Rough Notes for Planning the Meetup (Part 2)
Posted by Mark on October 15, 2020 at 09:46 | Last modified: May 7, 2020 12:16Today concludes publication of some rough draft notes I had to complement this blog mini-series.
As I said last time, this may or may not be redundant information. More than anything else, I am trying to get more organized by clearing out my “drafts” folder.
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One step down from a qualifying interview would be to limit group openings. People sometimes have a fear of missing out. I could say “only 10 spots available.” I think this would likely attract people with a higher level of commitment, but my gut says it wouldn’t be as effective as a qualifying interview (assuming accuracy of screening).
What I don’t want to do is make the admissions criteria so stringent that nobody joins. I think this is also why I need to determine exactly what the group will focus on (i.e. collaborative research/programming/testing or teaching/trader literacy).
If the fees are mainly to establish accountability, then I could make them due up front and progressively refundable. Maybe the first meeting is free to explain objectives, future plans, and to collect money for those interested. I could then issue refunds at every meeting attended or to those who attend all meetings. I could also consider offering a discount to advanced traders with more to contribute.
One final possibility would be to advertise a pay it forward intent to discuss/teach something about which I am passionate rather than selling anything for a profit. This begs the question of if/when should education be free?
I feel strongly that unlike education in other domains, compensation should be given for teaching someone how to make money directly. Aside from how to operationally define “directly,” a big question mark surrounds the material itself. No guarantees can be made, and trading instructors are always potential charlatans presenting bogus information. Who should decide (and how) up front whether someone with something to teach is pure? That is a practical impossibility.
The caveat to my strong feeling, then, is justification because I know myself to be honest. One can never know that about anyone else. I may not even know that for myself because extraordinary future circumstances (Black Swans) can always arise.
Maybe this is why House says “everybody lies.”
The concept of abundance seems to be relevant here. The laws of abundance say “I can give to as many people within my reach; there is enough for everyone.” I’m not sure I buy into this. The likelihood that I and any retail investors with whom I ever associate will be enough to move the needle of the markets is supposedly slim. If word spreads, enough people learn, and everyone starts trading a particular way, though, then could Edge could be offset? There is no right answer.
Maybe I have a block with regard to a willingness to give. Heck, if organizations like TT* are out there disseminating free information to tens upon thousands of viewers then am I really worried about sharing what I know? I would have to believe in getting something out of it myself, too.
Who said I need to be the gatekeeper? Or is it me just trying to capitalize on the value of what I know (which I believe could be significant)?
I really don’t know.
* — Plenty of people are skeptical about TT teachings, however, which renders this comparison moot.
Categories: Uncategorized | Comments (0) | PermalinkRough Notes for Planning the Meetup (Part 1)
Posted by Mark on October 12, 2020 at 07:01 | Last modified: May 11, 2020 09:15Over a year ago, I did a blog mini-series on planning a Meetup group. In the next two posts, I just wanted to publish some rough notes to support that.
If you read the full mini-series, then you may find some of what follows to be overlapping and/or duplicate information. I had this saved in my “drafts” folder and in an effort to get more organized, I’m trying to clear those out by straight deletion or publication if I think some of the information might be new/different.
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Last time I described the Meetup I tried to organize and detailed its rejection. I can think of a few ways to proceed.
If I organize another Meetup group then I could charge a reasonable annual fee plus a fee per meeting. “Stiff,” not “reasonable,” may be a better description of $300 because I have never seen a Meetup charge $300 to join. Most groups don’t charge an annual fee at all and if they do, something like $10 seems more common. With regard to the meetings, $10 – $15 is about the maximum although I have seen some meetings packaged as educational programs that charge more.
Another possibility would be to charge the $300 annual fee while changing the group description. Previously, I said “the fee will be $300 for 12 group sessions.” I can see how that sounds like I am trying to market a service or product, which is why Meetup rejected it last time. Instead, I could still try $300 as the group fee and really emphasize the actionable material and potential value this group will provide in the group description. For example:
> Learning to trade has allowed me to feed myself for the last 10+ years,
> which is worth more than any educational content I have ever purchased.
I could state that while people of all levels are welcome, I seek commitment and emphasize a focus on accountability. Members can be held accountable for coming to sessions. Members can also be held accountable for participation although this may deter potential members who don’t feel confident in their knowledge and/or are scared to present for others. A softer requirement would be holding members accountable for making the effort to learn (operational definition?).
