Monday, October 19, 2009

Russell 3000 Daily Stats (10/19/09)

Key Figures Russell 3000 IWV
Total Active Components2978 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 39 (1.31%) 0 (0.00%)
# All-time Closing Lows 6 (0.20%) 0 (0.00%)

# Higher Closes 2222 (74.61%) 1 (100.00%)
# Lower Closes 690 (23.17%) 0 (0.00%)

Total Gains/Losses $759.80 (1.04%) $0.50 (0.78%)
Average True Range (3.55%) (1.30%)

* Results are cumulative for the period.

Price verification found 0 errors

Sunday, October 18, 2009

Russell 3000 Weekly Stats (10/12/09-10/16/09)

Key Figures Russell 3000 IWV
Total Active Components2979 1
Total New Listings this period0 0
Total Inactive this period2 0
# All-time Closing Highs 120 (0.81%) 0 (0.00%)
# All-time Closing Lows 19 (0.13%) 0 (0.00%)

# Higher Closes 7077 (47.52%) 3 (60.00%)
# Lower Closes 7473 (50.17%) 2 (40.00%)

Total Gains/Losses $595.58 (0.16%) $0.95 (0.30%)
Average True Range (3.46%) (1.17%)

* Results are cumulative for the period.

Price verification found 0 errors

Friday, October 16, 2009

Russell 3000 Daily Stats (10/16/09)

Key Figures Russell 3000 IWV
Total Active Components2978 1
Total New Listings this period0 0
Total Inactive this period1 0
# All-time Closing Highs 11 (0.37%) 0 (0.00%)
# All-time Closing Lows 6 (0.20%) 0 (0.00%)

# Higher Closes 683 (22.93%) 0 (0.00%)
# Lower Closes 2229 (74.85%) 1 (100.00%)

Total Gains/Losses $-650.58 (-0.88%) $-0.48 (-0.75%)
Average True Range (3.55%) (1.38%)

* Results are cumulative for the period.

Price verification found 0 errors

Thursday, October 15, 2009

Russell 3000 Daily Stats (10/15/09)

Key Figures Russell 3000 IWV
Total Active Components2979 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 27 (0.91%) 0 (0.00%)
# All-time Closing Lows 3 (0.10%) 0 (0.00%)

# Higher Closes 1349 (45.28%) 1 (100.00%)
# Lower Closes 1560 (52.37%) 0 (0.00%)

Total Gains/Losses $81.38 (0.11%) $0.23 (0.36%)
Average True Range (3.45%) (0.92%)

* Results are cumulative for the period.

Price verification found 0 errors

Wednesday, October 14, 2009

Russell 3000 Daily Stats (10/14/09)

Key Figures Russell 3000 IWV
Total Active Components2979 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 40 (1.34%) 0 (0.00%)
# All-time Closing Lows 3 (0.10%) 0 (0.00%)

# Higher Closes 2546 (85.46%) 1 (100.00%)
# Lower Closes 380 (12.76%) 0 (0.00%)

Total Gains/Losses $1329.10 (1.83%) $1.05 (1.67%)
Average True Range (3.72%) (1.79%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (10/13/09)

Key Figures Russell 3000 IWV
Total Active Components2979 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 18 (0.60%) 0 (0.00%)
# All-time Closing Lows 4 (0.13%) 0 (0.00%)

# Higher Closes 1107 (37.16%) 0 (0.00%)
# Lower Closes 1772 (59.48%) 1 (100.00%)

Total Gains/Losses $-257.35 (-0.35%) $-0.10 (-0.16%)
Average True Range (3.26%) (0.87%)

* Results are cumulative for the period.

Price verification found 0 errors

Russell 3000 Daily Stats (10/12/09)

Key Figures Russell 3000 IWV
Total Active Components2979 1
Total New Listings this period0 0
Total Inactive this period2 0
# All-time Closing Highs 24 (0.81%) 0 (0.00%)
# All-time Closing Lows 3 (0.10%) 0 (0.00%)

# Higher Closes 1392 (46.73%) 1 (100.00%)
# Lower Closes 1532 (51.43%) 0 (0.00%)

Total Gains/Losses $93.04 (0.13%) $0.25 (0.40%)
Average True Range (3.33%) (0.89%)

* Results are cumulative for the period.

Price verification found 0 errors

Sunday, October 11, 2009

Russell 3000 Weekly Stats (10/05/09-10/09/09)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period1 0
# All-time Closing Highs 109 (0.73%) 0 (0.00%)
# All-time Closing Lows 10 (0.07%) 0 (0.00%)

# Higher Closes 10549 (70.77%) 5 (100.00%)
# Lower Closes 4059 (27.23%) 0 (0.00%)

Total Gains/Losses $3802.97 (1.07%) $2.82 (0.92%)
Average True Range (3.77%) (1.34%)

* Results are cumulative for the period.

