Bought Not Quite What I Was Planning at the MPH sale over the weekend. How would you describe your life in six words?
Mine so far would be: Learning how to be happy, always. Work-in-progress, big unfulfilled dreams. Only comfortable with alcohol in bloodstream.
I also thought of some funny NSFW ones but I've completely forgotten them.
Brain big as bowl, very forgetful.
Wednesday, August 31
Tuesday, August 30
Brain Dead
Foggy brain can't seem to come up with a solution. I have datasets of intraday prices, consisting of 10-min intervals of open, high, low, close, volume. I would like to do a clustering of intraday highs and lows based on time, hoping to identify certain time periods where highs/lows of the days are made. However, can't seem to work out how to identify each row as the day high/low besides using a reiterative function to check current row's high/low and use a separate table to store these values with each day as a new row. Will run the results in R to draw some plots, as well as plot basic statistics (time for trough to peak etc).
Obviously writing this in Python would be be faster. But yeah, am tired now. If someone has a more efficient way of doing this, please let me know. Somehow, I seem to be treading towards the HFT route with the kind of analysis that I am embarking on.
Obviously writing this in Python would be be faster. But yeah, am tired now. If someone has a more efficient way of doing this, please let me know. Somehow, I seem to be treading towards the HFT route with the kind of analysis that I am embarking on.
Neurotic Ambitions
One would nary a comparison of neuroticism and ambition in the same sentence but I read an excerpt this week on how a neurotically ambitious person operates. Such a person has a tremendous drive to achieve personal goals, often at the expense of other things in life. There is a difference: upon reaching his targets, the person would not feel a sense of achievement or happiness like any other self-motivated person. However, upon any failure, large or small, he would feel completely decimated. With odds of unlimited downside and limited upside, a neurotic ambitious person may find problems adjusting his self-image to reality, suffering in the process. The underlying cause is basic insecurity, which if left untempered may also result in other forms of neurotic behavior. For more background reading, do a search on Karen Horney.
With that defined, I must say, I'm truly a neurotic person.
Feeling extremely exhausted and burnt out today. Two months and I feel as if all my energy has been sapped from me. Time for a break.
With that defined, I must say, I'm truly a neurotic person.
Feeling extremely exhausted and burnt out today. Two months and I feel as if all my energy has been sapped from me. Time for a break.
Wednesday, August 24
Anguish and Anxiety
We trade our own beliefs and stake our mental health. My performance so far has been sub-par, making progress along the way and then blowing up in spectacular fashion. Today, I made the biggest loss I have in two months. It was enough to wipe out everything I have earned and more. And then along came the usual suspects - lack of confidence, pain, anxiety and despondency.
Initially, I was up the biggest amount I ever had within an hour that the market opened. I was convinced (gravely) that today was gonna be a very strong up day. So I went in with size, buying on dips and smiling at the P&L. Then things changed. I refused to acknowledge that the market regime had turned from bullish to bearish, still holding onto my longs. And held I did. Until a major support level was broken before I gave up and took my losses. I was correct in predicting the subsequent market movements for the day but did not cash my profits in, resulting in a bigger hole.
This defeat is devastating for my mental state, destroying what I had built up over two months. While I recognize that losses are part and parcel of this life, I am just shocked by my stubbornness, my inability to say that I've been wrong. There are many areas within the subconscious that has been blocking my success and it feels like I have failed terribly.
Monetarily, it's a smallish amount but the damage has been done. It took me two decent days to cover up the losses I made in the previous week and with this loss staring at me, I would need at least four times the amount. Judged by our monthly statement, I'm afraid to say that in my second month, I am still unable to turn profitable.
Sigh. I need to improve, I need to overcome this adversity.
Trading is really not a game for the meek.
Initially, I was up the biggest amount I ever had within an hour that the market opened. I was convinced (gravely) that today was gonna be a very strong up day. So I went in with size, buying on dips and smiling at the P&L. Then things changed. I refused to acknowledge that the market regime had turned from bullish to bearish, still holding onto my longs. And held I did. Until a major support level was broken before I gave up and took my losses. I was correct in predicting the subsequent market movements for the day but did not cash my profits in, resulting in a bigger hole.
This defeat is devastating for my mental state, destroying what I had built up over two months. While I recognize that losses are part and parcel of this life, I am just shocked by my stubbornness, my inability to say that I've been wrong. There are many areas within the subconscious that has been blocking my success and it feels like I have failed terribly.
Monetarily, it's a smallish amount but the damage has been done. It took me two decent days to cover up the losses I made in the previous week and with this loss staring at me, I would need at least four times the amount. Judged by our monthly statement, I'm afraid to say that in my second month, I am still unable to turn profitable.
Sigh. I need to improve, I need to overcome this adversity.
Trading is really not a game for the meek.
Tuesday, August 23
Time, Unbending
Had a dream about time.
Time, understood by all but incomprehensible.
A second can last forever and hours seem like minutes.
Days melt into nights; neverending pulsations of light.
In my dream, I thought I discovered the secret.
If only we could manipulate time.