With all this focus on accountability, I probably don’t need to explicitly justify the annual fee. For people who trade, accountability is really important and very few roads lead there. I like this idea.
Especially in lieu of a stiff annual fee, I could require a qualifying interview to make the group more marketable. People are sometimes more motivated by a perceived barrier to entry—particularly if clearing the barrier results in an ego boost, which would be the case for more experienced traders. This would also raise the perceived competency level of the group. The downside would be losing potential members who know they are beginners and not yet ready.
Interviewing would also help me because I want people who will put in time and honor a commitment to the group.
I will conclude next time.
Categories: Uncategorized | Comments (0) | PermalinkGeneral Theories on System Development (Appendix)
Posted by Mark on October 9, 2020 at 07:00 | Last modified: May 7, 2020 13:45In January, I did a two–part blog post with this same title. I also had some additional notes that got saved into a draft and were never published. These additional notes follow for organizational purposes and in the longshot case that someone out there could possibly benefit from any of this (originally from Dec 2012).
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I make this claim because some people do believe certain characteristics apply to one ticker and not another. If the tickers are indices then it should be more robust since these are averages of many tickers.
At this point in my young system development career, I’m just not convinced about patterns applying to one ticker and not another. I really want in the case then certainly they should be able to apply to one index and not another–and it should… If I’m not convinced about the pattern then I should evaluate long and short trades together and if performance is not satisfactory then it’s time to junk this system and move onto the next one. [1]
Furthermore, the more conditions I have to add to a system to get it to backtest well, the less likely it is to perform well in live trading. This is curve fitting. Since I am so new to system development it might still be worthwhile to go ahead and add additional conditions because only in doing so will I truly develop a feel for the range of performance to be seen.
If I were to add another condition then I would consider a filter to take long (short) trades only when the market is in an uptrend (downtrend).
Alternatively, I could proceed to do maximum adverse (favorable) excursion analysis to see if adding stops and/or profit targets might improve performance.
Should I choose to do neither, then I will table this system for the time being and move onto something else.
Finally, some things to look for when trying to test trading strategies include:
- Long vs. short performance
- Impact of trade delays
- Effect on return-to-risk ratio / max drawdown (reassess subjective function from RRR/MDD to PF + % profitable )
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Lord help anyone spending a lot of time trying to understand [1]!
Categories: System Development | Comments (0) | PermalinkLead Trader and Research Assistant (Part 1)
Posted by Mark on October 6, 2020 at 07:06 | Last modified: January 9, 2021 14:30I recently thought I found my “dream job” but, as described here and here, that did not work out. Today I want to discuss another job opportunity that just made it to my inbox.
Here’s a job description for Lead Trader and Research Assistant:
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The trader/research assistant position focuses on… trading funds in our client accounts and researching for our investment committee as directed by our CIO. We are specifically looking for a tech savvy candidate who has extreme focus and attention to detail but is ready and able to work under pressure. It is also essential that this person can work independently, meaning they can be trusted to focus on work during work hours (putting the cell phone aside) without having to be supervised. As a company we strongly believe the best team members do not need to be managed, they simply need to be supported. We expect out of the box thinking and problem solving, this team member will always have the benefit of a team but should be able to work through issues independently as well.
Duties include but not limited to:
- Trading client accounts
- Monitoring money coming into and going out of client accounts
- Assistant researcher to our CIO, doing research and preparing results for investment committee
- Creative thinking and problem solving skills, each case will present its own unique variables and challenges, it is our job to do the heavy lifting so that our clients don’t have to
- Learn and become proficient with all technology partners [including] E-Money Financial Planning Software, Morningstar Advisor Workstation, Wealthbox, and Riskalyze
- Work cooperatively with entire team to learn systems and processes
Qualifications:
- Background in finance preferred but not required
- Basic understanding of taxes
- Attention to Detail
- Great Communication Skills
- Organized, Efficient, and Professional Work Ethic
- Must be a cultural fit
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Unlike the last job, I think I meet all the qualifications for this one:
- All I have been doing for the last 12+ years is mastering my ability to work independently (also one reason I’m applying to work with others since—as mentioned in this fourth paragraph—I miss my co-workers and clients from time to time).