Price verification found 0 errors

Saturday, October 10, 2009

Russell 3000 Daily Stats (10/09/09)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 28 (0.94%) 0 (0.00%)
# All-time Closing Lows 1 (0.03%) 0 (0.00%)

# Higher Closes 2189 (73.43%) 1 (100.00%)
# Lower Closes 742 (24.89%) 0 (0.00%)

Total Gains/Losses $587.10 (0.81%) $0.40 (0.64%)
Average True Range (3.29%) (0.85%)

* Results are cumulative for the period.

Price verification found 0 errors

Thursday, October 08, 2009

Russell 3000 Daily Stats (10/08/09)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 26 (0.87%) 0 (0.00%)
# All-time Closing Lows 2 (0.07%) 0 (0.00%)

# Higher Closes 1945 (65.25%) 1 (100.00%)
# Lower Closes 970 (32.54%) 0 (0.00%)

Total Gains/Losses $746.58 (1.05%) $0.50 (0.81%)
Average True Range (3.75%) (1.39%)

* Results are cumulative for the period.

Price verification found 0 errors

Wednesday, October 07, 2009

Russell 3000 Daily Stats (10/07/09)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 18 (0.60%) 0 (0.00%)
# All-time Closing Lows 2 (0.07%) 0 (0.00%)

# Higher Closes 1431 (48.00%) 1 (100.00%)
# Lower Closes 1456 (48.84%) 0 (0.00%)

Total Gains/Losses $161.80 (0.23%) $0.11 (0.18%)
Average True Range (3.39%) (0.69%)

* Results are cumulative for the period.

Price verification found 0 errors

Tuesday, October 06, 2009

Russell 3000 Daily Stats (10/06/09)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 25 (0.84%) 0 (0.00%)
# All-time Closing Lows 1 (0.03%) 0 (0.00%)

# Higher Closes 2470 (82.86%) 1 (100.00%)
# Lower Closes 462 (15.50%) 0 (0.00%)

Total Gains/Losses $1111.87 (1.58%) $0.94 (1.54%)
Average True Range (4.18%) (2.05%)

* Results are cumulative for the period.

Price verification found 0 errors

Monday, October 05, 2009

Russell 3000 Daily Stats (10/05/09)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period1 0
# All-time Closing Highs 12 (0.40%) 0 (0.00%)
# All-time Closing Lows 4 (0.13%) 0 (0.00%)

# Higher Closes 2515 (84.37%) 1 (100.00%)
# Lower Closes 429 (14.39%) 0 (0.00%)

Total Gains/Losses $1195.81 (1.73%) $0.87 (1.45%)
Average True Range (4.23%) (1.70%)

* Results are cumulative for the period.

Price verification found 0 errors

Sunday, October 04, 2009

Russell 3000 Weekly Stats (09/28/09-10/02/09)

Key Figures Russell 3000 IWV
Total Active Components2983 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 68 (0.46%) 0 (0.00%)
# All-time Closing Lows 22 (0.15%) 0 (0.00%)

# Higher Closes 5776 (38.73%) 1 (20.00%)
# Lower Closes 8920 (59.81%) 4 (80.00%)

Total Gains/Losses $-1487.97 (-0.42%) $-1.22 (-0.40%)
Average True Range (4.30%) (1.75%)

* Results are cumulative for the period.

Price verification found 0 errors

Friday, October 02, 2009

Russell 3000 Daily Stats (10/02/09)

Key Figures Russell 3000 IWV
Total Active Components2982 1
Total New Listings this period0 0
Total Inactive this period1 0
# All-time Closing Highs 7 (0.23%) 0 (0.00%)
# All-time Closing Lows 6 (0.20%) 0 (0.00%)

# Higher Closes 919 (30.82%) 0 (0.00%)
# Lower Closes 2002 (67.14%) 1 (100.00%)

Total Gains/Losses $-407.39 (-0.59%) $-0.29 (-0.48%)
Average True Range (4.27%) (1.14%)

* Results are cumulative for the period.

Price verification found 0 errors

Thursday, October 01, 2009

Russell 3000 Daily Stats (10/01/09)

Key Figures Russell 3000 IWV
Total Active Components2983 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 5 (0.17%) 0 (0.00%)
# All-time Closing Lows 5 (0.17%) 0 (0.00%)

# Higher Closes 194 (6.50%) 0 (0.00%)
# Lower Closes 2764 (92.66%) 1 (100.00%)

Total Gains/Losses $-2023.64 (-2.83%) $-1.63 (-2.63%)
Average True Range (4.81%) (2.73%)

* Results are cumulative for the period.

