Thursday, 30 December 2010

A terribly sad day . . . .

A day that ends with me feeling quite sad about everything.

This Christmas period has been quite different to any that have come before - principally because Emma is now working and only arrived home the day before Christmas Eve. Instead, the run up to Christmas was dominated by the visit of Linda's parents for 6 nights.

But around the time she came back, Emma suggested that she would probably prefer to stay a few more days with us. One of her friends was having a New Year's Party at her home in Winchester and Emma thought it would be best if she went there from Oxford this Friday, returned here Saturday, and then we all went up to London on Sunday. So she would be here for a couple more days.

Given that I wouldn't really seen her much over Christmas, I was rather pleased with this change of plan. We talked of doing some cooking together, watching some movies, going into Oxford for a look round the bookshops. Sadly, by a gradual process, plans have been changed today and none of this will now happen. I have not been able to avoid feeling deeply saddened by this.

Instead we are back to plan of Emma returning to London on Thursday. One of her flatmates will be back and they can go to the Winchester party together. Then she can go to her gym, maybe see a couple of her other friends, and so on. No doubt this is a better plan for her.

My sadness is compounded by Linda and Emma making their plans today for various things they are doing together in 2011 - their Spa day in January, where my role is to drive Linda to London for a 10:00 start and then drive her back home at 4:30 - apparently plans for us all to have dinner together afterwards have been shelved. And their week's holiday together in late April. The limit of my hopes had been that we would make paella together this Saturday, but this isn't happening any more.

It would have been better if the original plans had never changed and that we were simply returning Emma to London on Thursday. But the change of plans, first in a way I am pleased about and then the reverse, is clearly worse. The looking forward to something and then have it taken away . . . .

Thinking back to the distant past, I can remember the period just after Christopher died (June 1974). In this period, mum decided to become an antique dealer and dad and I started to follow Speedway. But a few year's later and I was off to University and the start of my career. It occurs to me now that my Dad must have found that a very sad process, just as I have over the last few years. I rarely have any regrets about how my life has gone, but this is one of them. I would have liked to have spent more time with my Dad - all of those times he would ask me if I fancied going to the Lake District for a few days with him and I was too busy. It breaks my heart to think of this now

(Some time ago I was looking through an old album of dad's photos of the Lake District and stumbled across some pictures of Alcock Tarn. He has captioned the pictures "Perhaps the last time I will see Alcock Tarn". When my Dad died, I scattered his ashes as Easedale Tarn - I was looking at the photos I took of this the other day, a panoramic picture with Emma sitting on a rock to the right and the bay where Dad is to the left. I wonder if he would have prefered to be at Alcock Tarn instead?)
Easedale Tarn from Blea Rigg - Dad's ashes rest in the bay in the upper right

Alcock Tarn - a tiny secluded tarn to the east of Grasmere

It is a sad irony of parenthood that the more successful one is in bringing your children up to be confident adults, the less that want to spend time with you.

Tuesday, 28 December 2010

My favourite story of 2010

The papers are full of reviews of the year and there is no doubt that my favourite story of the year was the Anna Chapman spy story. I was reading somewhere ealier in the year that spies now have to have very detailed identities created and these have to include facebook accounts, long histories online, and so on. Yet the idea of a spy being exposed and everyone being able to view what looks like a perfectly normal facebook account, with all the normal tourist photos, etc, is all very odd. Of course it helps the story enormously that Anna Chapman was so gorgeous - with even the US Vice President commenting that it hadn't been his idea to deport her!

And afterwards, there is the really odd idea that an exposed spy could pose for a men's magazine in provocative underwear and playing to the spy image. I think this is all terribly postmodern and thoroughly enjoyable in the light of the rejection of meta-narratives that it symbolises

So this is what a modern spy looks like!

Monday, 27 December 2010

The strange case of Suzanne Divers

A strange legal case has just completed in which a 26 year old woman has been sentenced to 3 years for coercing a 14 year old boy into having sex with her. There has been much comment on whether the offence is the same as when a 26 year old man coerces a 14 year old girl. The law seems to have said that it is - I am not so sure.

I have to say - when I was 14, if a 26 year old woman wearing shiny white hot pants, boots and fishnet stockings had wanted to have sex with me, there would have been no coercion involved! And I believe that is probably true of most 14 year old boys - it is therefore simply bad luck that she seems to have picked on one of the tiny minority of boys who are the exception to this rule!

Christmas 2010

A stranger run up to Christmas this year, in particular, Emma was working right up to the evening of Thursday. So we didn't have the leisurely run up that we are used to. Instead Linda took a couple of weeks off before Chrsitmas and we had her parents to stay for six nights.