- I can focus on work during the typical 9-to-5 (and beyond).
- Having been my own boss since the first day of 2008, I certainly do not need to be managed.
- The host of packages listed on my résumé demonstrates my ability to learn new software over the years.
- With regard to wealth management, I feel like trading options is far “outside the box” (see this mini-series).
- This blog is a prime example of my attention to detail; hopefully I have caught all the typographical errors!
Although job applications are no longer being accepted, I will continue next time with the sort of cover letter I would submit.
Categories: About Me | Comments (0) | PermalinkReview of Python Courses (Part 1)
Posted by Mark on October 1, 2020 at 07:24 | Last modified: January 6, 2021 13:46In this post, I introduced you to my recent work learning Python. Although I’ve done all the exercises and taken lots of notes, I have zipped through tens of Python classes in less than four hours each (on average). For this reason, I certainly would not claim to be a Pythonista or a programming expert.
It’s a start, though, and as a way to help solidify my knowledge a bit, I’m going to go through the courses I have taken and provide brief summaries of them all. In doing this, I will go through my notes to aid with my own learning.
My first class was Introduction to Python. This starts by describing a brief history of Python and the DataCamp setup for programming and console (technical term) usage. The section continues with:
- Variables
- Data types
- Lists
- List slicing
- List manipulation
The course continues on with:
- Functions with round() as an exemplar
- Methods
- Packages
- Numpy
- Array types
- Array subsetting
- Data analysis
Class #2 for me was Intermediate Python. Concepts covered in this class include:
- Data visualization including scatter plots, histograms, and line plots (matplotlib)
- Customizing plots with axis labels, title, ticks, and formatting
- Dictionaries [vs. lists]
- [Pandas] Dataframes (Df)
- Df column/row access (.loc and .iloc accessors)
- Comparison operators
- Boolean operators
- If, elif, else
- Df filtering
- For and while loops
- .enumerate() method
- Loop data structures
- .apply() method
- Random numbers, generators, walks, distributions
Really good introductory stuff, here!
Categories: Python | Comments (0) | PermalinkBullish Iron Butterflies (Appendix)
Posted by Mark on September 28, 2020 at 06:54 | Last modified: May 8, 2020 10:19I’ve been going through my “drafts” folder this year trying to finish partially-written blog posts and get more organized. This post began an eight-part mini-series on bullish iron butterflies (IBF). My drafts folder contained one additional post containing miscellaneous thoughts about the trade and development. In the longshot case that someone out there could possibly benefit from any of this, here is that post from Sep 2017.
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With the bullish IBF, I have found profit factor to be much lower and complicated backtesting with OptionVue. What about profit per commission?
Intuitively, I feel the market moves around in gross points more than proportionately to the underlying value. Does ATR truly capture this? If not, then perhaps fixed width rather than a dynamic butterfly is the way to go. In that case, I should just repeat my backtesting with different widths and see what works best. That would also allow for easier MAE analysis, which I might be finding right now is impossible due to varying widths.
I thought the bullish butterfly would perform better because of the general upward bias to equities over the last decade. I’d like to compare this to an ATM butterfly.
Other future directions include:
- Break down PnL by width
- MAE distribution
- Slippage analysis
- Break down PnL by Osc
- Categorize by Average IV
- Study effect of time stop
- Histogram of days in trade for winners (earlier exit, lower
potential loss since T+0 maintains height over max loss)
The preliminary trade statistics did not record trade price, which I’m guessing is lower for the symmetric than the bullish IBF.
I haven’t dealt much with the differential margin requirement on each trade. What about widening the narrow structures in case that’s just leftover margin anyway?
Is there an issue with profit contribution when trading width-adjusted butterflies? The wider structures contribute more profit than the narrow ones. The narrow ones lose less because they are more diluted but they also return less in terms of ROI (in addition to gross).
Categories: Backtesting | Comments (0) | PermalinkAttacking the Python
Posted by Mark on September 25, 2020 at 07:18 | Last modified: January 5, 2021 14:29In 2019, I spent about four months taking some introductory online courses in Python, Excel VBA, and TradeStation EasyLanguage. This year, I’ve made a somewhat larger commitment to learn Python by subscribing to DataCamp (DC).
