September 3, 2006
Beginning a new month. I intend to go up to almost fully invested, and also to cut the number of stocks to 30. No telling how long that will take. This Iranian thing is getting bothersome. We all know the outcome: talks will fail and we will have to blow things up. That will piss people off, but so what, they hate us anyway. The Democrats will wail and moan about how Bush is not good at diplomacy, and simply use it as another way to divide the country to their advantage, they hope. Meanwhile, nothing will get done about things that are important, like the Social Security Ponzi Scheme Mess.
September 7, 2006
What a difference a day or so makes! I was very optimistic about this period earlier, but suddenly the market tanks and I have given up all my gains of last month and more. This is very discouraging, and I am not sure how much longer I want to be in this market. While I know that the stock trading system is more volatile than the market, both on the up side and the down side, that is very little encouragement at this point. This sort of thing makes me want to go back to trading mutual funds - if only I could.
September 9, 2006
Fascinating post on the FT-Talk Board from Selim M. Sekili about the use of 19 and 39 day exponential moving averages for oscillators and other things. Remember when exponential moving averages and other indicators had to be calculated by hand? No, I don't either, and I am 70 years old. But I was not doing technical analysis during the '60s either.
Peter Haurlan was a rocket
scientist at the Jet Propulsion Lab in Pasadena, CA who back in the
1960's first thought of using ema's to analyze stocks and to use it for
technical analysis. By day he used the JPL's computer's to develop
missile and satellite tracking methods using ema's and by night he
applied the same methods on the markets (he never slept!) He applied it
to the AD line data in particular.
Most stock analysts did not have access to computers in those days and the calculations had to be done by hand. So after hearing about Haurlan's ideas of using an ema, Sherm and Marian [McClellan] chose the length of emas to make the calculations by hand easy.
The smoothing constant for a particular % trend is calculated as follows:
2 / (n + 1). So by chosing to use the 19d ema you get 2 / 20 = 10%. So all they had to do was take 10% of today's value and add it to 90% of yesterday's value to get the 19 ema.
Similarly, the 39d ema would be 2 / 40 = 5%. So you take 5% of today's value and add it to 95% of yesterday's to get a 5% trend or smoothing factor. Sherm and Marian then took the difference between the 5% and the 10% trends (39d ema and 19d ema) to get the McClellan oscillator.
Gerald Appel was also using the difference between to moving averages in his work, but the MACD uses the difference between two simple moving averages whereas the McClellan osc is the diff between two exponential moving averages--the key distinction.
So the use of 19 and 39d emas came about more out of necessity for ease of hand calculations and charting than by a look at a sample set for optimization to be later applied to an OSS in a walk forward type of testing.
One wonders how much money changed hands because of the ease of calculation. If you look up the McClellan oscillator today you still find the numbers 19 and 39. Has anybody tried any other numbers? I wonder.
You see, back in 411 BC, Aristophanes wrote a famous play, Lysistrata. In it, the women of Athens withheld sex to force the men to end the war. The men were not too pleased. So now, a group of girl friends and wives of Columbian gang members have vowed to withhold sex until their men stop killing each other. Funny how things do not change.
September 16, 2006
The above story made Fox and Friends news this morning, but nobody got the reference to Lysistrata. Too bad. Everybody should study Greek history and literature.
September 17, 2006
A lot of the 9/11 anniversary coverage struck me as distastefully tasteful. On the morning of Sept. 12, I was pumping gas just off I-91 in Vermont and picked up the Valley News. Its lead headline covered the annual roll call of the dead -- or, as the alliterative editor put it, "Litany of the Lost." That would be a grand entry for Litany of the Lame, an anthology of all-time worst headlines. Sept. 11 wasn't a shipwreck: The dead weren't "lost," they were murdered.
So I skipped that story. Underneath was something headlined "Half a Decade Gone By, A Reporter Still Cannot Comprehend Why." Well, in that case maybe you shouldn't be in the reporting business. After half a decade, it's not that hard to "comprehend": Osama bin Laden issued a declaration of war and then his agents carried out a big attack. He talked the talk, his boys walked the walk. If you need to flesh it out a bit, you could go to the library and look up a book.
But, of course, that's not what the headline means: Instead, it's "incomprehensible" in the sense that, to persons of a certain mushily "progressive" disposition, all such acts are "incomprehensible," all violence is "senseless." Unfortunately, it made perfect sense to the fellows who perpetrated it. Which is what that headline writer finds hard to "comprehend" -- or, rather, doesn't wish to comprehend.
...But there's more to the national discourse than party politics. And, whoever wins or loses, the cult of feebly tasteful passivity rolls on regardless. As part of National Review's fifth anniversary observances, James Lileks wrote the following:
"If 9/11 had really changed us, there'd be a 150-story building on the site of the World Trade Center today. It would have a classical memorial in the plaza with allegorical figures representing Sorrow and Resolve, and a fountain watched over by stern stone eagles. Instead there's a pit, and arguments over the usual muted dolorous abstraction approved by the National Association of Grief Counselors. The Empire State Building took 18 months to build. During the Depression. We could do that again, but we don't. And we don't seem interested in asking why."
