Lobsters! Wow, woooah, wow!

My EPIC name: Dr. Pythagoruzcon, typhoon

This is what I got when I made my name "mighty." Try it out here.

Jaws Festival 8 Poster

There are some leftovers from our limited print of 200 12x18" prints on 100 lb matte cardstock. Email me at pythagoruz@yahoo.com to order one for $20 (shipping is included). They are all individually signed and numbered.

Cosmic Questions, youtube's greatest clip

The IB Olympiad is "Discontinued"

Today I got confirmation that the IB Olympiad is officially finished. Many of you have probably noticed, as I did, that the Olympiad link was replaced on the IB homepage with a new "student trading lab." This trading lab is really just a course based program where professors can arrange for their class to get paper trading accounts for instructional purposes. I'm curious how much participation they actually get in it, probably not much. The overhead is so huge to get a program actually connecting to the API, getting market data and placing orders that I find it hard to believe that a student could be expected to do it in one or even two semesters for a single course. Yeah we did it, but it was far more work than I ever did for a course.

Anyways, the trading lab really of no use to most of us because you have to get an "adviser" to set it up for you. Personally, I don't even know any professors in the finance department at my school and I have little interest in developing a relationship with one just so I can teach them about my trading strategies. Nah, I'll pass. I also have a paper trading account associated with my real IB account, so I really wouldn't have any reason to participate in the "trading lab." Then of course, the incentive of a competition with prizes and fame is no longer there. Its a bummer, especially since the Olympiad has been a consistent source of income for me the past three years I competed (a total of $12k in prize money).

In response to my email, IB said:

"Dear Hunter,

Thank you for your feedback.

Yes, we discontinued the Olympiad. As you already now, we have a new program in place - The IB Student Trading Lab.

If you know of any students interested in the program, please let them know they can email with any questions regarding participation in the program.

Best of luck to you.

Regards,
IB Marketing Team"

Well that about wraps it up, it was a fun ride while it lasted. If you are interested in my market opinions please see my other blog. From henceforth this blog will go back to being about purely non-market related topics. I have an epic post on the big bang (or the lack thereof) in the works. Cheers!

Unemployed vs PhD Student

Count Von Count's Theme Song (censored)

Like the Count, I like to count as well. Explanation here.

BBC: Dophins are Deep Thinkers

Standing Waves on a Bass

stunning bass-string shot from urbanscreen on Vimeo.

"We are a way for the Cosmos to know its self"

No words.

This makes me smile even more: Phish's kids jumping in the tub with their brothers (on Father's Day)

This makes me smile: Phish glowstick wars at Bonnaroo 2009 in HD

Shark Science Outreach

From xkcd.

"This is equivalent to finding polar bears in Kansas"

The internet is a buzz with this recent discovery about basking sharks. From the discovery channel:

"In the western Atlantic, the world's second largest fish swims all the way from New England to the Bahamas and across the equator to South America, a new study finds. Scientists have long thought that basking sharks spent all of their time in cooler waters.
...
Basking sharks have long been shrouded in mystery. These fish, which can measure 35 feet or longer, are known to live in temperate waters around the world. Yet, no one has ever examined a newborn basking shark. No one has seen a pregnant female. No one knows where the animals give birth.

And until recently, no one knew where they spent much of their time, particularly in the winter.

To learn more, Skomal and colleagues attached a new type of satellite tracking tag to 25 basking sharks off the coast of Cape Cod, Mass. Once each tag was attached to a shark, it collected data on depth, temperature and light levels for a preprogrammed amount of time -- from 12 days to more than a year. When its time was up, the device popped off the animal and sent its data back to the researchers.

Tags came off in a wide range of locations, the scientists reported today in the journal Current Biology, from New England to the coast of Brazil in the Southern Hemisphere. Other locations included the Sargasso Sea, the Puerto Rico Trench, and the Guyana coast.

Five sharks traveled more than 2,400 kilometers (nearly 1,500 miles). One spent a month hanging out near the mouth of the Amazon River.

A closer look at data from six sharks showed that the animals traveled at depths of between 200 meters (650 feet) and 1,000 meters (3,300 feet). Some stayed at those levels for up to five months. The animals appeared to seek out water in an ideal temperature range. "

Wired also wrote up an article on this discovery which is where I got these pictures. They had a few interesting quotes:

"The basking shark is a benign behemoth. It swims at about three miles per hour with its four-foot-wide mouth gaping open, filtering through almost 500,000 gallons of water every hour for its plankton sustenance.

