Monday, July 24, 2006

Watch list for week of 7-24-06

The stock charts I looked at were pretty dismal this weekend, but I've listed the best ones I saw above.

I expect to be able to announce the winner of the writing contest this week. Although only one entry can win, I would like to publish all of the articles on this blog because each writer had a unique and insightful perspective.

Wednesday, July 19, 2006

Mid-week reading material

Brett Steenbarger has a nice summary of the two primary schools of thought in trading on his blog. The first is the visual / discretionary trader, and the second is the edge / statistical trader. The differences and similarities between the two are worth studying, especially their often different relationships with leverage. Which school of thought sounds the most appealing to you? Which sounds the most like your trading? If there is a divergence, you might have found an opportunity to improve your trading results by consciously shifting your efforts.

Chris "Piranha" posted his newsletter for the weekend to his blog. Usually only subscribers get his full report. Chris does excellent work, I have learned a lot from studying his market analysis over the past several years. If you like what you see, check out his website

Monday, July 17, 2006

Watch list for week of 7-17-06

Today (Monday) is the last day for submitting an entry to the writing contest. I received a few more last week. If you submitted an entry last week and haven't heard back from me yet, I'll get back to you by email this week to confirm your entry.

This week my software only came up with 3 interesting candidates to watch, probably because downside volume is causing a lot of stocks to be filtered out. Here's the list:

I wonder if we'll see major indices go into freefall over the next few weeks. They look particularly vulnerable to crisis right now. The trend on nearly all time horizons is down.

Friday, July 14, 2006

Pirates and Probability

Was anybody else figuring all kinds of probability during the dice game scene in the new Pirates of the Caribbean movie? They put a little something for everybody in there. That used up my annual vote for "movie of the year". If you haven't seen it, check it out this weekend :D

Tuesday, July 11, 2006

Idea for an improved GA

I just had a slick idea for an improved genetic algorithm. I have not read about this anywhere, but I'm probably not the first to think of it:

Lay a lattice over the surface map you are working with and only solve for points on the lattice to get a good idea about which hills to climb at a finer precision. This should stomp the performance of a vanilla randomly seeded GA.

If you're curious about genetic algorithms or you just want to play with one, you can check out an old applet I made here. There is also good information available on the GA entry at wikipedia. GA applications in systems trading development are everywhere.

Monday, July 10, 2006

Watch list for week of 7-10-06

Not much to say about nasdaq stocks this week. I have a short watch list from my market homework software, but I don't see any reason to weight long or short heavily right now based on recent charts.

There is one week left to submit an entry to the writing contest. Thanks to everybody who has submitted entries so far.

Monday, July 03, 2006

Watch list for week of 7-3-06

The nasdaq summation index $NASI has turned positive over the last couple of days, so if I had to guess I'd say that short term bias is probably up, but volume will probably be light due to July 4.

I had a relaxing weekend sitting around coding the market modelling software with my cohort Brandon, and IM'ing Michael Taylor. Michael is moving to Missouri! I'm stoked about it.

Brandon and I spent most of Saturday looking at a problem that occurs when generating weekly bars in my model. The problem was manifesting when we were truncating remainders off of the date of the weekly bar when the week was split across two consecutive years. For example: the week of Sunday December 29, 2002 runs into 2003 and is actually the 53'rd week of 2002. I'll be damned if we didn't find a bug in the Java API. I spent Saturday night until about 2 am coding around it, but until Sun fixes this problem it could rear its head in other places down the road.

There's nothing like crafting science in Java and throwing back some Budweisers with a Morlack chill/goa set playing. I just forget all about time and life is never better.

I'm considering making my market homework software available for free. In the past year since I originally created it I've developed far more sophisticated tools for analysing markets, so it no longer feels "cutting edge" to me. I think making it available to everybody would resolve a lot of issues for me. I would feel like I've paid my dues to everybody who I've learned from over the years without the headaches of open-sourcing the project. It would also level the playing field just a tiny bit more for people who can't program things like that for themselves. I made the market homework software with these things in mind:
  • Keep an eye on the strongest stocks without me having to look at their charts each day.
  • To watch when the public isn't watching.
  • Identify breakout candidates before they break out and show me their charts in an accessible manner.
  • Avoid showing me charts whose price is extended up or down.
  • Avoid showing me charts that are plunging (no chance for an uptrend).

Before I make a decision on whether or not to make the market homework software available, I have to speak with Brandon about it. I've been using the report from the market homework software as an excuse to write to the blog regularly, but I don't really want to do that any more. I think the blog would be even better if I only posted when I had something really good to say, sort of like how Michael Taylor runs his blog. The only way I can figure to do this and keep everybody happy is to give to my readers the means to run the market homework software on their own master watch list whenever they want. That way we're all free to focus on what I really love about the markets: deconstructing how they work for the purposes of exploitation ;D

Anyway, here are the highlights from my market homework software this weekend: