Portfolio Performance for February 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

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

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.

On a personal note, my family is exploring the possibility of adding a dog to the household. The last dog in our family passed away about 1.5 years ago. She was a lab-heeler mix that we saved from the local pound as a pup. Great, great dog. My daughter's best friend...and mine. Feel enough time has passed and exploring a few of the gundog breeds. In particular, the French Brittany. If anyone has experience in this breed or know of a good breeder...leave a comment.

Later Trades,

MT

Portfolio Performance for November 2008

Performance 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.

Later Trades,

MT

What I'm Researching...

CodeProject: Optimizing a Function of One Variable. Posted: 26 Nov 2008 12:31 AM CST find the minimum or maximum over an interval. nice.

The Sweave Homepage Posted: 26 Nov 2008 12:27 AM CST contains manual and faq. this tool allows dynamic reporting via sweave & R language. can generate latex docs which can gen to pdf or even html via R's R2HTML function.

TeXnicCenter Posted: 26 Nov 2008 12:24 AM CST interesting open source latex editor to check out.

Sweave: First steps toward reproducible analyses Posted: 26 Nov 2008 12:23 AM CST embed R code via sweave to generate latex document containing results. awesome! must use this for my next presentation paper.

Moving data between R, Excel, and the Windows clipboard Posted: 26 Nov 2008 12:19 AM CST nice summary of writeClipboard, readClipboard, and scan, read.table, and write.table functions.

How to write parallel programs (pdf) Posted: 25 Nov 2008 12:06 AM CST Nice intro to parallel programming. Need to spend more time with this paper.

R/S-PLUS Fundamentals and Programming Techniques (pdf) Posted: 24 Nov 2008 11:58 PM CST nice coverage of programming in R language. From reading data, plotting data, managing code, logging analysis, and bootstrapping.

What I'm Researching...

Jim Barry's Rexx Tutor Part2 Posted: 13 Nov 2008 01:00 PM CST great summaries on the classic rexx functions.

Project Aardvark Posted: 13 Nov 2008 12:53 PM CST Joel on Software's Real World. A must see!

Reading List: Fog Creek Software Management Training Program - Joel on Software Posted: 13 Nov 2008 12:50 PM CST great reading list!

In Python how do I sort a list of dictionaries by values of the dictionary? - Stack Overflow

Posted: 09 Nov 2008 09:29 PM CST

nice efficient sorting of values in a python dictionary.

AT&T Labs Research - Yoix / YWAIT Posted: 07 Nov 2008 07:36 AM CST Interesting way to build a web application. Wonder how complex this would be to use versus traditional web-based systems (LAMP)? This may be easier to deploy if the goal of the software is simulation/visualizations. Something to toy with.

AT&T Labs Research - Yoix / Byzgraf Posted: 07 Nov 2008 07:33 AM CST Another great looking toolset using Yoix that enables plotting functions: line, bar, histograms, etc.

AT&T Labs Research - Yoix / YDAT Posted: 07 Nov 2008 07:32 AM CST Extremely cool visualization toolset from AT&T Labs Research. Handles graphviz files.

Portfolio Performance for October 2008

Drawdown 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 thing to prevent future pain.

Smart people get stuck in this trap...a lot!

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.

Later Trades,

MT

What I'm Researching...

Overview of RAMFS and TMPFS on Linux Posted: 06 Nov 2008 11:02 PM CST Map your memory as a drive? Wonder how this would work if you built a linux server with 32gb memory and mapped at least half that dedicated for simulations? How much faster would this be versus traditional disk-based sims?

Replacing multiple occurrences in nested arrays - Stack Overflow Posted: 06 Nov 2008 10:58 PM CST will this work in updating a dictionary of prices? if you have a dictionary of portfolio positions with values being python lists...would this be a good solution in updating the closing price of the stock (one of the items in the list)?

What I'm Researching...

Producing Open Source Software Posted: 30 Oct 2008 09:56 PM CDT very cool online book detailing the starting of an open source project.

OmniTI ~ Careers ~ Site Reliability Engineer Posted: 28 Oct 2008 12:04 PM CDT one of the best job descriptions I've read on working as an operations engineer. best two quotes: "If you don't grow, you'll fail." & "Think of it like any other fun and challenging job you've had -- now remove the margin for error." How true!

What I'm Researching...

Linux Server, Linux Hardware Posted: 26 Oct 2008 02:28 PM CDT pre-installed linux provider

system76, Inc. Posted: 26 Oct 2008 02:26 PM CDT pre-installed linux computers (laptops, desktops, servers).

