Here is a trend following system coded in Python.
I have recently had much fun with “Simple Trading Systems using Simple Python Code”
I read the book with much enjoyment many years ago, but this lavish BBC adaptation of John Le Carré’s 1983 novel raises the bar to very high levels indeed.
We would put an animal down, surely we can offer the same courtesy to a human?
This anti war poem, written by American poet EE Cummings and published in 1926, is such a perfect specimen of the genre.
Happiness is only attainable once you recognize that everything just “is”.
Sometimes sad and sometimes not, our stories and our poems, our Green Ladies and our Belles Dames are reflections of our desires and anxieties.
Shall I compare thee to a summer’s day? A reading.
Shall I compare thee to a summer’s day?
Encouraged and enthralled by Kim Kardashian West I was wondering whether to record a welcome video for my YouTube Channel.
A reading of “If….” which I made for my YouTube channel.
My interview with The Investors Chronicle took place on January 16th 2016 and I have not changed my view.
I have already written a few words about Ode to Autumn but felt minded to record my own reading of it.
Kipling’s poem “If” is profound and moving.
While the modern shopping experience ranks low on my list of existential anxieties, it nonetheless merits mention as one of life’s annoyances.
If we 21st Century pagans were to write our own book of “Good News” what would it contain?
Master Po say “Grasshopper never mind finger, go for moon”.
Far from disappearing, Keats and his incomparable poetry have lived on after his death.
I have had three occasions recently, which gave me pause for thought about vanity, motive and human stupidity.
Can it ever be right to take sides in a dispute? Does it ever help?
How damaging we are to each other. How grim the human condition can become, and it does not take war…
The happiest are those who have never heard of Wittgenstein’s Ladder. If asked, they probably assume its something you buy in Homebase.
Success in seeking the Absolute may simply be a matter of altering our minds chemically.
The process of coding financial market trading systems is fascinating , but they never seem to last very long and their performance is never very consistent.
Teamwork my arse. Hell is definitely other people.
Fry is a comic genius although his comedy is tinged with darkness. Erudite, witty and (dare I say it) profound.
Pavlov’s dog aside we do not expect, largely, to change the nature or behavior of an animal. Why should we expect to change our own?
For the ever mercurial Alfred the sun did not rise yesterday. After a splendid microdosed Sunday, he woke with a bump on Monday morning.
Psychologically related to nihilism and anarchy, the Iconoclast of Iconoclasts (“IoI”) seeks, for reasons not entirely clear (even to himself)…
Myopia, or nearsightedness is a common affliction among those who seek to profit from the financial markets. All too often…
In recent years I have found it increasingly beneficial to narrow my focus.
The code below takes the data already cleaned up by the code in the previous post and strings separate months together in a time series suitable for back testing.
The data obtained from the CBOE is messy and incomplete. It takes a great deal of time for even the experienced nerd to sift through it.
This option strangle is effectively short volatility. It buys long dated puts at the money and protects the position with long dated calls far out of the money.
After the liquidation of XIV following the volatility spike earlier in the year I decided to take a more detailed quantitative approach to trading volatility.
A while ago I put a lot of work and effort into looking at Black Scholes and various other option pricing models.
I have felt with increasing certainty recently that the Buddhists are right. We have no separate existence, no soul, no fixed place in the universe.
Much is made these days of the concept of “mindfulness”. It is the cure-all of the new age. Depressed? Mindfulness…
What exquisite bitter-sweetness, an English autumn in the countryside.
Said to be the second oldest parish church in the country, churches don’t come much bleaker than All Saints, West Stourmouth, Kent.
Are we living in the 21st Century? How do serious people honestly believe in such man made hogwash.
In a lifelong search for meaning, I have found little to compare with matins in an English country church.
Such words are prone to make me lift my laptop and smash it to the ground.
I had a delightful morning over a cup of coffee with some acquaintances I had been meaning to get to know better.
“…..the philosophy of personal identity is relevant in the realm of ethics by helping us address age-old questions like whether being born is good or bad.”
…how they grow; they toil not, neither do they spin…
The back of beyond is where I want to be. And I am back, at the back of beyond. I have come in a full circle.
Cleopatra was fortunate indeed, the rest of us may age less well. But we should embrace age, not resent or fear it.
Analysis and thought are the very antithesis of the sort of behavior likely to lead to lasting peace.
It is time to “feel” the universe for myself. To cease to see it through the words of others and to experience it directly.
Is it a detrimental term or may it have hidden meanings and use?
The unknowing fool is one who does not know he does not know.
Does it sound curious to link a vastly popular work of science fiction to the concept of mysticism?
