Sunday, September 13, 2009

Russell 3000 Weekly Stats (09/08/09-09/11/09)

Key Figures Russell 3000 IWV
Total Active Components2975 1
Total New Listings this period0 0
Total Inactive this period3 0
# All-time Closing Highs 58 (0.49%) 0 (0.00%)
# All-time Closing Lows 3 (0.03%) 0 (0.00%)

# Higher Closes 7676 (64.48%) 4 (100.00%)
# Lower Closes 3981 (33.44%) 0 (0.00%)

Total Gains/Losses $2224.89 (0.81%) $1.82 (0.75%)
Average True Range (3.95%) (1.26%)

* Results are cumulative for the period.

Price verification found 0 errors

Friday, September 11, 2009

Russell 3000 Daily Stats (09/11/09)

Total Active Components = 2975
Total New Listings this period = 0
Total Inactive this period = 1

Key Figures Russell 3000
# All-time Closing Highs 11 (0.37%)
# All-time Closing Lows 0 (0.00%)

# Stocks Closing Higher 1207 (40.57%)
# Stocks Closing Lower 1704 (57.28%)

Total Gains/Losses $-79.19 (-0.11%)
Average True Range (3.68%)


Price verification found 0 errors

Thursday, September 10, 2009

Russell 3000 Daily Stats (09/10/09)

Total Active Components = 2976
Total New Listings this period = 0
Total Inactive this period = 1

Key Figures Russell 3000
# All-time Closing Highs 17 (0.57%)
# All-time Closing Lows 0 (0.00%)

# Stocks Closing Higher 2197 (73.82%)
# Stocks Closing Lower 714 (23.99%)

Total Gains/Losses $759.08 (1.10%)
Average True Range (3.97%)


Price verification found 0 errors

Wednesday, September 09, 2009

Russell 3000 Daily Stats (09/09/09)

Total Active Components = 2977
Total New Listings this period = 0
Total Inactive this period = 0

Key Figures Russell 3000
# All-time Closing Highs 16 (0.54%)
# All-time Closing Lows 2 (0.07%)

# Stocks Closing Higher 2341 (78.64%)
# Stocks Closing Lower 579 (19.45%)

Total Gains/Losses $903.64 (1.32%)
Average True Range (4.17%)


Price verification found 0 errors

[Edit: Google Finance has a limitation of 14 symbols one can load at one time...so I had to switch to Yahoo Finance for the quote links. Actually works out better...I like the View All Charts feature that Yahoo allows.]

Tuesday, September 08, 2009

Russell 3000 Daily Stats (09/08/09)

Total Active Components = 2977
Total New Listings this period = 0
Total Inactive this period = 1

Key Figures Russell 3000
# All-time Closing Highs 14 (0.47%)
# All-time Closing Lows 1 (0.03%)

# Stocks Closing Higher 1931 (64.86%)
# Stocks Closing Lower 984 (33.05%)

Total Gains/Losses $641.70 (0.95%)
Average True Range (3.97%)


Price verification found 0 errors
[Edit: This post was corrected. Having troubles with the pricing database this week. I believe I've identified the issues...but time will tell. Most of the issues were a result of adding benchmark comparison functionality to the reporting engine. I haven't rolled out the front-end to this yet. But, once I'm sure all the issues are resolved, the stats will post with a comparison to the ETF benchmark IWV. Should always be roughly the same...but will be interesting if there are days that miss the mark.]

Sunday, September 06, 2009

Russell 3000 Weekly Stats (08/31/09-09/04/09)

Total Active Components = 2978
Total New Listings this period = 0
Total Inactive this period = 0

Key Figures Russell 3000
# All-time Closing Highs 14 (0.09%)
# All-time Closing Lows 4 (0.03%)

# Stocks Closing Higher 6731 (45.20%)
# Stocks Closing Lower 7881 (52.93%)

Total Gains/Losses $-1082.93 (-0.32%)
Average True Range (4.30%)


Price verification found 0 errors

[Edit: Post was corrected. Pricing database was incorrect and miscalculated the number of all-time highs and lows for the week.]

