I had thought that the disappointment of not getting the place at Oxford to do my PhD would pass quickly but as I worked today, I have felt really sad about it. This has been mainly caused by some Kepler reading I have been doing. First up, an article by Patrick Boner which shows serious study of Kepler's de stella nova, my proposed PhD subject. Secondly, a piece on Kepler and Galileo's methods of persuasion in the dissemination of Copernicanism, this one by a current PhD student. Both show active, current work in precisely the area I wanted to be working in.
More work on reviewing back issues of journals available online - today was Isis and BJHS. I have until October to pick up any articles I want before my LSE closes. A handful of interesting stuff appearing from this process
Only a small amount of dissertation work being done however. At one time I had hoped to have a good draft to take away to Italy. That isn't going to happen now, so I will have to get writing when I get back. I should also check when it is due in - it would be a shame to miss the deadline!
Latest trading has been rather mixed. A poor day Monday - my worst yet with a 300 pt loss, i.e. 60pts per system - is followed by a really good Tuesday to leave me up a small bit for the week so far. Loads of statistical testing continues to be done with a view to increasing position sizes from when we get back from Italy. By then I'll have five more weeks data and a few more practice sessions - exciting to be able to already think about this.
Emma is now home for a few weeks and is already bored. Today she had a 5 hour ER watching session. She has been seeing a few friends as well so hopefully it will not be too bad here. But she hasn't mentioned the possibility of a Lake District trip again, so I am assuming this is not on. Another disappointment.
I am still slowly reading the Spinoza biography and also one of Lord Rochester - critiquing both from a technical biographical perspective. Neither are particularly good it seem to me so far.
Mainly listening to Current 93's Sleep has his house cd and Bardo Pond
Wednesday, 30 June 2010
Monday, 28 June 2010
More statistical testing - a surprising result
As time passes with the trading, more data is collected and the robustness of various statistical tests improves. But intra-day trading generates data quickly. At the sample size I use - typically 10 or 15 minutes - a trading day contains up to 90 discrete time periods. I assume markets to be "self-similar" - i.e to look the same at small resolution as they do at larger. Therefore a week of intra-day data is, in some sense, the same as around two years of daily data. My trading research picked up from the end of February and so some of the systems have nearly four months of statistical data attached to them - the equivalent of 30 years of daily data. So quite a few statistical results are quite significant now
And so to the odd result that has been thown out. Basically I have been looking at the issue of portfolio construction for the last few weeks i.e. what precise combination of systems to use and in what weightings. So I am producing detailed results for each system on its own and then looking at the various blendings of these. The odd results is this - one of the systems is statistically far and away the best, and so it tends to swamp the portfolio construction process. Measured by annualized equivalent of weekly Sharpe Ratio, it produces the extraordinary number of +17. So far it is yet to have a losing week, yet returns an unleveraged average of +1.2% per week. Quite extraordinary!
Yet the system has faced a wide variety of market conditions - days when the market hardly moves at all, to days when it has a 600 point up and down range. So the result does not come from the unique trading conditions of the last four months. If the system could produce merely one-third of this result going forward it would be an incredible result.
Most importantly, tweaking the systems parameters, either the time period sampled, or the actual parameters used in the various calculations, makes very little difference to the result, which is excellent news.
So what I now have to think about is whether to accept this result at face value, in which case this system should be significantly overweight in my portfolio, or wait for yet more statistical data.
And so to the odd result that has been thown out. Basically I have been looking at the issue of portfolio construction for the last few weeks i.e. what precise combination of systems to use and in what weightings. So I am producing detailed results for each system on its own and then looking at the various blendings of these. The odd results is this - one of the systems is statistically far and away the best, and so it tends to swamp the portfolio construction process. Measured by annualized equivalent of weekly Sharpe Ratio, it produces the extraordinary number of +17. So far it is yet to have a losing week, yet returns an unleveraged average of +1.2% per week. Quite extraordinary!
Yet the system has faced a wide variety of market conditions - days when the market hardly moves at all, to days when it has a 600 point up and down range. So the result does not come from the unique trading conditions of the last four months. If the system could produce merely one-third of this result going forward it would be an incredible result.
Most importantly, tweaking the systems parameters, either the time period sampled, or the actual parameters used in the various calculations, makes very little difference to the result, which is excellent news.
So what I now have to think about is whether to accept this result at face value, in which case this system should be significantly overweight in my portfolio, or wait for yet more statistical data.
Sunday, 27 June 2010
Collecting Emma's stuff from Cambridge for the last time
One of the great family rituals of the past few years ended today - the trip to and from Cambridge, either taking or bringing back. In the first year, Emma was in Angel Court, on the third floor but close to Great Gate for parking. Year Two she was in New Court, still high up, but also ok for parking. This last year she has been in Whewell Court, but only on the first floor. Overall, I prefer her to be lower down - but purely from a box-carrying perspective. All her rooms have been really good I think.
On some visits I have done around 40 trips up and down stairs carrying stuff - over 1000ft of vertical ascent. This last trip I have the luxury of a trolley but it still takes over an hour in the sweltering heat. It is also a tight squeeze to get everything in this last time.
Emma is then off for a long hair appointment before she and her friend Abby drive off to the evening's party. I spend a further 30 minutes in Cambridge before setting off. A brief look at the three courts in which Emma lived, a short walk down as far as Kings and round the market, and a brief look round Heffers. I wonder when we'll next visit Cambridge - I can't help thinking it will be some time away
My next such trip will be in October / November when Emma moves to London to start work - another major milestone.
On some visits I have done around 40 trips up and down stairs carrying stuff - over 1000ft of vertical ascent. This last trip I have the luxury of a trolley but it still takes over an hour in the sweltering heat. It is also a tight squeeze to get everything in this last time.
Emma is then off for a long hair appointment before she and her friend Abby drive off to the evening's party. I spend a further 30 minutes in Cambridge before setting off. A brief look at the three courts in which Emma lived, a short walk down as far as Kings and round the market, and a brief look round Heffers. I wonder when we'll next visit Cambridge - I can't help thinking it will be some time away
My next such trip will be in October / November when Emma moves to London to start work - another major milestone.
Friday, 25 June 2010
Emma's Graduation Ceremony
An early start for one of the highlight events of recent years - Emma's graduation ceremony to mark the end of her time as a student at Cambridge. Rather sensibly, Emma views this as the transition to the many exciting things that are to come. In contrast, Linda and I both think of it as a major transition with the three years at Cambridge being an incredible experience - perhaps this is due to our own, very-different, University experiences.
We arrive in time to see Emma briefly outside Great Gate on her way to joining her fellow graduates for the day's events. She has her ermine hood over her gown and looks rather dashing we feel (only later do we see that she has it on incorrectly at this time!)
Emma in the procession
We are on the balcony of Senate House looking down on the actual ceremony. Once or twice when I look over to Emma I catch her eye. She looks very happy. The ceremony itself is a curious affair starting with the holding of an official's finger while he makes a declaration in Latin that these students should be admitted, followed by kneeling in front of the college master - in Emma's case, Martin Rees, the famous astronomer - while he holds their hands in pray position and recites more Latin. Then a curtsy and off to get their degree certificates. This has a certain routineness as they work through the many student in an identical manner, but it is still a thrill when your old child is called.
My thoughts went back to when Emma was born and I set out in my diary a sort of mission statement for what I hoped to achieve as a parent. Among the points was to help Emma achieve a good education that would set her up for the things she wants to do going forward. So on that basis, today's ceremony ends that process for me.
Outside, Emma and I order a selection of photos of the event and there is much photo taking on the lawn of Senate House, then back to Trinity for a light dinner in Neville Court which is very nice. More photos, including some with her friends and a brief chat to Rupert Gatti, her supervisor. He notes how surprised he had been by Emma's performance in Years 2 and 3 given he weaker year 1 (when she tended to party harder than work)
We arrive in time to see Emma briefly outside Great Gate on her way to joining her fellow graduates for the day's events. She has her ermine hood over her gown and looks rather dashing we feel (only later do we see that she has it on incorrectly at this time!)
Emma at 9:00 with her hood on incorrectly
While we are waiting to be let into Senate House, we are lucky enough to catch Emma's procession along Trinity Street and into the Church opposite Senate House.