...

The extended range of the sharks suggests that the different Atlantic subpopulations — near the east and west coasts of both hemispheres — may actually be the same population.

“They might even be crossing into other oceans,” he said, “meaning there might actually be one population in the entire world.”

This possibility has implications for conservation biologists. The sharks are currently listed as “vulnerable” on the IUCN Red List of Threatened Species, due to the high value of their fins which are the key ingredient for shark fin soup, a tasteless but symbolic Chinese delicacy. The sharks’ livers, which can make up 25 percent of their total body weight, also fetch a high price for their oil.

“This tells us that if we allow sharks off British Columbia to be harvested, we might be impacting the entire population,” said Skomal. “We can’t just save the fish off of New England, we have to coordinate with all the fisheries. We have to divide up the pie instead of each having our own pie.”"

So humans, give the basking sharks a break, they are harmless and rare creatures of the deep. Boy would I love to dive with a basking shark, that would be the coolest thing ever. I did run into this video clip about a massive aquarium in Georgia that allows the public to come swim and dive in it. At first glance its kinda lame, diving in an aquarium? But considering its in Georgia, which doesn't have good diving to my understanding, and considering they have whale sharks in there, I think its a pretty cool concept. You can see whale sharks diving in the Caribbean, but they very rare. Note, basking sharks are different from whale sharks although both are gigantic and completely harmless to humans. More on whale sharks in this video.

Wait for it, wait for it...

"It's not screaming... it's just the air escaping"

The good and the bad news about eating crabs with melted butter...

As some of you know, by a long shot, my favorite food in the world is boiled crab with some melted butter. My particular favorite would have to be Texas Gulf Coast blue crabs because they are cheap and I think they are the most flavorful. Also, if you are inclined, its pretty easy to catch them with a crab trap and bait assuming you have some coastline or a boat. For bait you can use leftover meat from a meal or a gutted fish and the crab trap can be re-used for years so it can be a pretty cheap meal! There are some complications however.

First of all, it can be a lot of work to get the meat out, especially if you don't have much experience. The shells are thick and have to be cracked open and within the main body of the crab you have to pick out the meat just right to keep it in nice big chucks. This is actually one of the things I like about eating crab, it takes some skills and it slows you down. Since there is a natural speed bump to eating it you could sit there for hours (and I do) eating crab because your body digests the meat just as fast as you can eat it. Since crab meat is extremely lean I don' think there are health consequences to eating large portions of it. The other complication is that you have to cook the crabs alive and this brings me to the bad news.

Now cooking crabs alive is something that I have never enjoyed doing. These hardy little monsters want to live and they are not afraid of you. Given the chance they can and will take your finger off. Now that is something that I can respect. These animals have been engineered by nature to kick ass and not take names. With a thick shell and two big pincers they are ready for battle and I've been scarred a few times trying to pick them up. They also attack each other when you put them in a container together, which is obviously gonna kinda get in the way of you cooking them all alive. But I definitely have respect for crabs and I feel bad to throw them in a pot of boiling water... alive. However, until now I had assumed, like most, that crabs actually can't sense pain. Since crustaceans have no vertebrae it had been thought that crabs do not feel pain. A recent study proved that wrong:

"Not only do crabs suffer pain, a new study found, but they retain a memory of it (assuming they aren't already dead on your dinner plate). The scientists say its time for new laws to consider the suffering of all crustaceans.

The study involved using wires to deliver shocks to the bellies of hermit crabs, which, being hermits, often take up residence in left-behind mollusc shells. The crabs that were shocked scampered out of their shells, "indicating that the experience is unpleasant for them," the scientists concluded; unshocked crabs stayed put.

Another test was run to see what would happen if a mild shock was delivered, one just below the threshold that would cause the crabs to leave home. These mildly shocked crabs, along with crabs that had not been shocked, were then offered a new home. The typical reaction: They'd go inspect the new shell. Significantly, those that had been shocked were more likely to pack up and move to the new residence compared to those that hadn't been shocked. "

So that's the bad news, now I have a second layer of guilt for all the grabs I've killed and eaten over the years. I doubt this will sway me from my food passion but it might slow me down.

As I mentioned before, when I eat crab I like to keep it simple. Boil them and serve with melted butter. I might throw in some Zatarans spice and a coke but that's as fancy as I'll get. I had assumed the worst component of this meal for my health was the butter, but boy was I wrong. This brings me to the good news.

