Monday, 29 November 2010

Throbbing Gristle - the death of Peter Christopherson

Today's Independent has an obituary for Peter "Sleazy" Christopherson who has died suddenly. Coming into serious music in the late 1970s, there was always one band who were really right on the edge, Throbbing Gristle. I arrived in London just after they had broken up but would have definitely wanted to see them live. I remember going to see the film Journey through a Body to which they had done the soundtrack - very intense.

TG have been back together over the last few years. A couple of albums and some live shows. I have heard one or two and have quite enjoyed hearing Hamburger Lady with modern equipment. But my main interest in Peter Christopherson was always his band Coil. They produced some really way out stuff that I have been working through slowly over the past few years. Excellent stuff

It says that he was currently working on a new TG album - a cover version of Nico's Desertshore. As this is one of my favourite albums, I would have been extremely interested in a TG cover version. I wonder if that will ever appear.

Performing with TG at the Coachella Festival in 2009

A very early shot of TG - Christopherson is on the left!

The first TG record I ever bought - such a great title and cover. I wonder how many people mistakenly bought this (maybe for an older relative who they thought liked jazz!)

Hawkwind and Echo and the Bunnymen shows

Walking to the dentist across Gloucester Green this morning I paused briefly at an advert for the O2 academy - the former Zodiac in Cowley. Two bands catch my eye. Firstly, on December 16th (when Linda will be free and before Christmas visitors arrive), Hawkwind are playing. Linda used to really like them and I am a great fan of some of their live stuff. Both of us agree that Space Ritual is a supurb live album

One of the greatest "double live albums" of all time?

And then also Echo and the Bunnymen who are touring with a performance of their first two albums, Crocodiles and Heaven up Here. Once upon a time, these were my two favourite albums. Though theoretically opposed to such tours, I have decided to go and see this one.

Saturday, 27 November 2010

One of the most vivid dreams I have ever had

I am in a room described as being a temple, but it is really just a normal room in a suburban house. It is decorated in various drapes and furnished with just a futon mattress covered in cushions. I am there with two girls. The older (late twenties) is very curvaceous and is dressed in a flowing black robe. The other is younger (early twenties) and slimmer, dressed in a jewel encrusted mini-dress with glitter round her eyes. She reminds me of someone but I can't think who

(Addendum later - She looks like the singer of the band Bats for Lashes)

Natasha Khan of Bats for Lashes

The two girls have been sent to look after me for the night. They take turns in feeding me various exotic fruits and generally cater to my ever need. No sex is involved but it is a very sensual experience

Such a change to have a really vivid dream for a change

Monday, 22 November 2010

An old video of Abba

Occasionally I come across repeats of Top of the Pops from years ago. Some have even gone back to the late 1960s, but most seem to be late 1970s to early 80s. I have just been watching one from November 3rd 1977. The Jam kick off with This is the Modern World, The Carpenter's Calling Occupants of Inter-planetary craft, the quite appalling Barron Knights, Queen with We are the Champions, Legs and Co dancing to something I don't recognise, Status Quo, David Bowie performing Heroes, but without the Robert Fripp guitar track, and then the truly awful Showwaddywaddy.

But then, at number one, comes Abba's The Name of the Game, in my view one of the finet records of all time. The greatest statement of the existential horror that would underlie all of Abba's greatest songs.

But I think I can see in your face, there's a lot you can teach me - what can she mean?

They are, of course, playing ludo in the video

Sunday, 21 November 2010

Ginsberg's Howl and some Kerouac recordings

A long article in the weekend papers on Allen Ginsberg to mark an imminent movie about the Howl trial. I haven't read this for years, but have listened recently to a recording of Ginberg reading it. I was rather surprised by this. I had expected a vitriolic performance, but actually it was quite low key. One or two other Ginsberg recordings in the same set, including Kaddish Pt 1, which I now aim to listen to soon

He was always a fun sort of guy!

I have also got some recordings of Jack Kerouac delivering some of his poetry - mainly fragments of San Francisco Blues. And a recent(ish) documentary on Kerouac that I remember seeing when it was on tv years ago and which I'd quite like to see again

Also lurking somewhere is an audio book of Ginsberg reading The Dharma Bums - by far my favourite Jack Kerouac book. Like virtually everyone else who reads this, I am completely taken with the character based on Gary Snyder. He is probably the last of the Beats to remain alive. I was somewhat shocked to discover the other day that I have about 20 books of Snyder's or about Snyder.