Also, for the first time ever, we had the family to us on Boxing Day - so much more food planning than normal. Some highlights:

Jerome came to see us on Boxing Day accompanied by his dog and stayed overnight. We had time to do some work and he provide a nice contrast with the various family members

Emma decided to get Linda and me more presents than previous years as she is now a workinjg girl - so I get the new Bardo Pond cd and four really nice books - Wolin's The Wind in the East (about Maoism in sixties France), Pettegree's The Book in the Renaissance, Eco's The Infinitiy of Lists and Morris's Why the West rules - for now.

Some really nice food - Linda's Christmas Day meal, her beef bourgignon for Boxing Day and my two tagines

Playing board games - Emma wins Cluedo. But no opportunity to play Grateful Dead Monopoly

And the Christmas Doctor Who - not enough of Amy Pond in her policewoman's outfit, but a thought provoking story idea nonetheless.

Tuesday, 21 December 2010

Captain Beefheart RIP

Sad news of the death of Captain Beefheart - perhaps the most polarising artist that rock music has ever seen. I was surprised to see that he was only 69. I remember the release of his last album in the early 1980s and his subsequent abandonment of music for art - so he was only 40 then. Amazing.

I first came across him via John Peel of course. Tracks like Moonlight in Vermont and Big Eyed Beans from Venus were often played. Indeed I remember Peel playing the whole of Trout Mask Replica one track at a time over several weeks - I don't thing he ever did that with any other record.

Looking at and the reviews of Trout Mask Replica, there are currently 423 reviews and it is this that shows the deeply polarising aspect of his work. 236 are 5*, 34 are 4*, 24 are 3*, 5 are 2 * and 124 are 1*. So people either really love it or really hate it. I doubt any other artist has such a distribution of reviews. In our household, 1 person rates it 5*, the other two 1*

It is a few years now since I saw The Magic Band play the Zodiac in Oxford and what a treat that was. The world is a lesser place for the absence of people such as Captain Beefheart

10-in-a-row competition - a win, but not a big one

For the last week or so I have been waiting to hear from the spread betting company that was running the ten-in-a-row competition as to how much I had won. The word was that there have been quite a few winners, so my expectations had been somewhat reduced from the idea that I might have won the whole £100,000.

It turns out there were about 185 winners for £540 to each. In some ways a bit of a disappointment - even with the news that there were a lot of winners, I had hoped that this might mean less than 50.

But for us there is a greater significance. When I was looking at trading systems that might have a large percentage of small MFE wins, I strumbled across a whole family of systems that I had first looked at in the 1990s and which still seem to have great possibilities. Indeed the work of these systems has been most of my work for the past month and starting January 3rd, they will form the major part of what we will be trading. We have very high hopes that this will work out well.

So out of a £540 win, might come something much bigger. I can hardly wait to see what happens!

Saturday, 18 December 2010

Venetian Masks

Inspired by the very erotic dancers at Hawkwind, I have been looking at some photos of the Venice Carnivale, where many, if nor most, of the participants wear masks. There is definitely something very erotic about this but I have no idea what it might be.

I has been reminded about a scene in the controversial current version of Spartacus where the very glamorous young wife of the local senator has Lucy Lawless arrange her a night of love with a gladiator made us as a statue. Both she and the gladiator (who turns out to be Spartacus) where masks, and the scene is very odd as their "faces" remain expressionless throughout the encounter.

It turns out that Lucy Lawless has set up glamorous bored wife in a case of mistaken identity. I haven't seen all the episodes of this series - but that one scene did stand out rather

All very erotic it seems to me

Friday, 17 December 2010

Hawkwind in Oxford

A bitterly cold night as we made our way to Cowley for the Hawkwind show. We had hoped to have something to eat in the burger place where we sat next to Calexico a couple of years ago. However that seems to have disappeared and we settle for something else.

We arrive at the venue in time for the last three songs by support band, The Jokers - two own compositions and a cover of The Beatles' Helter Skelter. Not impressed at all - and the guitarist is particularly ridiculous.

The first sign of Hawkwind is the appearance os a huge fat guy who I thought I recognised as the bassist - identifiable as not being a roadie by his jaunty US army helmet with attached video cameras. Then there is a strange moment as 6 relatively old blokes wander on stage who turn out to be the band. Dave Brock is now nearly 70 years old (but actually looked quite well, though he did have a couple of breaks during the show - perhaps for a lie down?)

