"Pick a mountain in life to climb and don't stop til' you reach the top. When you reach the top...be lookin' for the next mountain to climb." -- Life philosophy of Helen Taylor
"Do what you gotta do so you can do what you want to do"MT
-- Denzel Washington
"The one who does the work decides." -- KDE principleJeff Atwood over at the Coding Horror blog discusses a fascinating problem in software development. Doers and talkers. Designers and coders.
“The reasonable man adapts himself to the world: the unreasonable one persists in trying to adapt the world to himself. Therefore all progress depends on the unreasonable man.” -- George Bernard ShawScott over at the scottberkun.com blog links to an amazing paper on Managing for Breakthroughs in Productivity. The article discusses how breakthroughs occur...and don't occur. My favorite quote...
For breakthroughs to occur, people must be given a chance to do work than can not be proven: ambition and risk are necessary for breakthroughs. If individuals are not trusted to take risks, breakthroughs are unlikely.Spot on! Programming and risk goes hand in hand. As do programming and ambition.
So the first tip is to always have a strong technical co-founder. Someone who shares or invents the business along with others, but also has the technical feet on the ground. Someone who can make sure the business is mapped onto technology correctly.And probably my favorite in regard to hiring programmers...
Avoid hiring managers...What you need are experienced technical people who love coding. These are going to be natural mentors for your younger engineers. Mentors and not managers.
Coding becomes sculpting. Starting with a shapeless form you continuously refine the code to satisfy the business requirements and make sure that the system is designed and implemented correctly.
...candidates need to demonstrate love for simple and elegant code.Simple and elegant code = Simple and elegant company.
"The Things to do are: the things that need doing, that you see need to be done, and that no one else seems to see need to be done. Then you will conceive your own way of doing that which needs to be done — that no one else has told you to do or how to do it. This will bring out the real you that often gets buried inside a character that has acquired a superficial array of behaviors induced or imposed by others on the individual." -- Bucky FullerGreat quote. What do you see that needs to be done? And more importantly...what are you doing about it? But, a precaution...doing what needs to be done that hasn't been done by others prompts others to stall/halt the doing. Do you have what it takes to overcome the others in order to get the doing done?
"Any intelligent fool can make things bigger, more complex, and more violent. It takes a touch of genius -- and a lot of courage -- to move in the opposite direction." -- Albert EinsteinSomething to think about when developing systems.
Bucket 1 -> 01/01/1995 - 12/31/1996
Bucket 2 -> 01/01/1997 - 12/31/1998
Bucket 3 -> 01/01/1999 - 12/31/2000
Bucket 4 -> 01/01/2001 - 12/31/2002
Bucket 5 -> 01/01/2003 - 12/31/2004
[Clarification: The testing date ranges in the buckets listed above are not the start and end dates for your trades. The date ranges are the start and end dates for your idea. Meaning...all ideas triggered from 01/01/1999 to 12/31/2000 would be in Bucket 3. You would need to track those signals for as long as you stay in them...which may mean all the way to your end date of 12/31/2004. Make sense?
In essence, your overall begin and end dates are 01/01/1995 - 12/31/2004. Then you slice and dice the signals that occurred during that time frame based on entry date into buckets 1 - 5.]
"...the most important quality for a trader to develop is discipline. As you've read, my stubborn ego and impatience prevented me from achieving lasting success and financial security. I hope my story has shown you that any fool can get lucky and quickly make a great deal of money. But, if playing the stock market was always that easy, there would be no need for research and hard work. Considering that all the information you need to be able to profit is available on the Internet, what sets successful traders apart is their ability to wade through all the muck. With regard to your sources, keep an open mind. As my losses demonstrate, if you allow your emotions and ego to control your trading, you are doomed to fail." -- Timothy Sykes from his book, An American Hedge FundWhat great words of advice! Reading Tim's book brought back the memories of what it was like trading in the greatest stock bubble of our time. In fact, I participated in the ISCO trade he mentions in the book. What a ride, indeed!