Not my favourite cover art for The Dharma Bums!

More trading developments

Over the last couple of weeks, I have been reading Poundstone's Fortune's Formula - a book about the Kelly Criterion for position sizing in betting. We watched The Sting the other night and I was struck by the comparison between the situation set up in this movie and the generalised problem of bet-sizing. In The Sting, Robert Shaw's error is to believe something with certainty, which causes him to be willing to bet big. But if you generalise from this movie setting, the issue becomes one of assessing your bet size when you aren't absolutely certain. This leads into information theory, and so on.

And so much of this leads back to Ed Thorp. There were one or two clues in this book about some of the ways that Thorp had applied the Kelly Criterion for trading in the 1970s and 80s in the fund Princeton-Newport. This made in excess of 20% per annum at an SD of about 4% - a most remarkable result. The occasional example has allowed me to ask the question of how to apply this to our trading
Ed Thorp playing blackjack in the 1960s

But the remarkable thing today was that I finally had the necessary insight to work out how to apply the Kelly criterion to our results to date. Our combined trading system has made 17% so far. By calibrating off one day's particular loss, I was able to re-cast the data into other possible results based on different levels of leverage. This allowed me to generate the humped-back curve that characterizes the Kelly Criterion and it revealed that our maximum return would have been made at a leverage of 21x our current position size!
Of course, no one would actually trade full-Kelly in case they were wrong about their so-called edge. So I am looking at various fractional Kelly positions, focusing my current research on 1/10th Kelly. This would have returned 4% a week based on our trading results to date, with a worst drawdown of 10.2%, a perfectly acceptable situation.
Moving on from the overall model, I was able to use the Kelly model to calculate position sizes in the four markets we trade, and also a basis for increasing and decreasing our position size day-to-day.
Jerome and I spoke for a couple of hours about all this and are amazed that yet another possible huge development has arisen from our research. Our goal is to now deliver the core trading result and to increase position sizing slowly to 1/10th Kelly by January and possibly as high as 1/5th Kelly by Easter. If we were really sure of the results, 1/5th Kelly suggests possible returns of 5% a week. The ludicrousness of this figure suggests that we err on the side of caution though. Such a return is not necessary for us!

Friday, 19 November 2010

MSc results are out early

For the first time in ages I had a look at my LSE email account. This reveals that my MSc result is out - indeed it has been available for the last couple of weeks. This reveals that I have obtained a level of "distinction", the highest awarded for an MSc and the equivalent of a First at undergraduate level.

The paper on which I only spent a week of work - Philosophy of Economics - was a high merit grade, which just shows you how you still achieve a good result without doing any of the necessary work. So only 1 lecture attended, one class, no essays produced, only one-third of the reading list even looked at. Quite a good result I feel.

But there is also a sense of deflation. I had hoped that by now I would have started my PhD. But it looks like my MSc might be the only return to academia that I manage. And that is all rather sad I feel. So really this result is of little significance and I shall put it out of my mind and concentrate on other things

Thursday, 18 November 2010

Wobbles in the trading - two poor days, etc

Tuesday - -800 to -350 to -800pts

Wed - -150 to +150 to - 80

Thursday - limit orders - "delta" as price approaches limit - 1pt "risk" vs gain

Monday, 15 November 2010

Helping Emma

So Emma arrived at Didcot late afternoon in time for an Indian meal with us and the start of a movie before falling asleep around 9:00 - the shock of a week's work no doubt.

Sunday morning she exercises, then we set to on her work's case study. My aim was mainly to try to teach her something about model making, so I work at a very general level and show her how monthly models can allow the flow of a business to be recognised. Emma and I have a somewhat chequered history of collaboration on projects and there are one or two moments of friction today, when I feel Emma is getting too bogged down in details, while Emma thinks I am being too general. But we make progress in the end.

While I watch the last Grand Prix of the year, Emma spends some more time running through the model we've created and getting a feel for how it all hangs together. Overall she seems very pleased. She has a couple of days in the office doing more training, then has a full day she can work on the model more. So hopefully that should all be fine. We want her to shine in her first weeks at work.