The music is a sequence of longish jams with a surprisingly modern 90s / 00s trance feel. I recognise three or four tracks - for instance, Angels of Death and Spirit of the Age. Some moments were certainly extremely good, but the overall sound reminded me of Ozric Tentacles - no bad thing of course

But the highlight of the show for me were the two dancing girls. Initially appearing dressed in Metropolis-style robot outfits with elaborate headresses, they appeared a further half dozen or so times. Three times this involved them on stilts. In each case, the outfits were really good. I especially liked the green bikinis and headresses that they wore for an indian inspired dance, and the white masks and white robes they wore another time. Overall this was really excellent I thought.

Overall, a pretty good night out - our first for a while

Dancers of stilts

The very erotic white masks

One of the current publicity photos - the girls in their green bikinis and headresses. Their Kali-style Indian dance was perhaps the single highlight of the evening

Sunday, 12 December 2010

Yet another remarkable trading innovation

As a result of the deep thinking that was necessary for the 10-in-a-row competition, I have been examining a number of trading approaches that I used to use in the 1990s for long-term trading. I have converted some of these into general models of certain types of market more and have loaded this with masses of stop loss and limit exit tests. The results have been remarkable - for instance, a pair of systems with a combined Sharpe Ratio of 19.5.

Apparently the worst day in a three month period would have been -45 pts, while the average profit is 71 pts per day. This seems ludicrous on first view. For instance, if we are willing to lose, say, £1,000 on a losing day, then the average day would be +£1,600 and more than 9 out of 10 days would be profitable.

I am setting a tentative roll out for this in the first week of Jan 2011 with last testing throught the Xmas period - but what are the implications for the very good (but not ludicrously good) current systems? On first go, it would seem that the newest ideas completely dominate the existing systems. And given that they have a number of other features that are attractive, it might be that we switch a considerable weighting to the newer stuff

As always, much work is required to assess if the profit is real or has some hidden problem lurking in its actual workings.

Thursday, 9 December 2010

Latest trading ideas

The main focus of my trading research over the past few weeks has been equity curve management. This can produce some pretty odd "meta" principles for trading. For instance, there may be principles of trading at the meta-equity level that are not applicable at the non-meta, market level. I remember having a long talk with one of my hedge fund investor friends about this and us getting very confused. Back then, I had applied a trend-following trading system to the results of trading a portfolio of markets using a trend-following system and was claiming that I could avoid some of the drawdowns that apply to trend-following by using the meta-principle to reverse our approach - so we would be trend followers then the equity curve was up and counter-trend traders when it was down. But this is a pretty confusing overall methodology and is very hard to set up as you have to record what you would have done trading the way you currently aren't doing.

One idea that does seem valid for counter-trend trading is a limit exit for each day's trading. For instance, if we were 75 pts up for the day, it seems that the most common outcome is not that we add 30 pts more, but that we lose some proportion (even more than 100% on occasions) of the day's gains. So a limit exit locks in a profit for the day.

A second idea has been that of a limit exit decay curve - something like the time value for an option. So at 3:00pm, we still seek x points, but by 7:00pm, our limit exit would be lower. This might stop us being fully invested as the evening progresses to the close, when there are often odd moves to do with position-squaring.

Finally, I have just acquired a copy of Ralph Vince's The Mathematics of Money Management, which is a long work on Kelly Optimal f trading. I expect to put in quite a bit of time reading this over the coming weeks

There was a show on TV last night called The Joy of Stats - I hope to see this later on today. I can see that quite a lot of my future research will be to do with statistical testing. Maybe it is time I had a refresh of my knowledge of basic statistics e.g. how to test whether two samples come from the same overall population.

Tuesday, 7 December 2010

Echo and the Bunnymen in Oxford

In theory, I am very opposed to bands going out on tour playing entire "classic" albums. Yet quite a few bands I like have succumed to this. Sonic Youth played Daydream Nation, the Stooges have been touring Raw Power, last week Primal Scream were out playing Screamadelic. All of which could be fine. Yet I feel somewhat negative about the whole idea.

So it is with some trepidation that I go and see Echo and the Bunnymen playing the whole of Crocodiles and Heaven up Here, at the O2 in Oxford (the old Zodiac). At a certain point in 1981, I would have said that these two albums were perhaps my all time favourites. I saw the tour for Heaven up Here, the one with all the netting and camo gear and it was stupendously good. I loved the third album, Porcupine, but absolutely hated Ocean Rain, and more or less gave up on the band then. I have little idea what they have done in the meantime. Such a short time period between being my favourites and being uninterested. I put it down the sort of dark, brooding phase that teenagers go through. I even owned a donkey jacket!

