Monday, 29 August 2011

Eating Llama

Down with Emma at her new flat in Southwark. At Borough Market, I acquired two Llama burgers for the princely sum of £5 - in the interests of exotic eating. Had them for tea on Sunday and was actually quite disappointed. They actually tasted pretty much like an ordinary beef burger - perhaps a little leaner, not sure.

Still I can add llama to a small list of exotic eating, currently headed by puffin and fermented shark blubber, both of which are Icelandic delicacies.

Cuter than a cow

Due to a diet of oily fish, puffin is quite an odd meat - like little pieces of duck breast.

And the delighful fermented shark blubber - one of the highest calorie foods in the world!

Sheba's Passing

After a illness of several weeks, Sheeba, one of our cats passed away today. It was a snowy January day nearly ten years ago when we first came across her in our front garden, eating the bread we had put out for the birds. Was she a unwanted Christmas present we wondered? Probably not. Though she was tiny, she seemed old when we found her (or she found us). We started to put food out for her twice a day and she hung around. She was named after the brand of cat food we fed in then.

Some months later, she was still unwilling to come into the house, but lived in the garden quite happily. Then we discovered her one day making herself a little home in the log shed. Some time after, she gave birth to two kittens. By moving her kittens into the house, we persuaded her to come inside, and she mainly stayed indoors there after.

Her girl kitten, Sugar, died a year or so ago, run over by a car. I was rather fond on Sugar. She used to sit on the back of my chair when I worked. But she is survived by her son, Spice, a somewhat accident prone cat who has out lasted the others, much to our surprise.

Sheba took herself out into the garden the other week and we thought perhaps she was taking herself off to die quietly as cats do. But the vet thought she might just have a mouth infection and some antibiotics seemed to perk her up a bit. But in the end she just flaked out and that was that. I took her down to the vets who put her to sleep and she is buried in the garden next to Sugar. Odd how affecting pets can be.

One of our last pictures of Sheba, taken a few days ago.

Wednesday, 24 August 2011

Jerome away - me trading again

Jerome has another week off this week and has gone camping with the kids. So after a day off to help move Emma into her new flat in London, I am back trading. Still not entirely used to the new formats that Jerome created on Monday, but I am slowly getting there.

It doesn't take long for me to get annoyed about things. At 9:00 our sell in DJ is picked off by just 0.5pts and the market then rallies 50 pts that bar and stops us out soon after. Then it nearly does the same at the 10:00, picking off our level by 1.5pts. This trade loses 18 in the end. So 2 specific points of move have costs us about 100 pts in losses.

Then I have time to slowly work through what yesterday would have produced - at least in pre-slippage form, what we call "raw". Sadly (an odd choice of words perhaps), yesterday would have been a really good day producing our second best result ever - about +1.9% for the day at current notional capital. CL, +183; EC +53 and DJ +303. So I am doubly annoyed that while today hasn't been going well, yesterday was great. if only Emma had moved house today.

Addendum - later this day: Finally, as the close approaches, a couple of trades give decent profits and the day ends at a small loss (-0.12%). But not a single LE all day, which is not good - there were 5 the day before

Friday, 19 August 2011

Data processing continues

Data processing - or "data bashing" as we refer to it - has continued a pace this week. Jerome has been free of distractions as the week has gone on, so he has done all the trading and I have "bashed". He is now pretty slick at the new systems, while I am not

In a change from previous projects, I have decided to try and organise the spreadsheets better and am using, as a heuristic, the idea of preparing a third-party investment proposal. At the moment this seems a far fetched idea, but it isn't impossible. So the current blind test and the future record keeping will be in a format that would enable me to put a presentation together really easily.

The data-bash also throws up the occasional issue that requires a little clarification, but actually not that much this time.

World markets continue to be really wild but we are pretty happy with our results. We did have a small losing day yesterday - down 0.85% - when a couple of trades were just picked off by very precise moves. If these moves had been a tiny bit smaller, we would have retained winning positions rather than be reversed and whipsawed. On such tiny things does the difference between being up and being down for the day hinge. Also there was no late move which was a shame.