Linda and I were both rather pleased to have had this visit. Linda has done all Emma's washing (apparently their washing machine has broken) and Emma has a rough working model for her case study. She heads back to Didcot late afternoon. Next week she goes onto the team for her first project and in a couple of week's time is off to Germany for more training. So it is all go.

Might not see her again till Christmas now, though she briefly mentioned it would be nice if I could have lunch with her maybe in a week or two's time.

Saturday, 13 November 2010


Working through "B" on itunes this morning I reach Bongwater, one of my all time favourite bands yet one that I feel seriously under-achieved. A truly great album was surely in them. Yet, unusually, it was their last album - their fifth - that was their best. The Big Sell Out is perhaps the ultimate postmodernist record, and the culmination of what they had been building up to - the strange take on modern celebrity, the odd narrative sections that Magnusson reads. Perhaps Celebrity Compass is the finest track. I can't believe it was 1992 that this came out - extraordinary stuff.

The back of the CD prominently features Ann Magnusson's breasts, but in an ironic, postmodernist way - so that's ok then

The penultimate cd - highlights include Great Radio, Nick Cave Dolls and Connie

I saw Bongwater just once in concert - somewhere in Camden, the Electric Ballroom perhaps. They included a cover version of In the Court of the Crimson King from what I remember

Emma's Case Study

Emma started work this week. We got the feeling that perhaps Monday had been a little overwhelming with the many things she has to learn. She got her laptop and blackberry, plus her business cards. Just awaiting her Amex card.

Later in the week she and her other three newbies have been given a little case study to look at. Emma sent me a copy a day or so ago and I have been working through it. For me it is pretty easy - the standard case study set for business people, full of tricks and gaps in data - indeed a little unfair for someone like Emma compared to the two MBA students who joined on the same day as she did and who will, one would think, find this sort of thing pretty straightforward.

Emma sent me her first version and she had not started well in my view. I made a few comments about how to approach this. Then on Friday I received a few emails in which Emma seemed very confused about how best to go about the project. So much to our surprise, she has decided to come home for the weekend and I will give her a hand with it. She needs to have a presentation ready for Friday and that will be pretty easy. I feel a little concerned. On the one hand I want Emma to do well on her first job, but I also think she needs to really put alot of effort in herself. Perhaps she has done and is just on a steep learning curve. But its the fact that two of her fellow newbies have MBAs that has caused me to want to help her. I don't want her first project to not go well.

Another trading week

The last week or so I have been looking at equity-curve risk management. This can be an odd topic as it is based on a meta principle approach. I remember years ago raising something like this with one of my hedge fund shareholders and he was very puzzled. The stumbling block is that at the "meta-level", one might trade in ways that are actually in conflict with the way one trades in the actual markets. For instance, we tend to lose money when a solid trend occurs intra-day. As counter-trend traders we add to our position as things go against us and so are maxed out in a trend and lose heavily if that trend continues. Yet equity risk management would chop that position just when the underlying trading would expect a rebound. The Sharpe ratio impact of this is so dramatic that it is worth doing though, no matter how hard it can be to exit positions for equity curve risk management purposes

Also this approach suggests a limit exit when things go well - which is also rather counter-intuitive. But research suggests that a limit exit at +2.5% intra-day is the soundest policy.

So I have been preparing MAE and MFE data for the trading system equity (something that can take me 2 hours per day to work out as we haven't got adequate information to work it out more easily). And we have a tentative equity risk-management policy coming out from this.

Interesting this also suggests that some parts of the trading system aren't pulling their weight, one of which is the core trading signals that power the Martingales. So oddly enough, we might end up trading a martingale system but without the systems from which the Martingales are derived.

Wednesday, 10 November 2010

John Cale - Autobiography and an old recording

Now I have finished Bockris's biography of Lou Reed, I have moved onto John Cale's autobiography (written with Bockris), What's Welsh for Zen? This is a superb book - exactly what an autobiography of a musician should be like. I particularly enjoyed the early chapters about the pre-Velvet Underground stage when Cale was working with La Monte Young. Once again, I was inspired to listen to some of these recordings, but they are extremely hard going.