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,

MT

Friday, September 04, 2009

Russell 3000 Daily Stats (09/04/09)

Total Active = 2979
Total New Listings this period = 0
Total Inactive this period = 0

Key Figures Current
# All-time Closing Highs 5 (0.17%)
# All-time Closing Lows 1 (0.03%)

# Stocks Closing Higher 2425 (81.43%)
# Stocks Closing Lower 504 (16.92%)

Total Gains/Losses $852.71 (1.27%)
Average True Range (3.87%)


Price verification found 0 errors

Thursday, September 03, 2009

Russell 3000 Daily Stats (09/03/09)

Total Active = 2979
Total New Listings this period = 0
Total Inactive this period = 0

Key Figures Current
# All-time Closing Highs 6 (0.20%)
# All-time Closing Lows 2 (0.07%)

# Stocks Closing Higher 2256 (75.76%)
# Stocks Closing Lower 647 (21.73%)

Total Gains/Losses $747.08 (1.13%)
Average True Range (3.82%)


Price verification found 0 errors

Wednesday, September 02, 2009

Russell 3000 Daily Stats (09/02/09)

Total Active = 2979
Total New Listings this period = 0
Total Inactive this period = 0

Key Figures Current
# All-time Closing Highs 1 (0.03%)
# All-time Closing Lows 3 (0.10%)

# Stocks Closing Higher 1182 (39.69%)
# Stocks Closing Lower 1717 (57.66%)

Total Gains/Losses $-223.12 (-0.34%)
Average True Range (3.85%)


Price verification found 0 errors

Russell 3000 Daily Stats - 20090901

PriceHouse Stats for the period 20090901 - 20090901

Total Active = 2979
Total New Listings this period = 0
Total Inactive this period = 0

Key Figures Current
# All-time Closing Highs 0 (0.00%)
# All-time Closing Lows 4 (0.13%)

# Stocks Closing Higher 337 (11.32%)
# Stocks Closing Lower 2607 (87.54%)

Total Gains/Losses $-1567.76 (-2.30%)
Average True Range (5.94%)

Price verification found 0 errors

Monday, August 31, 2009

Russell 3000 Daily Stats - 20090831


PriceHouse Stats for the period 20090831 - 20090831
Total Active = 2979

Total New Listings this period = 0
Total Inactive this period = 0

Closing at new all-time highs = 5 (0.17%)
Closing at new all-time lows = 2 (0.07%)

Up Closes = 531 (17.83%)
Down Closes = 2406 (80.79%)

Average True Range = 4.00%

Price verification found 0 errors

Sunday, August 30, 2009

Russell 3000 Weekly Stats - 20090828


PriceHouse Stats for the period 20090824 - 20090828
Total Active = 2979

Total New Listings this period = 0
Total Inactive this period = 0

Closing at new all-time highs = 73 (0.49%)
Closing at new all-time lows = 6 (0.04%)

Up Closes = 6815 (45.77%)
Down Closes = 7711 (51.79%)

Average True Range = 3.92%

Price verification found 0 errors

Russell 3000 Daily Stats - 20090828


PriceHouse Stats for the period 20090828 - 20090828
Total Active = 2979

Total New Listings this period = 0
Total Inactive this period = 0

Closing at new all-time highs = 9 (0.30%)
Closing at new all-time lows = 2 (0.07%)

Up Closes = 931 (31.26%)
Down Closes = 1995 (66.99%)

Average True Range = 4.09%

Price verification found 0 errors

Thursday, August 27, 2009

Russell 3000 Stats - 08/27/2009

PriceHouse Stats for the period 20090827 - 20090827
Total Active = 2979

Total New Listings this period = 0
Total Inactive Stocks this period = 0

Closing at new all-time highs = 12 (0.40%)
Closing at new all-time lows = 2 (0.07%)

Up Closes = 1433 (48.12%)
Down Closes = 1452 (48.76%)

Average True Range = 4.24%

Price verification found 0 errors

Wednesday, August 26, 2009

Russell 3000 Stats - 08/26/2009

I'll start posting stats on the Russell 3000 components each working day. This will be a work in progress. Adding new fields as I go. I still don't have it 100% tested nor 100% automated...so may miss some days or some values may be wrong. Over time...it'll get better.
PriceHouse Stats for the period 20090826 - 20090826
Total Active = 2979

Total New Listings this period = 0
Total Inactive Stocks this period = 0

Closing at new all-time highs = 15 (0.50%)
Closing at new all-time lows = 0 (0.00%)

Up Closes = 1517 (50.94%)
Down Closes = 1388 (46.61%)

Average True Range = 3.58%

Price verification found 0 errors
One last thing, tomorrow is my 15 year wedding anniversary. It has been a great 15 years...many all-time highs along with a few rough drawdowns. Exactly what life and investing are all about. What's funny is my wife and I were discussing our past anniversaries:
  • our 5 year we stayed in Galveston and they evacuated the island due to a hurricane.
  • our 10 year we stayed in a b&b in Kemah that at first looked remote and enchanting set off on its own peninsula. Which quickly turned into isolated and horror movie'esque..that is after big honkin' wharf rats scattered about outside all night long.
This anniversary we plan to keep it simple, just stay home. Of course, this upcoming front system could bring a tornado with our luck. Ha. Regardless, to my wife...thank you for the dance.
“The most wonderful of all things in life, I believe, is the discovery of another human being with whom one's relationship has a growing depth, beauty, and joy as the years increase. This inner progressiveness of love between two human beings is a most marvelous thing; it cannot be found by looking for it or by passionately wishing for it. It is a sort of divine accident, and the most wonderful of all things in life.” -- Hugh Walpole Sr.
MT

Monday, August 24, 2009

Russell 3000 Stocks - 2009

The table below covers the delisted stocks of the active Russell 3000 Index. I'll update this page later to include the active stocks as well.