Emma in the processionWe are on the balcony of Senate House looking down on the actual ceremony. Once or twice when I look over to Emma I catch her eye. She looks very happy. The ceremony itself is a curious affair starting with the holding of an official's finger while he makes a declaration in Latin that these students should be admitted, followed by kneeling in front of the college master - in Emma's case, Martin Rees, the famous astronomer - while he holds their hands in pray position and recites more Latin. Then a curtsy and off to get their degree certificates. This has a certain routineness as they work through the many student in an identical manner, but it is still a thrill when your old child is called.
My thoughts went back to when Emma was born and I set out in my diary a sort of mission statement for what I hoped to achieve as a parent. Among the points was to help Emma achieve a good education that would set her up for the things she wants to do going forward. So on that basis, today's ceremony ends that process for me.
Outside, Emma and I order a selection of photos of the event and there is much photo taking on the lawn of Senate House, then back to Trinity for a light dinner in Neville Court which is very nice. More photos, including some with her friends and a brief chat to Rupert Gatti, her supervisor. He notes how surprised he had been by Emma's performance in Years 2 and 3 given he weaker year 1 (when she tended to party harder than work)
Emma with the proud parents
Emma spends the afternoon shopping with Linda and her parent while I do some packing and have a rest. Late afternoon there is a small wobble as the day's events seem to catch up with Emma a little. But we make it to the Hotel du Vin for a nice dinner to mark the event for the three of us. Emma has one more full day at Cambridge then is off to a friend's birthday party at the weekend and that will be that.
Like all parents, I feel the three years has just flown by.
Wednesday, 23 June 2010
Not a "good" trading day
After yesterday's "good" trading day - one where the trading systems were followed precisely and achieved exactly the result predicted - today was not a "good" day. It was a psychologically difficult day that eventually wore me down and led me to a couple of decisions later in the day that were not "good".
In both equities and crude oil, the early pattern for the day was one of a sequence of gentle whipsawing moves. It remains incredibly difficult to keep trading with the systems when they indicate a buy at a certain level, the market rises to exactly that level, the trade is executed, only for the market go immediately fall from exactly my buy price, dropping 50 or 60 points before the next sell signal is hit and the reverse happens with the market rising as soon as I am short! This happened several times in a row yesterday. In particular, there was a point where I had an open profit in crude of +65, the market fell causing be to exit and go short with just 5pts of profit left, whereupon the market rallied all the back and then beyond the previous high. So annoying, so unprofitable and so psychologically damaging.
My crude trading systems include one counter-trend trading system. Most of the time this acts mainly to take profits on trend-following positions and keep my next position lower than its theoretical maximum. It is extremely rare for all the systems to be the same way round, giving their maximum position. But after the sequence of losing trades that had occured more or less all through the day, all the systems moved to indicate shorts. In theory this should have given me my theoretical maximum position size but I bottled out, fearing I was going to get whipsawed again. Of course the market then fell all the way to the close and my maximum position size would have been perfect.
Moreover, by around 8:00pm, I had finally moved back towards break-even for the day and was beginning to fear that after the large fall, a late day rally would take me back well into loss. So I took a series of profits on the open trades. Sure enough, the markets continued down to the close and I lost a possible 30pts.
So a day that turned out flat should have been a decent enough profit of +65pts
What I don't fully understand yet is why I just can't accept the outcome of the systems. I have no evidence that my intra-day changes add to profitability - quite the reverse in fact. Why not just take the system's result and leave it at that, not bothering with any tweaks I feel might improve matters? This is my recurrent goal at the moment - to trade exactly as the systems say all the way to the close. And to do that every day
In both equities and crude oil, the early pattern for the day was one of a sequence of gentle whipsawing moves. It remains incredibly difficult to keep trading with the systems when they indicate a buy at a certain level, the market rises to exactly that level, the trade is executed, only for the market go immediately fall from exactly my buy price, dropping 50 or 60 points before the next sell signal is hit and the reverse happens with the market rising as soon as I am short! This happened several times in a row yesterday. In particular, there was a point where I had an open profit in crude of +65, the market fell causing be to exit and go short with just 5pts of profit left, whereupon the market rallied all the back and then beyond the previous high. So annoying, so unprofitable and so psychologically damaging.
My crude trading systems include one counter-trend trading system. Most of the time this acts mainly to take profits on trend-following positions and keep my next position lower than its theoretical maximum. It is extremely rare for all the systems to be the same way round, giving their maximum position. But after the sequence of losing trades that had occured more or less all through the day, all the systems moved to indicate shorts. In theory this should have given me my theoretical maximum position size but I bottled out, fearing I was going to get whipsawed again. Of course the market then fell all the way to the close and my maximum position size would have been perfect.
Moreover, by around 8:00pm, I had finally moved back towards break-even for the day and was beginning to fear that after the large fall, a late day rally would take me back well into loss. So I took a series of profits on the open trades. Sure enough, the markets continued down to the close and I lost a possible 30pts.
So a day that turned out flat should have been a decent enough profit of +65pts
What I don't fully understand yet is why I just can't accept the outcome of the systems. I have no evidence that my intra-day changes add to profitability - quite the reverse in fact. Why not just take the system's result and leave it at that, not bothering with any tweaks I feel might improve matters? This is my recurrent goal at the moment - to trade exactly as the systems say all the way to the close. And to do that every day
Tuesday, 22 June 2010
Emma's University results
Just before 10:00 this morning, a call comes from Emma to say that she has been emailed her overall result and, perhaps to her surprise, she has achieved a First. Last year she also got a First but felt she was very marginal - she was at the 24% point and the top 26% got Firsts - so she didn't go into this year's exams feeling that a First was exactly on the cards. Then one of her papers went very poorly she thought, followed by one that went very well. Her others were average she thought. Her dissertation was very good though. Overall she thought she was a high 2-1 overall, but you never know.
So far she only knows the overall result - not her individual scores which she will get from her tutor in the next day or so. She seemed rather overwhelmed by it when I spoke to her. Her friends had planned a picnic and some punting, but Emma is thinking about having a quiet day and maybe going for a run followed by watching the budget on t.v.
So armed with her First in Economics from Trinity, Cambridge, Emma is about to set off into the wild world. I feel we have done all we can now to set her up, now it is more in her court.
Once again, an event like this causes me to think about my Dad, who died nearly four years ago now. This time four years ago, Emma was on a trip to the USA and would come back convinced that she no longer wanted to study there. Dad was too ill by this stage to really have much to say about this, but I remember talking to him about it. It remains the saddest thing in my life that Dad didn't live to see Emma succeed in getting into Cambridge or to alive to see her current triumph. On Thursday we attend the graduation ceremony. Dad would have loved to have gone to an event like this and would have been so proud. It breaks my heart that he isn't here to share this moment.
So far she only knows the overall result - not her individual scores which she will get from her tutor in the next day or so. She seemed rather overwhelmed by it when I spoke to her. Her friends had planned a picnic and some punting, but Emma is thinking about having a quiet day and maybe going for a run followed by watching the budget on t.v.
So armed with her First in Economics from Trinity, Cambridge, Emma is about to set off into the wild world. I feel we have done all we can now to set her up, now it is more in her court.
Once again, an event like this causes me to think about my Dad, who died nearly four years ago now. This time four years ago, Emma was on a trip to the USA and would come back convinced that she no longer wanted to study there. Dad was too ill by this stage to really have much to say about this, but I remember talking to him about it. It remains the saddest thing in my life that Dad didn't live to see Emma succeed in getting into Cambridge or to alive to see her current triumph. On Thursday we attend the graduation ceremony. Dad would have loved to have gone to an event like this and would have been so proud. It breaks my heart that he isn't here to share this moment.
A "good" trading day & one or two other points
One question that often used to arise when I worked for the Hedge fund was : what is a "good" trading day? The temptation was to say it was the days on which you made a lot of profit, but the answer is actually more subtle - a good day is one in which you do the trades your systems tell you to do, at the right time and at a price that is in line with the system's expectations. The more trading systems that you try to blend together, the harder it is to run the various "voting models" under which they trade and to ensure that the net position is correct at all times and that each trade is correctly processed.
At present I have 5 systems running simultaneously and the blending process is not easy, especially since one of the systems is "counter-trend" compared to the others and so can give buy signals as the others are selling, and vice versa. But today was a day when everything went fine and for possibly the first time in a few weeks, everything went through perfectly. So that is a good day's trading in my book. Profit was actually just average, but there was definitely a sense of satisfaction in everything going through properly - too many times recently there have been little problems. Perhaps this was due to it being a quiet day in the markets till late afternoon and evening when a decent downtrend developed in both US equities and crude oil. The only disappointment was the 50 pt rally in the US equities just before the close that knocked about one-third off the day's profits in the last 10 minutes.