Recent studies on tooth decay have revealed that teeth can actually repair themselves given the proper diet. I read this in a fascinating blog post that cited some these studies and generalized the conclusions.

"Teeth are able to heal themselves. That's how traditional cultures such as the Inuit can wear their teeth down to the pulp due to chewing leather and sand-covered dried fish, yet still have an exceptionally low rate of tooth decay. It's also how the African Wakamba tribe can file their front teeth into sharp points without causing decay. Both cultures lost their resistance to tooth decay after adopting nutrient-poor Western foods such as white flour and sugar.

...

If I were to design the ultimate dietary program to heal cavities that incorporates the successes of both doctors, it would look something like this:

• Rich in animal foods such as meat, organs, fish, bone broths, full-fat pastured dairy (if tolerated) and eggs.
  
• Fermented grains only; no unfermented grains such as oatmeal, breakfast cereal, crackers, etc. No breads except sourdough because they typically aren't made from fresh flour.
• No nuts; beans in moderation, only if they're soaked overnight or longer in warm water (due to the phytic acid).
  
• Starchy vegetables such as potatoes and sweet potatoes.
  
• Moderate quantities of fruit, but no refined sweets.
  
• Moderate quantities of well-cooked vegetables.
  
• Sunlight, high-vitamin cod liver oil or vitamin D3 supplements.
  
• Generous amounts of pastured butter. <-----!!!
• No industrially processed food.
  

This diet would maximize mineral absorption while providing abundant fat-soluble vitamins. It probably isn't necessary to follow it strictly. For example, if you eat more mineral-rich foods such as dairy and bone broths, you can probably get away with more phytic acid. Or you might be able to heal cavities eating like this for only one or two meals a day, as Dr. Price demonstrated. "

That's great news for me because I love butter. Its also worth noting that the crab meat its self would also be considered good for teeth as well. I was very surprised by the fact that oats, including bread and cereal are actually very bad for your teeth. Its an interesting article and I'd recommend reading it in full.

Ok, to summarize. Eating crab with butter is good for your teeth, bad for the crab.

IB Olympiad 2009: Closing Remarks

Its been about three weeks now since the fourth annual IB Trading Olympiad concluded, about time for me to make my final comments about this year's competition. Tomorrow I'll be sending out the paper work to IB which is the last step I have to take to actually get the award. Each year its a long process and a lot of work but it has paid off with cash, for me anyways. I didn't do as well this year with a 5% gain that put me in 29th place. Last year I was 19th with a 35% gain and the year before I was 10th with a 19% gain. To a certain degree this competition is definitely about the money, $12k in combined cash prizes goes a long ways for a college kid. That being said, I think the experience of developing a trading system from the ground up will prove to be worth much more than the prize money. Each year I've had new ideas about how to improve my system and have grown more confident that automated trading is the most consistent way to profit in fast moving electronic markets.

Each year I have been extremely impressed by the final results of competitors. This year Kevin Warner placed first with a 344% two month gain. Whats more, his software returned him 192% last year for third place. Now I don't know the details of his strategy or if he even used the same one both years, but the fact remains, his software has consistently returned huge profits. Kevin did stop by the blog and briefly mentioned that he was trading volatility spreads on energy and energy products. He said his strategy wasn't directional but that doesn't surprise me because oil was flat during the competition:


As you may recall, one of my strategies was to buy leveraged oil (DXO) with spare cash. That turned out to be a waste of trading power but it didn't lead to big losses either. My program ended up making all of its profits from shorting spikes in implied volatility. As you can see in the VIX chart below there were plenty of those:


On thing that hurt me was the overall net increase in volatility during the competition. Since my program was generally short options, a rising VIX went against those positions. I will say that I would have expected the VIX to increase much more given the 23% drop in the S&P:


Now that is a sight to behold isn't it? I seriously doubt that this competition will ever see such a big move in the general market in the future. It certainly makes all of those who profited this year look even better. As far as I'm concerned we can all add 23% to our returns since thats how much the benchmark index dropped. So once again I have to congratulate all of the competitors who placed this year. Ryan, Chintan, Kevin and the rest. It was a tough market this year.