I once saw John Cale in concert at Ronnie Scott's Jazz Club in Soho. This was when I had my Sony Walkman Pro tape recorder and used to try and smuggle this in to all the show I saw. I went to this show with Steve Cleary, who lived just round the corner from me in Leytonstone. He was a real fan of John Cale and had most of his albums. He was then able to identify all the tracks on the tape I made. We sat at a table about 10 feet from Cale, who performed more or less solo. This certainly made recording difficult, though the end product was really good. It was definitely one of the best I ever made. A year or two ago I transferred the show to digital and posted it on a file sharing website.

So encouraged by my reading, I have been looking out for a few John Cale live shows. And much to my surprise I stumbled across a new upload of my Ronnie Scott's show. I have no idea where my copy of this now is, so was rather pleased to download it again. What I surprise. I left a comment for the newest uploader. In his view, this is another good reason why people should share their recordings - you never know when you might want to hear something you yourself recorded!

Monday, 8 November 2010

Emma's first day of work (and mine)

So Emma enters the "real world" today with her first day of work. For the first two weeks she is going to be in her office doing various training exercises. She rang me from the Starbucks on the corner to tell me she had arrived in plenty of time and was looking forward to her day

I remember my first week at Ernst and Whinney. I was sent to Nottingham for my induction course with just a few people from the London office - Jeremy Owens and Debbie Thomas, spring to mind. The detail of the week escapes me, though we did play some sort of business game at the start of each session, based around setting the price of gas, and quite a lot of drinking went on. What I remember most is the social aspect.

I really fancied Debbie Thomas and had thought this week had layed a good foundation for us going out together. We played squash together one afternoon - she looked great in a short skirt and trainers! We had drinks together in my room. And, perhaps most memorably, we played a practical joke on Jeremy that involved Debbie and I getting up at 4:00 to knock on his door and tell him the first session was just about to start. Sure enough, he dressed in a panic and rushed downstairs.

But Debbie turned out to be something of a party animal, out virtually every night with friends. We did manage one date when we went to see Diva at the cinema. Soon after she started going out with a friend of Jeremy's from Cambridge (a bit of a prat I thought). Then she failed her first year exams and quit E&W. Wonder what ever happend to her?

The Saturday Times - The Truth about Women and Sex

Friday, 5 November 2010

Day out in London with Emma

Emma moved to London a week and a half ago, but has two weeks there before starting work next week. Linda went to see her last week (for a mother-daughter shopping trip), while I have gone to see her this week, mainly, it seems, to help her get her bearings a little more. So our plan is to have a long walk round the local area, so Emma knows where everything is.

First stop is Borough Market, less than 10 minutes walk from where Emma is living. She actually does know where this is but is keen to take me there so we can have a good look round on a weekday (when it is less busy). It is like a really big version of the Oxford Covered Market, but without the shoe shop! We treat ourselves to mulled wine, and cakes, while Emma also buys one or two things for the house. Then looping round the back of the market, we go to a Sainsbury's for Emma to pick up more things, then back to the house.

But our main expedition is to Covent Garden, about 25 mins away (and which could provide the route for Emma to get to work if the tubes continue to be on strike occasionally). It is a really nice walk along the south bank from Blackfriars bridge to Waterloo. We mainly talk about the things Emma has managed to sort out while in London. She seems to have taken on most of the admin duties for the house and so has been organising all sorts of things like council tax, internet access, tv, and so on

There is a food market in progress at Covent Garden, but Emma is keen to sit down at one of the cafes, so we can chat. A string quintet is playing classical music outside one cafe and we settle there. Talk moves on to starting work and the few tips I still have to pass on before the big day on Monday.

From Covent Garden, we walk to Leicester Square and Piccadilly, from which point Emma would be able to find her office. She pops into Boots and we print loads of photos off a USB stick so Emma can make up some new photo frames. While there, Jerome rings to say that after yesterday's best trading day ever, today's is the worst so far. Another new research project - is there an equity stop that makes sense?

Next stop, Camisa's Italian deli in Old Compton Street, then Blackwells, where I buy Emma a slightly tongue-in-check book on Management Consultancy. Then we find the Cake shop near the English National Opera, which we went into once last year.

And so it begins to get dark and I leave Emma on the Strand, from where she is confident that she can find her way home. I walk back to Marble Arch to get the coach home. Lots to think about - yet again, a strange feeling of melancholy (and not at all because we have lost 500 pts trading!)