An old memory from the distant past: It is Easter 1982 and my parents (and dog) have gone to the Lake District for a week and I have the house to myself. My new friend Jude has been visiting. She is a year older and me and in her second year studying Philosophy and Literature at Keele University. We have hit it off immediately on meeting. She likes David Bowie and we both love Crocodiles. We listen to music and talk about philosophy and literature. We get drunk on red wine and (sometimes) port. We watch movies (Diva is a favourite). And if she has visited her sister in Coventry, we are sometimes able to spend the days getting stoned. We play Crocodiles repeatedly. When McCulloch sings "I've been up to Villiers Terrace" we reply loudly, "We've been in a daze for days" and fall about giggling. Happy times . . . .

Another memory of Jude - once a group of us were in the Wine Bar in town and, during a brief lull in conversation, Jude announced that her pubic hair had been styled into a heart shape and when this was greeted with some scepticism, I was asked to vouch for her. I confirmed the fact and suggested that it was actually quite romantic!

And so to Echo and the Bunnymen last night. Actually the gig is really good in a hugely nostalgic way. From the first guitar effects from Will Sargeant, there is a deep rich sound (an extra rythmn guitarist and keyboard player help). Going up, Stars are Stars, are quite wonderful. A short while later, the sequence Crocodiles, Rescue, Villiers Terrace, and Pictures on my Wall bring back many happy memories. The band are shielded by banks of dry ice, but are dressed exactly per the 1980s show I last saw. Ian McCulloch remains pretty odd. "What is going on in his head?" asks someone near me - who knows, it is very unclear.

Then onto Heaven up here. A great rendition of Show of Strength, a blistering title track, and a poignant The Disease. All my Colours and (especially) Turquoise Days also stand out. A short break, then an encore of other material. Lips, which I quite liked, and a fine The Cutter.

So my fears were perhaps allayed. True it is total nostalga - a glance back at a life I had 30 years ago. But perhaps that is no bad thing once in a while. Now perhaps the original line up of Siouxsie and the Banshees might reform and play The Scream?

Monday, 6 December 2010

Trying to win 10 times in a row

Having thought about the questions posed by trying to win ten times in a row, I have reached the conclusion that the best strategy is to use some form of very short term breakout system. From what I remember from the peak periods of system testing that I have done in the past, these systems have a very high chance of producing at least a small favourable excursion.

So armed with a number of such systems attached to various markets (Euro and sterling versus the US dollar, the DAX and crude oil), I strung together my 10-in-a-row from the first 11 trades I put on, in the space of 5 hours. A couple of stressful moments, but all ok.

The prize is £100,000 shared between the winners. So how many other winners are there? I have tried to think of a way to estimate this but the range of answers I get is too wide - anything from 5 to 500. I would be quite annoyed if it was 500. £200 each for all my thought and effort. If I am the sole winner, I might be tempted to buy my Ferrari for £40k.

Sunday, 5 December 2010

Two of the sexiest pictures I have ever seen

Sorting through the garage in my latest clearout, I came across a box of various press cuttings that I'd kept, including the following two pictures which I had kept as they were two of the sexiest pictures I had seen. The first is the front cover of a magazine I saw on a newstand in New York. I have always been a huge fan of asian girls and the girl on the cover is as beautiful as any I have seen. I have had a look for the movie, Blue Dreams, on the internet but have failed to find it, so I have no idea how she gets into this predicament.

The second picture is also a magazine cover that I bought in a newsagents in Leytonstone in the early 1980s. The girl certainly has a very 1980s hairstyle! I have always been a big fan of french maids and this is about as good a picture as any. The magazine itself was pretty odd, and did feature the girl in other outfits, but overall, it wasn't my sort of thing.

"10-in-a-row" spread betting competition

One of the spreadbetting companies is seeking to attract new business by offering a £100,000 prize to those people who can get 10 winning bets in a row during the period ending December 10th. It has taken me a week or so to actually focus on this, but it now seems to me that this is worth pursuing. As an existing customer, I can also enter.

The main issue is that although getting 10 wins in a row is very low probability on a random basis, I am certainly aware of plenty of trading systems where the chances of at least a small "Favourable Excursion" are very good

The detailed rules disclose plenty of small print. A winning bet only counts if it is more than 5 pts for instance (and that is post spread). So on a random basis, I think the chances of any given sequence of 10 random trades being "winners" as defined is something like 10,000 to 1 against. Another clever rule is that trades must be consecutive i.e. bet two starts after bet 1 finishes. This stops you placing multiple bets in the same market and then waiting for one move in your favour before cashing them all out.