DC offers hundreds of online courses in Python, R, and other subjects pertaining to data science and programming. Classes include roughly 15 videos with each averaging around four minutes in length. The videos are punctuated with multiple-choice questions and fill-in-the-blank programming exercises. If I don’t know the answer then I can click to get a hint and, if necessary, click to get the answer. At any point, I can submit my answer to be checked. If correct, I gain points and move onto the next exercise or video (watched videos also accrue points).
One thing I found lacking at DC was a detailed explanation of solutions. I usually found provided solutions to be self-explanatory (especially in combination with the videos), but occasionally I was left scratching my head. To this end, DC has a Slack platform with multiple channels where questions can be asked or comments made. I have found this community to be of significant benefit thanks to a number of people eager to help.
DC bundles together classes into career tracks and skill tracks. The former encompass more classes and a broader education. I completed the “Data Science with Python” career track while going through 100+ classes. I was only a few courses away from completing a few other career tracks, but I took all the classes that captured my interest. I feel like I definitely gained a solid, introductory foundation for what programming in Python is all about.
In addition to the classes, DC offers additional practice exercises, assessments, and some open-ended (not fill-in-the-blank) projects. I plan to do some of these, but I have not yet started.
I have been doing supplemental practice exercises at w3resource.com. This is not the only website that offers such practice exercises, but it has a lot of them along with working solutions.
To aid with my review, I have also started my first bigger project: a futures backtester. This will take a lot of time (and require extra help since I have such limited programming experience) but should be very educational. I will write about this soon.
Categories: Python | Comments (0) | PermalinkWooing My Dream Job (Part 2)
Posted by Mark on September 22, 2020 at 07:08 | Last modified: January 9, 2021 11:01Continuing on with a recent job listing for my potential dream job:
The Jr. Investment Analyst will be responsible for collecting and managing performance and market data used for reporting on portfolio performance.
In this role, the Jr. Investment Analyst is expected to:
- Work collaboratively the Board of Directors, the Investment Committee, the Executive Director, and Director of Finance
- Work collaboratively with the Chief Investment Officer… investment managers, service providers and custodial banks
- Compile investment materials for quarterly board meetings with investment committee
- Manage programs based on scope of work for new initiatives
- Gather and analyze data, facilitate meetings, and produce reports as required
- Conduct quantitative analysis to support efforts
- Manage Key Performance Indicators by capturing data and reporting on a timely basis
- Identify opportunities to improve quality of reporting and metrics
Required Knowledge, Skills, and Abilities
The candidate will be early in their career and will have served as a junior investment or finance analyst with experience in managing investment portfolios, evaluating strategies, assessing portfolio performance, coordinating resources, and reporting. The candidate should be very familiar with investment concepts, asset allocations, and have experience using a variety of tools and data sources with experience in a foundation, pension, or endowment.
Critical competencies and experiences:
- A College or University degree
- Strong analytical skills and ability to deal with large amounts of data with attention to detail
- Strong quantitative skills with expertise in financial modeling and statistical analysis
- Knowledge of investments and completion or pursuit of CFA certification
- No more than 3-5 years of experience in finance
- Team player: collaborative and flexible
- Very high proficiency with Office and expertise with Excel and PowerPoint
- Knowledge and experience in computational modeling, programming, statistics, and state of the art reporting tools
- Ability to learn new systems and databases
I can fast forward and tell you that I did not get a call back for this position. To be sure, I was overreaching in some areas:
- Although I started preparing for CFA Level 1 in 2012, I did not complete the process nor take the exam
- I am still very early in my Python journey, which may or may not be considered sufficient programming experience
- I have no experience with reporting tools
Finally, I have worked as a full-time option trader for over 12 years, which exceeds their desire for no more than 3-5 years in finance. I have trouble understanding why this would be a deterrent, though. I would imagine this—perhaps more than anything else—is what made me unique compared to most other applicants.
This was my first job application in over 19 years. It was not meant to be.
On to the next one!
Categories: About Me | Comments (0) | PermalinkWooing My Dream Job (Part 1)
Posted by Mark on September 17, 2020 at 07:41 | Last modified: September 19, 2020 15:33I recently stumbled upon a job listing that captured my attention.
Well… more than “captured my attention.”
Fine: it was virtually love at first sight, okay?!?
