The 22 Rules of Trading
A set of trading rules
November 2008 Archives
HTML Agility Pack
This is an agile HTML parser that builds a read/write DOM and supports plain XPATH or XSLT (you actually don't HAVE to understand XPATH nor XSLT to use it, don't worry...). It is a .NET code library that allows you to parse "out of the web" HTML files. The parser is very tolerant with "real world" malformed HTML. The object model is very similar to what proposes System.Xml, but for HTML documents (or streams).
Sample applications:
- Page fixing or generation
You can fix a page the way you want, modify the DOM, add nodes, copy nodes, well... you name it.
- Web scanners
You can easily get to img/src or a/hrefs with a bunch XPATH queries.
- Web scrapers
You can easily scrap any existing web page into an RSS feed for example, with just an XSLT file serving as the binding. An example of this is provided.
LinqToLucene
Lucene is an Information Retrieval System used for full-text searching and scoring results commonly referred to as a search engine (similar to google-type-searching). LINQ is Microsoft's extensible Language Integrated Query platform that provides querying directly in a managed CLR. LINQ comes out of the box with LINQ to Objects, LINQ to DataSets, LINQ to XML, LINQ to SQL and LINQ to Entities. The goal of LINQ to Lucene is to provide developers with the ability to enjoy full-text searching using a fast-proven search-engine within the .Net managed CLR.
LINQ & Lambda, Part 4: Lucene.Net
Extended coding example using Lucene.NET.
Outlook 2007 search and Lookout
A selection of the top 100 wines from the Wine Spectator.
Malbec
- Bodega Colome Estate Malbec 2006
- Francois Pelissie Croix du Mayne Cahors 2005
- Achaval Ferrer Finca Mirador Malbec 2006
- Altocedro Malbec La Consulta Reserva 2006
- Luca Malbec 2007
Shiraz/syrah
- Mollydooker Carnival of Love 2007
- Elderton Ode To Lorraine 2005
- August Clape Cornas 2005
- Neyers Syrah Sonoma Coast Old Lakeville Road 2006
- Gemtree Vineyards Uncut Shiraz 2006
- Two Hands Angel's Share Shiraz 2007
The Market as God: Living in the new dispensation
At the apex of any theological system, of course, is its doctrine of God. In the new theology this celestial pinnacle is occupied by The Market, which I capitalize to signify both the mystery that enshrouds it and the reverence it inspires in business folk. Different faiths have, of course, different views of the divine attributes. In Christianity, God has sometimes been defined as omnipotent (possessing all power), omniscient (having all knowledge), and omnipresent (existing everywhere). Most Christian theologies, it is true, hedge a bit. They teach that these qualities of the divinity are indeed there, but are hidden from human eyes both by human sin and by the transcendence of the divine itself. In "light inaccessible" they are, as the old hymn puts it, "hid from our eyes." Likewise, although The Market, we are assured, possesses these divine attributes, they are not always completely evident to mortals but must be trusted and affirmed by faith. "Further along," as another old gospel song says, "we'll understand why."
The Fed Is Out of Ammunition: A discredited dollar is a likely outcome of the current crisis.
Those who want to understand the mechanism [of classic debt-deflation bust at work] might ponder Irving Fisher's comment in 1933: When it comes to booms gone bust, "over-investment and over-speculation are often important; but they would have far less serious results were they not conducted with borrowed money."
Anatomy of a Meltdown: Ben Bernanke and the financial crisis
By mid-September, however, the outlook was much grimmer. On Monday, September 15th, Lehman Brothers, another Wall Street investment bank that had made bad bets on subprime mortgage securities, filed for bankruptcy protection, after Bernanke, Paulson, and the bank's senior executives failed to find a way to save it or to sell it to a healthier firm. During the next forty-eight hours, the Dow Jones Industrial Average fell nearly four hundred points; Bank of America announced its purchase of Merrill Lynch; and American International Group, the country's biggest insurance company, began talks with the New York Fed about a possible rescue. Goldman Sachs and Morgan Stanley, the two wealthiest investment banks on Wall Street, were also in trouble. Their stock prices tumbled as rumors circulated that they were having difficulty borrowing money. "Both Goldman and Morgan were having a run on the bank," a senior Wall Street executive told me. "People started withdrawing their balances. Counterparties started insisting that they post more collateral."
