Friday, 31 August 2012

even more trace analysis

Well this is interesting. All of the reports below (apart from HCM, this is included as a demo) are current live indicators for today - 31st-Aug-2012.
The columns in order left to right are:
company, date tweeted, opening price for the next day, 5, 10 and 15 day percentage increases, tweedledee, tweedledum (two success coefficients)
(empty columns denote that we do not yet know the opening price because today's data has not been analysed - it not being the end of day today yet)

I have noticed that any tweedledee below 200, with a low tweedledum (less than about 100) more often than not indicates a mediocre performance in our given time frame:

FTF 30-AUG-12

189 0
FTF 29-AUG-12 86.25 0 0 0 189 0
FTF 28-AUG-12 85 1.47 1.47 1.47 189 0
FTF 24-AUG-12 87 0 0 0 153 0
FTO 30-AUG-12

27 1000
FTO 29-AUG-12 9.4 1.65 1.65 1.65 27 1000
FTO 28-AUG-12 9.5 0.58 0.58 0.58 27 1000
FTO 24-AUG-12 9.3 3.23 3.23 3.23 27 1000
FTO 23-AUG-12 9.5 1.05 1.05 1.05 27 1000

On the other hand a large tweedledee denotes a good performance indicator within our time frame:

HCM 03-AUG-12 410 6.1 6.1 6.1 2481 705
HCM 02-AUG-12 400 8.75 8.75 8.75 2481 705
HCM 01-AUG-12 405 7.41 7.41 7.41 2480 704
HCM 31-JUL-12 390 11.54 11.54 11.54 2480 704
HCM 30-JUL-12 366 18.85 18.85 18.85 2377 692
HCM 27-JUL-12 345 23.19 26.09 26.09 2377 692
HCM 26-JUL-12 346 21.39 25.72 25.72 2377 692
HCM 25-JUL-12 350 17.14 24.29 24.29 2377 692
HCM 24-JUL-12 355 14.08 22.54 22.54 2377 692
HCM 23-JUL-12 366 10.66 18.85 18.85 2377 692

But as you can see it is also dependent on time - the success coefficients move in a wave like form, and there is an optimal time when we should trade.

(Also tweedledee has to be taken with tweedledum)

The two above statements together make for an interesting concept - as demonstrated below:



What we see here is that SIE has been trundling away not doing anything in particular but all of a sudden the success coefficients have increased. I am guessing that SIE should have been bought on the opening of the 29th Aug 2012.

As a bonus for today AHT has just triggered today with a tweedledee of 1865 and a tweedledum of 208.

Thursday, 30 August 2012

traces - more results

So here we are, where each night we compare the 300,000 odd Markov chains to the indicators triggered for each individual company.

To the right is a screen shot of all the LSE tweets around a randomly chosen date around 1st Aug this year - counting backwards the columns are: last column, success coefficient tweedledum, is the average number of time each individual indicator has occurred above the required 2 (the numbers are in 0.000s and so 231 would mean 2.0231 ), the penultimate column is the number of times separate individual indicators have been triggered, success coefficient tweedledee, here 561 means 561. The next three columns are percentage increase over the last 5, 10 and 15 days (reading left to right), The first column is the company, then the date and then the opening price of the next day (approximate price at which we would buy).

Currently analyzing these results, but have been trading high tweedledee and tweedledum numbers and it has been working (EXI, AGTA, HUM, SXX (although I missed buying this one, but it did act as predicted))

Wednesday, 22 August 2012


Fibonacci is another buy/sell indicator sort of thing and am looking at incorporating - it is one where the first statement is 'if up trend do this, and if down trend do the other' (the same as Candlestick calcs) as well as pin pointing tops and bottoms of trends - luckily I have been working a long time trying to implement tops and bottoms, and am piggy backing our trace system onto Fibonacci -... as well as working on the 5.3b Candlesticks calculations (first step below, new bigger faster system)

First up, calculate the Markov chains for Fibonacci retracements.
Second, do something to get 5.3b Candlestick calculations to a reasonable time.

Sold AGTA into TOM just now on LSE.

new system

Awaiting delivery of new system -  the interesting bits being:
Processor (CPU)Intel® Xeon® 8-Core E5-2687W (3.1 GHz, 8.00 GT/s, 20M L3 Cache)
MotherboardASUS® P9X79 WS - SOCKET 2011, QUAD DDR3, USB 3.0, SATA 6 GB/s
Memory - 1st Hard Disk240GB INTEL® 520 SERIES SSD, SATA 6 Gb/s (upto 550MB/sR | 520MB/sW)
2nd Hard Disk240GB INTEL® 520 SERIES SSD, SATA 6 Gb/s (upto 550MB/sR | 520MB/sW)
3rd Hard Disk240GB INTEL® 520 SERIES SSD, SATA 6 Gb/s (upto 550MB/sR | 520MB/sW)
4th Hard Disk240GB INTEL® 520 SERIES SSD, SATA 6 Gb/s (upto 550MB/sR | 520MB/sW)

Multi disks and processor cores for the concurrent processing of Candlesticks

Tuesday, 14 August 2012

lets do 5.3 billion Candlestick calculations

Been heavily involved in trying to condense the Candlestick processing. The story so far is that I have 8 Candlestick indicators, 3 of which have 2 values and the remaining 5 have 22 values. What this gives is 256 divided by 2 combinations (each candlestick option appears only in half of the options) of 22 to the power 5 times 2 to the power 3, giving 5,277,319,168 separate Candlestick calculations - as the previous indicator calculations take 2 hours per company for 300,000 odd calculations, then 5.3b will take approximately 4 years per company to complete, there are approximately 2,500 companies in the LSE, and so we should be finished by about the year 12012. This is unacceptable, and so thinking up ways to optimise.  

Monday, 6 August 2012


Came out of EXI with the required 11.5%, but then got taught a valuable lesson in trading with SXX - SXX via L2 was trading nicely with 14.5 as buy and 14.7 as sell, so I thought I'd go in at 14.6, as one would. But in a rising trend there were no takers for 14.6 and so lost out on todays high of 16.0 (at end of day) - I guess the lesson is that on a rising trend go with the sellers numbers.

SXX is not triggered this evening, but WSG and VTBR are - as are some others that are on the tweet. WSG tomorrow.

Thursday, 2 August 2012