, June 30, 2009

Portfolio Performance for May 2009

April and May flew by. Been in hacker mode for a few months now working on the simulation platform. I get that way sometimes. There are times when my multi-tasking capabilities better superman. And then there are times like now where I have a laser sharp focus on one thing and one thing only. I think this focus kicks in at times when I can't wrap my mind around a problem. When that happens...I dig in, research, analyze, test, and don't stop until the problem is solved. It is tiring...but allows some pretty tough problems to be resolved.

The main crux of my problem is building a platform that is very flexible but highly efficient. If I was developing a platform that tested less than 2 gig of data...I'd be home free. But, get past the 2 gig barrier and all kinds of these wonderful flexible designs and databases everyone uses as default must be thrown out the window. Can't use a database in the traditional sense for your time series. Not if you want your simulation to finish in under an hour.

The simplest approach is to use flat text files as I've mentioned in the blog before. But, as you ramp up the dynamic nature of your simulation need a way to index those files. And the kicker is even the index cannot fit into memory. So, you wrestle with the memory barrier and disk io. Even creating binary files in order to reduce the size of your files. But, binary files limit your flexibility. I'm still testing and refining the solution...but slowly getting there. Basically taking a process that used to run 45 minutes long and dropped it down to less than 10 minutes. With the added ability to randomly seek to any date or symbol in the 20,000 symbol database quicker than you can say Jack Robinson.

Oh well, moving on. It's way past portfolio performance better late than never...the portfolio performance as of May 2009:

As you can see...I'm still getting trounced by the market. Largely, because I'm still 50% in cash and the system normally doesn't perform well during these sharp bouncing bottoms the market has recently experienced. That's the one thing that has been difficult the past few weeks with all the recent buy signals. Many of the signals are from stocks that have already surged greater than 50% to 100% in just one month. Even though my position size is very small per is still at times tough to buy such a strong performing stock.

And that's it from here where I'm looking forward to the 4th of July, a few cold ones, and time with family.

Finally, my sister-in-law turned the big 40 today. Happy Birthday!

Later Trades,


Sunday, April 26, 2009

Portfolio Performance for March 2009

Better late than never on the portfolio stats for March. I've been traveling a bit and wrapping up projects which caused the delay. And more importantly, continued development on the simulation engine.

A brief look at the charts below details my fear...the market surged upward with 100% of its money in the stock market. Me? My portfolio is over 50% in cash...therefore cash lag is kicking in for March. And my portfolio will suffer until that situation rectifies...ala more buy signals.

May is gearing up for another busy month for yours truly. Plus, it will soon be summer vacation time. We're researching cabin rentals on the waterfront. Two summers ago we spent a day swimming at Table Rock Lake and had a blast. Looking to expand on that this summer. But, doesn't have to be Table Rock. If anyone has any recommends...send my way.

And that's it from Mid-Mo, where garden stores are packed full of anxious gardeners trying to make the most out of the first dry, sunny, and warm weekend in months.

Later Trades,


Sunday, March 08, 2009

Portfolio Performance for February 2009

February produced another all-time max drawdown in the portfolio. During times like this...logic rains I doing something wrong? How much more money will I lose to the market?

Another common logic trap is should I second guess my system? Should I take the next trade? A few weeks ago...I received several new signals...and I took every one of them only to see several of them hit their exit signals last week.

You want to change your rules...filter out times like difficult to watch your money be eaten away by the current market forces.

But, that is why you test your ideas so fully...both in good times and bad. So, you can continue to follow your system despite all the others washing away in this storm.

I'm sure there will be more weeks if not months that I buy stocks only to sell them weeks later. As bad as it sounds to yours truly, more months of drawdown. But, I have accepted this fate. I have accepted these circumstances because I have tested every ounce of my ideas in every market I can imagine...and I agreed to the results.

And when the storm is over...and everyone is afraid to buy system will continue to generate signals of stocks to buy. And I will buy them. And follow the market wherever it leads despite how difficult that may be.

Later Trades,


Monday, February 02, 2009

Portfolio Performance for January 2009

The new year started out with a bang, that's for sure. We're hitting new all-time max drawdowns in the system...2001/2002 were the last time these levels were seen for yours truly.

You can see below that we're beginning to lose money again...though not as bad as the market. The reason for this is because I've received several new signals the past few weeks which have creeped up the percent invested in the portfolio. Still nowhere near fully invested levels...but at least getting the barrel loaded in case the market takes a turn for the better.

The chart below details max drawdown levels for the portfolio and the market. Not sure how much help this is in evaluating the portfolio against the market. Especially when the main difference between the market's drawdown versus TaylorTree is the capital invested. It is as simple as that.

Now, on to some good news. The trading platform is beginning to shape up nicely. For the first time in several years of trading I have the maintenance of the portfolio completely automated. No, that doesn't mean orders are automatically placed with my broker. What it does mean is my portfolio is now completely monitored for sell signals, additional buy signals, stale positions, etc. Might not sound like much...but you'd be surprised at how much manual effort there is in trading a system - from managing the data sources to ensuring all positions are accounted for each and every night.

The next step and one I'm not especially looking forward to is creating several test cases for the money overlay of the backtesting platform. Things can get complicated very quickly in this area. And I want to make sure I've captured all the requirements of the platform before I begin coding. This is the area where I always get stuck due to the requirement of handling multiple trading systems, leverage, and various cash options in real-time. Also, I want the ability to dump unused cash directly to the market. Very interested in how the portfolio will handle being in the market 100% of the time when the trading systems are not utilizing 100% of the capital.

Later Trades,


Wednesday, January 14, 2009

Portfolio Performance for December 2008

Hope everyone enjoyed the holidays and the new year is treating you right.

I'm afraid the portfolio nor the market changed much in December. Like watching paint dry. Oh, I'm sure there's quite a few market prognosticators out there shaking the tea leaves. Looking back on what they did right for the year and what they expect for the new one. I guess, I should do the same...

What I did right for 2008?
  • Traded the system without question.
  • Eliminated all market news and views from my trading turret.
  • Completed the rebuild of the backtesting platform's foundation.
  • Incorporated portfolio tracking in the platform.

What to expect for 2009?
  • Add a charting component to the platform.
  • Generate better performance reports from simulations.
  • Code and compare the internal file system in numpy, sqlite, berkeley db, and plain old csv files (which it is currently).
  • Simplify the scanning component and explore multi-core options.
  • Replace the aging windows box with a fresh linux version.
  • Enable portfolio allocations at the trading system level. This way can test effects of combining systems and determine optimal allocation levels.
  • Create a nice front-end for the platform.
On a personal note, my family is exploring the possibility of adding a dog to the household. The last dog in our family passed away about 1.5 years ago. She was a lab-heeler mix that we saved from the local pound as a pup. Great, great dog. My daughter's best friend...and mine. Feel enough time has passed and exploring a few of the gundog breeds. In particular, the French Brittany. If anyone has experience in this breed or know of a good breeder...leave a comment.

Later Trades,


Sunday, December 14, 2008

Portfolio Performance for November 2008

Performance charts for November...better late than never:

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.

Later Trades,