Posted by Mike Taylor | Saturday, April 10, 2010It has been a long winter in Missouri. Glad to finally get some sunshine and warm weather.
You can see the portfolio received a few rays of sun, as well. Of course, in the market, the clouds can come back anytime.
This past week, I pushed a change to the trading systems. Based on the idea that a good portion of a stock's move comes from the market itself followed by its sector family. The backtest showed minor improvement to total profits and a fairly significant reduction in portfolio drawdowns.
Another item achieved this month was daily posting of portfolio stats similar to the Russell 3000 stats posted on the site. I have kept the portfolio stats local (not to the blog) for the time being until I've validated the results.
Posted by Mike Taylor | Tuesday, January 26, 2010I've missed a few months of posting performance numbers. This post should catch us all up.
Portfolio is still lagging the market. Not by much. I have made a few changes to the portfolio's allocations in late December. Nothing drastic, just pulled a few weeds in the portfolio for tax loss selling.
I have one final module left in the simulation engine to unit test and then I should be free to add the code to report portfolio stats. One goal for 2010 is to post portfolio stats daily like I do the Russell 3000 stats. My other goal for 2010 is to verify a couple of system ideas I've tested recently. If successful, could add coverage to the market I've never had before.
One idea is based off some of the game theory I learned while playing Xbox Live's Modern Warfare 2. In many ways, how you score points in the game is how you make money in the market.
The other idea is one I've been toying with for a few years. How to capture the volatility in the portfolio...or better yet...how to remove it. There are some holes in this idea...so I probably still have a few years to go. Ha.
Posted by Mike Taylor | Tuesday, November 10, 2009Wow, I'm really bad at this blog thing. Seems like everyone else out in the blogosphere can sling out posts faster than Roscoe P. Coltrane. While I just get deeper and deeper into coding. Maybe one of these days I'll feel I've coded enough to take a break and share some of what I've been doing. Until then, let's get to September's performance review...
As you can see, September was a good month for the portfolio. Finally, beating the market with a 6.1% return versus the market's 3.6% return. But, one month doesn't a year make. So, need a few more of these to aid with the nasty drawdown for 2009.
Posted by Mike Taylor | Sunday, September 06, 2009What 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.
Posted by Mike Taylor | Saturday, August 08, 2009Another 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.
Posted by Mike Taylor | Monday, July 27, 2009June 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!
Posted by Mike Taylor | Tuesday, June 30, 2009April 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!
Posted by Mike Taylor | Sunday, April 26, 2009Better 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.
Posted by Mike Taylor | Sunday, March 08, 2009February 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.
Posted by Mike Taylor | Monday, February 02, 2009The 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.
Posted by Mike Taylor | Wednesday, January 14, 2009Hope 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.
Posted by Mike Taylor | Sunday, December 14, 2008Performance 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.
Posted by Mike Taylor | Tuesday, November 11, 2008Drawdown 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.
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.
Posted by Mike Taylor | Sunday, October 12, 2008September came and went. October brought the perfect storm...I guess. Looking forward to October's portfolio performance in relation to the market...to see how bad things really are. Until then...let's cover September's performance.
As you can see, not a great month of performance. And while the downside doesn't feel good...my greatest concern is the upside that will come. When it does...the portfolio will lag the market due to the relatively high level of cash. But, nothing we can do...but be patient and allow the system to do its job.
Last thing you want to do during turbulent times is hit the panic button. Or worse, try to figure this market out. You don't figure a hurricane out while you're in the middle of it. Don't buy a generator, food, and flood insurance during a hurricane. Those are things you buy prior. The only thing you can do when the storm hits is batten down the hatches and hope you prepared enough for the damage to come. After the storm is over...reassess what you did right and what was lacking. Oh, and clear those fallen trees from your portfolio.
On a side note...I've spent the weekend putting together a new office. I've bought several office pieces and trying to find the optimal setup. Once I've got everything moved in...I'll share some pics of the new digs.
Posted by Mike Taylor | Thursday, September 11, 2008
Back in Texas, it's usually some of the hottest times of the year. But, feels like Fall already in Mid-Mo.
Can't wait to see the leaves turn colors. Of course, my kids are looking forward to piles of leaves to jump and play
Maybe this weather change will bring the market out of the doldrums. By the way, the picture above was taken while visiting the Devil's Ice Box.
And now for the August returns...
Still, nothing going on with the market or the trading system. Though, plenty to do with the system testing platform. I'm exploring the numpy library for python to determine how big a role this library should play in the platform's architecture. For those curious...check out my delicious bookmarks on numpy.
Posted by Mike Taylor | Thursday, August 21, 2008Quick look at the sector allocations for the portfolio. Please note that cash is not included in the breakdown. Next on my development list.
Posted by Mike Taylor | Saturday, August 09, 2008
I had a set back this month in regard to the testing platform. The redesign has severely extended the simulation runtime. So, I've spent much of my time finding the bottlenecks of the code and determining the optimal solutions. Very thankful python has such great profiling tools at the ready.
You know, performance tuning code is sure a lesson in humility. All my years of programming...I feel I should have a good handle on the slow areas of my code. It only takes a profiling report to show how wrong I am.
Very similar to trading the market. Trading decisions are based on our experience. Where we think the money-making opportunities are. Only takes a simple backtest to showcase how wrong we are.
And with that...some charts for the month of July...
Not a whole lot of movement in the portfolio occurred the month of July. Just another month of sitting and waiting. Letting the system do what it does best...waiting for the market's next move.
Posted by Mike Taylor | Tuesday, July 08, 2008
June wasn't as great for the portfolio. But, did manage to beat the market for the month by a fairly large margin putting us in the lead for the first time this year. I believe a big reason for this outperformance was due to the pulling of weeds back in March and April. This allowed new positions to take hold in the portfolio garden.
Goals for the month of July?
- Complete the upgrade that will enable testing of multiple systems against a common portfolio. This will allow exploration of various allocation methods. And judge the effects of merging long-term systems (trend capturing) with short-term systems (volatility harvesting).
- Wrap-up the upgrade that allows ranking of signals and existing positions in order to initiate trades.
- Modify how cash is tracked in the testing platform. Currently, cash is a static variable. Goal is to convert cash into a unit series to enable dynamic pricing. This will enable sweep accounts in the portfolios. And allow the switching of cash instruments.