Newbie - converting csv files to arrays in NumPyGreat message thread on how to convert csv files to numpy arrays. |
Cookbook/InputOutput - Numpy and ScipyFile processing examples using numpy, scipy, and matplotlib. How to read/write a numpy array from/to ascii/binary files. |
Numpy Example ListExamples of Numpy functions such as fromfile(), hsplit(), recarray(), shuffle(), sort(), split(), sqrt(), std(), tofile(), unique(), var(), vsplit(), where(), zeros(), empty(), and many more. |
Introducing Plists: An Erlang module for doing list operations in parallelCould you spawn a trading system process for each stock of a given day's trading (a list)? What if you had 20,000 stocks for a given day? Can plists/erlang handle 20,000 processes without hitting memory constraints? |
130/30 Strategy BacktestedDisagree with comparison of 130/30 to non-leveraged benchmark/strategy. Also, the additional longs didn't improve the long portion of the 130/30 returns compared to the long-only strategy returns. Am I missing something? |
| Chapter 22. Struct and Array Modules Overview of the python struct and array modules |
Building Skills in Programming Nice python tutorial. |
| Python Grimoire Nice python cookbook. |
Posted: 16 Sep 2007 12:00 AM CDT
- Principle #2: Pull the Tooth - face your fears...don't put off today what you can do today.
- Principle #4: Do Something
Quantmod - Quantitative Financial Modelling Framework for R
Speed up R, Python, and MATLAB - Going Parallel
World Beta - Engineering Targeted Returns and Risk: More On The Endowment Style Of Investing Annotated
Google Mondrian: web-based code review and storage
ONLamp.com -- Numerical Python Basics
Finding Duplicate Elements in an Array :: Phil! Gregory Annotated
Tom's article:
There's a big difference between buying a stock after thoroughly researching it and buying a stock by hitting it on a dartboard.
My comments:
Is there really a big difference...in outcome? Sure, the person may feel different about the investment...but based on outcome alone...historical evidence would suggest the odds of success are approximately the same.
Tom's Article:
Gambling - "Any activity in which money is put at risk for the purpose of making a profit, and which is characterized by some or most of the following...no net economic effect results."
My comments:That's it from here where I've got a softball game to prepare for this week. I haven't played softball since my college days. And haven't thrown many balls since my shoulder surgery. Should be an interesting show to say the least.
I would argue that each player in the stock market provides a positive economic effect. The investor provides long-term capital to companies in need of capital. The speculator and gambler provide liquidity. Sure there are negative effects from all players...investors prop up some companies that probably shouldn't receive further funding...and will eventually go bust. And speculators/gamblers can turn liquidity into a frothing market that can cause long-term problems after the swell has subsided.
Of course, your point is true that gamblers' short-term trades may be a net effect with each other...but that activity regardless of reason or length of hold...still provides liquidity for other players in the market.
Basically, remove any player from the game...and the market wouldn't be what it is.
Background on Robert Gillam and McKinley Capital Management.Here's an article from Mr. Gillam's son, Robert A. Gillam...
U.S. Blinders Hinder Stock Pickers. This is a great article covering Mr. Gillam's expansion into international investing.
STUDY CHALLENGES CONVENTION: Growth, value style distinctions also important in international investing from Pensions & Investments.Have a great week!
This breakup between styles reminds me of an interview with DFA's founder, Rex Sinquefield. Mr. Sinquefield discussed how value stocks were riskier than growth stocks despite their similar volatility. Thus the reason for value stock's higher returns over the years.
"I really believe that success is just getting up one more time than you fall. It doesn't come from one brilliant idea, but from a bunch of small decisions that accumulate over the years. And you shouldn't underestimate the amount of work that's involved, the amount of fear that's involved." -- Roxanne QuimbyI love unconventional success stories. And Inc.com shares a great one with Burt's Bees founder, Roxanne Quimby.
After Burt's Bees, What? from Business Week
Interview with Burt's Bees founder, Roxanne Quimby from Hilary Magazine.
"The bursting ofBut, plenty of hedging is done as to the timing of the fall.this bubble will be across all countries and all assets, with the probable exception of high-grade bonds," Grantham warned. "Since no similar global event has occurred before, the stresses to the system are likely to be unexpected. All of this is likely to depress confidence and lower economic activity."
