Tougher End of Year

The snows are coming to our mountains. We've had light touches further above us, but luckily no snow at our level. We're ready for winter now. The leaves have been blown and the snow blower is primed, skis are waxed. Bring on the snow!


I don't know if anyone else has noticed, but the last 10 days have been tougher trading. Maybe it's my rhythm or it's the markets that have changed a little. My win rate is down a little bit. I guess it has been a long year, but a good one.


The DAX chart is from TradeStation. I like their walk forward analysis very much, although it takes a long time to run an optimisation. I wish they would re-write for 64 bit 4 cores.

Pedal to find your dream home with Google Maps

(Cross-posted on the Lat Long Blog.)

The features available in Google Maps are equally functional and fun. You can tour distant cities with Street View or map out a trip with multiple destinations using Custom Maps. Not only is Google Maps a great tool for everyday personal use, but it’s can also be used as a practical business tool. Such is the case for Matt Kolb, owner of Pedal to Properties.

Matt is an avid cyclist and a realtor based in Boulder, Colorado. In 2006, Matt decided to blend his hobby and career by founding his own real estate agency called Pedal to Properties. His company is built on the idea that by touring homes via bicycle, one can get a better sense of the local community and determine if a particular property is the right fit.

When Matt meets with clients, he locates various properties on Google Maps and creates a biking route of the houses they’ll visit that day, using Bicycling Directions as a guide. Home buyers are encouraged to interact with the map, using Street View to check out a property and its surrounding neighborhood, and using nearby search to take a look at local schools and businesses. Through this process Matt is able to narrow down viable homes for a specific buyer, making the experience enjoyable and time-efficient.

If you have interesting stories about how you use biking directions, Street View, or other Google Maps features to enhance your business, comment on our Google+ Page with #mygmapstory

Posted by Dave Kim, Product Marketing Manager

Made to Measure

The chart below shows a trading system I use for the first couple of hours when a market starts its very active period. It could be the ES at the beginning of RTH or, as in this case, the first few hours of the DAX.


The system works off a very short periodicity. It can be manual, hybrid or fully auto. It trades the pullbacks in the direction of the trend as defined, in this case, by the CCI and the Order Flow Metric indicator. It looks for 200 Euro profit and stops at the extreme of the entry bar. I adjust the target any time I use it, to account for my perceived idea of volatility. Not too scientific but it works.


You can use other things you like to define the trend and order flow. My indicators are ones we used in the recent Workshop.


As you can see, I didn't get trapped and the results were 5 good trades. The idea is to be finished trading within the first couple of hours or so. Not always this easy but picking your market helps.

The Tasks for a good simulator.

The LLC hovering vehicles were fairly simple to model. Fixed local frame of reference, constant air pressure, fixed magnetic dip and declination all in all slow enough that one could basically ignore air drag. One could model the vehicle dynamics using a simple unchanging world in Cartesian coordinates.

I've spent the last 2 years thinking about what it takes to build an orbital vehicle. A very rough first pass can be done with a simple how much delta V do you need. A more refined tradeoff needs a more refined model. Ultimately I'd like a full up hardware in the loop simulator that I can run full missions on. Writing such a simulator is a bit of a daunting task.

Just modeling the complexity of the "World" as you fly around it is non trivial. Starting with what reference frame do you use: Lat Lon altitude? , North East Down? Earth centered fixed. Earth centered Inertial? (Probably ECI what epoch J2000?)

A whole bunch of things that used to be fixed for the LLC simulator now change...

• Gravity,
• Atmospheric pressure.
• Magnetic field strength, direction.
• GPS constellation geometry.
• Earth is not round.
  

One could refine the vehicle model with a simple 2D model of a spherical earth and launched from the equator, Yet there are questions that can't be answered without these details. Just one simple example, I plan to use a MEMS IMU, GPS and Magnetic sensor to keep track of the vehicle position and orientation. MEMS IMU's drift really bad (0.1deg per sec is typical for a mems gyro) A better Laser gyro is much much heavier.

