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,

MT

Labels:

 

What I'm Researching...


CodeProject: Optimizing a Function of One Variable.

Posted: 26 Nov 2008 12:31 AM CST

find the minimum or maximum over an interval. nice.

The Sweave Homepage

Posted: 26 Nov 2008 12:27 AM CST

contains manual and faq. this tool allows dynamic reporting via sweave & R language. can generate latex docs which can gen to pdf or even html via R's R2HTML function.

TeXnicCenter

Posted: 26 Nov 2008 12:24 AM CST

interesting open source latex editor to check out.

Sweave: First steps toward reproducible analyses

Posted: 26 Nov 2008 12:23 AM CST

embed R code via sweave to generate latex document containing results. awesome! must use this for my next presentation paper.

Moving data between R, Excel, and the Windows clipboard

Posted: 26 Nov 2008 12:19 AM CST

nice summary of writeClipboard, readClipboard, and scan, read.table, and write.table functions.

How to write parallel programs (pdf)

Posted: 25 Nov 2008 12:06 AM CST

Nice intro to parallel programming. Need to spend more time with this paper.

R/S-PLUS Fundamentals and Programming Techniques (pdf)

Posted: 24 Nov 2008 11:58 PM CST

nice coverage of programming in R language. From reading data, plotting data, managing code, logging analysis, and bootstrapping.

Labels:

 

What I'm Researching...


Jim Barry's Rexx Tutor Part2

Posted: 13 Nov 2008 01:00 PM CST

great summaries on the classic rexx functions.

Project Aardvark

Posted: 13 Nov 2008 12:53 PM CST

Joel on Software's Real World. A must see!

Reading List: Fog Creek Software Management Training Program - Joel on Software

Posted: 13 Nov 2008 12:50 PM CST

great reading list!

In Python how do I sort a list of dictionaries by values of the dictionary? - Stack Overflow

Posted: 09 Nov 2008 09:29 PM CST

nice efficient sorting of values in a python dictionary.

AT&T Labs Research - Yoix / YWAIT

Posted: 07 Nov 2008 07:36 AM CST

Interesting way to build a web application. Wonder how complex this would be to use versus traditional web-based systems (LAMP)? This may be easier to deploy if the goal of the software is simulation/visualizations. Something to toy with.

AT&T Labs Research - Yoix / Byzgraf

Posted: 07 Nov 2008 07:33 AM CST

Another great looking toolset using Yoix that enables plotting functions: line, bar, histograms, etc.

AT&T Labs Research - Yoix / YDAT

Posted: 07 Nov 2008 07:32 AM CST

Extremely cool visualization toolset from AT&T Labs Research. Handles graphviz files.

Labels: , , ,

 

Portfolio Performance for October 2008

Drawdown city. Stay in this game long enough and you'll encounter months like September/October. In fact, they happen so infrequently...it's almost like recalling a memorable storm from years back. I still remember the panic my mom went into whenever there was a hurricane in the Gulf. She'd stock up on food, plot the hurricane on those maps the National Hurricane Center would give out, and fret, fret, fret. 99% of those hurricanes would peter out, stall, or miss us entirely. But, she still remembered living through the devastation of Hurricane Carla...and felt the fear every summer 30+ years later.

The human mind is a funny, funny thing...behaving binary with pain. If you've never experienced the pain of a hurricane, snowstorm, loss of a loved one, or the falling knife of the market...you're set to 0. You operate without fear. But, once you experience the pain...you're set to 1. And everything you do from that point forward is now based off that pain. Based off that switch.

And that switch is a bugger to reset. Most people can't do it. The instant the pain hits they begin tweaking their life as if the odds of experiencing that pain again has increased to a 100% certainty. Funny part is...
  • the odds of experiencing the pain hasn't increased
  • all those tweaks won't do a damn thing to prevent future pain.
Smart people get stuck in this trap...a lot!

What's my point? Invest in the market knowing the worst will happen. The foundation of your investment strategy should be able to withstand the storm. If you're busy tweaking your strategy right now in an attempt to avoid the next storm, trying to pick and choose your investment spots, thinking all the work you're doing will sidestep the next storm because you figured out how to handle this storm...then your bit is set to 1. And this cowboy quote likely fits:
Timing has a lot to do with the outcome of a rain dance.
And with that the performance charts for the month of October 2008.






We're experiencing a fairly hefty drawdown as is the market. I've received several exit signals over the past 2 months. At one of the highest level of cash since investing in the market. And doing nothing but patiently waiting out the storm.

That, and preparing for a cold Missouri winter.

Later Trades,

MT

Labels: ,

 

What I'm Researching...


Overview of RAMFS and TMPFS on Linux

Posted: 06 Nov 2008 11:02 PM CST

Map your memory as a drive? Wonder how this would work if you built a linux server with 32gb memory and mapped at least half that dedicated for simulations? How much faster would this be versus traditional disk-based sims?

Replacing multiple occurrences in nested arrays - Stack Overflow

Posted: 06 Nov 2008 10:58 PM CST

will this work in updating a dictionary of prices? if you have a dictionary of portfolio positions with values being python lists...would this be a good solution in updating the closing price of the stock (one of the items in the list)?

Labels: , ,

 

What I'm Researching...


Producing Open Source Software

Posted: 30 Oct 2008 09:56 PM CDT

very cool online book detailing the starting of an open source project.

OmniTI ~ Careers ~ Site Reliability Engineer

Posted: 28 Oct 2008 12:04 PM CDT

one of the best job descriptions I've read on working as an operations engineer. best two quotes: "If you don't grow, you'll fail." & "Think of it like any other fun and challenging job you've had -- now remove the margin for error." How true!

Labels: ,

 

What I'm Researching...


Linux Server, Linux Hardware

Posted: 26 Oct 2008 02:28 PM CDT

pre-installed linux provider

system76, Inc.

Posted: 26 Oct 2008 02:26 PM CDT

pre-installed linux computers (laptops, desktops, servers).

The R fCalendar package (pdf)

Posted: 26 Oct 2008 11:18 AM CDT

date, time, calendar manipulations in R. Sample functions are diffTimeDate, isWeekday, isWeekend, and the very cool timeNdayOnOrAfter, timeNthNdayInMonth, timeLastNdayInMonth.

How To... Mount Your Computer Screen

Posted: 26 Oct 2008 10:17 AM CDT

details how to wall mount your monitor. very cool.

Javascript style dot notation for dictionary keys unpythonic? - Stack Overflow

Posted: 23 Oct 2008 06:59 AM CDT

great thread on object-style dot notation. instead of stock['id'], this thread shows how to create stock.id.

vizierfx - Google Code

Posted: 22 Oct 2008 12:38 PM CDT

really cool flex library to display graphviz graphs. haven't explored the flex toolset before...but may have to check it out.

z/OS Workload Manager - How it works & How to use it (pdf)

Posted: 21 Oct 2008 12:18 AM CDT

Great summary on Workload Manager (WLM)...including tips for setup and troubleshooting existing setups.

Labels: , , ,

 

Author

  • Mike Taylor
    mike@taylortree.com
    I write about trading systems development, portfolio management, and systems research.

    Subscribe to blog via RSS RSS

Wise Words

"True observation begins when one is devoid of set patterns."

- Bruce Lee

Recent Bookmarks