As for timing, he (Grantham) concedes that's impossible to predict. But here's the kicker: Even Grantham thinks you probably need to be bullish right now. The reason? Most bubbles, he notes, go through a short but dramatic "exponential phase" just before they burst. Like Japan in 1989 or the Internet in early 2000.How does this type of prognostication help anyone...I asks ya's?
Yes, we will make the May 1st deadline unless we don't.The above statement doesn't work because it's not wordy enough. Too simple...straight to the point.
We fully expect to meet the May 1st deadline. All components have been reviewed, tested, and verified to meet our stringent requirements. But, there is always the case that problems may arise due to circumstances outside our control. These problems may impact our schedule and possibly result in extending the deadline.There, that's better. A great hedge!
"If you spend some time thinking about it ("ideal position sizing") you will realize that life just isn’t so simple. Every individual has different tolerances for different types of risks. A formula won’t capture all of them and a formula most certainly hides information that might be very valuable." -- Curtis FaithGreat article posted by Curtis today . Discusses some of what I found to be true in regards to the Sharpe Ratio and smoothness of returns. In fact, through much testing I have found using any type of volatility measure in my trading systems (entry, exit, position sizing, etc.) produces sub-par results when real-world results take effect. But, sometimes, those are the best measures we have. So, what do you do?
I’ll leave you with an exercise. Take your favorite position sizing methodology and then see what might happen if you happened to take the wrong side of a trade using that methodology on September 11th, 2001 or on Black Monday (October 19th, 1987).In regard to formulas hiding valuable information. Pay attention to your stock data. There's a formula in there adjusting your time series for splits and possibly dividends. The longer term your system is...the more important this adjustment formula will play in your overall results. Common entry/exits formulas such as Average True Range (ATR) become rather out-of-date when processing IBM back in the 1960's. Something for all aspiring long-term trend-followers to consider when backtesting their systems.
"Learning is not compulsory...neither is survival." -- W. Edwards Deming8) Life is up for grabs. Whatever you want...it is yours to take. It's usually not the brightest, best, or most deserving person that gets the job...raise...or whatever opportunity you wanted that they now have. It's usually the person who wasn't afraid to take it that takes it. The person who won't let things such as not being the brightest, best, or most deserving from getting what they want. One of the most amazing things in life is...Momentum Builds. And as long as reasons prevent you from taking that first step...you'll never get anywhere else than where you are right now.
"share their hindsight which can become your foresight."10) And finally, birthday's are just another day. Unless you make more of them than that. They are after all...the day you started Life University. And each year marks your progress towards your chosen degree. You do have a chosen degree don't you? Otherwise, how else are you going to graduate? ;-)
"Seventy percent of success in life is showing up." -- Woody AllenYou will earn more respect recovering from a failure than by never failing at all. Weird, I know. But, very very true. Question is...how do you recover from a failure?
"It also provides inspiration for all of us who tend to get absorbed in our own challenges and problems, and serves as a reminder that most of success in life is showing up for work every day and "pounding the rock". And if we stay the course and never yield and keep swinging, eventually the rock will yield and break up and victory will be had. There is a light at the end of the tunnel if we do not quit and no matter the challenge, success is far closer than we think it is."Steve mentions the Daniel Ruettiger's story...the inspiration for one of my favorite movies of all-time...Rudy. I can still remember watching it with my wife before we were married. Tears, laughs, and all. Good stuff!
"It turns out that it is much easier to make money when you are wrong most of the time. If your trades are losers most of the time, that shows that you are not trying to predict the future. For this reason, you no longer care about the outcome of any particular trade since you expect that trade to lose money. When you expect a trade to lose money, you also realize that the outcome of a particular trade does not indicate anything about your intelligence. Simply put, to win you need to free yourself and your thinking of outcome bias. It does not matter what happens with any particular trade."
-- Curtis Faith in Way of the Turtle --
We shall not cease from explorationMT
And the end of all our exploring
Will be to arrive where we started
And know the place for the first time.