IB never responded to my questions in detail, they just directed me to this media relations page. There wasn't a whole lot of useful information there besides this excerpt: "The College Trading Olympiad continues to attract the attention of university professors and their students with applications coming from 41 countries for the 2009 Olympiad with 372 applications accepted. In 2009, students from far-away places including Argentina, Costa Rica, Estonia, Indonesia, Morocco, Peru, the Philippines, Turkey and South Africa took part. " So as Kevin pointed out, "fewer than a fifth of the contestants built a compliant system and ended up with a positive account balance." That speaks to both the difficulty in getting a system working and to getting a working system to actually make money. It also suggests that IB has been successful in attracting an international participation for this competition. Chintan pointed out that IB gets great international press from this and I'd agree. It also means that a new generation of market professionals from around the world will be familair with the IB platform. Chintan is attending school in India I beleive.

So it seems clear to me why IB does this. Its great international pr, it creates customers, it creates employees (they offer internships to some winners) and I'm sure they get some tax write offs for giving money to college students. In Barron's this weekend, Kevin was quoted as saying he was funding a new IB account this week, so IB is sure to see their money boomerang to some degree. I certianly plan to put my $1k into my IB account. But I expect that since this was the fourth year for them to do it that they realize that in the long run they will get more out of it than they put in. I also hope that despite the ever weakening economy, IB will do this again next year. I have some ideas that are sure to improve my strategy. And I could use the money!!

Anyways, thats all from me on the Olympiad for now. Feel free to leave coments with your impressions of this year's competition. If you are interested in what I'm thinking about the markets you can check out my other blog Stock Geometry. Also, if any of you are trading your own accounts, you can often find me in an IRC room that I moderate. Email me at pythagoruz@yahoo.com if you are interested in joining us or have any other things to discuss. Until next year's Olympiad I'll revert back to posting math jokes, cosmological philosophy and other random stuff that I post typically post here. For now I'll leave you with a chart of the Japanese Yen during the Olympiad. A 9% drop in two months is a serious move for the FX markets, what volatility we had!!:


Cheers!

The Olympiad Results: I'm 29th

The results are out!!! I came in 29th with my 4.9% gain, and I'm very happy with that. I will do a more extensive "wrap-up" post sometime in the next week so check back. I just wanted to get these results up on the blog asap. Congrats to all that placed this year, I see some familiar names on the list!

(click to enlarge)

A few quick things I noticed and was suprised by:

• The leader for the entire competition ended up in 2nd (Ahmed Taha)
• There were not many people who placed (not all prizes were awarded)
• The rate of return greatly increased up to first place, much more steep than last year
• To get $10k you needed more than a 30% gain in two months
• To get $100k you needed more than a 260% gain in two months
• Roughly 1/3 of winners were attending school outside the US
  

IB: Olympiad Manual Trades

This was a post that I wanted to save until after the results had been posted. On March 16, last week, I got this email from IB:

"Dear IB Olympiad Participant:

Our internal records show that some of your orders may have been submitted through a non-API method. Do you have an explanation for this?

We need to receive your reply by 10 am ET on Wednesday March 18, 2009.

Sincerely,

Interactive Brokers"

My response was:

"Dear IB,

I am certain that no orders were submitted besides those by my program via the API. I was very careful with the TWS to make sure that I did not accidentally click on the GUI for anything besides the "account" button and the "trades" button. I definitely monitored the pages for API and portfolio but never clicked on anything within the page. One issue might be that I have a personal account with IB that I frequently use throughout the day and I only do manual trades with my personal account. That being said, I am fairly certain that there was never an instance where I accidentally did a manual trade in the IB account thinking it was the Olympiad account. I closely monitored the many positions that my program held in the IB account so I would have known. Furthermore, I did not trade any of the same securities that I can recall in my personal account except DXO and maybe STT.

Perhaps if you told me which trades you think were manual I might be able to help? My program executed many, many trades and there were glitches, so perhaps one of the trades that appears manual was submitted via the API but because of the nature of it, appears manual. For example, in some cases trades were submitted by my program when it closed. Maybe the API connection closed before the actual execution of a trade submitted just before the connection closed. I might be able to help more with more details.

Anyways, I hope we can sort this out because this is my third year in the Olympiad and I am very much aware of how serious you guys are about the rules. You guys sent me a similar email after the end of the competition my first year, and I think my response was pretty much the same then as it is now (and I was not disqualified). It would be very disappointing to get disqualified this year when I am certain that I did not violate any of the rules. Thanks for doing the competition again this year, I hope you will do it again.

Cheers,
Hunter"

To which they responded:

"Dear Hunter,

It appears one manual trade was placed on January 12, and the other one was on January 29."

