Portfolio Performance for May 2009
Posted by Mike Taylor | Tuesday, June 30, 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
Portfolio Performance for March 2009
Posted by Mike Taylor | Sunday, April 26, 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,
MT
Management by Walking Around - Michael Newcombe
Posted by Mike Taylor | Wednesday, March 18, 2009
Excellent article from Peter Bregman highlighting the management style of Michael Newcombe, general manager of Four Seasons. Many will read the article and immediately scream...that's micromanaging. Believing this style to be a bad thing. Most likely due to the fact that it involves actual work. Ha ha.But, I'm a big big believer in the practice of management by walking around. In many ways, its the most efficient means of gathering information.
It also shines the light on areas in the organization that are traditionally kept in the dark. And bridges communication gaps between areas that most believe are independent of one another.
Perhaps the greatest impact of management by walking around is organizational change. Mr. Bregman's website says it best:
"Experience shows that an organization can spend five years implementing a "change" program - and it usually takes people five days (or less) to find a way around it and do things the way they always did."How do people choose to change? The majority of changes occurs from a negative experience. Or better yet...a person chooses to avoid change in fear of a negative experience. This is where management by walking around comes into play. Or can come into play. I've actually seen the practice where management by walking around can increase those fears. But, done right...actually shines the light into areas most people fear. Enabling people with new approaches to difficult problems.
"Organizational change is a lagging indicator of personal change. When enough people in an organization begin to do things differently, the organization changes. And personal change happens not because people are told to change. Not because they are trained to change. Not even because they are motivated to change. People change because they choose to change."
Side note, have you seen the new Dave Robicheaux movie starring Tommie Lee Jones, In the Electric Mist? Very good. I'm sure part of the enjoyment comes from the Louisiana setting...makes me long for the East Texas backwoods. Gotta get down there this summer and eat some crawfish. Oh, and don't miss the performance of Levon Helm in the movie. Not as good as the part he played in Shooter...but still noteworthy.
Later trades,
MT
New Growth and Old Age
Posted by Mike Taylor | Monday, March 16, 2009
Good article from Philip Greenspun. I agree with the ideas, more or less. In particular, the notion that newer countries who have avoided regulation and older war-torn or economically devastated countries have the best chance for growth. Works much like companies and their IT departments. The larger the company and more bottleneck PM's they have, the slower the progression. Start-ups have nothing to protect, few ego entrenchers to go up against, and therefore progress faster. In theory, anyway.These theories apply to us as well. As we get older we accept less risk...and therefore our growth rate slows. We have more hooks into us. People counting on us. And plus, we're OLD! ;-)
mt
Labels: life
Portfolio Performance for February 2009
Posted by Mike Taylor | Sunday, March 08, 2009
February produced another all-time max drawdown in the portfolio. During times like this...logic rains down...am 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 these...so 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 stocks...my 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,
MT
Portfolio Performance for January 2009
Posted by Mike Taylor | Monday, February 02, 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,
MT
Portfolio Performance for December 2008
Posted by Mike Taylor | Wednesday, January 14, 2009
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.
Later Trades,
MT