-- T.S. Eliot
"Buy and hold over the course of a 25 year investment career has never lost money going back to the start of my historical data in 1901."And finally...
"How many in-and-out traders, over the course of a 25-year career, can achieve such consistency and returns? How many actively managed funds can boast of such a record?"
"...an investor needs to tune out the many, many "sky is falling" jeremiads that were issued over those years, as market commentators became convinced that market meltdowns were in the offing. Consider the fact that, for the career investor, those cries of doom have never been vindicated. Never."
"If we were to trade in and out of careers every time we became fearful of our current career progress or every time another career looked better, we'd wind up with a lifetime of unfulfilled promise."
"Brick by brick my citizens, brick by brick" -- Emperor Hadrian of RomeI haven't posted much in awhile. Mainly because the more I learn the less I know. The less I feel I can share. The less certain I feel about things. The study of the market is a strange bird. So different than anything else I've dug into.
"You better know whatcha wanna to do, before somebody knows it for you." -- Charles Farmer in The Astronaut FarmerHope everyone is having a great week. Mine's been busy as ever. I hope to catch up on some reading over the weekend. Finish up the book, Trend Trading by Kedrick Brown. Dig in a bit more into the C language. Yes, I said C...the latin of programming languages.
Ran across this great interview of Joel Spolsky from Salon back in 2004. The dude has some great things to say...Shlemiel gets a job as a street painter, painting the dotted lines down the middle of the road. On the first day he takes a can of paint out to the road and finishes 300 yards of the road. "That's pretty good!" says his boss, "you're a fast worker!" and pays him a kopeck.
The next day Shlemiel only gets 150 yards done. "Well, that's not nearly as good as yesterday, but you're still a fast worker. 150 yards is respectable," and pays him a kopeck.
The next day Shlemiel paints 30 yards of the road. "Only 30!" shouts his boss. "That's unacceptable! On the first day you did ten times that much work! What's going on?" "I can't help it," says Shlemiel. "Every day I get farther and farther away from the paint can!" -- Shlemiel the painter algorithm
There's certainly a lot of faux methodologies, what I often call "big-M" methodologies, extreme programming being a very popular one right now. And even when they're reflecting good ideas or best practices, the real goal of the methodologies is to sell books, not to actually solve anybody's problem. And selling the books is actually just a way to sell consulting engagements that the people who write those books do at high cost; that's their career -- giving speeches to people working for very boring companies on how to do software better.
The fundamental problem that you're trying to solve here is that humans think of things in vague, mushy terms. In order to visualize something, they don't have to actually visualize every part of it. Whereas the programmer, in order to actually implement that thing, to create it, needs to have every part specified.Read Joel's Back to Basics post for more interesting tidbits on Shlemiel the painter algorithm, Pascal strings, and my favorite...XML performance issues. I've developed and supported EDI transaction processing for over 9 years and witnessed first hand the problems Joel discusses with XML. Great stuff!
(continued...)
So your brain doesn't actually work the way a computer works. Your brain doesn't assume that there's all this input coming in and then process it. Instead, it just has a variety of senses available to it, and it picks the ones it wants to answer whatever questions it has right now. So you ask questions, and your eye goes and finds out the information it needs. So you're used to thinking that you have the big picture , and you don't.
(continued some more...)
And so what a programmer is doing when they translate a quote unquote spec into quote unquote code, although it seems like a translation process, what they're actually doing is filling in lots and lots of details. And as programmers are wont to do, they're trying to take something, the vague thing that the humans want, and make it very, very specific, which is the kind of thing the computer wants. That's not really a translation; it's more of an interpretation. It's a very hard thing to do.
Boy: "Do not try and bend the spoon. It is impossible. Instead, only try to realize the truth."
Neo: "What truth?"
Boy: "There is no spoon."
Neo: "There is no spoon?"
Boy: "Then you'll see that it is not the spoon that bends...it is only yourself."
-- from the Matrix (one of my all-time favorite movies)
"virtually guarantee to participate fully in the left side of the distribution and not in a positive way."