Then I responded:

"IB,
This is the record I have of Jan 12th (the first day):
http://pythagoruz.blogspot.com/2009/01/ib-olympiad-2009-day-one.html
My guess would be that the trade in question on that day was in DXO in the first few minutes of the day. I still am not entirely sure what happened with that trade but my program bought twice as much DXO in the first few minutes of the day. Then it sold it all, then bought it all back. I'm not entirely sure why this happened other than that there may have been a delay between when the trade executed and when my program received a report of the execution. I also think that I might have shut the program off when I saw this happen, realizing there was an error. I don't recall if I did actually restart the program or not but it seems like something that I would have done. Assuming I am correct about it being this DXO trade, I think you could see that it wouldn't make sense for me to do this manually. This glitch actually cost me about 10k$ due to the bid/ask spread and commissions. If I had been doing a manual trade I would have just bought the DXO and that's it. With DXO my strategy was to use 50% of available "extra" cash to hold the leveraged oil ETF. My program checked periodically throughout the day and when it closed, if the time of day was appropriate, for this condition. So if I exited the program in those first few minutes, then it might have placed an order when i clicked the close button in my program gui. Also, you can see that there were many DXO trades throughout the competition that aren't showing up as manual, so there would be no reason for me to do this manually because my program was trading DXO on its own.

On the Jan 29th, I don't have much in my records:
http://pythagoruz.blogspot.com/2009/01/ib-olympiad-2009-day-eleven.html
From that record it would seem like the trade in question was to open a naked option position, but that seems unlikely since my program entered many naked option positions but no other days are popping up as "manual." If it was a DXO trade then I would it could be a similar issue with a trade submitted as the program exited. Otherwise, I guess it could be another order that executed just after my program closed. I know that all of the stock trades my program submitted had trailing stops (except DXO), so I suppose a trailing stop could execute while the API connection was not live (but then many more "manual" trades would be showing up). My SSO strategy always canceled trailing stops in SSO when the program was turned on and similarly placed a trailing stop in SSO when it closed. These trades would be right on the connection opening and closing as well. The option trades however, should be well within the time the API connection was live unless it took a long time for an order to get filled completely (which often happened with option orders due to illiquidity of those equities).

What comes to mind is that both of these apparent "manual" trades happened near the beginning of the competition when I was working out bugs and spending more time on the code. So I definitely was starting and stopping my code more frequently as problems arose. Later on, in Feb and March, I made fewer changes to my code and mostly left my code running for longer periods of time.

Hope this helps, if you're inclined I would very much be interested in knowing what it was that happened when this gets resolved.

Thanks,
Hunter"

Did anyone else get a message from IB like this? I guess my response was sufficient because I ended up placing.

For some reason this picutre makes me think of the US financial system...

xkcd: Dishonest vs Honest Media

Tilt-Shift Time-Lapse Helicopter Rescue

If you liked this then check out the artist's Vimeo page for more.

Happy Pi Day 2009!

Image from here.

See previous posts on Pi.

"99 percent of all species that have lived on Earth are now extinct"

This quote was from an interesting article on discovery.com about the strange creatures that have gone extinct. I think it begs the question: "will humans eventually go on that list and when will do will robots take over the world?"

Correlation

Congrats to the IB Olympiad competitors

I just wanted to take a minute to congratulate all the competitors in this year's Olympiad for getting through to the end. This thing requires many hours/days/months of time and often stress so you guys deserve a rest. Even if you didn't come out ahead I expect that you learned a lot from this year's competition, but I want to especially congratulate those who ended up with a gain this year. It was decisively red market this year during the Olympiad, I think the S&P dropped something like 25% from high to low. So if you made money you are beating 90% of investors out there. We won't know the final rankings for probably a month or so and I don't expect to be doing much more posting about the Olympiad until then.

Thanks for reading and commenting, its the comments and connections I made through this blog that made posting worthwhile. I hope do do this again next year, but it ultimately will be up to IB to pull through and continue the competition in tough economic times. So again, congrats and be sure to treat yourselves to something nice this weekend now that this thing is over!




Happy Up Here from Röyksopp on Vimeo.

IB Olympiad 2009 Day Thirty Seven (Final Day)

Drumroll please......

Here was my ending portfolio:

It turns out that today was a nearly ideal day for DT2009, a great ending to this competition. The roughly flat market coupled with a surge in oil (and DXO) let to a nice gain today to end the competition with an all time high:

Closing Liquidation Value: $1,049,893.61

That's a 5% gain in two months which should be more than enough to make me $1,000. Congrats to everyone who came out ahead.

