"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
"Be careful about using the following code -- I've only proven that it works, I haven't tested it." -- Donald KnuthI have finally started my dynamic allocation of equity project. This is something I've stewed about for several weeks...okay...maybe months. But, after meeting with Jon for lunch this weekend...I finally got the motivation back to begin work on the project. Thanks Jon!
******Begin of Code***********************
from pysqlite2 import dbapi2 as sqlite
conn = sqlite.connect("TaylorTree")
cursor = conn.cursor()
SQL = """
create table MarketDaily
(
Symbol text,
Bar SQL_DATE,
Open float,
High float,
Low float,
Close float,
Volume float,
AdjClose float,
primary key (Symbol, Bar)
);
"""
cursor.execute(SQL)
******End of Code***********************
******Begin of Code***********************Fetch from Table:
from pysqlite2 import dbapi2 as sqlite
conn = sqlite.connect("TaylorTree")
cursor = conn.cursor()
SQL = """
insert into MarketDaily
(Symbol, Bar, Open, High, Low, Close, Volume, AdjClose)
values
(
"YHOO",
20060801,
20.00,
25.00,
19.00,
22.00,
50000,
22.00
);
"""
cursor.execute(SQL)
conn.commit()
******End of Code***********************
******Begin of Code***********************
from pysqlite2 import dbapi2 as sqlite
conn = sqlite.connect("TaylorTree")
cursor = conn.cursor()
SQL = "select * from MarketDaily"
cursor.execute(SQL)
# Retrieve all rows as a sequence and print that sequence:
print cursor.fetchall()
cursor.close()
******End of Code***********************
******Begin of Code***********************
from pysqlite2 import dbapi2 as sqlite
conn = sqlite.connect("TaylorTree")
cursor = conn.cursor()
SQL = "drop table MarketDaily"
cursor.execute(SQL)
******End of Code***********************
******Begin of Code***********************After spending a lot of time getting all that going...I then turn back to pytables. Maybe I need to dig deeper there. Found some very good documentation here. But, I'm still sitting here...nothing. Hey, someone give me some motivation on working with this bad boy! Anybody have any experience to share in regard to pytables? If so, bring it on! I need some mojo!
from pysqlite2 import dbapi2 as sqlite
conn = sqlite.connect("TaylorTree")
cursor = conn.cursor()
def UpdatePrice(sym, b, o, h, l, c, v, ac):
SQL = """
insert into MarketDaily
(Symbol, Bar, Open, High, Low, Close, Volume, AdjClose)
values
(
'%s',
%s,
%s,
%s,
%s,
%s,
%s,
%s
);
""" % (sym, b, o, h, l, c, v, ac)
cursor.execute(SQL)
conn.commit()
******End of Code***********************
******Begin of Code********2 lines. Now, I'm sure there is a much easier way to call a COM Object in C# that what I was trying to do. If anyone out there knows how...please leave a comment. I'm really interested to see how many lines it takes to connect.
import win32com.client
w=win32com.client.Dispatch("TC2000Dev.cTC2005")
******End of Code**********
"One of the best attributes I know a trader to have is humility. The best traders I know admit to knowing very little about what the market will do or don't pretend to have any kind of secret method or style or edge that others don't have. They just go in to work everyday like a brick layer. Their goal is to lay bricks. One at a time. And hopefully at the end of their life they have built a solid foundation. That's all a trader can hope for." -- Maverick74Found the great quote above perusing EliteTrader this weekend. The thread is titled, Writing Options for a Living, read here. You'll have to be patient because a lot of time is spent with posts from people still believing in the Easter Bunny. But, there are a few gems to be found...especially from Maverick74, riskarb, and a few others.
" Becoming wealthy is like playing Monopoly.. the person who can accumulate the most assets wins the game."
-- Noel Whittaker
The ones who were successful had more emotional control. The ones who weren't successful were either too intellectually insecure and unable to commit to a strategy, too greedy, too emotionally invested in their financial success, too affected by the large swings in equity, or too averse to the risks required to trade well (probably due to a lack of confidence in themselves). One of the things that distinguished the good Turtles from the ones that were completely unsuccessful is their personalities. The traders with a more intellectual and systematic approach to life were much more successful than the emotional traders who really wanted to make a lot of money.And finally, one of the most important insights Curtis makes:
...all successful people owe their success to the help of others. They therefore have an obligation and usually a desire to pass on the craft, to teach and help others.I am thankful that such a thing is true. I owe many thanks to the people that have helped my programming and trading experience grow in the right direction. In a sense, we are all like those baby turtles Mr. Dennis refers to. Just trying to make it out to sea and swim with the big dogs. And avoid the many perils from beach to sea.
"There is no doubt in my mind that systems and styles which offer a rougher ride will hold up more over the long run because not as many traders and certainly almost no institutional money wants the ride.
You will make more money if you can take the pain. Unfortunately, you will make little or none if you think you can but it ends up that you can't."
- Curtis Faith -
MT
1) Fundamental Driven Markets - cleanest trends and easiest to trade;Plus, I always enjoy it when Curtis shares his Turtles experience. His coffee story reminds me of a few trades from my Melba Toast story.
2) Speculator Driven Markets - perception driven and harder to trade;
3) Aggregated Derivative Markets - averaging out effect dilutes momentum.
"Every now and then go away, even briefly, have a little relaxation, for when you come back to your work your judgement will be surer; since to remain constantly at work will cause you to lose power." -- Leonardo da VinciWell, I had a little break. And during that break I moved my family to Missouri! Yes, we are now in Missouri. Things are going good. Still have so much unpacking to do. But, was able to mow the yard (grass is different here than Texas) and find my grilling supplies for a good steak dinner with a corona or two.
"If you've been pounding nails with your forehead for years, it may feel strange the first time somebody hands you a hammer. But that doesn't mean that you should strap the hammer to a headband just to give your skull that old familiar jolt." -- Wayne ThroopThis quote rings so true. :)