Caston glared. "Observation selection effects are totally commonplace. At the supermarket, have you ever noticed how often you find yourself in the longer checkout lane? Why is that? Because those are the lines with the most people in them. Let's say I told you that Mr. Smith, about whom you knew nothing at all, was standing in one of those checkout lines, and you had to predict which one, based only on knowing how many people were in each line."Great quote from a great book, The Ambler Warning by Robert Ludlum.
"There'd be no way to know."
"But inference is about probabilities. And the most probable outcome, obviously, is that he's in the line with the most people in it." Once you step back and consider yourself from an outsider's perspective, it becomes self-evident. The slowest traffic lane is the one with the most cars in it. The laws of probability say that any given driver is most likely to be in that lane. That means you. It's not bad luck or delusion that makes you think the other lanes of traffic are going faster. More often than not, they are going faster."
"people, particularly those who are young but also experienced enough to know what's going on, to try starting a business because the rewards of being your own boss are wonderful."Okay, readers...if you own your own business...give up the goods on how you came to the realization you wanted to run a business instead of working for whatever company you were working for. Why did you feel the risk was worth taking? And what business did you choose...something you were familiar with? Something new?
"If you study an ant colony, you will find it has a life cycle — it’s robust, it’s adaptive. However, if you ask any individual ant what’s going on, they have no clue. They’re working with local information and local interaction. I think there’s a very clear parallel to markets. How do markets get to be efficient? The answer is it’s an interaction among a lot of diverse investors. The aggregation mechanism to bring the information together is the stock exchange, and then what emerges from that is the stock market.The above quote comes from Mauboussin's article, "Guppies, ants, and golf swings: Mental models for investors." This quote really defines the methodology I have adopted in trading. Forget how you feel about the stock. It doesn't matter. Forget how you feel about the market...it doesn't matter. Who cares if we're in a housing bubble, USD is going lower, inflation, deflation, yakkity-yak...don't come back. The only thing that matters is what the market thinks.
The important takeaway is it’s impossible to understand the market by interviewing individual investors because each investor only has a partial piece of the picture. It’s the aggregation that allows the full picture to emerge. What the ant colonies teach us is that in markets, cause and effect are very difficult to pin down. Sometimes we like to think that the experts on TV or the pundits quoted in the Wall Street Journal know what’s going on. They’re really just ants." -- Michael Mauboussin
"There's a great story about a famous local trader at the Chicago Board of Trade (CBOT). One day, he was on the floor of the CBOT and a U.S. inflation number came out that was totally unexpected. Pure pandemonium ensued. When all the noise died down, he walked out of the pit having made $10 million and said, "By the way, what was the number?" -- humorous story shared by Dr. John Porter in the book, Inside the House of MoneyIt's official...the new trading system is in production. A week earlier than the deadline. Much of the work was done in R. In fact, a few times in the project, I just don't know what I'd do without the fantastic little language. Python and Ruby was used as well. Along with Wealth-Lab.
"Implied volatility is based on historical volatility, but who cares about historicals? They're irrelevant. The point is, things can happen for the first time that aren't in your distribution so they can't be priced. If it's never happened before, how can you hedge yourself? The only way to hedge the unknown is to cut off tail risk completely." -- Jim Leitner from the interview in Inside the House of Money
"All these years I had been sustained by an illusion - happiness through victory - and now that illusion was blurred to ashes. I was no happier, no more fulfilled, for all my achievements.
Finally I saw through the clouds. I saw that I had never learned how to enjoy life, only how to achieve. All my life I had been busy seeking happiness, not finding it." -- Dan Millman's character in the Way of the Peaceful Warrior.
"In times of change, learners inherit the Earth, while the learned find themselves beautifully equipped to deal with a world that no longer exists." -- Eric HofferSorry everyone for the lack of posts or response to emails. I'm trying to meet a November 1st deadline for a new trading system. And between that and the entire family being sick from a nasty little cold bug...well I haven't been up for much else.