Flixxy has a great trailer for an animated film, Coraline.
Coraline Jones (Dakota Fanning) is bored in her new home until she finds a secret door and discovers an alternate version of her life on the other side. On the surface, this parallel reality is eerily similar to her real life and the people in it - only much better. But when this seemingly perfect world turns dangerous, and her other parents try to trap her forever, Coraline must count on her resourcefulness, determination and bravery to escape this increasingly perilous world - and save her family.
i-gotU Travel Logger is a cool portable GPS gadget that timestamps your location. It has found a niche as a tool to synch with your digital photos, allowing you to match photos to world locations.
- Auto-map your photos with GPS location information
- Organize and present your journey in three-dimensional Google map and Google earth
- Compatible with all digital cameras and camera phones, coolest GPS tracking gadget for your journey.
- Easy-to-use software user interface
- Export in multiple file formats, supports popular web album
- Create and share your live travel blog with all your friends quick and easy
- Multiple ways for attachment, suitable for outdoor use
- Water-resist hardware design, suitable for rainy days, skiing, water sports
- Compatible with 3rd party GPS navigation software, serve as PC GPS receiver as well.
Every now and then I go looking for lists of ETFs. To keep them in plain sight, I'm listing my links here.
Nouriel Roubini (blog: Roubini Global Economonitor) has a great article in Forbes online on why the recession is not going away anytime soon. The short answer: No savings and a pile of debt.
This week's news about October retail sales (-2.8% relative to the previous month and now down in real terms for five months in a row) confirm that the U.S. has entered its most severe consumer-led recession in decades. At this rate of free fall in consumption, real gross domestic product growth could be a whopping 5% negative or even worse in the fourth quarter of 2008. And this is not a temporary phenomenon: Almost all of the fundamentals driving consumption are heading south on a persistent and structural basis.
If you're going to have friends ask you questions like:
- Has there ever been a period that the market has been down 5% or more in three consecutive months? or
- Is this the worst 91-day period in the past 107 years?
Then you are going to need some DOW data. And it had better be pretty long range to cover the Great Depression and other stock market excitement of the early 20th century. This text file is pretty good for simple purposes. Mind you, it covers only up to fall of 2007, but it's pretty easy to get this additional data from Yahoo.
Some things I did not know:
- The market was closed from late August 1914 through to December.
- The market as open only four days a week in 1968 or 1969 so that back office could catch up.
You have to make some decisions of how you will handle these cases.
Today, the market was heading lower as it has done for the balance of the week. Then, at 13:00, everything started to move up. I checked the news sources and could find nothing that explained it. I emailed a friend and got this answer:
Technician would say, buyers appeared at the previous low below 8000. Successful test. Didn't fall apart so they bought it.
I guess I should watch the DOW (or ETF DIA). I've just watched SPY and QQQQ. It didn't occur to me that the entire market could move off resistance to a DOW level. And look at how sweet it is that it hit RSI 30 at the low. Just perfect for an oversold rally to start.
Michael Lewis, author of Liar's Poker, writes on the end of the era that defined Wall Street. Lots of opinion on subprime mortgages and CDOs and Wall Street, no finger-pointing at Alan Greenspan.
I thought I was writing a period piece about the 1980s in America. Not for a moment did I suspect that the financial 1980s would last two full decades longer or that the difference in degree between Wall Street and ordinary life would swell into a difference in kind. I expected readers of the future to be outraged that back in 1986, the C.E.O. of Salomon Brothers, John Gutfreund, was paid $3.1 million; I expected them to gape in horror when I reported that one of our traders, Howie Rubin, had moved to Merrill Lynch, where he lost $250 million; I assumed they'd be shocked to learn that a Wall Street C.E.O. had only the vaguest idea of the risks his traders were running. What I didn't expect was that any future reader would look on my experience and say, "How quaint."
I had no great agenda, apart from telling what I took to be a remarkable tale, but if you got a few drinks in me and then asked what effect I thought my book would have on the world, I might have said something like, "I hope that college students trying to figure out what to do with their lives will read it and decide that it's silly to phony it up and abandon their passions to become financiers." I hoped that some bright kid at, say, Ohio State University who really wanted to be an oceanographer would read my book, spurn the offer from Morgan Stanley, and set out to sea.