Time, understood by all but incomprehensible.
A second can last forever and hours seem like minutes.
Days melt into nights; neverending pulsations of light.
In my dream, I thought I discovered the secret.
If only we could manipulate time.
Monday, August 22
Philip Larkin - Toads Revisited
Walking around in the park
Should feel better than work:
The lake, the sunshine,
The grass to lie on,
Blurred playground noises
Beyond black-stockinged nurses -
Not a bad place to be.
Yet it doesn't suit me.
Being one of the men
You meet of an afternoon:
Palsied old step-takers,
Hare-eyed clerks with the jitters,
Waxed-fleshed out-patients
Still vague from accidents,
And characters in long coats
Deep in the litter-baskets -
All dodging the toad work
By being stupid or weak.
Think of being them!
Hearing the hours chime,
Watching the bread delivered,
The sun by clouds covered,
The children going home;
Think of being them,
Turning over their failures
By some bed of lobelias,
Nowhere to go but indoors,
Nor friends but empty chairs -
No, give me my in-tray,
My loaf-haired secretary,
My shall-I-keep-the-call-in-Sir:
What else can I answer,
When the lights come on at four
At the end of another year?
Give me your arm, old toad;
Help me down Cemetery Road.
Should feel better than work:
The lake, the sunshine,
The grass to lie on,
Blurred playground noises
Beyond black-stockinged nurses -
Not a bad place to be.
Yet it doesn't suit me.
Being one of the men
You meet of an afternoon:
Palsied old step-takers,
Hare-eyed clerks with the jitters,
Waxed-fleshed out-patients
Still vague from accidents,
And characters in long coats
Deep in the litter-baskets -
All dodging the toad work
By being stupid or weak.
Think of being them!
Hearing the hours chime,
Watching the bread delivered,
The sun by clouds covered,
The children going home;
Think of being them,
Turning over their failures
By some bed of lobelias,
Nowhere to go but indoors,
Nor friends but empty chairs -
No, give me my in-tray,
My loaf-haired secretary,
My shall-I-keep-the-call-in-Sir:
What else can I answer,
When the lights come on at four
At the end of another year?
Give me your arm, old toad;
Help me down Cemetery Road.
The Hunt Continues
Nothing in life is constant.
Received some news today and it's time to go hunting again. (Reasons undisclosed for now) While it came as quite a shock to the person who told me the information, I hardly flinched as I had, for the past few weeks, been contemplating the development of various scenarios that were awaiting me.
Who said being a worrier is bad for you? There's a reason why I am always thinking and planning five steps ahead - just in case events like this happen. Nary a black swan but still one with a low probabilistic chance of occurring.
That said, I'm donning my hunting gear again.
Received some news today and it's time to go hunting again. (Reasons undisclosed for now) While it came as quite a shock to the person who told me the information, I hardly flinched as I had, for the past few weeks, been contemplating the development of various scenarios that were awaiting me.
Who said being a worrier is bad for you? There's a reason why I am always thinking and planning five steps ahead - just in case events like this happen. Nary a black swan but still one with a low probabilistic chance of occurring.
That said, I'm donning my hunting gear again.
Tuesday, August 16
Elusive
Slink into the shadows, walk without a sound. Hold your breath, fade into nothingness. Stay still. Stop. Don't move.
Pause.
There are some who hide from the sun, not out of shame but of an intense need for privacy. Others live their lives like a drama, showing what they had for lunch, their pet dog, new toys, ad nauseum.
Social media removed our sense of sobriety and proper behavior.
Pause.
There are some who hide from the sun, not out of shame but of an intense need for privacy. Others live their lives like a drama, showing what they had for lunch, their pet dog, new toys, ad nauseum.
Social media removed our sense of sobriety and proper behavior.
Legen...Wait for It...
Slightly amused today that I'm starting to create a certain reputation at the firm for my style. Truth be told, I'm currently the only person who swing trades intraday. One of the guys from my batch and his mentor approached me after work, asking me to expound on how I do what I do. They were saying how I'm starting to make a name for myself, ekeing gains even in such tough markets. While I've yet to have anything to show, I'm glad I'm gaining some attention for my work. I've still got a ton of discipline to instill in myself, always unable to keep my winnings, hence I didn't think I was worthy to be what one of them said, that I'm fast becoming a legend around here. Wait till I master this skill, then I'd have arrived.
Monday, August 15
Disappearing Act
The mood over at the new place seems to have taken a dip recently. I'm realizing the gravity and reality of my decision. Some of the newbies from my batch are also realizing how hard it is to make money in markets like this. Most of us are fretting about our unstable futures and it is getting quite gloomy these days. One of the seniors has been scaring us with stories about previous batches, the way the company operates and why only a few stay.
This made me a little anxious and I decided to go scour the job boards again. Similar job capacity at bigger hedge funds and/or investment banks typically want the following: at least 3 years of proven records, exportable and scalable strategies and knowledge beyond what I am currently doing. Truth be told, I am far from those requirements and if I stayed on without improving myself (working on my own models, improving my daily performance), I would be kinda stuck 12 months down the road.