This is correctable if you have a couple of outside references to keep things aligned. In aircraft its common to use gravity and magnetic field to "erect" the gyros keeping then aligned. On a spacecraft under thrust you can do it with GPS velocity an accelerometer and a 3D magnetic filed sensor. The accelerometer measureing thrust direction in a body frame is compared against the GPS measured acceleration in an absolute frame (Say ECF), In reality these two vectors measure the smae thing so these two vectors gives you one absolute orientation vector. The magnetic field gives you another. This will fully define the corrections you need to apply. If some where during your launch the magnetic field vector and the desired thrust vector align too closely then you really only have one reference vector and your orientation is ambiguous in roll around that one vector. You might say that orientation on that axis does not matter, and that would almost be true, but if the orientation changes from the desired trajectory and you want to correct back or close the loop, you must have a full orientation solution to steer the rocket.

So do they ever align? I have absolutely no idea. Does this mean I'm limited to picking only certain orbits? Maybe? When the rocket stops thrusting and coasts I loose my orientation again, can I start thrusting for a circulization burn and learn my orientation quickly or is it more efficent to steer into a direct injection orbit with no circularzation burn.

Doing a direct injection burn has a delta V penalty, is this penalty larger or smaller than the hardware weight cost to have the 3rd stage motor restart? Is the find my orientaion with quick thrusting penalty in delta V greater or less than the mass penalty for a simple sun sensor, or tine CMOS start tracker? Inquiring minds want to know. The whole conceptual rocket has way too many knobs.

Beyond modeling the world you have to model the vehicle and its systems. Tanks, valves, actuators, pressurization systems, rocket motors, thrust vector control, atmosphere drag, aerodynamic moments, areo and solar heating etc.. etc...

Trying to organize this monster project into a modular individually testable coding campaign is quite daunting.

What's Seqonomics about?

Genome sequencing is evolving rapidly. The most obvious change is that it's becoming cheaper. The first human genome, released in 2001, cost a billion dollars. As of late 2011, the cost of sequencing a genome is $4,000 - this means that today you could sequence a quarter of a million people with the budget of the Human Genome Project.

But sequencing is changing in other ways too: Sequencing machines are becoming smaller and easier to use. As a result, new markets and new applications emerge.

In this blog, I'll explore the changes that are happening in the DNA sequencing market right now, asking questions such as:

• Does the history of the computing industry teach us anything about the future of the sequencing industry?
• What new applications will there be for radically cheaper DNA sequencing technology?
• Will genome sequences be mainly stored in the cloud?
• How will the purchase criteria for sequencing machines change in the future?

For the next few months, I'll post a new blog post every Friday. My entries will follow the dictum "Better boldly wrong rather than not having tried at all". As a result, I expect my posts to sometimes be controversial, and I hope that they'll cause some interesting discussion.

Jobs Report Trade

The market has not been very interesting for the last 36 hours, but came to life again on the U.S. monthly jobs report. Traders got whipped a bit on the number but it was really bearish as far as I was concerned. But never mind my opinion, the chart showed what "they" thought.


My first entry had a bit of slippage as I was selling the break of the two EMAs, but it turned out OK as did the follow up.

We Deal in Probabilities

The essence of trading is the probability of success. To know probabilities, I have to back test and collect live or SIM data. From these statistics I know what I could expect. However, as Clint Eastwood said, "if you want a guarantee, buy a toaster" as the markets can unfold in a different sequence to your historical data.


So why is testing any use? Well, what is it exactly that you are testing? What you should be testing is the actual picture you're trading. What is the probability that the picture, when traded, results in a profitable outcome? If you have a large enough sample size over a variety of market volatilities, the results have great value.


What is unknown is the order in which the losing and winning trades will unfold. This is what determines, among other things, what the drawdown of the "system" will be. If you add hard targets and hard stop losses then you add some more unknowns as the hard exits over a large sample will only provide an "average" good stop and target. As volatility changes, as day types change, these "average" exits will sometimes be good and sometimes not. This impacts both profitability and drawdown. Using dynamic exits related to market activity is the way to mitigate the effect of these variables.


Below is a DAX chart during U.S. RTH. Market was quite sloppy today but Flo managed to do quite well. This as a fairly short term algo, entering on a limit order and exiting dynamically at market. First trade was a loser and the others, winners. The yellow line is a 135 CCI which can be used as a filter.