Somehow that message failed to come across. Six months after Liar's Poker was published, I was knee-deep in letters from students at Ohio State who wanted to know if I had any other secrets to share about Wall Street. They'd read my book as a how-to manual.
and:
The funny thing, looking back on it, is how long it took for even someone who predicted the disaster to grasp its root causes. They were learning about this on the fly, shorting the bonds and then trying to figure out what they had done. Eisman knew subprime lenders could be scumbags. What he underestimated was the total unabashed complicity of the upper class of American capitalism. For instance, he knew that the big Wall Street investment banks took huge piles of loans that in and of themselves might be rated BBB, threw them into a trust, carved the trust into tranches, and wound up with 60 percent of the new total being rated AAA.
But he couldn't figure out exactly how the rating agencies justified turning BBB loans into AAA-rated bonds. "I didn't understand how they were turning all this garbage into gold," he says. He brought some of the bond people from Goldman Sachs, Lehman Brothers, and UBS over for a visit. "We always asked the same question," says Eisman. "Where are the rating agencies in all of this? And I'd always get the same reaction. It was a smirk." He called Standard & Poor's and asked what would happen to default rates if real estate prices fell. The man at S&P couldn't say; its model for home prices had no ability to accept a negative number. "They were just assuming home prices would keep going up," Eisman says.
Hundred pushups
Website with a six-week program for training you to do 100 consecutive pushups.
The Never-Ending Debate of Specialist v. Generalist
Ted Neward grapples with the technical recruiter's ad that has so many requirements that it is really asking for an entire development team in one person. A nuanced view on how to be the right kind of specialist while being the right kind of generalist.
I came across the book Quantitative Trading: How to Build Your Own Algorithmic Trading Business on quantitative trading at Barnes and Noble tonight. It looks interesting but I have enough of a backlog that I would not get around to it soon. However, he also has an interesting weblog that covers some of the same interesting material as in his book. I'll add that to my list of blogs to follow.
The business of algorithmic trading was an activity once reserved for only traders at hedge funds or the proprietary trading operations of financial institutions. Not so anymore says author Ernie Chan, a proprietary trader and blogger who runs a quantitative trading blog site. In Quantitative Trading, Chan shows investors how to use Excel and MATLAB(r) to build their own algorithmic trading tools using a budget even a home day trader can afford. He then reveals how to conduct quantitative research and analysis, and discusses what it takes to turn quantitative trading strategies into profits using stocks, ETFs, and other financial instruments. Chan also provides downloadable spreadsheets and MATLAB programs that tie into material covered throughout this book.
Paris itinerary
My mom had an ambitious itinerary for her two week trip to Paris this fall. Check this out if you are planning a trip to Paris.
Museums
- Musée de Cluny
The Musée de Cluny houses a variety of important medieval artifacts:
- Its tapestry collection
This includes La Dame à la Licorne (The Lady and the Unicorn) from the tapestry cycle of the same name, consisting of a series of six. - Early medieval sculptures from the seventh and eighth centuries
- Works of gold, ivory, antique furnishings, and illuminated manuscripts
- Its tapestry collection
- Institut du Monde Arabe
- Musée des Arts et Métiers
- Musée d'Orsay
- Musée de l'Orangerie
- Conciergerie
The Conciergerie is a former royal palace and prison in Paris, located on the west of the Île de la Cité, near the Cathedral of Notre-Dame. It is part of the larger complex known as the Palais de Justice, which is still used for judicial purposes. Hundreds of prisoners during the French Revolution were executed on the guillotines at La Conciergerie.
- Victor Hugo's house
- Musée Marmottan Monet
The Musée Marmottan Monet features a collection of a hundred Impressionist works by Claude Monet, Berthe Morisot, Edgar Degas, Édouard Manet and Pierre-Auguste Renoir, as well as the Wildenstein Collection of illuminated manuscripts.
- Musée du quai Branly
Musée du quai Branly features indigenous art, cultures and civilizations from Africa, Asia, Oceania, and the Americas.
- Musée Carnavalet
The vast Carnavalet Museum, devoted to the history of Paris, includes entire decorated rooms with panelling, furniture and many works of art.
- Musée Rodin
The Musée Rodin displays works by the French sculptor Auguste Rodin.