I have enjoyed watching CNBC during the current crisis - so much intellectual effort is put into the markets. Standing back a bit, you would think it could all be used better!

Monday, 15 August 2011

Weekend trading work

The week's trading has led to further key questions to address on Saturday and Sunday

The first question concerns exits from trades - the question of profit targets versus reversal signals. On the one hand, we seem to have missed some huge wins recently by having a fixed profit target, but at other times wins are achieved that would be missed if we just waited for a signal reversal. What is best overall? My guess is that it is better to take the profit target exits - although there seem to be loads of huge profits around, actually there are also lots of profit-target gains as well - we just don't remember them as well as the "missed" huge wins.

Secondly, there is the question of the impact of waiting till end of time period before adjusting levels, versus making intra bar adjustments. The problem here is that the latter is not testable as there are possible intra-bar whipsaws that I can't detect. So I need to ensure that the current testing is based on what we could definitely get i.e. by only changing levels at the end of the bar. Then if this result is ok, we will know that we have a result that could actually be traded.

Next, it is clear thast the protocols in place for what happens after a profit target exit has occured, need tightening. And we could do with sorting out a better opening trade methodology.

But I am also thinking about some of the parameters of the current systems and trying to bet a feel for what is the impact of changing them? e.g. if one set is changed, avoid some poor trades, but get worse fills on all trades - would it be better to get more trades but better fills? On Sunday I spent the entire day doing a test of our CL parameters for an increase in levels - more trades, but better fills. I processed 15 days, and result is clear. It is better to do more trades but at better fills. So that change will be made for certain

Late on Sunday Jerome called and we were able to run through the latest system spec and review Aug 11th in detail for new rules. He is then going to work on these during Monday and Tuesday.

Some articles in the papers this weekend about algorithmic trading and HFT, seeking to blame these for the current market vol. No doubt regular investors are not to blame in the slightest. I have actually been keeping loads of articles at the moment on the current market difficulties - will no doubt make fascinating future reading!

So this week will be about the new system spec and more research and I am hoping to process at least a few weeks from the last 3 markets. Then I am back thinking about possibly increasing my investment in the trading - maybe double current position sizes and split it 66-33

And then there is issue of other external investors. My next major review is planned for around half term in October. Maybe after that I could think about approaching one or two possible investors.

So much to think about!!

A great leap forward in the trading

It has been an extraordinarily wild week in the markets.

On Monday I traded while Jerome sought to follow everything. This went ok, but towards the end of the evening there were some huge swings and for various reasons we didn't win them all Nontheless, we were +2% for the day. On Tuesday we had early maximum wins in CL and DJ, up 200 pts in each. EC whipsaws, then explosion at 7:20. A calmer middle of the day but I struggled to stay focused and missed perhaps 4 maximum profits during the late evening. But the market moves were absurd post FOMC annoucement. The Dow falls 3% in 10 mins to 7:30, then rises 6% in the next hour. We made +2% for the day, but it could have been +4%. Wednesday, I started start the day, but Jerome was happy to take over early afternoon after morning of shadowing me. He does good job through to close. Steadier day, with a strong finish, and another +2%. Thursday, we seemed to have problems of slippage all day in all markets. Missed some good exits. Should have been +0.75%, but finish flat. Friday, horrible day in CL, lots of whipsaws. and an overall -1.5% for the day

So the week in total is just under 6% which is very pleasing indeed, especially given the market chaos at the moment. I have loads of plans for the weekend - a key set of ideas to test, then building up back test. Huge amount of work to do this - hoping for 10 hrs a day Saturday and Sunday, then talk to Jerome on Sunday night

Ihave also begun to develop some very vague ideas about approaching outsiders for additional funds. The key selling point is the high Sharpe ratio which allows the possibility of a high notional capital, but a very low upfront requirement. I am thinking of a managed account structure something like the one that Oxeye run. This could be very good, so I need to boost record keeping to support this.

Thursday, 11 August 2011

Rediscovering the band, "Cranes"

A brief mention of the band "Cranes" reminds me of just how much I used to love them. I haven't heard a CD of theirs for some years, but was surprised to discover that I own about half a dozen of their releases. Today's listening has been focused on "Live in Italy" with great versions of later tracks like Sunrise and Flute Song.