Price verification found 0 errors

Wednesday, September 30, 2009

Russell 3000 Daily Stats (09/30/09)

Key Figures Russell 3000 IWV
Total Active Components2983 1
Total New Listings this period10 0
Total Inactive this period0 0
# All-time Closing Highs 15 (0.50%) 0 (0.00%)
# All-time Closing Lows 5 (0.17%) 0 (0.00%)

# Higher Closes 846 (28.36%) 0 (0.00%)
# Lower Closes 2104 (70.53%) 1 (100.00%)

Total Gains/Losses $-516.04 (-0.72%) $-0.25 (-0.40%)
Average True Range (4.49%) (1.77%)

* Results are cumulative for the period.

Price verification found 0 errors

[Manually updating the following components added to the Russell 3000 today:
CPIX - CUMBERLAND PHARM
CYS - CYPRESS SHARPRIDGE INV
EM - EMDEON INC
GOV - GOVERNMENT PPTY INCOME
IVR - INVESCO MORTGAGE CAP
LOGM - LOGMEIN INC
MDSO - MEDIDATA SOLUTIONS INC
PMT - PENNYMAC MORTGAGE INV
STWD - STARWOOD PPTY TRUST INC
TBNK - TERRITORIAL BANCORP INC

Price Reporting system is not correctly tracking new issues. Hopefully, I can get the issues ironed out before the next additions come our way.]

Tuesday, September 29, 2009

Russell 3000 Daily Stats (09/29/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 13 (0.44%) 0 (0.00%)
# All-time Closing Lows 3 (0.10%) 0 (0.00%)

# Higher Closes 1203 (40.46%) 0 (0.00%)
# Lower Closes 1712 (57.58%) 1 (100.00%)

Total Gains/Losses $-86.35 (-0.12%) $-0.05 (-0.08%)
Average True Range (3.57%) (1.16%)

* Results are cumulative for the period.

Price verification found 0 errors

Monday, September 28, 2009

Russell 3000 Daily Stats (09/28/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 27 (0.91%) 0 (0.00%)
# All-time Closing Lows 2 (0.07%) 0 (0.00%)

# Higher Closes 2596 (87.32%) 1 (100.00%)
# Lower Closes 336 (11.30%) 0 (0.00%)

Total Gains/Losses $1539.91 (2.19%) $1.00 (1.63%)
Average True Range (4.35%) (1.97%)

* Results are cumulative for the period.

Price verification found 0 errors

Sunday, September 27, 2009

Russell 3000 Weekly Stats (09/21/09-09/25/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 87 (0.59%) 0 (0.00%)
# All-time Closing Lows 13 (0.09%) 0 (0.00%)

# Higher Closes 5228 (35.17%) 1 (20.00%)
# Lower Closes 9343 (62.85%) 4 (80.00%)

Total Gains/Losses $-1921.76 (-0.53%) $-1.39 (-0.45%)
Average True Range (3.99%) (1.38%)

* Results are cumulative for the period.

Price verification found 0 errors

Friday, September 25, 2009

Russell 3000 Daily Stats (09/25/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 12 (0.40%) 0 (0.00%)
# All-time Closing Lows 3 (0.10%) 0 (0.00%)

# Higher Closes 1134 (38.14%) 0 (0.00%)
# Lower Closes 1780 (59.87%) 1 (100.00%)

Total Gains/Losses $-330.20 (-0.47%) $-0.30 (-0.49%)
Average True Range (3.70%) (1.14%)

* Results are cumulative for the period.

Price verification found 0 errors

Thursday, September 24, 2009

Russell 3000 Daily Stats (09/24/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 9 (0.30%) 0 (0.00%)
# All-time Closing Lows 3 (0.10%) 0 (0.00%)

# Higher Closes 522 (17.56%) 0 (0.00%)
# Lower Closes 2387 (80.29%) 1 (100.00%)

Total Gains/Losses $-1059.47 (-1.48%) $-0.66 (-1.06%)
Average True Range (4.66%) (1.98%)

* Results are cumulative for the period.

Price verification found 0 errors

Wednesday, September 23, 2009

Russell 3000 Daily Stats (09/23/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 14 (0.47%) 0 (0.00%)
# All-time Closing Lows 2 (0.07%) 0 (0.00%)

# Higher Closes 747 (25.13%) 0 (0.00%)
# Lower Closes 2179 (73.29%) 1 (100.00%)

Total Gains/Losses $-841.66 (-1.16%) $-0.69 (-1.10%)
Average True Range (3.86%) (1.87%)

* Results are cumulative for the period.