IB Olympiad 2009 Day Thirty Six

Closing Liquidation Value: $1,025,403.07

Just one more day, fingers crossed. At this point I'd guess a flat or minor up day would be best for DT2009. That looks unlikely with the stock market collapsing but lets just see. My program sold a ton of naked puts today, I'll post the ending portfolio tomorrow.

The Glory Days of DT2009

IB Olympiad 2009 Day Thirty Five

Closing Liquidation Value: $1,015,355.13

BACK IN TO THE GREEN!!!

DT2009 This Morning

Rankings going into the final week

Very impressive, I must say. Considering that the S&P has dropped something like 20% during the competition it is incredible that the top ten student programmers were able to return more than 50% in 7 weeks. I'll be sure to post a chart of the S&P during the competition when its all over but I think its clear that program trading can be a productive approach to any market, especially a bear market. In a broader sense, I think it is yet another vote of confidence for technical analysis (my market bible). Good luck everyone in the final three day stretch. If you are curious about how I'm doing just watch STI (recall my program is short something like 800 STI March calls). STI down, my account goes up. Of course there are other positions but that is by far the biggest. I didn't run my program today but I do intend to run it the next three days, I have to get back in the green after all!!

IB Olympiad 2009 Day Thirty Four

Closing Liquidation Value: $983,322.31

Only three days left!

IB Olympiad 2009 Day Thirty Three

Closing Liquidation Value: $950,500.49

IB Olympiad 2009 Day Thirty Two

Closing Liquidation Value: $917,800.01

Only one week left, hopefully the trend of the past week can continue...

IB Olympiad 2009 Day Thirty

Closing Liquidation Value: $847,849.63

Well, today would have been a good day for the program's portfolio with oil rallying and the market dropping. However, yesterday something went wrong and the program got carried away selling naked STI 12.5 calls. It sold 700 of them, naked!! STI was up 20% today and the program is down 100k$ on that one position. It sucks but that's life. The program did not run today because I was busy using my laptop for other things around campus.

IB Olympiad Day Twenty Nine

Closing Liquidation Value: $932,512.46

IB Olympiad Day Twenty Eight

Closing Liquidation Value: $918,915.53

Well, the account had plenty of cash after all the February options expired last week. It also had recovered some of the losses in naked bank stocks that it had been put. So I ran the program today and it did surprisingly well. The program made money on an SSO daytrade, also on a DXO purchase and it sold a boat load of naked calls on many surging stocks this afternoon including WFC, HIG, COF, GNK, LNC and STI. At this point I would say the program definately has a bearish position aside from a few stock positions which I had been put (PNC and PRU), and oil of course. Lets see how that plays out in the remaining days of this year's competition.

IB Olympiad Day Twenty Seven + Rankings

Closing Liquidation Value: $722,471.82

Some big profits last week I see, nice call on the February puts guys!

IB Olympiad Day Twenty Six

Closing Liquidation Value: $755,217.31

Yikes, if only it had bet the other way! Exploding puts are a sight to behold.

IB Olympiad 2009 Day Twenty Five

Closing Liquidation Value: $800,933.96

The program hasn't run for over a week now and the existing positions are getting crushed. If I had been running it some of the exploding positions would have gotten stopped out. Things are looking very bad for DT2009 unless there is a huge rally tomorrow. In fact, the market looks to me like we are about to see a quick 20% drop.

IB Olympiad 2009 Day Twenty Five

Closing Liquidation Value: $886,316.56 -$5,973.05 (-0.7%)

Not bad considering the DXO crash.

IB Olympiad Day Twenty Four + Rankings

Closing Liquidation Value: $892,289.61 -$132,902.90 (-13%)

Yeah, today was a horrible day for an oil buying, option writing strategy. Volatility exploded and oil crashed to new multi-year lows. This is something I was very worried about when developing my strategy because I expected the recent rally to only last a few months. I had hoped it would last the duration of the competition but that's why they call it the slope of hope. Stocks are headed lower along with the commodities so I don't expect my program to recover. My program might not have taken such a large hit today if it had been running and able to exit positions, but I was busy and it didn't run at all today. Oh well, I'll continue to post the progress but unless there is a major reversal in stocks by the end of the week, DT2009 will likely end up in the red for this year's competition.