Minus some particular details to protect the innocent, the listing reads as follows:
“[We are] a private, non-profit research foundation… formed in 1973 [to help] achieve… objectives around economic development through the commercialization of intellectual property…
[We] manage a… [multi-] million [dollar] endowment, built from decades of licensing revenue derived from… intellectual property. In addition to providing… [millions] in research funding… annually… [we] operate four subsidiary organizations…
[We are looking] to hire a Jr. Investment Analyst to work closely with the Executive Director, Director of Finance, and Chair of the… Foundation’s Investment Committee to assist with the management of the investment portfolio…
The… Foundation’s portfolio is created from decades of licensing revenue derived from licensed intellectual property. It is… a flexible and sustainable resource that creates the margin of excellence for… [us] as a research organization.
As a flexible resource, [we] must be prepared to provide financial support at higher than sustainable expenditure levels in response to extraordinary circumstances… As a sustainable resource… [we carry] an obligation to invest and grow… assets to ensure benefits to this and future generations…
The Board of Directors… is responsible for making decisions that govern all aspects of the… Foundation and its investments are overseen by the… Foundation Investment Committee…
The Investment Committee sets investment objectives and performance measurement standards and has the responsibility to oversee the investment management of the Fund, Endowment, and Restricted Funds on its behalf. The Investment Committee has the responsibility to ensure that the assets of the… Foundation are managed in a manner that is consistent with the policies and objectives of each respective pool of capital.
The portfolio is generally segmented into four main categories including Global Public Equities, Hedge Funds and Fixed Income, Private Equity and Venture Capital and Program Investments. Together, the Investment Committee and… Foundation leadership manage several service providers to assist within the main categories and direct relationships with investment managers to perform diligence, asset allocation, manager selection and reporting.
Job Brief
This role is ideally suited for an individual early in their career. The Jr. Investment Analyst will work closely with the Executive Director, Director of Finance and Chair of the Investment Committee in all aspects of the investment portfolio management and reporting. From monitoring the portfolio positions, preparing, and presenting performance reports, reviewing contracts and fees for managers, capital calls, and performing analysis, the Jr. Investment Analyst will have hands on exposure to helping oversee this important resource.”
I will continue next time.
Categories: About Me | Comments (0) | PermalinkThe Mixed-Up Files of SEMI Collective (Part 4)
Posted by Mark on September 14, 2020 at 07:23 | Last modified: May 7, 2020 16:04I’ve been going through my “drafts” folder this year trying to finish partially-written blog posts and get more organized. This is another series of unfinished posts.
From October 2016, I have a post about the SEMI group concept. I also had four other incomplete drafts. I have cursorily looked over these drafts along with the actual post. The content is different.
I resurrected Part 3 here. In the longshot case that someone out there could possibly benefit from any of this, here is what I believe to be Part 4.
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In a sense, I want to outlaw from this group what Planet Fitness outlaws from their facilities. Like Planet Fitness allows no “Gymtimidation,” I want no “Fin[ance]timidation.” Like Planet Fitness has a lunk alarm, will we have an alarm for excessive egos. If you believe strongly about something and have verifiable data to support it, then perhaps we can work together to evaluate the results and the conclusions. If you bring only baseless claims (including undocumented personal trading performance), then I don’t really want to hear about it.
I want this group to be different.
I want to gradually move discussion toward the topic of trading as a business. This is what I do. I believe trading full-time is certainly possible with a different mentality/outlook than that commonly discussed. I hope every session includes actionable information that brings us closer to our trading goals. I also aim to discuss and develop the skills required to manage our own money. I don’t rely on outside “financial professionals” to manage my money and I strongly believe you shouldn’t either.*
I want this group to be different.
We will talk a lot about marketing, advertising, and fraud. I believe the experience of being conned offers a solid head start to failure in the financial space. I have communicated with many who have lost money to bad brokers, to investment newsletters, and to expensive trader education companies. We will talk about classic fraud and the role of heuristic thinking in making us believe things are better than they actually are. This increases probability of becoming the next sucker.
I want this group to be different.
Most everything we discuss in this group should relate to financial literacy. I want to help you develop and learn. What you do with that knowledge in your efforts to profit is up to you. I believe you are ultimately the best person to manage your own finances—not a professional adviser, not a canned trading system, and not a newsletter—and our discussion will periodically revisit this point.
* — For the great many, I have since changed my mind on this matter (see paragraphs 3-4).