In the long gaps between trades today, I sorted out some more arrangements for the Italian holiday. A small change of plan - we are now booked in for one night near Grenoble. This is going to make Sunday's drive that bit longer, but I hope we get there by mid-evening. The point of this is to visit Alpe d'Huez the next morning as we set off for Florence. I have also come across loads of reviews of the various hotels we are staying at. They all sound pretty good to me - or at least suitable for our purposes.
Today's reading - an article on Galileo and Bruno on the rhetorical features of their respective dialogue style (I intend to visit both Galileo's tomb in Santa Croce and the Bruno monument in Rome this summer), an article tracing the history of King Alfonso's alleged blasphemy about God and the Ptolemaic system, and a bit more of the Spinoza biography. A decent pile of article to read has also appeared on my desk for the next few days.
At present I have 5 systems running simultaneously and the blending process is not easy, especially since one of the systems is "counter-trend" compared to the others and so can give buy signals as the others are selling, and vice versa. But today was a day when everything went fine and for possibly the first time in a few weeks, everything went through perfectly. So that is a good day's trading in my book. Profit was actually just average, but there was definitely a sense of satisfaction in everything going through properly - too many times recently there have been little problems. Perhaps this was due to it being a quiet day in the markets till late afternoon and evening when a decent downtrend developed in both US equities and crude oil. The only disappointment was the 50 pt rally in the US equities just before the close that knocked about one-third off the day's profits in the last 10 minutes.
In the long gaps between trades today, I sorted out some more arrangements for the Italian holiday. A small change of plan - we are now booked in for one night near Grenoble. This is going to make Sunday's drive that bit longer, but I hope we get there by mid-evening. The point of this is to visit Alpe d'Huez the next morning as we set off for Florence. I have also come across loads of reviews of the various hotels we are staying at. They all sound pretty good to me - or at least suitable for our purposes.
Today's reading - an article on Galileo and Bruno on the rhetorical features of their respective dialogue style (I intend to visit both Galileo's tomb in Santa Croce and the Bruno monument in Rome this summer), an article tracing the history of King Alfonso's alleged blasphemy about God and the Ptolemaic system, and a bit more of the Spinoza biography. A decent pile of article to read has also appeared on my desk for the next few days.
Monday, 21 June 2010
Birthday Presents - only a few day's late
My birthday presents this year are just three - and were delayed till this weekend for work-related reasons.
From Linda I have received an upgrade to the Land Rover's music system - a new CD / Radio but with the important addition of a USB port for my ipod. For me this is a huge gain. It was fitted Saturday morning at the Halfords in Oxford and I am totally delighted with it. Now perhaps I will feel the incentive to edit my itunes. The road trip to Italy will be significantly enhanced by this addition.
For Emma I have received two books. Firstly, Ian Davidson's recent biography of Voltaire. This is to be the model for my own biography project that I'll be starting properly in September. Secondly, Adrian John's mammoth book on the the printing revolution. Both these are excellent books and I am very much looking forward to reading them both - perhaps in Italy?
Linda cooked her famous monkfish with parma ham meal on Saturday and also made three portions of her equally famous spaghetti bolognase on Sunday. What more could you want to celebrate your birthday?
From Linda I have received an upgrade to the Land Rover's music system - a new CD / Radio but with the important addition of a USB port for my ipod. For me this is a huge gain. It was fitted Saturday morning at the Halfords in Oxford and I am totally delighted with it. Now perhaps I will feel the incentive to edit my itunes. The road trip to Italy will be significantly enhanced by this addition.
For Emma I have received two books. Firstly, Ian Davidson's recent biography of Voltaire. This is to be the model for my own biography project that I'll be starting properly in September. Secondly, Adrian John's mammoth book on the the printing revolution. Both these are excellent books and I am very much looking forward to reading them both - perhaps in Italy?
Linda cooked her famous monkfish with parma ham meal on Saturday and also made three portions of her equally famous spaghetti bolognase on Sunday. What more could you want to celebrate your birthday?
Friday, 18 June 2010
Counter-trend trading - new system blind testing
For the past few months, one of the key areas of my trading research has been counter-trend systems. All my trading past, I have been a "trend-follower" and am very used to the sort of system output that you get from this - a win percentage of perhaps 40%, but with average wins far exceeding average losses. Counter-trend systems tend to have much higher win percentages but with the occasional large loss. Psychologically, this has seemsed harder to me.
But this seems to have changed somewhat as a result of the very in depth study of intra-day systems. Looking at various trend following systems has suggested that intra-day, these can have multiple whipsaws and so, using them as a counter-trend system could be profitable. The secret is risk control - ensuring that the occasional big loss is not so big that it more than wipes out the gains from non-trending markets.
It took about 6 weeks to develop a loose family of counter-trend systems, which have been left alone in a blind test for the last few weeks. Today was results day and I was much impressed. Good clean answers came to the questions asked. Blending with the existing systems gave both a boost to profits and a material increase in the Sharpe ratio.
Overall, a very pleasing research result. Another two or three weeks of "paper trading" so I get used to the way the system trades are generated and then go live. I am really quite excited about these add ons and can really see how short-term traders focus on this type of system. Again all this has followed from just one quote from Patterson's book The Quants, where Jim Simons, founder of the extraordinary Renaissance Technologies hedge fund, said that generally his fund buys things that have been weak but are starting to strengthen and vice versa - intra-day, that is counter-trend. From such a small quote, so much has followed!
But this seems to have changed somewhat as a result of the very in depth study of intra-day systems. Looking at various trend following systems has suggested that intra-day, these can have multiple whipsaws and so, using them as a counter-trend system could be profitable. The secret is risk control - ensuring that the occasional big loss is not so big that it more than wipes out the gains from non-trending markets.
It took about 6 weeks to develop a loose family of counter-trend systems, which have been left alone in a blind test for the last few weeks. Today was results day and I was much impressed. Good clean answers came to the questions asked. Blending with the existing systems gave both a boost to profits and a material increase in the Sharpe ratio.
Overall, a very pleasing research result. Another two or three weeks of "paper trading" so I get used to the way the system trades are generated and then go live. I am really quite excited about these add ons and can really see how short-term traders focus on this type of system. Again all this has followed from just one quote from Patterson's book The Quants, where Jim Simons, founder of the extraordinary Renaissance Technologies hedge fund, said that generally his fund buys things that have been weak but are starting to strengthen and vice versa - intra-day, that is counter-trend. From such a small quote, so much has followed!
Thursday, 17 June 2010
A disappointing trading week - so far
I had been rather looking forward to doing the trading full time this week. And as if the markets knew this, they have thrown me a really tough week for starters.
Monday was just hideous. A mistake in the morning drops me 60 points, then the late afternoon sees some wild back and forward moves in crude oil, guaranteed to confuse the trading systems. Around 5:45 there occurs a 140 pt fall in 30 mins followed immediately by 70 pt rally ion the next 15, then a 75 pt fall and a 11o pt rally, all in the space of two hours - nearly 400pts of bar-swing in 8 bars!. The swing trading system hated this, recording a near 200 pt loss for the day - its worst since records began. Moreover this was all so annoying as the swings were pretty much the exact size to catch the system - for the sake of one or two points, 65 points would be lost.
Tuesday was much better. One losing trade first thing, followed by a long and slow uptrend that lasted pretty much the whole of the trading day. 120 pts made back.
Wednesday was a small losing day, -40. But Thursday was another nasty, prompted mainly by the economic data at 1:30p.m. I enter this long US equities and long crude oil. A very brief upmove on the day then a fast sell off. Crude oil drops 50 points in the next few minutes taking out my stops and fliiping the systems to short. Worse is to follow. Crude then rallies 100 pts in the next 45 minutes taking out the short stops and leaving me flat. Had I done no trades from just before the data, I would have been up 40 pts by 14:15. Instead I am down 80. I hate "V" shaped moves.
So I am back showing a 120 pt loss for the week - I had forgotten how traumatising trading could be and suspect that in the run up to the exams I was somewhat distracted from this fact. But now it is there in all its glory. Might this be the first losing week since records began?