- Musée Picasso
The Musée Picasso contains more than 3000 different works of art by Pablo Picasso including drawings, ceramics and paintings. This is complemented by Picasso's own personal art collection of works by other artists, including Cézanne, Degas, Rousseau, Seurat, de Chirico and Matisse. It also contains some Iberian bronzes and a good collection of primitive art. One of the most impressive aspects of the museum is that it contains a large number of works which Picasso painted after his seventieth birthday.
Department stores
Squares and gardens
- Place des Vosges
The Place des Vosges is the oldest square in Paris.
- Jardin du Luxembourg
Churches and cemeteries
- Sainte-Chappelle
- Notre Dame de Paris
- Père Lachaise Cemetery
Père Lachaise is one of the most famous cemeteries in the world. Located in the 20th arrondissement, it is reputed to be the world's most-visited cemetery, attracting hundreds of thousands of visitors annually to the graves of those who have enhanced French life over the past 200 years. It is also the site of three World War I memorials.
Outside Paris
- Chartres Cathedral
Apparently, she took a guided tour with Malcolm Miller, a guide who has been giving tours at Chartres Cathedral since 1958. In fact, she had a tour with him in 1960 when she visited. He is now the leading English-speaking authority on the cathedral and has written a number of books, including Chartres Cathedral.
- Giverny
It is best known as the location of Claude Monet's garden and home.
- Palace of Versailles
Wow. All you had to do with GM for the past couple of months was to short at the open and cover at the close. You'd have made 30% in September, 208% in October, and 33% so far in November. And GM is down from $5.00 at the open to $4.22 today. That's an extra 15%. If you didn't wait for the close, you'd be up 53% this month. On one trade per day.
Of course, you'd have to have really believed in this trade to have carried it out for all of September. There was a 25% drawdown until the 19th of September followed by +69% until the end of the month.
What Happens when Countries Go Bankrupt?
Hungary, Ukraine, and Pakistan lead a list of countries headed for bankruptcy. Here's what it looks like when a country goes under:
The signs of looming national bankruptcy are plentiful, and bankers in the Uruguayan capital of Montevideo know them well. In late 2001, they were the first to see the coming crash in Argentina. Men traveled across the Rio de la Plata, from Buenos Aires to Montevideo, carrying suitcases filled with US dollars. They stood in long lines at the city's banks, depositing the contents of their suitcases into accounts and safe deposit boxes there. Uruguay is South America's Switzerland, a safe haven for money in times of crisis. No one asks about where the millions come from.
Once the Argentine businessmen had transferred their dollars abroad, the second phase of the collapse began. The Argentine government froze all bank accounts, capping the maximum amount an accountholder could withdraw at only $250 (€198) a week. Small investors, those who had left their money in the banks, were the hardest hit. Tens of thousands of desperate citizens stormed the banks, and many spent nights sleeping in front of the automated teller machines.
The last phase of the downturn began in the Buenos Aires suburbs. After consumption had dropped by 60 percent, young men began looting supermarkets. In December 2001, 40,000 people gathered on Plaza de Mayo in front of the Casa Rosada, the presidential palace. There, they banged pots and pans together day and night, until an unnerved President Fernando de la Rúa fled by helicopter.
The image of the fleeing president has burned itself into the collective memory of Argentineans. It marks the worst financial crisis of the last 100 years. De la Rúa's successor allowed the peso to float free on the world currency-exchange markets after it had been pegged to the US dollar at a ratio of 1:1. Tens of thousands of small business owners, who had incurred debt when the peso was still pegged to the dollar, filed for bankruptcy. Unemployment quickly ballooned to 25 percent.
Five Myths About the Great Depression
Herbert Hoover was no proponent of laissez-faire
Herbert Hoover, elected president in 1928, was a doctrinaire, laissez-faire, look-the-other way Republican who clung to the idea that markets were basically self-correcting. The truth is more illuminating. Far from a free-market idealist, Hoover was an ardent believer in government intervention to support incomes and employment. This is critical to understanding the origins of the Great Depression. Franklin Roosevelt didn't reverse course upon moving into the White House in 1933; he went further down the path that Hoover had blazed over the previous four years. That was the path to disaster.
How do you find out which year is best for a particular region? I've found that California wines from 2002 and 2004 are really great, but I have no information or insight into other regions.