Perhaps it is best to acknowledge the endless pawing of the black dog at your door. For some, it is a rare day that the gentle scuffling can not be heard.
If the doors of perception were cleansed every thing would appear to man as it is, Infinite.
For some years I have assumed that far from inheriting the earth, the meek will be trampled underfoot. I am beginning to wonder whether I am mistaken.
Unqualified objective truth can not exist. Heavily qualified objective truth probably does.
You may be forgiven for mistaking the image above for photo montage. But it is not: it is the London Mustaba project.
I have sometimes wondered whether art has any importance, and if so, what?
For many years I had worked on the assumption that anything written east of Berlin was cacophonous and horrible. I have been proved wrong by Dvorak.
Portobello Road in London W11 is a most curious mix of home and abroad.
I recommend a paper entitled “The Stockmarket as a Complex Adaptive System” by Credit Suisse Director Michael J. Mauboussin.
Long term investment is simply about following the trend of economic growth. I am not convinced there is much more to it that that.
We can expect limited success in our endeavours to change but some change is better than none. We may be able to tip the balance in our favour.
It is pleasant to imagine that there was a day in the distant past where people did not live in Grenfell Tower and didn’t have to look at Trump’s haircut in the media.
I turned to the Guardian this morning after my Bad Hair Day yesterday, looking for inspiration but need not have bothered.
Bad hair day doesn’t begin to describe the awfulness of a day of real negativity. There are days when the sun just seems to go out.
Is it right to feel distaste for your fellow man?
The legend of El Dorado, a fabulous golden city in South America, inspired many expeditions in the 16th Century in search of wealth and excess.
I’m sure there is peace to be had and I have often found snatches of it. The big trick is to make it last.
A poem written in 1932 by Mary Elizabeth Frye, beautifully set to music by Howard Goodall as part of his Requiem: Eternal Light.
Is the internet a curse or a blessing? Used carefully, in my opinion it is a huge blessing.
I was reading a post this morning on “alchemical healing” and was a little puzzled by it.
Earlier this morning I had been contemplating nihilism. I was feeling nihilistic and unconstructive. I wondered if some pill or other could improve my mood and cheer up my day.
I was wondering whether I really mean what I write? Or to turn it round another way, do I write what I mean?
I wonder whether it is possible to be a hermit these days? And if so, where.
Internet forums are the perfect place to understand the petty origins of conflict. The Troll must be studiously ignored.
The Arab Israeli conflict arose from vibrating energy “strings” – it really is that simple in a sense.
My latest Netflix Binge is Fauda – a violent, compelling and visually superb take on the Arab Israeli conflict.
I’m sorry to have to wax lyrical but it doesn’t get much better than being “down Deal” (as the local patois would have it).
Deal is a little seaside town in East Kent which seems to have been forgotten by time and a mile or so further south are to be found beautiful Walmer and Kingsdown.
Commercial blogging is so utterly grubby and most practitioners of the art are second hand car salesmen, whatever they pretend they are selling or “doing”.
Someone in Canterbury Cathedral (the Dean perhaps?) decided that Verse 9 was going a little far .
In today’s Guardian, some dear lady say that she gives the Communist Manifesto out as a gift.
I am so grateful for the BBC who explain that LGBT+ is now passé.
I am always amused by the sheer vastness of the Blagging and Bluffing community on the internet offering advice on subjects in which they themselves possess no expertise whatsoever.
As deadly sins go, bingeing on Netflix probably ranks among the less serious.
I wonder whether I am guilty of “tilting at windmills”.
There is nothing quite like a funeral to concentrate the mind; “carpe diem” seems such an apt phrase at such a time.
David Harding ( Winton Capital ) has for many years been quoted as a superhero of the hedge fund world. Harding’s meteoric…
Is it odd that 100 million deaths in the Spanish Flu outbreak of 1918 has received comparatively little attention?
Is everything bad? Is the world a bad place? Are we humans damned and doomed? Is there any good news?
How can people not see what their untrammelled hatred does to themselves and those around them?
John Singer Sargent ranks high in my list of favourite painters.
I have come to question my behaviour when dealing with a pig over the past couple of years. Well, pigs actually.
Why does society have to be so divisive? Why does political posturing have to increase polarization and seek to indoctrinate?
it’s time to dip back in and carry on my quest to discover whether artificial intelligence can predict financial markets.
Bishop Michael Curry preached a fine sermon at the wedding today of Prince Harry and beautiful actress Meghan Markle.
Art prices at ‘obscene’ levels as Chinese join high-spending elite says Richard Partington, the Guardian’s economics correspondent.