At what point does a society become simply too genteel to wage war? We're like those apocryphal Victorian matrons who covered up the legs of their pianos. Acts of war against America have to be draped in bathetic music and uncomprehending reflections and crescents of embrace. We fight tastefully, too. Last week one of America's unmanned drones could have killed 200 Taliban big shots but they were attending a funeral and we apparently have a policy of not killing anybody near cemeteries out of sensitivity. So even our unmanned drones are obliged to behave with sensitivity. But then, these days the very soundtrack to our society is, so to speak, an unmanned drone.
Call it a tragedy if you want. But it was also an atrocity committed by contemptible sub-human trash, who are honored by many Muslims, even in this country.
September 20, 2006 (Morning)
Yesterday, after making a few trades, I walked to downtown Silver Spring and had lunch. Lunch was at the Austin Grill, and it consisted of tuna steak cooked to the consistency of dried leather. I stopped there because it was raining, and I did not want to walk another 5 blocks to go the Cubano's, which is excellent. Every time I give Austin Grill a chance, I regret it. Anyway, by the time I got back home in a somewhat damp condition, the markets had tanked because of a coup in Thailand. In fact, the coup will most likely have little effect on anything, including Thailand. Still, it does not take much to spook the market. This morning the futures are very much higher, and oil is lower. So we will probably see a good day.
September 20, 2006 (Afternoon)
Yes! An excellent day.
September 22, 2006
A bad day yesterday, and perhaps a bad one today. I am getting nervous. I may try a small hedge with some of the ProFunds. The market is just falling apart.
Meanwhile, I actually bought some of Angie Reed Garner's art. Namely, the one below.
Red Handed Eris
Her work is quite good, and it revives some of my interest in ancient Greece.
Vase painting - Dated 575 - 525 BC Inspiration for the Painting
September 26, 2006
I am not pleased with my performance or the performance of my system this month. I have certainly made some mistakes, and the stock picks have not been sterling. Maybe better next month. Let's hope that this is a phase. The only comfort is that some funds with excellent long term records have underperformed the market this month.
Meanwhile, I am at Virginia Beach with my wife relaxing, or trying to.
|AKAMAI TECH INC (AKAM)||09/18/06||635||47.27||30,013.74||30,013.74||49.99||31,743.65||1,729.91||5.76|
|AMER EAGLE OUTFITTERS INC (AEOS)||09/12/06||720||41.36||29,781.99||29,781.99||43.83||31,557.60||1,775.61||5.96|
|AMERISTAR CASINOS INC (ASCA)||09/25/06||1315||22.80||29,978.84||29,978.84||21.71||28,548.65||-1,430.19||-4.77|
|ATHEROS COMMUNICATIONS (ATHR)||09/21/06||1610||18.64||30,004.29||30,004.29||18.13||29,189.30||-814.99||-2.72|
|BEA SYS INC (BEAS)||08/30/06||900||13.89||12,501.99|
|BEA SYS INC (BEAS)||09/11/06||177||14.10||2,495.07|
|BEA SYS INC (BEAS)||Total||1077||14,997.06||15.20||16,370.40||1,373.34||9.16|
|BENTLEY PHARMS INC (BNT)||09/08/06||1250||12.01||15,009.99|
|BENTLEY PHARMS INC (BNT)||09/11/06||1237||12.13||15,002.43|
|BENTLEY PHARMS INC (BNT)||Total||2487||30,012.42||12.00||29,844.00||-168.42||-0.56|
|COLDWATER CREEK INC (CWTR)||08/25/06||936||26.68||24,973.11|
|COLDWATER CREEK INC (CWTR)||09/11/06||185||26.95||4,986.49|
|COLDWATER CREEK INC (CWTR)||Total||1121||29,959.60||28.76||32,239.96||2,280.36||7.61|
|CONCUR TECH INC (CNQR)||09/20/06||1985||15.40||30,561.32||30,561.32||14.55||28,881.75||-1,679.57||-5.50|