But things pick up again late on Thursday - I make another mistake in calculating a trade entry which costs 30 pts but then crude oil settles in a solid enough downtrend and most of the weeks loss has been made back by 18:00
No doubt this pattern of up- and down-fortune will become an everyday occurance going forward
Monday was just hideous. A mistake in the morning drops me 60 points, then the late afternoon sees some wild back and forward moves in crude oil, guaranteed to confuse the trading systems. Around 5:45 there occurs a 140 pt fall in 30 mins followed immediately by 70 pt rally ion the next 15, then a 75 pt fall and a 11o pt rally, all in the space of two hours - nearly 400pts of bar-swing in 8 bars!. The swing trading system hated this, recording a near 200 pt loss for the day - its worst since records began. Moreover this was all so annoying as the swings were pretty much the exact size to catch the system - for the sake of one or two points, 65 points would be lost.
Tuesday was much better. One losing trade first thing, followed by a long and slow uptrend that lasted pretty much the whole of the trading day. 120 pts made back.
Wednesday was a small losing day, -40. But Thursday was another nasty, prompted mainly by the economic data at 1:30p.m. I enter this long US equities and long crude oil. A very brief upmove on the day then a fast sell off. Crude oil drops 50 points in the next few minutes taking out my stops and fliiping the systems to short. Worse is to follow. Crude then rallies 100 pts in the next 45 minutes taking out the short stops and leaving me flat. Had I done no trades from just before the data, I would have been up 40 pts by 14:15. Instead I am down 80. I hate "V" shaped moves.
So I am back showing a 120 pt loss for the week - I had forgotten how traumatising trading could be and suspect that in the run up to the exams I was somewhat distracted from this fact. But now it is there in all its glory. Might this be the first losing week since records began?
But things pick up again late on Thursday - I make another mistake in calculating a trade entry which costs 30 pts but then crude oil settles in a solid enough downtrend and most of the weeks loss has been made back by 18:00
No doubt this pattern of up- and down-fortune will become an everyday occurance going forward
Tuesday, 15 June 2010
My birthday - what I did today, a snapshot!
4:30 - woke up to bird song and clear blue skies
5:00 - Updating trading schedules - working out possible opening trades
5:30 - Bath - current bath reading: Gretchen Rubin's The Happiness Project - not perhaps the most intellectually challenging work but, like many books of this type, with the occasional very thought-provoking insight. Chapter 2 was particularly interesting.
6:00 - Defining opening trades - various entry and exit levels, etc
6:30 - Opening trades placed. Reading an article by Nike Jardine that might have some relevance for my dissertation; "Uses and Abuses of Anachronism in the History of the Sciences", (2000), History of Science, Vol 38
7:00 - To newsagents & breakfast
7:30 - Reading the paper
8:00 - still reading the paper - printing out articles from yesterday's search through the online journal, Studies in History and Philosophy of Science. Listening to the first Bardo Pond cd, Bufo Alvarius, Amen. Their performance at "Noisenight" in Sydney recently has really impressed me
8:30 - opened my birthday cards, back reading Jardine, listening to the Bardo Pond cd a second time, a huge pile of articles has printed out - maybe 350 pages!
9:00 - Even more articles printing out
9:30 - More trades - first couple made small losses. Crude Oil keeps swinging back and forwards at exactly my stop points - very frustrating.
10:00 - Sorting out the 19 articles I've printed this morning. Planning next reading for dissertation work.
10:30 - Still reading Jardine - Bardo Pond's track "Tantric Porno" is playing
11:00 - Finished Jardine - not an easy article and unclear if of much use. Starting to work through the online version of the journal History of Science for the last time before my access expires later in the year. Need to make the best use of this access. Snack - peanuts and raisins.
11:30 - Still working through the online journal records - now back to 1995
12:00 - Sorting out my next reading pile - next up, Tosh on anachronism. A van parked outside - I thought it was bringing me presents. Sadly it drove off
12:30 - still working on journals
1:00 - just finished reviewing History of Science back to 1961 - listening to a World Cup football match (very poor)
1:30 - Lunch. Two raw carrots, sour cream and chive dip and a yoghurt - three more cards to open and a call from Emma to wish me happy birthday and tell me how the Trinity all-night ball went last night
2:00 - post-lunch lethagy. Reading Gleick's Chaos, my main nighttime read at the moment. No recent trades, small open profits on current trades prior to US opening in 30 mins
2:30 - The US markets equity markets open. Always a bit more volatile, the questions is always whether a freak spike move will trip any stops I have in place. Today the market rises soon after the open but fairly unconvincingly. No stops hit, no money being made either
3:00 - Quick trip to the post office
3:30 - The post-lunch lethagy is starting to lift. I am still reading Gleick - his account of the "discovery" of Feigenbaum's constant. About to start some "real work". Markets continue to drift up in my favour, but not at any great rate. But ok - better than the opposite
4:00 - Re-reading Nick Tosh's "Anachronism and retrospective explanation: in defence of a present-centred history of science", (2003), SHPS.
4:30 - Reading today's Times - an article for Father's Day on young women whose fathers have died. Oddly, every year, as Father's Day approaches, I always find myself missing my dad. Spoke to mum a little while ago - she doesn't seem very well, but nothing specific she wanted to talk about.
5:00 - Hunting for Bardo Pond rarities on the internet. Some items found!
5:30 - Updating trading systems - long uptrend in place since around 10:00am. But maybe about to end. All systems are showing alerts for sells.
6:00 - sells actioned, followed immediately by a small rally - this had better not develop into a big rally!
6:30 - listening to my third Bardo Pond cd of the day - 2003's On the Ellipse
7:00 - The rallying is continuing - much of today's (very small) profit is evaporating. I could really do with a nice 100 pt fall to end the day for both equities and crude. Just beginning to sort out my tea - with Linda out, I have decided to cook myself a nice birthday supper - steak and sauteed potatoes, with an onion, pepper and cream sauce. Then to watch Brazil in the World Cup.
7:30 - a delicious meal with some wine from Corbiere. Now ready for the Brazil match. Stopped out of all trading positions on the rally. Flat day overall.
8:00 - Brazil 0, North Korea 0
8:30 - Brazil 0, North Korea 0
9:00 - Brazil 2, North Korea 0
9:30 - Bored with football - missed the late goal by North Korea. Thinking about the roll out of the new stop loss strategy - a form of reversal stop close to entry points.
10:00 - Cooking Linda's tea - chicken and chorizo rice
10:30 - Watching "House" - season 6 episode 20 - not the greatest episode ever
11:00 - Bedtime for me - Linda stays up reading
Not perhaps the most thrilling birthday!
5:00 - Updating trading schedules - working out possible opening trades
5:30 - Bath - current bath reading: Gretchen Rubin's The Happiness Project - not perhaps the most intellectually challenging work but, like many books of this type, with the occasional very thought-provoking insight. Chapter 2 was particularly interesting.
6:00 - Defining opening trades - various entry and exit levels, etc
6:30 - Opening trades placed. Reading an article by Nike Jardine that might have some relevance for my dissertation; "Uses and Abuses of Anachronism in the History of the Sciences", (2000), History of Science, Vol 38
7:00 - To newsagents & breakfast
7:30 - Reading the paper
8:00 - still reading the paper - printing out articles from yesterday's search through the online journal, Studies in History and Philosophy of Science. Listening to the first Bardo Pond cd, Bufo Alvarius, Amen. Their performance at "Noisenight" in Sydney recently has really impressed me
8:30 - opened my birthday cards, back reading Jardine, listening to the Bardo Pond cd a second time, a huge pile of articles has printed out - maybe 350 pages!
9:00 - Even more articles printing out
9:30 - More trades - first couple made small losses. Crude Oil keeps swinging back and forwards at exactly my stop points - very frustrating.
10:00 - Sorting out the 19 articles I've printed this morning. Planning next reading for dissertation work.
10:30 - Still reading Jardine - Bardo Pond's track "Tantric Porno" is playing
11:00 - Finished Jardine - not an easy article and unclear if of much use. Starting to work through the online version of the journal History of Science for the last time before my access expires later in the year. Need to make the best use of this access. Snack - peanuts and raisins.