I am trying to work out in my own mind my exact feelings about Meghan Markle’s Royal Knees Up and the role of the Royal Family in general.
Elaine Pearson (Australia director at Human Rights Watch) states that Australia’s lame response to Anwar Ibrahim’s detention was a mistake.
Martha Gill writes of the hazards of dramatising the near past and asks whether we should delay so as to achieve perspective.
Victoria’s Requiem, written for the funeral of dowager Empress Maria of Spain who died on February 26, 1603 is sublime.
Hatred is a difficult emotion to combat connected as it is with so many other qualia.
All radical and swift changes imposed on society began as Utopian dreams and descended into Dystopian horror. Need it always be so?
We must ensure that education is not slanted towards any political agenda and is concerned with providing what our children need to make a better world.
Class War in Journalism and Politics is alive and well. It is business as usual in Parliament and the news papers.
An end to “Conflict in The Middle East” is unlikely to be achieved by conventional and time worn solutions which have achieved nothing over the decades.
My own petty, unimportant and irrelevant moral dilemma should teach me something about the world and how to improve it.
Must try harder! Unfortunately as an imperfect individual I find it necessary to question my own behaviour on a daily basis.
The mighty kings at the FANGs are the modern robber barons.
“The UK government’s education policies are damaging and benefiting the few. It’s time for a rethink.”
I am disappointed to hear that Scandinavian happiness is “more a matter of class whether you can afford to take time to take care of yourself”.
Do I have what it takes to be a Guardian Reader? I have always been desperately keen to say: “yes I am, I’m deeply socialist in moral and ethical terms”.
JFK famously said “Ich Bin ein Berliner” but I can perhaps more accurately say the same thing about London.
Rembrandt – Belshazzar’s feast: the literature, art and music of religion still hold a vast sway over the imagination of many of us.
Jan van Eyck painted what has become known as the Arnolfini Portrait in 1434.
He is an odd character the bully, a difficult one to work out sometimes.
Beauty comes in so many forms and is so utterly transformative wherever it is encountered.
The act of self expression in writing seems to provide relief from strong or long repressed emotions – a catharsis.
Are we all hypocrites or is there the odd saintly exception?
Every human should have the right to take his or her own life and the means to do so painlessly and swiftly should be made easily and openly available.
What possible use is hindsight when the past is behind us and unchangeable?
Nobel prize winning physicist Frank Wilczek’s book “A Beautiful Question: Finding Nature’s Deep Design” is certainly worth reading.
I do not read the news because it is repetitive, dispiriting, boring and irrelevant.
Regret, while you still have breath, is a wasteful extravagance, a futile and destructive luxury.
To have lived a good life is all that matters in the end.
If there is one thing I can not stand it is a mealy mouthed clergyman (in that mournful oh so serious and pious voice) telling us we are all so sinful
Racism is most often and probably correctly thought of as a modern phenomenon.
Evil cannot exist without consciousness and free will.
Anger is an invention of the selfish gene, an evolutionary tool for the survival of the fittest.
Why is it that siblings often fall out in such a bitter fashion on the death of parents? Is it a petty dispute over the will? Or is it something deeper?
Is the “salesman” grubby and embarrassing by definition?
I write to educate myself.
Epiphany is usually thought of in a religious context but it can equally be a secular phenomena where one is struck by some extreme beauty or revelation.
The New Age movement is a range of spiritual beliefs and practices that on the surface is full of foolish nonsense.
“Renaissance Men” were able to master and practice a number of widely different subjects. Can it still be done in today’s highly specialised world?
Consciousness can only be sought through science and empirical, rational thought.
Embrace the positive avoid the negative.
Mechanical strategies for trading futures usually include fixed fractional position sizing to limit initial risk from any single trade.
Futures traders generally employ exit points in the form of volatility based stops for each position (established at initiation) determining when to cut a loss short and operating in conjunction with position sizing rules.
A quantitative trend following system must define: when to enter a position; how much to buy; when to exit a position.
The Global Macro hedge fund strategy can be defined as dynamic global asset allocation. Global Macro hedge fund managers have the ability to take positions in any instrument in any market throughout the world.
We are all looking to get rich quick. We are all looking for something for nothing. But few of us will succeed and even fewer will be able to retain the short-lived gains.
The large majority of start-up projects sink without trace. The occasional winner however can make up the losses and yield a profit on the portfolio.
8 Steps to Profitable Investment
A few Simple Investment Rules are All You Need.
Investment is extremely simple. Wide diversification and the avoidance of cots and complexity is the way to go.
Depression can only be defeated by science and rational enquiry not airy faerie emotional wallowing such as is to be found in most useless self help books.