Blog

First of all, a belated happy New Year and happy holidays to all my readers! I want to thank you all for a great 2015. Whether you and I have corresponded, you have looked at my research or are a client, or you are “simply” a reader of my blog, I could not do what I do without your support–so, a sincere “thank you” is in order.

I wanted to get a short update out to you to let you know I have not forgotten about my blog readers 🙂 and also to share some thoughts on a few new projects I have in the works. Most of you know that I focused quite heavily in 2015 on aspects of human and mental performance: we talked a lot about topics like meditation, intuition, and developing the so-called “soft skills” (which can be so very hard) of trading. I think there’s a lot more to be said on those topics, but I expect to shift to a different viewpoint in 2016.

The reason my social media accounts have been quiet for the past few weeks is that I have been “down periscope” and very focused on building out some quantitative testing frameworks. My work has always, for at least the last decade and a half, focused heavily on the statistical tendencies in markets, but my analytical work has always been done in a complicated mish-mash of a third party coding language, Excel spreadsheets, VBA in Excel, and Stata for heavy lifting. I’ve always had plans to fully redo all my analytics in a “real” language, but it’s such a daunting task…

The past few weeks I’ve spent probably 80 hours a week on developing my Python coding skills, working to build a logical OOD framework for the types of testing I want to do, and then writing and debugging code. (Speaking of debugging, if any of my readers are proficient programmers, I have found something that might be a bug in Pandas. Take a look at the question I asked here; I’d appreciate any insight!) While I’ve maintained my focus on markets and trading and research during this time, it’s been very difficult to write blog posts… hence the thunderous silence for the past few weeks.

You might ask what sane person takes a holiday break and works 12 hour+ days during that break, but I think the lesson is the importance of focus and doing your own work. Your path to your eventual (and continued) success in markets will lean heavily just that–doing your own work, whatever that looks like, with obsessive focus. At different points in your career, that will mean different things. For me, now, I need to develop a tool that will let me dig both deeper and broader into markets, and look at some things that might have so far eluded my focus.

Expect that you will see more focus on market stats, tendencies, and how to do this research this year on this blog. I’ll also talk a lot about the practical aspects of deploying quantitative tools in your own trading program–it’s not quite as simple as developing a system and watching it make money. In application, there are challenges and decisions that need to be made, even within rigid quantitative frameworks.We’ll continue to work on those critical application skills, but will likely do so within a more obviously statistically-informed framework.

I will be back to blogging more heavily in the near future, but I need to spend a bit more of my focus on coding and other work I’m doing. I’m excited about 2016; it should be a great year. Remember, the market action we are seeing today (rates, oil, China, etc.) will be tomorrow’s history lessons. Some of the policy decisions and subsequent market action will be the stuff of textbooks for future generations of traders, and we are living this now. Do what you can to embrace those lessons!