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Sunday, February 06, 2011

Portfolio Performance for January 2011

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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 ...
2 comments:
Sunday, January 16, 2011

Portfolio Performance for December 2010

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Market did great in December (+6.53%); while the portfolio was stuck in neutral (-0.36%). The majority of positions just didn't b...
2 comments:

Collecting Max Items in Python

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Lately, 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...
Saturday, December 04, 2010

Portfolio Performance for November 2010

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Portfolio ended the month of November up 1.65% versus the market's -.23%. Sure doesn't reflect the volatility that November gav...
Thursday, November 25, 2010

Running Variance

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Variance - kinda the bread and butter for analysis work on a time series. Doesn't get much respect though. But, take the square root of...
11 comments:
Saturday, November 06, 2010

Portfolio Performance for October 2010

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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 cur...
4 comments:
Saturday, October 09, 2010

Portfolio Performance for September 2010

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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 mon...
Saturday, September 11, 2010

Running Sum

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We've covered Running SMAs and EMAs ...let's dig into Running Sums or often called Running Totals. Formula as follows: \(Sum_{tod...
1 comment:
Sunday, August 08, 2010

Portfolio Performance for July 2010

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One thing I've noticed in trading systems over the years is the observer effect . Typically, when a thoroughly backtested system fails....
Saturday, August 07, 2010

New Books

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Received 2 books today: The Art of Capacity Planning by John Allspaw The House Advantage by Jeffrey MA I first heard about John Alls...
Sunday, August 01, 2010

Exponential Moving Average (EMA)

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Now that we've tackled Running Simple Moving Averages (SMA) ...let's move on to Exponential Moving Averages (EMA). You may wonder w...
5 comments:
Sunday, July 11, 2010

Portfolio Performance for June 2010

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"Time flies like an arrow; fruit flies like a banana" -- Groucho Marx My how the months have zoomed by. As you can see from...
Sunday, June 20, 2010

Moving to Wordpress - change your feeds

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I've moved to Wordpress away from Blogger. Please change your RSS subscription feeds for this site to the following: http://taylortree....

Running Simple Moving Average (SMA)

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When building a platform to test trading ideas...one of the big issues to deal with is all the indicators that require a spin through the pr...
12 comments:
Sunday, May 30, 2010

Russell 3000 Weekly Stats (05/24/10-05/28/10)

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Key Figures Russell 3000 IWV Total Active Components 2961 1 Total New Listings this period 0 0 Total Inactiv...
Friday, May 28, 2010

Russell 3000 Daily Stats (05/28/10)

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Key Figures Russell 3000 IWV Total Active Components 2961 1 Total New Listings this period 0 0 Total Inactiv...
Thursday, May 27, 2010

Russell 3000 Daily Stats (05/27/10)

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Key Figures Russell 3000 IWV Total Active Components 2961 1 Total New Listings this period 0 0 Total Inactiv...
Wednesday, May 26, 2010

Russell 3000 Daily Stats (05/26/10)

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Key Figures Russell 3000 IWV Total Active Components 2961 1 Total New Listings this period 0 0 Total Inactiv...
Tuesday, May 25, 2010

Russell 3000 Daily Stats (05/25/10)

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Key Figures Russell 3000 IWV Total Active Components 2961 1 Total New Listings this period 0 0 Total Inactiv...
Monday, May 24, 2010

Russell 3000 Daily Stats (05/24/10)

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Key Figures Russell 3000 IWV Total Active Components 2961 1 Total New Listings this period 0 0 Total Inactiv...