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

Sunday, April 26, 2009

Portfolio Performance for March 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

Wednesday, March 18, 2009

Management by Walking Around - Michael Newcombe

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."

"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."
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.

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