As I’ve written before, I’m not a particularly big fan of technical analysis or any of the many and varied charting techniques people espouse. That said, we are working with a proprietary futures trading company and some of the successful (non-algo) trading that they do involves point-and-figure charts. Although a trading algorithm doesn’t care about graphical representations, I wasn’t familiar with the technique and decided that the best way to understand it was to try to implement it, which is how I spent my Saturday evening …
The above applet re-uses the one I’d written previously in discussing simple stochastic processes. This time, it illustrates a point & figure chart below the regular line chart. Point & figure charts expose two characteristics: a “box size” (in ticks) and a “reversal” (in boxes). The applet allows you to vary both and then generate a day’s worth of random/synthetic data to view it. One of the nice features of JFreeChart is that you can easily “zoom” into a chart by dragging within the chart. I’ve disabled this in the line chart but you can try it in the p&f chart. (Note: you should right-click and “Auto-Range-Both Axes” before you generate new data or you’ll stay in the zoomed segment of the chart.)
Now that I think I understand the basics of point & figure charting, it will be interesting to see what an algo might do with it…
open-source software, strategy development, technology
"We've run out of Federal Firearm Licenses"
Yesterday I read this article in the New Yorker: The New Paranoia: Hedge-Funders Are Bullish on Gold, Guns, and Inflatable Lifeboats.
In his book Wealth, War, published last year, former Morgan Stanley chief global strategist Barton Biggs advised people to prepare for the possibility of a total breakdown of civil society. A senior analyst whose reports are read at hedge funds all over the city wrote just before Christmas that some of his clients are “so bearish they’ve purchased firearms and safes and are stocking their pantries with soups and canned foods.”
It reminded me of my experience on 9/11 and my thought that a really handy item for the paranoid Manhattanite in uncertain times might be a conveniently inflatable raft.
Yes, I was a little warped by the experience. Evidently I’m not the only one, though…
These guys would prefer to be in a high-speed boat or ex-military vehicle, heading off toward their fully provisioned compounds in pursuit of the ultimate goal: to win the chaos.
Then today I came across the above notification from the ATF indicating that we’ve literally run out of firearms licenses. I guess the optimistic interpretation is that there’s “always a bull market somewhere…”
I was gambling in Havana
I took a little risk
Send lawyers, guns and money
Dad, get me out of this
- Warren Zevon
dereferenced, hedge funds, our managed markets
This is *not* Hank Paulson's Piggy bank...
I came across this Bloomberg story on the state of Hank Paulson’s piggy bank. As a dutiful steward of our Nation’s interests, he was forced to place his fortune into a blind trust upon accepting his current position as Treasury Secretary. Now he gets to find out what happened to his money. Always a charmer, he jokes about it:
“I’ve got to find out where my money has been invested,” Paulson, 62, said today after a speech, drawing laughter from the Washington Economic Club.
“You know the old joke about how you make a small fortune? And that is, give a large fortune to a person in a blind trust,” he said today. “I haven’t even thought about how I’m going to be investing my money.”
Ah what fun. Of course, given the impact of his visionary stewardship on most Americans’ portfolios, it’s easy to imagine that many will have forgotten that he likely only accepted his position of unfailing public service for the >$100M tax loophole it afforded him.
Before taking the Treasury job, Paulson sold his Goldman Sachs shares and wasn’t required to pay capital gains taxes, according to a June 2006 divestiture notice about a stake that was valued at the time at about $485 million.
In this day and age, no self-respecting citizen so much as blinks at a mere ~$170M looting of the nation’s coffers. But it does raise the question: which is more ironically piquant? Our ring-side seats for the hollowing out of the American Republic or our knowledge that we paid through the nose for the privilege?
our managed markets
One Big Table (and chair)
Last time I described the trajectory of my research into using hdf5 for large amounts of tick data. This time I describe the basic design of the prototype I implemented and some of its performance characteristics.
Read more…
EMS Internals, market data, open-source software, technology
One of the nicest things about the holiday season (Happy New Year, btw) is that it provides a lovely opportunity to spend some quality time with a project that’s a bit more exploratory than might be meaningfully undertaken while trading in lively markets.
A number of months ago, I mentioned using HDF5 to manage tick data as RDBMSes just aren’t up to the task and specialized Tick DBs are absurdly expensive. While I’d spent some time exploring this idea through the fall, I never had a discrete chunk of time to really explore the technology beyond determing that its Java interfaces weren’t production-worthy. This meant that we’d have to drop into C to access the functionality we’re interested in and that we’d have to come up with our own bridge out into Java for access by StratBox while StratCloud could access it directly.
Below, I describe what I’ve learned through my holiday geek-spelunking-trek including some timings on various configurable characteristics of HDF5 (e.g., compression and “chunking”).
Read more…
EMS Internals, market data, open-source software, post-trade analysis, technology