But for me, Cranes are always associated with the harsher early tracks around the time of the two Peel Sessions. Things like Dada 331, Inescapable, Adoration, albums like Self-Non-Self and so on. Hoping to have a good listen to everything

How can it be so long since I last heard them?

The lovely Alison Shaw - one of the oddest vocalists around

Saturday, 6 August 2011

A week of testing new ideas

While on holiday, I have been pondering on a major trading theme that we wish to develop, that of a collection of "slow" systems to add to what we do now. "Slow" is, of course, relative. These systems would trade each market 3 or 4 times a day, rather than the 10-12 times we get at present. They would hold out for larger gains per trade, and would be more tolerant of adverse swings, and so on.

I came back from holiday with a rough spec. Jerome was on holiday this week and so I faced a choice between doing the new research work or trading the current systems all day on my own. I have chosen the former and have made huge progress over the week. But this has meant that we haven't traded through one of the most extraordinary weeks I have seen in the markets for some while.

Monday opened with relief that the US debt ceiling would be raised, the FTSE responded by opening strongly higher and hitting a peak of about 5950. But it has been down hill all the way since then with a close on Friday of 5250, a loss of close to 12% from its high. The sovereign debt crisis in Euro-land is to blame.

And as I have processed the test of the new systems, it is apparent that they would have done very well this week. Indeed absurdly well. For instance, the US equity trading system (which trades the Dow Jones Industrial Average), would have been up 400 pts on Friday alone - that's a return of 3.5% unleveraged for one day. Incredible stuff.

However, before we get upset that we have missed out, it should be noted that one of the key features of the new approach was only devised and programmed on Thursday and it is this adjustment, that is the main reason for the fine performance on Friday. So overall I am not that bothered about missing out on a great week. What matters is the next 200 weeks.

I am dying to discuss this more with Jerome this weekend and get cracking on implimentation from Monday.

Wednesday, 3 August 2011

Blast from the Past - December 16th 1982

Last lecture of term (as I'm not going to Logic tomorrow) and the last class. Watkins started Spinoza this morning. I quite like Watkins as a lecturer - he has some very nice touches. He covered in an hour and a half all I've done on Spinoza in 90 pages of reading. I spent the lecture thinking about how good I would be as a Professor of Philosophy, if only I could be academic enough to get there.

Last Rise of Modern Science class, and the conclusion of the talk on calculus which I quickly lost the thread of. Sandy seemed a lot more like her usual self today. She is off to Paris this evening and has said she will buy me some port on the way back. We walked up to Holborn tube together after the class, she on her way to Maple Street, and me just for a walk with her.

Then tonight it was off to the Venue in Victoria to see Iggy Pop. I have been a big Iggy fan for the last year or so, introduced by my friend Judith who had The Idiot and Kill City. I have gradually acquired tapes of the Stooges albums from various other people, and was very impressed by the live album, TV Eye, I bought earlier in the year. The show was really excellent - he really is an energetic performer! Lots of tracks I knew - The Passenger, Sixteen, Search and Destroy, Loose, Louie Louie, etc. Great Stuff!

Addendum - so after seeing Iggy and the Stooges last week in Carcassonne, I thought I would look up when I first saw Iggy. I had told Linda it was 1984, but apparently it was a little earlier. I loved the Venue in Victoria - it was where I first saw Cocteau Twins, Dead Can Dance, and The Birthday Party.

"Watkins" is Professor John Watkins, head of the philosophy department at LSE when I was there and a staunch Popperian.

"Sandy" was Sandy Marwell, an American girl at LSE on a one year course, who I really fancied. During her year at LSE, she became a member of one of the Maoist groups! We were friends that first term, but not really in the next year.

Monday, 1 August 2011

Iggy and the Stooges - Carcassonne 2011

After seeing the Iggy and the Stooges show, I have discovered one or two clips from the show on youtube. In the clip below, from about 15 seconds in till about 30 seconds, Iggy is directly in front of Linda and me in the third row. It may be Linda caught on Iggy's microphone singing "be your dog"!