The R fCalendar package (pdf) Posted: 26 Oct 2008 11:18 AM CDT date, time, calendar manipulations in R. Sample functions are diffTimeDate, isWeekday, isWeekend, and the very cool timeNdayOnOrAfter, timeNthNdayInMonth, timeLastNdayInMonth.

How To... Mount Your Computer Screen Posted: 26 Oct 2008 10:17 AM CDT details how to wall mount your monitor. very cool.

Javascript style dot notation for dictionary keys unpythonic? - Stack Overflow

Posted: 23 Oct 2008 06:59 AM CDT

great thread on object-style dot notation. instead of stock['id'], this thread shows how to create stock.id.

vizierfx - Google Code Posted: 22 Oct 2008 12:38 PM CDT really cool flex library to display graphviz graphs. haven't explored the flex toolset before...but may have to check it out.

z/OS Workload Manager - How it works & How to use it (pdf) Posted: 21 Oct 2008 12:18 AM CDT Great summary on Workload Manager (WLM)...including tips for setup and troubleshooting existing setups.

What I'm Researching...

RocketDock - About RocketDock Posted: 20 Oct 2008 12:17 AM CDT extremely cool application dock for windows.

Python Programming/Lists - Wikibooks, collection of open-content textbooks Posted: 20 Oct 2008 12:12 AM CDT Great collection of python list examples.

Introduction To New-Style Classes in Python Posted: 19 Oct 2008 01:18 AM CDT great explanation of python classes. check out the final part discussing the __slots__ feature. basically, reserve attributes...those not defined cannot be assigned.

PyTables User's Guide Posted: 18 Oct 2008 12:30 PM CDT html version of the pytables userguide.

rdoc:graphics:barplot [R Wiki] Posted: 17 Oct 2008 04:22 PM CDT R doc for barplot

Welcome to DrQueue Commercial Website Posted: 12 Oct 2008 11:44 PM CDT queue manager with python binding. looks to be used as a render manager...but could see other uses as well.

Building home linux render cluster Posted: 12 Oct 2008 11:30 PM CDT excellent article on building a cheap 24 core x 48GB ram linux cluster.

Portfolio Performance for September 2008

September 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.

September's VAMI


September's ROI


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.

Later trades,

MT

What's an Outsider to do?

I avoid watching all news programs...especially related to the market and economy. Avoid reading newspapers and for the most part news bloggers. My one exception is Howard Lindzon. I read him for his take on the entrepreneurial spirit...but with it have to eat the occasional brussel sprout when he starts pawing at the market's ups and downs.

Same goes with people. Typically, talk very little about the market to others. And rarely hear more than a peep or two about the market from others in the water cooler discussions.

That is until now. This recent market debacle has really changed things. Howard is causing me to eat mucho brussel sprouts. My wife is hearing about the market on Dr. Phil & Oprah of all things. And even my programming bloggers are discussing the economy and the hoozy whatsits of the markets.

So, what's an outsider to do? Well, we should ask ourselves what a maverick would do and do that. Or watch these videos for inspiration...





If those don't make you laugh...just remember my fellow mavericks...this too shall pass.

Later Trades,

MT

What I'm Researching...

Tips For Barplots in R Posted: 08 Oct 2008 12:27 PM CDT examples of barplotting in R - color the bars, horizontal axis, stacked bar graph, and side by side graphs.

R Functions and Procedures We Should Know Posted: 08 Oct 2008 12:26 PM CDT common functions in R - just a brief command set.

Gmail, Weather, Beauty on your Ubuntu Desktop | Quick Tweaks Posted: 08 Oct 2008 11:59 AM CDT very cool desktop for ubuntu.

What I'm Researching...

Linus' blog: .. so I got one of the new Intel SSD's Posted: 07 Oct 2008 10:02 PM CDT great analysis on evaluating SSD hard drives. read the comments for more info. as an aside...linus has a blog...cool.

pymc - Google Code Posted: 07 Oct 2008 12:45 PM CDT monte carlo in python? looks worth exploring further.

What I'm Researching...

The Sect of Homokaasu - The Rasterbator Posted: 07 Oct 2008 01:45 AM CDT Cool, print huge posters from normal paper - software breaks up images to fit on 8.5 x 11 paper. Hat-tip to my wife for finding this site.

PerTrac Support - Statistics Posted: 06 Oct 2008 12:43 PM CDT Great site covering formulas of investment stats. Useful for coding the performance part of the testing platform.

pickle(cPickle) vs numpy tofile/fromfile - Python - Snipplr Posted: 05 Oct 2008 11:09 PM CDT interesting code snippet comparing performance of cpickle and numpy to/from file routines. been thinking about this lately...using numpy directly or cpickle instead of using a bloated dbms for persistent storage of time series on the testing platform.