|COOPER COS INC (COO)||09/11/06||277||53.99||14,954.14|
|COOPER COS INC (COO)||09/12/06||260||55.39||14,400.99|
|COOPER COS INC (COO)||Total||537||29,355.13||53.50||28,729.50||-625.63||-2.13|
|CUTERA INC (CUTR)||09/25/06||1150||26.11||30,024.99||30,024.99||26.59||30,578.50||553.51||1.84|
|DARDEN RESTAURANTS INC (DRI)||09/25/06||710||42.13||29,915.19||29,915.19||42.47||30,153.70||238.51||0.80|
|FIRST MARBLEHEAD CORP (FMD)||09/19/06||470||63.27||29,737.49||29,737.49||69.26||32,552.20||2,814.71||9.47|
|HEADWATERS INC (HW)||09/25/06||1234||24.31||29,994.96||29,994.96||23.35||28,813.90||-1,181.06||-3.94|
|M-SYS FLASH DISK PIONEER (FLSH)||08/16/06||667||37.47||24,989.14||24,989.14||40.24||26,840.08||1,850.94||7.41|
|NCI BLDG SYS INC (NCS)||09/08/06||130||56.51||7,345.89|
|NCI BLDG SYS INC (NCS)||09/08/06||400||56.53||22,613.59|
|NCI BLDG SYS INC (NCS)||Total||530||29,959.48||58.17||30,830.10||870.62||2.91|
|NMT MED INC (NMTI)||09/01/06||1232||14.21||17,504.39|
|NMT MED INC (NMTI)||09/05/06||1250||14.01||17,509.99|
|NMT MED INC (NMTI)||Total||2482||35,014.38||15.45||38,346.90||3,332.52||9.52|
|NORTHFIELD LABS INC (NFLD)||09/15/06||2380||12.50||29,759.99||29,759.99||14.36||34,176.80||4,416.81||14.84|
|NVIDIA CORP (NVDA)||08/16/06||992||25.21||25,008.39||25,008.39||29.59||29,353.28||4,344.89||17.37|
|ORASURE TECH INC (OSUR)||09/25/06||3745||8.06||30,194.69||30,194.69||8.04||30,109.80||-84.89||-0.28|
|PENN NATL GAMING INC (PENN)||09/25/06||200||36.30||7,259.99|
|PENN NATL GAMING INC (PENN)||09/25/06||627||36.34||22,782.63|
|PENN NATL GAMING INC (PENN)||Total||827||30,042.62||36.52||30,202.04||159.42||0.53|
|PHARMION CORP COM (PHRM)||09/27/06||1428||20.96||29,926.59||29,926.59||21.55||30,773.40||846.81||2.83|
|QUIDEL CORP (QDEL)||08/29/06||2266||11.03||25,003.97|
|QUIDEL CORP (QDEL)||09/18/06||192||12.76||2,450.08|
|QUIDEL CORP (QDEL)||Total||2458||27,454.05||14.12||34,706.96||7,252.91||26.42|
|RADIANT SYS INC (RADS)||09/05/06||1521||11.51||17,501.49|
|RADIANT SYS INC (RADS)||09/12/06||925||12.19||11,276.49|
|RADIANT SYS INC (RADS)||Total||2446||28,777.98||12.08||29,547.68||769.70||2.67|
|RED ROBIN GOURMET BURGERS (RRGB)||09/18/06||608||49.25||29,941.83||29,941.83||46.11||28,034.88||-1,906.95||-6.37|
|RESEARCH IN MOTION LTD (RIMM)||08/18/06||58||79.15||4,590.88|
|RESEARCH IN MOTION LTD (RIMM)||08/21/06||128||78.08||9,993.99|
|RESEARCH IN MOTION LTD (RIMM)||09/18/06||166||85.06||14,119.99|
|RESEARCH IN MOTION LTD (RIMM)||Total||352||28,704.86||102.65||36,132.80||7,427.94||25.88|
|RUDOPLH TECH INC (RTEC)||09/18/06||43||18.79||808.07|
|RUDOPLH TECH INC (RTEC)||09/18/06||1571||18.64||29,277.72|
|RUDOPLH TECH INC (RTEC)||Total||1614||30,085.79||18.33||29,584.62||-501.17||-1.67|
|SALESFORCE.COM INC (CRM)||08/18/06||430||34.42||14,800.96|
|SALESFORCE.COM INC (CRM)||08/21/06||300||33.00||9,900.27|
|SALESFORCE.COM INC (CRM)||09/18/06||127||35.33||4,486.74|
|SALESFORCE.COM INC (CRM)||Total||857||29,187.97||35.88||30,749.16||1,561.19||5.35|
|SKYWORKS SOLS INC (SWKS)||09/21/06||5226||5.60||29,275.59||29,275.59||5.19||27,122.94||-2,152.65||-7.35|
|SPARTAN MTRS INC (SPAR)||09/27/06||1578||19.01||29,991.99||29,991.99||18.83||29,713.74||-278.25||-0.93|
|TRIDENT MICROSYS INC (TRID)||08/30/06||583||21.46||12,509.51|
|TRIDENT MICROSYS INC (TRID)||08/31/06||1040||21.66||22,525.99|
|TRIDENT MICROSYS INC (TRID)||Total||1623||35,035.50||23.26||37,750.98||2,715.48||7.75|
|URBAN OUTFITTERS INC (URBN)||09/20/06||1685||17.82||30,031.64||30,031.64||17.72||29,858.20||-173.44||-0.58|
|VIROPHARMA INC (VPHM)||08/28/06||2240||11.15||24,985.99||24,985.99||12.17||27,260.80||2,274.81||9.10|