Delisted Russell 3000 Stocks

SymbolNameStatus
CNBColonial Bancgroup Inc Delisted 08/14/2009: Filed for bankruptcy
CGRBCougar Biotechnology In Acquired 07/10/2009: by Johnson & Johnson (JNJ)
DDUPData Domain Inc Acquired 07/23/2009: by EMC (EMC)
EQEmbarq Corp Acquired 07/01/2009: by CenturyTel (CTL)
ENTUEntrust Inc Delisted 07/29/2009: Acquired by private Thoma Bravo, LLC.
FCLFoundation Coal Holding Merged 07/31/2009: with Alpha Natural Resources (ANR)
LEALear Corp Delisted 07/02/2009: Filed for bankruptcy
LGTYLogility Inc Acquired 07/09/2009: by American Software (AMSWA)
SUMTSumtotal Systems Inc Delisted 07/21/2009: Merged with private Vista Equity Partners Fund III, L.P.
WINDWind River Systems Inc Acquired 07/17/2009: by Intel Corp (INTC)

Sunday, August 23, 2009

Testing Jquery DataTables

Test Stocks
SymbolNameStatus
FLWS1-800 FLOWERS COM this is just a test
YHOO YAHOO CORP no status
TDSC 3d Systems Corp
MMM 3m Co
PAR 3par Inc
NDN 99 Cents Only Stores
AAON Aaon Inc
AIR Aar Corp
AAN Aarons Inc
ABAX Abaxis Inc
ABT Abbott Laboratories
ANF Abercrombie & Fitch
ABBC Abington Bancorp Inc
ABMD Abiomed Inc
ABM Abm Industries Inc
ABVT Abovenet Inc
ABII Abraxis Bioscience Inc
ACTG Acacia Research Corp
AKR Acadia Realty Trust
ACCL Accelrys Inc
ACN Accenture Ltd Bermuda
ABD Acco Brands Corp
ARAY Accuray Inc
ACET Aceto Corp
ACIW Aci Worldwide Inc
APKT Acme Packet Inc
ACOR Acorda Therapeutics Inc
ACTL Actel Corp
ACTI Actividentity Corp
ATVI Activision Blizzard Inc
ATU Actuant Corp
ACTU Actuate Corp
AYI Acuity Brands Inc
ACUR Acura Pharmaceuticals
ACXM Acxiom Corp
ADPT Adaptec Inc
ADCT Adc Telecommunications
ASF Administaff Inc
ADBE Adobe Systems Inc
ADLR Adolor Corp
ADTN Adtran Inc
AEA Advance America Cash Ad
AAP Advance Auto Parts Inc
AATI Advanced Analogic Tech
ABAT Advanced Battery Tech
AEIS Advanced Energy Inds In
AMD Advanced Micro Devices
ADVS Advent Software Inc
ABCO Advisory Board Co
ACM Aecom Technology Corp D
AEPI Aep Industries Inc
ARO Aeropostale Inc
AVAV Aerovironment Inc
AES Aes Corp
AET Aetna Inc
AFCE Afc Enterprises Inc
ACS Affiliated Computer Svc
AMG Affiliated Managers Grp
AFFY Affymax Inc
AFFX Affymetrix Inc
AFL Aflac Inc
AGCO Agco Corp
FEED Agfeed Industries Inc
A Agilent Technologies In
AGYS Agilysys Inc
AGL Agl Resources Inc
ADC Agree Realty Corp

Monday, August 17, 2009

Links of Note

Links of note from the physics arXiv blog.

Basketball and The Theory of Networks - Bet this applies to star performers at work as well. It's all about the bottlenecks. If you have a guru at work - logically the thought is we can't live without him/her. True? Would we instead be better off without him/her? Something to think about.

How Dragon Kings Could Trump Black Swans - what's interesting is I had several extensive discussions regarding this topic today. Then found this post tonight. Now I have a name for those extreme events - Dragon Kings.

[edit]
I'm updating this post to include Covel's recent link, Nobel Prize Winner Vernon Smith on Bubbles. This type of stuff fascinates me. Covers why history never quite repeats and why we keep thinking it does.

MT

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,

MT