11:30 - Still working through the online journal records - now back to 1995
12:00 - Sorting out my next reading pile - next up, Tosh on anachronism. A van parked outside - I thought it was bringing me presents. Sadly it drove off
12:30 - still working on journals
1:00 - just finished reviewing History of Science back to 1961 - listening to a World Cup football match (very poor)
1:30 - Lunch. Two raw carrots, sour cream and chive dip and a yoghurt - three more cards to open and a call from Emma to wish me happy birthday and tell me how the Trinity all-night ball went last night
2:00 - post-lunch lethagy. Reading Gleick's Chaos, my main nighttime read at the moment. No recent trades, small open profits on current trades prior to US opening in 30 mins
2:30 - The US markets equity markets open. Always a bit more volatile, the questions is always whether a freak spike move will trip any stops I have in place. Today the market rises soon after the open but fairly unconvincingly. No stops hit, no money being made either
3:00 - Quick trip to the post office
3:30 - The post-lunch lethagy is starting to lift. I am still reading Gleick - his account of the "discovery" of Feigenbaum's constant. About to start some "real work". Markets continue to drift up in my favour, but not at any great rate. But ok - better than the opposite
4:00 - Re-reading Nick Tosh's "Anachronism and retrospective explanation: in defence of a present-centred history of science", (2003), SHPS.
4:30 - Reading today's Times - an article for Father's Day on young women whose fathers have died. Oddly, every year, as Father's Day approaches, I always find myself missing my dad. Spoke to mum a little while ago - she doesn't seem very well, but nothing specific she wanted to talk about.
5:00 - Hunting for Bardo Pond rarities on the internet. Some items found!
5:30 - Updating trading systems - long uptrend in place since around 10:00am. But maybe about to end. All systems are showing alerts for sells.
6:00 - sells actioned, followed immediately by a small rally - this had better not develop into a big rally!
6:30 - listening to my third Bardo Pond cd of the day - 2003's On the Ellipse
7:00 - The rallying is continuing - much of today's (very small) profit is evaporating. I could really do with a nice 100 pt fall to end the day for both equities and crude. Just beginning to sort out my tea - with Linda out, I have decided to cook myself a nice birthday supper - steak and sauteed potatoes, with an onion, pepper and cream sauce. Then to watch Brazil in the World Cup.
7:30 - a delicious meal with some wine from Corbiere. Now ready for the Brazil match. Stopped out of all trading positions on the rally. Flat day overall.
8:00 - Brazil 0, North Korea 0
8:30 - Brazil 0, North Korea 0
9:00 - Brazil 2, North Korea 0
9:30 - Bored with football - missed the late goal by North Korea. Thinking about the roll out of the new stop loss strategy - a form of reversal stop close to entry points.
10:00 - Cooking Linda's tea - chicken and chorizo rice
10:30 - Watching "House" - season 6 episode 20 - not the greatest episode ever
11:00 - Bedtime for me - Linda stays up reading
Not perhaps the most thrilling birthday!
Monday, 14 June 2010
Full time trading
So now my exams are out of the way, it is time to focus on trading pretty much full time. I have rather neglected this over the past few weeks and have spent the last day or so looking at how the systems have performed in my absence - not bad at all, though there was a sequence recently when the systems lost 3 days out of 4, which is quite unusual.
Mainly I have to devise a research programme for the gaps that I feel are still left in my trading approach. In particular, I need to come up with some sort of stop loss / reversal stop methodology. This has been in the back of my mind for the last few weeks. Under some scenarios, the systems sort of get trapped and can't make the best decision. For instance, suppose a market rises lots, consolidates and then drops a little. This could easily generate a sell signal. But suppose the market is actually going to rally another 100 points. Once the sell signal is actioned, it can take the systems many bars to realise that the market is rising again.
So ideally I would like to develop some sort of stop reversal, so that I am dropped back onto a recurring trend. Such a model should also work well when the market is stuck in a wide range, say 85 points up and down. The buys at the highs are quickly reversed, the sells at the lows likewise. Indeed, at such times, it is almost a counter-trend system.
The cost are those cases when the market moves up and down in a range that is just a little wider than the stop point. Then the systems will keep reversing back and forwards, zagging when the market is zigging and vice versa. So how expensive is this, and how much does it cost in total compared to the gains associated with stepping back into a trend? That is the question
I have a very rough idea what will be involved but the constant reversing stops can be confusing and I need to get clear that every scenario is covered off. So that will be this weeks research project while I trade and do some reading for my dissertation.
Mainly I have to devise a research programme for the gaps that I feel are still left in my trading approach. In particular, I need to come up with some sort of stop loss / reversal stop methodology. This has been in the back of my mind for the last few weeks. Under some scenarios, the systems sort of get trapped and can't make the best decision. For instance, suppose a market rises lots, consolidates and then drops a little. This could easily generate a sell signal. But suppose the market is actually going to rally another 100 points. Once the sell signal is actioned, it can take the systems many bars to realise that the market is rising again.
So ideally I would like to develop some sort of stop reversal, so that I am dropped back onto a recurring trend. Such a model should also work well when the market is stuck in a wide range, say 85 points up and down. The buys at the highs are quickly reversed, the sells at the lows likewise. Indeed, at such times, it is almost a counter-trend system.
The cost are those cases when the market moves up and down in a range that is just a little wider than the stop point. Then the systems will keep reversing back and forwards, zagging when the market is zigging and vice versa. So how expensive is this, and how much does it cost in total compared to the gains associated with stepping back into a trend? That is the question
I have a very rough idea what will be involved but the constant reversing stops can be confusing and I need to get clear that every scenario is covered off. So that will be this weeks research project while I trade and do some reading for my dissertation.
Friday, 11 June 2010
Old letters from Sally Barrass (and others)
Post exams, I have been tidying up the study and working slowly through the various cupboards and filing cabinets. In one I have discovered a box file full of various papers, including most of the letters I received in the period 1980 to 1983. About 15 of them are from Sally Barrass - she is my principal correspondee in the period by some way.
I met Sally at an Economics week I was sent on by my school. This was held at a conference centre just outside Bicester which about 15 students from around the country attended. Sally was from York and we met on the train going to Bicester. Over the course of the week we got on really well, but I was so terrible around girls at that age (17)! I remember that we all went to the pub on the last night and Sally and I were sitting together for the evening. When I went to the loo I found her waiting for me outside and we spent a little bit of time together just the two of us in a different section of the pub - causing much teasing from the others when we finally re-appeared. But "nothing happened" - I was far too shy to "make a move" though I realised she was quite keen that I should
After the week together, we started to write to each other about once a month it seems. Re-reading them now, it is clear that Sally is flirting with me alot of the time. But I was really hopeless about this sort of thing. We corresponded all through the summer of 1981 and finally arranged to meet up at Christmas in Birmingham to see a Genesis concert at the NEC. This was our only "date" and was an unmitigated disaster! It had snowed all day and we nearly didn't manage to meet as planned and I remember I was really stressed by whether she'd make it or not. Then one of my Kenilworth friends who we met at the concert spent much of the show hitting on her. Sally stayed the night in Kenilworth with me and back home things also didn't go well. It was like we had got to know each other through all our letters but in person, we just didn't seem to hit it off - it was so much easier when we just wrote. I expect I came across as a complete twat!
So when I wrote to her after that Christmas, she didn't write back and that was that. I have rather enjoyed re-reading her letters. We were only 17 or 18 then - which seems, on the one hand, so long ago, but on the other hand, my memories are so clear of that period. In some of our letters we are playing Scrabble by post, both of us cheating to produce words with huge scores! It all seems so much fun and, in its way, so innocent!
So I wonder what happened to Sally and find myself hoping she has had a happy life! I thought she was lovely, but was never able to do anything about it. What an idiot!
She was so cute! The morning after the Genesis concert, December 1981
One of the several pictures Sally sent me - this one is titled "This is a picture of me tackling a sundae fraise"
Other letters in the box include some from Joanne Styring who was the second girl I ever kissed and who, I believe, died aged about 22 of a brain hemorrhage, which is rather sad. Also a couple of letters from Alison Griffiths (who I fancied more than any other girl I was at school with) talking about a particularly odd party she came to at my house where we drank loads of wine and listened to Fripp and Eno's "An Index of Metals" over and over. A couple from Val Taylor - another girl who, in retrospect, fancied me and who I was too shy to do anything about. And a really nice letter from Judith Willets, who I also remember rather fondly - one of the only girls I have known who was really interested in art, film and music.