HintsForSQLUsers - Hierarchical Datasets in Python Posted: 05 Oct 2008 11:06 PM CDT covers many of the faq of SQL developers when developing with PyTables.

EasyvizDocumentation - scitools - Google Code - Easyviz Documentation Posted: 05 Oct 2008 09:55 PM CDT Python plotting interface to various backend plotting engines: Gnuplot, Matplotlib, Grace, Veusz, PyX, VTK, VisIt, OpenDX, and a few more. Seems like a fairly straight-forward interface. And choosing the backend used is a one-line import statement. Interesting.

PyX - Python graphics package Posted: 05 Oct 2008 12:25 PM CDT looks like a dead-simple plotting library in python to produce pub quality pdf/ps images. Need to explore.

What I'm Researching...

TinyMCE - Home Posted: 05 Oct 2008 12:12 AM CDT WYSIWYG Javascript WYSIWYG editor - haven't tried it...but may be worth testing on a new project of mine.

PyTables - Hierarchical Datasets in Python Posted: 04 Oct 2008 01:35 PM CDT the original python interface to the HDF5 library. Have tested this before...need to test again using new architecture. Original tests found speeds that were equivalent to SQLite but of course slower than CSV files.

Python bindings for the HDF5 library — h5py v0.3.1 documentation Posted: 04 Oct 2008 01:33 PM CDT a python interface to the excellent HDF5 library. worth testing in project.

Dive into Erlang Posted: 04 Oct 2008 12:24 PM CDT enjoyed reading this guy's take on Erlang. Of course, he had me with quoting Unix philosophy, "Do one thing and do it well."

Optimal RAID setup for SQL server - Stack Overflow Posted: 04 Oct 2008 10:35 AM CDT Excellent Q&A on choosing the optimal RAID config for disk i/o performance. By the by, stackoverflow is an awesome site for programmers!!!

What I'm Researching...

R Colors Chart(pdf) Posted: 03 Oct 2008 11:45 PM CDT breaks down the colors available to R - both number and symbolic name.

One R Tip A Day: barplot Posted: 03 Oct 2008 11:29 PM CDT Great examples of barplots in R.

Dabbleboard - Online whiteboard for drawing & team collaboration Posted: 03 Oct 2008 12:59 PM CDT Awesome drawing application - auto-recognizes shapes and smooths lines from raw drawings. Great tool for flowcharting, room designs, etc.

ode Like a Pythonista: Idiomatic Python Posted: 29 Sep 2008 09:21 PM CDT takes the basics of python up a notch. definitely pay attention to the dictionary and advanced string formatting examples.

My no-server personal wiki—Part 3 - And now it’s all this Posted: 02 Oct 2008 11:18 PM CDT Describes in detail how to design a personal wiki. I enjoyed reading the design...I've built a similar html document system in the past. But, never added the markdown features. May have to try this out.

What I'm Researching...

InterfaceLIFT: Wallpaper sorted by Date Posted: 29 Sep 2008 01:05 AM CDT awesome desktop wallpapers - free download.

Personal Finance Assistance « ActiveState Code Posted: 28 Sep 2008 03:41 PM CDT great code example of using python and sqlite.

scipy array tip sheet Posted: 28 Sep 2008 12:34 PM CDT brief coverage of constructing, indexing, slicing, and summation of arrays.

What I'm Researching...

Python/CDAT for Earth Scientists: Tips and Examples Posted: 28 Sep 2008 01:15 AM CDT great cookbook covering python & numpy. hat tip to the Smooth blog. Covers plotting, reversing arrays, etc.

Array creation — NumPy v1.2 Reference Guide (DRAFT) Posted: 28 Sep 2008 01:08 AM CDT Covers creating arrays in NumPy - covers recarrays. to create recarray: x = np.array([(1.0, 2), (3.0, 4)], dtype=[('x', float), ('y', int)]). Then to view as recarray: x = x.view(np.recarray). x.x

NumPy Reference Guide (DRAFT) — NumPy v1.2 Reference Guide (DRAFT) Posted: 28 Sep 2008 01:00 AM CDT great reference guide to using NumPy.

http://conference.scipy.org/static/wiki/demo_numpy2.py Posted: 28 Sep 2008 12:08 AM CDT example of creating structured arrays in numpy.

SQLite The Hammer Posted: 27 Sep 2008 01:16 PM CDT a great resource for SQLite.