The overall prize of £100,000 is split if there is more than one winner. But there is also a rule for the case where no one gets 10 - it is shared between those who get 9, then 8. So maybe they don't think many people will get 10. One other rule is giving me pause for thought. This says that the company may void any application where it feels that bets have been made in "bad faith" or outside the spirit of the game - whatever that means. One strategy I had looked at was placing a sequence of stop and limit orders in one direction and then hoping for a big move. That might be caught by such a rule.

So I am now set up with a number of markets and a number of systems, so that my 10, if I can make it, will be in a variety of markets and at different times and some long, some short. Such a pattern would presumably not fall fowl of this other rule.

One other consequence of this competition is that a whole family of trading strategies that I used ot use years ago have come back into my thinking. I am pondering on whether I could trade these with one spreadbetting company, while Jerome trades our other stuff with the other. That could be another interesting area to add on to what we are doing currently

Marci in "Californication"

One tv show I have recently returned to after some while is Californication. I rather liked series one of this but Linda thought it was really silly (the two episodes we watched together) and so it rather fell by the wayside. But I have kept up my occasional viewing and have recently watched quite a few. One character I have grown rather fond of is Marci, the long-suffering wife of David Duchovney's manager. She has had some great scene over the years, but I also think she is actually rather a sad character. And when I looked up the actress who plays her, it turns out she used to voice Billy in King of the Hill - which was rather a surprise.

The very-sexy Marci in typical pose

Of course I also rather liked Danica in series one - funny how my secretaries were never like her.

Danica about to be punished for some secretarial misdemenour

Saturday, 4 December 2010

Gorecki programme & Rodrigo and Gabriela

It is years since we first heard Gorecki's third symphony. It seemed to burst onto the music scene rather out of the blue. I think it was an article in The Sunday Times that first alerted us to it. As many have found, it is a remarkably moving piece. Yet I had never actually looked at the detail of what it is actually about. Often I prefer to just hear the sound. As John Peel used to say, for all I know they could be singing "I am waiting for you dancing pool, my arms, my arms".

But there was a programme about Gorecki on BBC four the other day, featuring a short interview with the man himself (who died quite recently) together with an interspersed performance featuring Dawn Upshaw, who sings on our copy. Scenes of Auschwitz retain their immense power - including some really disturbing scenes of skeletal bodies being cast into mass graves. So I now know what the words say, and very moving they are too.

Afterwards, I am forced to watch a performance by Rodrigo and Gabriela at Glastonbury. Their exurberance is quite compelling. Amazing virtuoso performances

Jane Fonda blog

There is a long article in one of the weekend papers about Jane Fonda. Now in her early seventies, she is apparently still producing exercise videos, among many other things. Indeed she said she is really just producing videos for her original 1980s audience, who are getting old with her. She has a regular blog as well and I have been reading some of the entries. I am quite a fan of Jane Fonda. Of course my earliest encounter is seeing Barbarella last one night on tv when I was about 16. Now that had a definite impact! But Cat Ballou is also one of my favourite films as well. I think she would definitely be someone worth knowing more about.

And it gives me a good excuse to look up some of my favourite photos of her

My favourite outfit from Barbarella - the tail is great

A very popular pictures from the 1970s I seem to remember

She really did have gorgeous legs (and probably still does for all I know)

Perhaps it is time to see the film again - what a classic!

Thursday, 2 December 2010

Yet another major trading innovation

Another idea has come from re-reading Sweeney's Campaign Trading, this time the idea of reversing into stop losses. i.e. to examine all cases where a stop is hit and assess the stop's effectiveness. Afterall, if a stop is effective, it is because it saves you money. So if you reverse at a stop point, you should make the money that is saved.

So I have been looking at some of the recent results on days when our equity stop loss point is reached. What if we reversed at such points and became trend followers? The answer is that we would improve the profitability of the overall trading by quite a substantial amount. This Wednesday's result would have been a massive extra gain. So now testing is in full swing on this regime-switching model. In theory, this would mean that we would no longer fear the really big move which causes us so much grief at the moment

One other question is praying on my mind, namely how many more big ideas can we generate that have such huge effects? This is about the 8th!!

Recent reading has been focused on Ed Thorp's long paper, The Kelly Criterion in Blackjack, Sports Betting, and the Stock Market. This is pretty complex, but does have some extensions of other results which I am keen to pursue - so far, the 42 page paper has taken me 3 days of study to get through.

I have also ordered Ralph Vince's book on Optimal f - I used to own this years ago and am not sure that it is actually any good, but we'll see.