Other than Joanne, I don't know what happened to any of these people. So a rather wistful morning thinking about that time. I have also found some of my old diaries from that period - what horrors do they contain I wonder?
Next day addendum
It was actually quite a shock to find all these letters yesterday and to re-read them after nearly 30 years. I wonder if anyone looks back on their teenage years as a time of effortless grace and style. I tend to look back with horror. There were some boys who did seem to cope effortlessly with the various trials and tribulations of girls and always seemed to have a girlfriend, but sadly I wasn't one of them. I remember the period as being one of virtually continual bewilderment and a fairly constant inability to pick up on the complex nuances of flirting and dating and so on. Despite my best intentions, I just came across as odd
I look back rather fondly on my correspondence with Sally. I fancied her from the moment I first saw her and really enjoyed the week in Bicester in her company. That I singularly failed to act on her encouraging signals was always a source of much dismay to me afterwards. But I was also really pleased that we stayed in touch, at least for the next year. I obviously found it much easier to communicate via letters. I shudder to think what I wrote to her, but her letters to me were always really nice and I always enjoyed receiving them. Reading them now after 30 years, the gentle flirting from 250 miles from her seems especially nice. Her letters never mentioned boyfriends and I often used to wonder. She was so cute, I was always sure she would have been going out with someone. But she hardly ever used to talk about anyone else other than her best friend Jen (who she memorably went camping with in France for 3 weeks where the photo above was taken I assume)
I don't think I ever really ceased to be an "odd" person. The was true at University and through pretty much my entire life afterwards - only in my late twenties would I start to gain some insight into why I am the way I am. At times I rather regret that this is the case - it would have been nice to have fitted in better. Still I have been very lucky with how things have turned out. But I wish I had been better at flirting as a teenager and brave enough to take a chance rather than not. I suspect that many people think something like that when they look back on such times!
I met Sally at an Economics week I was sent on by my school. This was held at a conference centre just outside Bicester which about 15 students from around the country attended. Sally was from York and we met on the train going to Bicester. Over the course of the week we got on really well, but I was so terrible around girls at that age (17)! I remember that we all went to the pub on the last night and Sally and I were sitting together for the evening. When I went to the loo I found her waiting for me outside and we spent a little bit of time together just the two of us in a different section of the pub - causing much teasing from the others when we finally re-appeared. But "nothing happened" - I was far too shy to "make a move" though I realised she was quite keen that I should
After the week together, we started to write to each other about once a month it seems. Re-reading them now, it is clear that Sally is flirting with me alot of the time. But I was really hopeless about this sort of thing. We corresponded all through the summer of 1981 and finally arranged to meet up at Christmas in Birmingham to see a Genesis concert at the NEC. This was our only "date" and was an unmitigated disaster! It had snowed all day and we nearly didn't manage to meet as planned and I remember I was really stressed by whether she'd make it or not. Then one of my Kenilworth friends who we met at the concert spent much of the show hitting on her. Sally stayed the night in Kenilworth with me and back home things also didn't go well. It was like we had got to know each other through all our letters but in person, we just didn't seem to hit it off - it was so much easier when we just wrote. I expect I came across as a complete twat!
So when I wrote to her after that Christmas, she didn't write back and that was that. I have rather enjoyed re-reading her letters. We were only 17 or 18 then - which seems, on the one hand, so long ago, but on the other hand, my memories are so clear of that period. In some of our letters we are playing Scrabble by post, both of us cheating to produce words with huge scores! It all seems so much fun and, in its way, so innocent!
So I wonder what happened to Sally and find myself hoping she has had a happy life! I thought she was lovely, but was never able to do anything about it. What an idiot!
She was so cute! The morning after the Genesis concert, December 1981One of the several pictures Sally sent me - this one is titled "This is a picture of me tackling a sundae fraise"
Other letters in the box include some from Joanne Styring who was the second girl I ever kissed and who, I believe, died aged about 22 of a brain hemorrhage, which is rather sad. Also a couple of letters from Alison Griffiths (who I fancied more than any other girl I was at school with) talking about a particularly odd party she came to at my house where we drank loads of wine and listened to Fripp and Eno's "An Index of Metals" over and over. A couple from Val Taylor - another girl who, in retrospect, fancied me and who I was too shy to do anything about. And a really nice letter from Judith Willets, who I also remember rather fondly - one of the only girls I have known who was really interested in art, film and music.
Other than Joanne, I don't know what happened to any of these people. So a rather wistful morning thinking about that time. I have also found some of my old diaries from that period - what horrors do they contain I wonder?
Next day addendum
It was actually quite a shock to find all these letters yesterday and to re-read them after nearly 30 years. I wonder if anyone looks back on their teenage years as a time of effortless grace and style. I tend to look back with horror. There were some boys who did seem to cope effortlessly with the various trials and tribulations of girls and always seemed to have a girlfriend, but sadly I wasn't one of them. I remember the period as being one of virtually continual bewilderment and a fairly constant inability to pick up on the complex nuances of flirting and dating and so on. Despite my best intentions, I just came across as odd
I look back rather fondly on my correspondence with Sally. I fancied her from the moment I first saw her and really enjoyed the week in Bicester in her company. That I singularly failed to act on her encouraging signals was always a source of much dismay to me afterwards. But I was also really pleased that we stayed in touch, at least for the next year. I obviously found it much easier to communicate via letters. I shudder to think what I wrote to her, but her letters to me were always really nice and I always enjoyed receiving them. Reading them now after 30 years, the gentle flirting from 250 miles from her seems especially nice. Her letters never mentioned boyfriends and I often used to wonder. She was so cute, I was always sure she would have been going out with someone. But she hardly ever used to talk about anyone else other than her best friend Jen (who she memorably went camping with in France for 3 weeks where the photo above was taken I assume)
I don't think I ever really ceased to be an "odd" person. The was true at University and through pretty much my entire life afterwards - only in my late twenties would I start to gain some insight into why I am the way I am. At times I rather regret that this is the case - it would have been nice to have fitted in better. Still I have been very lucky with how things have turned out. But I wish I had been better at flirting as a teenager and brave enough to take a chance rather than not. I suspect that many people think something like that when they look back on such times!
Thursday, 10 June 2010
Finally, news from Oxford . . . .
Finally a letter has come from the History Department at Oxford University about my PhD application. As suspected, the answer is No. I had expected to be quite disappointed but actually I feel quite ok about it. I have my Biography project to work on after the MSc dissertation is done, and I am also quite excited about doing trading again.
So my PhD application file is now closed. Will I re-apply for October 2011? Not sure yet. But I do think that if I can't do the PhD at Oxford, I don't want to do it anywhere else. My days of being a long-distance commuting student have passed with the MSc.
In the meantime, all my notes have been sorted out. Five boxes of stuff have gone out into the garage. I have still got quite a few piles of stuff, but the room does feel more ordered. Post exams, I am feeling quite good about things
So my PhD application file is now closed. Will I re-apply for October 2011? Not sure yet. But I do think that if I can't do the PhD at Oxford, I don't want to do it anywhere else. My days of being a long-distance commuting student have passed with the MSc.
In the meantime, all my notes have been sorted out. Five boxes of stuff have gone out into the garage. I have still got quite a few piles of stuff, but the room does feel more ordered. Post exams, I am feeling quite good about things
Wednesday, 9 June 2010
Two days of exams at LSE
Monday - History of Science
With Emma having gone back to Cambridge yesterday afternoon, this morning's trip to London is more relaxing than it might otherwise have been. A few mixed motives though. I have to make sure I am down in plenty of time, yet I don't want to wander around outside if I am early as my hayfever is pretty bad at the moment. But also I don't want to be in the LSE library, which would be filled with stressed students.
So I have a cooked breakfast at an Italian cafe at Holborn around 10:30, then have a look in the LSE bookshop picking up one or two remaindered books and having a good look through the financial market books (Patterson's The Quants is out in paperback I note). Then to the Philosophy Dept MSc students room where I can stretch out across several chairs and doze. Others have had the same idea and a couple of the other H of S students are already there. We discuss which questions we are best prepared for and one or two technical questions are passed around (mainly from the Italian girl on the course). Time passes and eventually we wonder round to the NAB together.
In the end, this exam is as easy as I had expected. Most of the questions are from past exam papers and were ones that I had well-defined views on. The role of physics in Kepler's thought, Galileo's telescope observations and the relation between Kepler, Galileo and Newton. If these three questions hadn't been available, I could have done just as well with three of the others I reckon. So pretty good for me.
