Archive for July, 2009

Ziggy Update

Friday, July 31st, 2009

I let Ziggy, my automated futures-trading program, trade one SPX futures contract (ES) all week. It finished with a $297 profit. Here is the equity-curve chart for the week (click to enlarge):

ziggy-7-31-09

And here are the daily totals:

ziggy-7-31-09-2

As you can see, Monday and Tuesday were a disaster. There are two reason for that. First, both days were “reversal days” where prices glided down in the morning, and glided back up in the afternoon. Those are the worst days for Ziggy. Fortunately, they only occur once a month or so, but I had the bad luck of getting hit with two of them to start the week.

The second reason for the losses was slippage. My initial tests showed that Ziggy could do OK with market orders, but it turns out that that was a wrong conclusion. Ziggy got nickled-and-dimed to death with bad fills on Monday and Tuesday to the tune of about $300.

So, on Tuesday night, I re-tooled for limit orders, which is a big deal because it complicates the program’s logic. I don’t have an ideal solution to the problem of un-filled orders yet, but the new version works much better in the real world. As you can see on the “7/29/2009 – 7/31/2009″ line of the table above, Ziggy v2.00 made $979 from Wednesday to Friday, with a 60% batting average.

Wednesday was the big day. That was the type of day that I had in mind when I first started working on the program. The SPX barely moved, but the intra-day action was wonderfully volatile. Watching Ziggy on Wednesday was like watching a John Deere combine harvesting the crop.

So, even though the week started out with an industrial accident, I’m very happy with how it finished up. It’s not easy to watch your computer makes trades. It requires a lot of discipline to resist the urge to “help” it. I only did that three times over the entire week, and without my “help”, Ziggy would have made another $100 or so.

It’s a funny thing; while I have coded my trading rules into software, the software is a much better trader than I am. Ziggy always follows its trading rules, it trades without emotion, like a robot, and it has perfect concentration. The latter is very important for scalping, which is sort of like driving a race car: if you doze off for just a few seconds, you might crash and burn.

Ziggy can make enough money to pay for its own electricity now, so it’s earning its keep. If it can prove itself over the next couple of weeks by building up enough equity, I will let it trade two contracts. At that point, I can start working on code that scales into, and out of, positions to get better average prices.

Friday’s Trading – 7/31/09

Friday, July 31st, 2009

The GDP report is out, and once month-end mark-up is over, will investors want to lighten up a bit before next Friday’s jobs report? The last NFP report crashed the market on July 2nd.

Thursday’s Trading – 7/30/09

Thursday, July 30th, 2009

Traders this morning are talking about the latest survey from the American Association of Individual Investors, which is showing the highest levels of bullishness since May of 2008.

Caruso-Cabrera – Dumb as Bag of Hammers

Wednesday, July 29th, 2009

In this video, you can see CNBC talking head Michelle Caruso-Cabrera saying that it’s OK for manufacturing jobs to be sent to Asia because they are beneath Americans. Her position is that Joe Sixpack should stop hitting things with hammers inside of factories and go work as a scientist at a bio-tech firm.

OK, there are plenty of smart people who work in factories. And maybe Caruso-Cabrera is right; maybe they should be turned out of their jobs, and forced to go through ten years of higher education to prepare for their new careers as rocket scientists.

But what about the dumb people? Not everybody is smart, you know. Not everybody can “use their brain” to “move up the job value chain.” The fact is that repetitive assembly-line jobs that don’t require higher thought are an ideal way for dumb people to earn a living.

Note to Caruso-Cabrera: when you go to small town, take its only factory and send it to China, THE DUMB PEOPLE DO NOT GO WITH IT. What do you suggest they do for a living now that you have applied your economic genius to their town?

In addition to advocating the export of factory jobs while the USA suffers double-digit unemployment, Caruso-Cabrera also advocates the importation of engineers and programmers via H1-B visas. Brilliant strategy: export jobs, import workers.

Speaking of H1-B visas, isn’t it time that CNBC was outsourced? Why not start with Caruso-Cabrera? She works on the stock-market channel and can’t even pronounce the word “stock”. Instead, she says “stalk”, like she is talking about celery or something. Shouldn’t CNBC bring over an Indian woman on an H1-B visa to replace Caruso-Cabrera? I’m sure that a smart, young, attractive Indian woman who can pronounce “stock” could easily be found. And she will work for 10% of what Caruso-Cabrera makes. C’mon GE, its time to boost your profits some more with another “cost control”.

Also in the video, they are carrying on about how their boss GE CEO Jeff Immelt made some comments about how the USA should do more manufacturing. The talking heads even “challenged” the professor guest to figure out a way to do it. Can you imagine the hypocrisy? It was Corporate America that rammed the free-trade laws with low-wage countries like China and India through Congress in unconstitutional “fast track” style for the sole purpose of exporting jobs. Now GE/CNBC is acting like they are some sort of champion for American workers.

Please.

Wednesday’s Trading – 7/29/09

Tuesday, July 28th, 2009

A six-billion dollar mall is being built in Syracuse, New York. The developer has signed-up zero tenants. Citigroup tried to pull the plug on the project, but a judge has ordered them to keep funding it because they got $44.5 billion in taxpayer bailout dollars. So now, taxpayer dollars are being used to build more ghost malls. What a splendid economic recovery this is!