"Many questions are unanswerable. Many answers are questionable." -- from a fortune cookieWow, the above quote is so true. I have dug a little deeper into everything I have worked on the past several years. Calling into question my beliefs and attitudes towards the market. I was so wrong. It all started from a seed that Eric Crittenden planted into my head. "Sounds like an exercise in curve-fitting", he said, in reference to one of my system ideas.
"It has been said something as small as the flutter of a butterfly's wing can ultimately cause a typhoon halfway around the world." - Chaos TheoryNext, I watched the recent show on Sabermetrics where they discussed Bill James and many of the very cool things brought out in Moneyball. Flutter, flutter.
"The most important choice you make is what you choose to make important" -- Michael NeillI had coffee with a friend today that brought up an interesting topic. He said, instead of thinking about all the things you like to do or would like to do and persuing them. Step back a moment and think about all the things you do not like to do...and stop doing them. A lot to chew on for yours truly.
1) I don't like nothingness. I don't mind drawdowns...at least something is happening. And of course, I love when I'm reaching new equity highs. But, I absolutely abhor nothingness. That period of time when your investments just sit there and do nothing. I don't like that. Which is a bad thing...since most of an investor's time is spent in nothingness.That's about it as far as my dislikes. Not too bad. One day I need to write what I like about investing/trading.
2) I don't like gut feel investments. I want a precise method to follow that lets me know exactly when to buy and when to sell. Thus, the reason for developing trading systems.
3) I don't enjoy buying and selling stocks. I enjoy researching trading ideas and building systems around those ideas. But, the actual buying and selling of stocks is not fun for me. Would enjoy things much better if someone else traded my systems, so to speak.
"I'm a great student of successful people, and usually at some point in their careers, they've had to take a huge risk. That used to cause a dull ache in my stomach. I still get it, but now I ignore it." -- Scott Adams, creator of DilbertMT
"Often when you mention risk, what people think of is the downside. Danger. That's not the entrepreneurial mind-set," she said. "The entrepreneurial mind-set is that risk is the heightened probability that there is a big range of possible outcomes." -- Heidi Roizen
Dweck, the psychologist who studies growth mind-sets, created an experiment to demonstrate how persistence and the pursuit of knowledge leads to success. She posed a series of trivia questions to a group of people with fixed mind-sets and another with growth mind-sets.more from Carol Dweck...
After each answer, one and a half seconds passed before the participants were told whether they were right or wrong, and, if they were wrong, another one and a half seconds lapsed before they were given the correct response. Their brains were monitored with electrodes the entire time.
Dweck found that the people with fixed mind-sets cared a lot about whether they were right or wrong but not at all about what the right answer was. The growth-mind-set participants stayed interested until the correct answer was given, showing an interest in learning new information rather than in simply validating their intelligence.
People with fixed mind-sets believe that they were born with a certain amount of intelligence, and they strive to convince the world of their brilliance so that no one finds out they're not actually geniuses.
Growth-mind-set people believe that intelligence, knowledge and skill need to be "cultivated" by trial and error. Failing at something, they believe, is the best way to ensure they'll succeed at it the next time.
"It is not the responsibility of the language to force good looking code, but the language should make good looking code possible." -- Yukihiro MatsumotoI just discovered the power of Ruby!!!
"And don't write longer, more obtuse code because you think it's faster. Remember, hardware gets faster. MUCH faster, every year. But code has to be maintained by programmers, and there's a shortage of good programmers out there. So, if I write a program that's incredibly maintainable and extensible and it's a bit too slow, next year I'm going have a huge hit on my hands. And the year after that, and the year after that.Great quote! Read more on this topic here.
If you write code with more code that's fast now, you're going to have a hit on your hands. And next year, you're going to have a giant mess to maintain, and it's going to slow you down adding features and fixing bugs, and someone's going to come along and eat your lunch." -- Wil Shipley
Excellent investment advice. Keep it simple...
- post by taylortreeThere are 2 simple questions you must first answer:
1. What is the time-frame in which you need access to your money? (next week? next year? 10 years? retirement?)
2. How much risk and volatility are you comfortable with?
The Answer:
Asset Allocation... not fundamental analysis, not technical analysis, not market
trending, not tips from brokers and analysts ... but straight up asset
allocation.