We have a quick drink in The George afterwards. Others had found the paper more mixed. The guy who wanted a really good Bacon question got a moderate one. The Italian girl who wanted something on the Middle Ages didn't get this at all.
My hotel was in Bedford Place near Russell Square; one of the Lastminute.com "Secret" hotels. Turned out it was the Beauchamp, one of the many converted Bloomsbury town houses. Not at all bad for £100 (versus its regular price of over £200). Raining quite hard this evening and I only go out briefly for some fresh air and a walk. Then back for a long bath and some room-service dining.
Probably asleep by 9:30
Tuesday - Philosophy of Economics
Awake at 4:30 as usual with the plan of spending the morning at the hotel doing some final revision. Usually I think this is a bad idea but I know so little P of E that I felt I had to try and get at least one more topic from Part B in my mind better. A brief break for a walk down past the British Museum for breakfast. I stayed at the hotel till asked to leave around 12:00.
Lots of P of E students in the Dept room when I got there - who even remembered me from the two classes I attended last year. The exuberant Chinese girl is fretting about this exam, while the cool Dutch guy seems very relaxed. We talk a bit but most people are really keeping their final thoughts to themselves.
So did my strategy work? Did spending just two weeks on the course work result in an exam disaster? Remarkably, the answer is no! Indeed my plan of focusing on some models from financial economics that I knew really well paid dividends as I was able to use each in the Part A questions that I did. But what of the dreaded Part B, where I knew virtually nothing (especially in regards to the technical game theory stuff)? Well I got lucky again, with a question on the "Folk Theorem" about which I had around two-thirds of a good answer.
Combined with a strong Part A, I actually think I did quite well - much to my surprise
I had wondered what I might want to do when the exams were over. In the end, I had a brief walk back through LSE (which I might not see again for a good while) and then took the tube to Marble Arch and went straight home. The only mark of my exams finishing was the purchase of a Chicken Tikka Masala meal from the M&S petrol station on the way home.
Tomorrow I start on the big clean up of the study and then think about starting trading again from next week.
With Emma having gone back to Cambridge yesterday afternoon, this morning's trip to London is more relaxing than it might otherwise have been. A few mixed motives though. I have to make sure I am down in plenty of time, yet I don't want to wander around outside if I am early as my hayfever is pretty bad at the moment. But also I don't want to be in the LSE library, which would be filled with stressed students.
So I have a cooked breakfast at an Italian cafe at Holborn around 10:30, then have a look in the LSE bookshop picking up one or two remaindered books and having a good look through the financial market books (Patterson's The Quants is out in paperback I note). Then to the Philosophy Dept MSc students room where I can stretch out across several chairs and doze. Others have had the same idea and a couple of the other H of S students are already there. We discuss which questions we are best prepared for and one or two technical questions are passed around (mainly from the Italian girl on the course). Time passes and eventually we wonder round to the NAB together.
In the end, this exam is as easy as I had expected. Most of the questions are from past exam papers and were ones that I had well-defined views on. The role of physics in Kepler's thought, Galileo's telescope observations and the relation between Kepler, Galileo and Newton. If these three questions hadn't been available, I could have done just as well with three of the others I reckon. So pretty good for me.
We have a quick drink in The George afterwards. Others had found the paper more mixed. The guy who wanted a really good Bacon question got a moderate one. The Italian girl who wanted something on the Middle Ages didn't get this at all.
My hotel was in Bedford Place near Russell Square; one of the Lastminute.com "Secret" hotels. Turned out it was the Beauchamp, one of the many converted Bloomsbury town houses. Not at all bad for £100 (versus its regular price of over £200). Raining quite hard this evening and I only go out briefly for some fresh air and a walk. Then back for a long bath and some room-service dining.
Probably asleep by 9:30
Tuesday - Philosophy of Economics
Awake at 4:30 as usual with the plan of spending the morning at the hotel doing some final revision. Usually I think this is a bad idea but I know so little P of E that I felt I had to try and get at least one more topic from Part B in my mind better. A brief break for a walk down past the British Museum for breakfast. I stayed at the hotel till asked to leave around 12:00.
Lots of P of E students in the Dept room when I got there - who even remembered me from the two classes I attended last year. The exuberant Chinese girl is fretting about this exam, while the cool Dutch guy seems very relaxed. We talk a bit but most people are really keeping their final thoughts to themselves.
So did my strategy work? Did spending just two weeks on the course work result in an exam disaster? Remarkably, the answer is no! Indeed my plan of focusing on some models from financial economics that I knew really well paid dividends as I was able to use each in the Part A questions that I did. But what of the dreaded Part B, where I knew virtually nothing (especially in regards to the technical game theory stuff)? Well I got lucky again, with a question on the "Folk Theorem" about which I had around two-thirds of a good answer.
Combined with a strong Part A, I actually think I did quite well - much to my surprise
I had wondered what I might want to do when the exams were over. In the end, I had a brief walk back through LSE (which I might not see again for a good while) and then took the tube to Marble Arch and went straight home. The only mark of my exams finishing was the purchase of a Chicken Tikka Masala meal from the M&S petrol station on the way home.
Tomorrow I start on the big clean up of the study and then think about starting trading again from next week.
Sunday, 6 June 2010
Last day of exam prep & other things
The last day before my exams. There is not really much that can sensibly be done at this late stage of course. I am endeavouring to relax as much as possible and do some final reading - just to make sure that I have certain frameworks set in my mind for Philosophy of Economics. My strategy, such as it is, is to make sure I have some good ideas about some of the models that I used in my work career and then hope that I can blend them into answers to exam questions. So I am in pretty good shape on the Black-Scholes option pricing model and one of the "econophysics" models of stock market crashes. I also have a good number of points in respect of predictions from econometric models. Hopefully I will be able to use these in Part A of the exam. But Part B is likely to be the main problem, full of technical game theory stuff that I just don't know. I have studied two tiny topics and just have to hope that one comes up (or at least for half a question)
In my spare time, I have largely arranged our planned Italian holiday for the summer using expedia as I did last year for the French trip. We start with 3 nights at a villa on the south side of Florence, about 1km from the centre, hopefully enabling the perfect combination of walking in the city and lazing in a villa. Then on to to 3 nights at the Hotel Lido on the shores of Lake Trasimeno, (where we stayed a night in 2008 on our way to Perugia) enabling visits to Cortona and Sienna, plus lost of nice meals out at the local restaurants. From there we head further south to Naples for 4 nights at a hotel to the west of the city on the edge of a volcanic national park. Finally 3 nights in Rome at a well-reviewed hotel in the east of the city, maybe 3 or 4 km from the centre. I have also booked a ferry back from Cherbourg for four days after we finish in Rome giving me plenty of time to travel back stocking up with even more wine, olive oil, and other goodies. All that remains is to find someway to get Linda back from Italy on the Sunday
This weekend's Times has an article on how this is fast becoming a golden age for science writing. Something like this remains my current plan after the MSc - something I figure I can do while I trade. I still have my dissertation to write but once that is done, I will be full-time on my biography project. I am actually really looking forward to getting stuck into this.
Emma did her 5k race today with her friend Charlie. They apparently set rather a fast time and finished in the top fifty or so. Charlie might be moving to the next village to us and so Emma would have a close friend less than a mile away. On her number, she had to write why she was running and had put "For my Grandad". I was very moved by that.
Just under the roof by the study window, two coal tits have nested and have a small brood very close to fledging. They seem unbothered by the loud music that I typically play - perhaps they really enjoy it. The parents appear every couple of minutes and I become rather keen on watching them - a suitable distraction from study anyway
Current listening is based largely around a recording of an event called "Noisenight" held a week or so ago at the Sydney Opera House. This featured Lou Reed, Laurie Anderson, Boris and Bardo Pond among others. A truly excellent event and a great recording. Boris played just one track, "Untitled" from the last CD and it was a quite spectacular version
Finally, this week's Doctor Who features a story about Vincent Van Gogh. Emma didn't approve, while both Linda and myself found it quite moving - especially when they took him to see the museum in Paris with a selection of his paintings. But then again, it is unlikely that Emma knows much about Van Gogh. I am inspired to watch one of the movies we have about him - maybe the recent "Vincent and Theo" rather than the classic "Lust for Life" with Kirk Douglas as the man himself - a truly extraordinary portrayal if memory serves me well.