Price verification found 0 errors

Tuesday, September 22, 2009

Russell 3000 Daily Stats (09/22/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 28 (0.94%) 0 (0.00%)
# All-time Closing Lows 3 (0.10%) 0 (0.00%)

# Higher Closes 1756 (59.06%) 1 (100.00%)
# Lower Closes 1153 (38.78%) 0 (0.00%)

Total Gains/Losses $565.18 (0.78%) $0.44 (0.70%)
Average True Range (3.75%) (0.91%)

* Results are cumulative for the period.

Price verification found 0 errors

Monday, September 21, 2009

Russell 3000 Daily Stats (09/21/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 24 (0.81%) 0 (0.00%)
# All-time Closing Lows 2 (0.07%) 0 (0.00%)

# Higher Closes 1069 (35.96%) 0 (0.00%)
# Lower Closes 1844 (62.02%) 1 (100.00%)

Total Gains/Losses $-255.57 (-0.35%) $-0.18 (-0.29%)
Average True Range (3.97%) (1.02%)

* Results are cumulative for the period.

Price verification found 0 errors

Sunday, September 20, 2009

Russell 3000 Weekly Stats (09/14/09-09/18/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period2 0
# All-time Closing Highs 136 (0.91%) 0 (0.00%)
# All-time Closing Lows 3 (0.02%) 0 (0.00%)

# Higher Closes 9084 (61.11%) 4 (80.00%)
# Lower Closes 5451 (36.67%) 1 (20.00%)

Total Gains/Losses $2518.04 (0.71%) $1.57 (0.50%)
Average True Range (3.96%) (1.32%)

* Results are cumulative for the period.

Price verification found 0 errors

Saturday, September 19, 2009

Russell 3000 Daily Stats (09/18/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 33 (1.11%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 1623 (54.59%) 1 (100.00%)
# Lower Closes 1286 (43.26%) 0 (0.00%)

Total Gains/Losses $274.69 (0.38%) $0.03 (0.05%)
Average True Range (3.86%) (0.73%)

* Results are cumulative for the period.

Price verification found 0 errors

Thursday, September 17, 2009

Russell 3000 Daily Stats (09/17/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 26 (0.87%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 1215 (40.87%) 0 (0.00%)
# Lower Closes 1701 (57.21%) 1 (100.00%)

Total Gains/Losses $-138.74 (-0.19%) $-0.12 (-0.19%)
Average True Range (4.04%) (1.46%)

* Results are cumulative for the period.

Price verification found 0 errors

Wednesday, September 16, 2009

Russell 3000 Daily Stats (09/16/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 35 (1.18%) 0 (0.00%)
# All-time Closing Lows 2 (0.07%) 0 (0.00%)

# Higher Closes 2386 (80.26%) 1 (100.00%)
# Lower Closes 523 (17.59%) 0 (0.00%)

Total Gains/Losses $1271.15 (1.79%) $0.98 (1.58%)
Average True Range (4.14%) (1.58%)

* Results are cumulative for the period.

Price verification found 0 errors

Tuesday, September 15, 2009

Russell 3000 Daily Stats (09/15/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 20 (0.67%) 0 (0.00%)
# All-time Closing Lows 1 (0.03%) 0 (0.00%)

# Higher Closes 1805 (60.71%) 1 (100.00%)
# Lower Closes 1096 (36.87%) 0 (0.00%)

Total Gains/Losses $520.78 (0.74%) $0.34 (0.55%)
Average True Range (3.80%) (1.30%)

* Results are cumulative for the period.

Price verification found 0 errors

Monday, September 14, 2009

Russell 3000 Daily Stats (09/14/09)

Key Figures Russell 3000 IWV
Total Active Components2973 1
Total New Listings this period0 0
Total Inactive this period2 0
# All-time Closing Highs 22 (0.74%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 2055 (69.12%) 1 (100.00%)
# Lower Closes 845 (28.42%) 0 (0.00%)

Total Gains/Losses $590.34 (0.85%) $0.34 (0.55%)
Average True Range (3.98%) (1.55%)

* Results are cumulative for the period.

Price verification found 0 errors

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

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 courthouse...so 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,

MT

Tuesday, July 21, 2009

R on Stack Overflow...

Funny, I was working through a problem in R today and was seriously wishing R had the same presence as python over at Stack Overflow. Looks like others have this wish as well...and they're doing something about it.
In concert with users online across the country, this session will lead a flashmob to populate Stack Overflow with R language content.

Very cool! Check out R on Stack Overflow. And post those questions!

MT

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 testing...you 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 time...so 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 stock...it 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,

MT