For example, Lori and I recently opened an Australian table wine that turned out to be quite good. It was Black Swan Shiraz 2006. I'd be interested in knowing if there was a really good year for this wine.
Also, on election night, we had a South African wine, Excelsior Cabernet-Sauvignon 2006. Also unknown to me what would be a great year for this.
BTW, both of these wines are about $6-7 per bottle, making them great choices for regular drinking.
Update 2008-11-06: My sister-in-law suggested the Wine Spectator daily picks, and each of the wines I mentioned, albeit in a different year, has been featured in Wine Spectator as an Under $15 Daily Pick:
- BLACK SWAN Shiraz-Cabernet
South Eastern Australia 2005 (85 points, $8)
- EXCELSIOR Cabernet Sauvignon
Robertson 2002 (87 points, $8)
Which states are divided by time zone?
During the election, there was some concern that news media were listing a single time for the polls to close in states that have two time zones, making it possible that people might arrive at the polls too late.
Although most states lie within a single time zones, there are thirteen states that are divided into two time zones.
Idaho and Oregon are split between the Mountain and Pacific time zones. Kansas, Nebraska, North Dakota, South Dakota, and Texas are divided between Central and Mountain time zones. Florida, Indiana, Michigan, Kentucky, and Tennessee are split between Eastern and Central time zones. Finally, Alaska is divided between the Alaska time zone and the Hawaii-Aleutian time zone.
SnagIt
Take a "snapshot" of anything on your PC screen. Send it, store it, turn it into a detailed graphic, find it later. SnagIt makes it easy.
ActiveState Komodo IDE
I've been using this product for a few years for my python coding. I highly recommend it.
Multi-platform, multi-language IDE for end-to-end dynamic web application development. Easily create, test and debug all your code in one powerful workspace. Komodo IDE offers the most advanced editing and debugging for dynamic languages and client-side Ajax technologies, plus intelligent tools for regular expressions, team development and customization, and unparalleled extensibility.
A simple QuadTree implementation in C#
A QuadTree is a spatial partitioning strategy used to make queries on relationships between 2D spatial data such as coordinates in a Geographic Information System (GIS), or the location of objects in a video game. For instance, you may need to know all of the objects within a region on a map, test weather objects are visible by a camera, or optimize a collision detection algorithm.
The QuadTree is so named because it recursively partitions regions into four parts, with leaf nodes containing references to the spatial objects. Querying the QuadTree is a function of traversing the tree nodes that intersect the query area.
The OctTree is the analogous structure used for 3 dimensional problems.
A Monthlong Walk on the Wildest Side of the Stock Market
One volatility measure, shown in the accompanying charts, is the number of days in which an index closes up or down at least 4 percent.
In normal times, the market goes years without having even one such day. There were none, for instance, from 2003 through 2007. There were three such days throughout the 1950s and two in the 1960s.
In October, there were nine such days.
AltNetPedia
Are you...
- The type of developer who uses what works while keeping an eye out for a better way.
- You reach outside the mainstream to adopt the best of any community: Open Source, Agile, Java, Ruby, etc.
- You're not content with the status quo. Things can always be better expressed, more elegant and simple, more mutable, higher quality, etc.
- You know tools are great, but they only take you so far. It's the principles and knowledge that really matter. The best tools are those that embed the knowledge and encourage the principles (e.g. Resharper.)
Aaron Huey, photographer
An amazing website of photographs.
Goldman Sees No Limits on Leverage, Analyst Says
New York Times story on how Goldman Sachs is not planning to change its use of leverage, notwithstanding that it is now a "bank holding company."
Goldman Sachs may have morphed into a bank holding company, but the Wall Street firm doesn't feel compelled to lower its leverage or pull back in any of its business lines.
That's the key point that Roger A. Freeman, Barclays Capital's banking analyst, says he took away from his meeting with Gary Cohn, Goldman's president and chief operating officer, and David Viniar, Goldman's chief financial officer.
The two Goldman executives told Mr. Freeman that the firm's "business model is sound and not likely to be upended as a result of the new bank holding company structure and Federal Reserve oversight," Mr. Freeman said, paraphrasing their comments in a research note published Thursday. More specifically, Goldman's executives told Mr. Freeman that the firm "does not expect to see any imposition of leverage ratio thresholds or business mix restrictions."