Not to be undone, I shall continue to strive harder. Performance has been erratic lately. Made a killing last week during the most volatile period but gave it all back when markets quietened down. It seems like I'm structured to take advantage of fear and greed, good for event driven hedge funds in the future. Restarting my research engine and working on some statistical models now. So many things to do, so little guidance.
Groping in the dark once again.
This made me a little anxious and I decided to go scour the job boards again. Similar job capacity at bigger hedge funds and/or investment banks typically want the following: at least 3 years of proven records, exportable and scalable strategies and knowledge beyond what I am currently doing. Truth be told, I am far from those requirements and if I stayed on without improving myself (working on my own models, improving my daily performance), I would be kinda stuck 12 months down the road.
Not to be undone, I shall continue to strive harder. Performance has been erratic lately. Made a killing last week during the most volatile period but gave it all back when markets quietened down. It seems like I'm structured to take advantage of fear and greed, good for event driven hedge funds in the future. Restarting my research engine and working on some statistical models now. So many things to do, so little guidance.
Groping in the dark once again.
Thursday, August 4
Revisiting
Currently revisiting white noise, autocorrelation, cointegration, Kalman filtering and associated big words again.
Having someone to bounce ideas off at work and understanding practical applications of theoretical ideas is way too awesome. Back at the old place, just showing a simple ratio spread was enough to awe them. Now, I finally have the opportunity to further my research and hopefully discover something.
Max(Geekiness). I like. Tapping off someone's years of experience greatly shortens my own learning curve. Absolutely wonderful. (Also, making tremendous progress this week. One's gotta love volatility like I do.)
Having someone to bounce ideas off at work and understanding practical applications of theoretical ideas is way too awesome. Back at the old place, just showing a simple ratio spread was enough to awe them. Now, I finally have the opportunity to further my research and hopefully discover something.
Max(Geekiness). I like. Tapping off someone's years of experience greatly shortens my own learning curve. Absolutely wonderful. (Also, making tremendous progress this week. One's gotta love volatility like I do.)
Tuesday, August 2
Realism
Today the reality of things finally hit me after thinking about it and talking with a senior after work. Due to the structure of the new place, to make a decent living, one has to make at least three times the costs that they impose on us. With only 20 trading days in a month, that can be quite an arduous task. Not to mention that I have six months of "training" to go through, everything slowly adds up and I'm wondering how good I need to be to actually get a decent paycheck.
Algebraically, to make an arbitrary $5k/month: I would need roughly x amount at the month-end P & L. x/20 = daily average returns. Let y be amount of ticks I score each day, that would be x/(20*y). Of course, size would matter, with 10 shares, it's $0.10/tick, 100 shares, $1.00/tick, so on and so forth. Due to the structure of the equity market, some counters can safely absorb 1,000 shares per bid/ask level, while others can absorb up to 10,000.
After much calculations, I would need either size (1,000 and above) or skill (with some size, at least 1,000 shares), to make a decent living. Also, since I only have 20 days, every day that I make a loss, I lose another day of profits just to cover that hole. Hence, it's imperative that I make money on most days (80-100%) with decent returns (with an average of 100 or more ticks/day). Granted that some counters move between 30-90 ticks per day and getting every move is (almost) impossible, I am stuck with a big headache.
I guess not trading for a big institution - getting a fat paycheck and year-end bonus, severely limits one's earning capabilities. I either have to be really good at what I'm doing now or find alternative employment in a year's time. Painful reality of it all. :\
It's a challenge nonetheless, just wondering if I can actually succeed at this.
P.S. Due to lower income, I'm slapping some geek austerity measures on myself - probably won't be meeting people for dinner/drinks much (unless you're buying). Ouch.
Algebraically, to make an arbitrary $5k/month: I would need roughly x amount at the month-end P & L. x/20 = daily average returns. Let y be amount of ticks I score each day, that would be x/(20*y). Of course, size would matter, with 10 shares, it's $0.10/tick, 100 shares, $1.00/tick, so on and so forth. Due to the structure of the equity market, some counters can safely absorb 1,000 shares per bid/ask level, while others can absorb up to 10,000.
After much calculations, I would need either size (1,000 and above) or skill (with some size, at least 1,000 shares), to make a decent living. Also, since I only have 20 days, every day that I make a loss, I lose another day of profits just to cover that hole. Hence, it's imperative that I make money on most days (80-100%) with decent returns (with an average of 100 or more ticks/day). Granted that some counters move between 30-90 ticks per day and getting every move is (almost) impossible, I am stuck with a big headache.
I guess not trading for a big institution - getting a fat paycheck and year-end bonus, severely limits one's earning capabilities. I either have to be really good at what I'm doing now or find alternative employment in a year's time. Painful reality of it all. :\
It's a challenge nonetheless, just wondering if I can actually succeed at this.
P.S. Due to lower income, I'm slapping some geek austerity measures on myself - probably won't be meeting people for dinner/drinks much (unless you're buying). Ouch.
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