In my spare time, I have largely arranged our planned Italian holiday for the summer using expedia as I did last year for the French trip. We start with 3 nights at a villa on the south side of Florence, about 1km from the centre, hopefully enabling the perfect combination of walking in the city and lazing in a villa. Then on to to 3 nights at the Hotel Lido on the shores of Lake Trasimeno, (where we stayed a night in 2008 on our way to Perugia) enabling visits to Cortona and Sienna, plus lost of nice meals out at the local restaurants. From there we head further south to Naples for 4 nights at a hotel to the west of the city on the edge of a volcanic national park. Finally 3 nights in Rome at a well-reviewed hotel in the east of the city, maybe 3 or 4 km from the centre. I have also booked a ferry back from Cherbourg for four days after we finish in Rome giving me plenty of time to travel back stocking up with even more wine, olive oil, and other goodies. All that remains is to find someway to get Linda back from Italy on the Sunday
This weekend's Times has an article on how this is fast becoming a golden age for science writing. Something like this remains my current plan after the MSc - something I figure I can do while I trade. I still have my dissertation to write but once that is done, I will be full-time on my biography project. I am actually really looking forward to getting stuck into this.
Emma did her 5k race today with her friend Charlie. They apparently set rather a fast time and finished in the top fifty or so. Charlie might be moving to the next village to us and so Emma would have a close friend less than a mile away. On her number, she had to write why she was running and had put "For my Grandad". I was very moved by that.
Just under the roof by the study window, two coal tits have nested and have a small brood very close to fledging. They seem unbothered by the loud music that I typically play - perhaps they really enjoy it. The parents appear every couple of minutes and I become rather keen on watching them - a suitable distraction from study anyway
Current listening is based largely around a recording of an event called "Noisenight" held a week or so ago at the Sydney Opera House. This featured Lou Reed, Laurie Anderson, Boris and Bardo Pond among others. A truly excellent event and a great recording. Boris played just one track, "Untitled" from the last CD and it was a quite spectacular version
Finally, this week's Doctor Who features a story about Vincent Van Gogh. Emma didn't approve, while both Linda and myself found it quite moving - especially when they took him to see the museum in Paris with a selection of his paintings. But then again, it is unlikely that Emma knows much about Van Gogh. I am inspired to watch one of the movies we have about him - maybe the recent "Vincent and Theo" rather than the classic "Lust for Life" with Kirk Douglas as the man himself - a truly extraordinary portrayal if memory serves me well.
Saturday, 5 June 2010
Emma at home for a few days
Emma has finished her "finals" and, much to our surprise, has decided on a few days at home. True, she did have a charity 5k run on Sunday in Oxford, but she needn't have come back several days earlier, though it turns out that many of her friends are still doing exams and maybe that is a good reason to have a few days away from Cambridge.
She is in luck - for the first time in a good while, we have several days of sun and she is able to do some sunbathing in the morning followed by some exercise. Then perhaps a couple of hours playing the new Sims game on her new laptop that I bought her as a graduation present and maybe a couple of hours napping. Perhaps not such a bad way to spend a few days.
And Linda has a few days off from work and is able to go to Oxford for an afternoon with Emma. We also have a meal out at the village pub which is always pretty good.
I, meanwhile, am doing my final work for my two exams next week. Badly hit by hayfever these last few days, I am re-reading the rather scanty revision notes that I prepared over the last few weeks. History of Science is fine of course. Philosophy of Economics most definitely isn't.
She is in luck - for the first time in a good while, we have several days of sun and she is able to do some sunbathing in the morning followed by some exercise. Then perhaps a couple of hours playing the new Sims game on her new laptop that I bought her as a graduation present and maybe a couple of hours napping. Perhaps not such a bad way to spend a few days.
And Linda has a few days off from work and is able to go to Oxford for an afternoon with Emma. We also have a meal out at the village pub which is always pretty good.
I, meanwhile, am doing my final work for my two exams next week. Badly hit by hayfever these last few days, I am re-reading the rather scanty revision notes that I prepared over the last few weeks. History of Science is fine of course. Philosophy of Economics most definitely isn't.
Current 93
Every once in a while, the monthly music magazine, Wire, issues a free cds, the so-called Wire Tappers collection. Ages ago one of these featured a track by Current 93. I was aware of them from mid 1980s industrial music but was really surprised by the track on the fee cds. I bought one or two albums but hadn't really pursued this band in much detail, other than reading the occasional review or article in Wire.
But in the last couple of days I have been totally entranced by a recording of Current 93 in concert from London just a couple of weeks ago. Half a dozen tracks stand out - "Invocation of almost", "On Doetic Mountain", "Not because the fox barks", even "Sebastian's introduction" with its slowly repeating guitar and violin accompaniment.
This has led to me working out what the track was that so captivated me all those years ago - it was "Red Hawthorn Tree" from the cd "Sleep has its house". I have acquired loads of albums by them in the last few days - from the early industrial to what is apparently called "apocalyptic folk". Also tracked down a long interview with David Tibet from Wire. All excellent stuff, and which will form the focus of my post-exam listening
They also have lovely artwork om their cds!
A montage of cd covers - I have been looking for the cd with the red face on the blue background that I bought years ago. Can't find it anywhere at the moment.
But in the last couple of days I have been totally entranced by a recording of Current 93 in concert from London just a couple of weeks ago. Half a dozen tracks stand out - "Invocation of almost", "On Doetic Mountain", "Not because the fox barks", even "Sebastian's introduction" with its slowly repeating guitar and violin accompaniment.
This has led to me working out what the track was that so captivated me all those years ago - it was "Red Hawthorn Tree" from the cd "Sleep has its house". I have acquired loads of albums by them in the last few days - from the early industrial to what is apparently called "apocalyptic folk". Also tracked down a long interview with David Tibet from Wire. All excellent stuff, and which will form the focus of my post-exam listening
They also have lovely artwork om their cds!
A montage of cd covers - I have been looking for the cd with the red face on the blue background that I bought years ago. Can't find it anywhere at the moment.
Tuesday, 1 June 2010
In my break from revision . . .
Virtually all my thinking at the moment relates to revision. This time next week I will be taking my last exam. Then I plan a few days "r'n'r" having a spring clean and throw out - then to start work on the trading again. So I currently work around two to three hours and then have a short break, then start again.
In one of today's breaks I was listening to an old recording of John Peel on "Desert Island Discs" from 1990 - I still rather miss him. On another, a recent programme in the series "Thinking allowed" in which the three people involved were talking about Black Music over the last 50 years - a curious programme I thought.
On another break I am reading an article from the last issue of Times Higher Education on various forms of something called "post-postmodernism", a phrase that links rather nicely with ideas of "Next Labour" following "New Labour".
Music to accompany this has ranged from the 1976 Rush album "2112" to Ornette Coleman's "The Shape of Jazz to Come", via a recording of Dead Can Dance in Berlin from the 2005 tour. Looking through my PC directory, I am surprised to discover that I have digitised nearly 3,000 cds of music over the past couple of years - and it is only when I have a good look through the directories that I discover how little of it I know really well.
While the enormous availability of music is great, I do feel the loss that comes from not knowing music the way I used to when my choice was so much smaller.
And there is also the shock of listening to something like Rush and thinking that I used to actually like this sort of thing!
In one of today's breaks I was listening to an old recording of John Peel on "Desert Island Discs" from 1990 - I still rather miss him. On another, a recent programme in the series "Thinking allowed" in which the three people involved were talking about Black Music over the last 50 years - a curious programme I thought.
On another break I am reading an article from the last issue of Times Higher Education on various forms of something called "post-postmodernism", a phrase that links rather nicely with ideas of "Next Labour" following "New Labour".
Music to accompany this has ranged from the 1976 Rush album "2112" to Ornette Coleman's "The Shape of Jazz to Come", via a recording of Dead Can Dance in Berlin from the 2005 tour. Looking through my PC directory, I am surprised to discover that I have digitised nearly 3,000 cds of music over the past couple of years - and it is only when I have a good look through the directories that I discover how little of it I know really well.
While the enormous availability of music is great, I do feel the loss that comes from not knowing music the way I used to when my choice was so much smaller.
And there is also the shock of listening to something like Rush and thinking that I used to actually like this sort of thing!
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