On a surprising note, most of the top ten competitors lost significantly last week. If they lost last week, they prob got killed today too.

Sierpinski Valentine

IB Olympiad Day Twenty Four

Closing Liquidation Value: $1,025,191.51 -$14,193.82 (-1.4%)

IB Olympiad Day Twenty Three

Closing Liquidation Value: $1,039,385.33 +$31,623.9 (+3.1%)

IB Olympiad Day Twenty Two

Closing Liquidation Value: $1,007,761.45 +$9,428.51 (+.9%)

Running in place...

IB Olympiad 2009 Day Twenty One

Closing Liquidation Value: $998,332.94 -$57,278.7 (-5.4%)

Almost all of this can be attributed to an explosion in a naked PFG put position.

IB Olympiad 2009 Day Twenty + Rankings

Closing Liquidation Value: $1,055,611.59 +$25,402.87 (+2.5%)

Good news, 10th place and first place made essentially no progress in the past week. Hell yeah for the rest of us! Those top ranked people better turn their programs back on cause DT2009 has them in the cross hairs!!

Fibonachos

-source

IB Olympiad Day Nineteen *Halfway Point*

Closing Liquidation Value: $1,030,208.72 + $18,008.3 (+1.8%)

Up four days in a row, hopefully this trend continues. Obviously I'm not happy with only a 3% gain at the halfway point in the competition, but I can't complain. That's an annualized 43% gain after all. Naked calls on STT was the only sore spot for today but I'm not too worried about that position. The robot actually alerted me to this stock which I think is a great short here. How is everyone else doing? I know you guys (and gals) are reading =).

IB Olympiad 2009 Day Eighteen + Portfolio

Closing Liquidation Value: $1,012,200.38 +$7,493.67 (+.8%)

IB Olympiad 2009 Day Seventeen

Closing Liquidation Value: $1,004,706.71 +$16,611.20 (+1.7%)

IB Olympiad 2009 Day Sixteen

Closing Liquidation Value: $988,095.47 +$23,880.7 (+2.5%)

Today was alright, the program did not get any help from oil but it did get a nice boost from naked DRYS puts it sold yesterday. It seems I am destined to waver about break even for the first half of this competition as the same thing happened the past two years. Hopefully, DT2009 will break out and make new highs as we approach the end of the Olympiad this year like it did in '07 and '08. We'll see, wish me luck!

IB Olympiad 2009 Day Fifthteen + Rankings

Closing Liquidation Value: $964,214.80 -$18,594.16 (-1.9%)

Things are not looking so good for DT2009 as oil takes another hit and volatility jumps. The program only ran briefly today and the only trade was to sell some DXO in order to raise cash. It seems as though the program is once again too leveraged bullish (sold too many naked puts) since unfortunately some naked call positions in banks were stopped out late last week. Its starting to look like getting in the top ten will be very unlikely for me. What I really need is a flat market and a surge in oil. The rankings as of the end of the third week are below, I noticed Ahmed Taha made a good call by turning off his program in distant first place.

IB Olympiad 2009 Day Fourteen

Closing Liquidation Value: $982,808.96 -$30,092.97 (-3%)

IB Olympiad 2009 Day Thirteen

Closing Liquidation Value: $1,012,901.93 +2,917.82 (0.3%)

Sorry for the late post, was playing risk.

IB Olympiad 2009 Day Twelve

Closing Liquidation Value: $1,009,984.11 -$48,522.76 (-4.6%)

Naked call positions in AFL, STI, HIG, LNC, ZION, BAC....

IB Olympiad 2009 Day Eleven

Closing Liquidation Value: $1,058,506.87 +$16,228.9 (+1.6%)

New highs three days in a row, wooohoo. Just need oil to get movin.

IB Olympiad 2009 Day Ten + Rankings or The Ahmed Taha Rock Blog

Closing Liquidation Value: $1,042,277.97 +$3,470.09 (+.3%)

And here are the rankings at the end of week two, holy crap Ahmed Taha's robot is rampaging in the city. Toppled building lay at the feet of his monster machine, a 260% gain in two weeks!!

When I first saw this song performed live I imagined a massive robot destroying a city. This is Aimlessly by STS9, and it goes out to Ahmed Taha:



By the way, where have all the comments gone? How are people doing, any blow ups?

Khoda

Khoda from Reza Dolatabadi on Vimeo.

IB Olympiad 2009 Day Nine

Closing Liquidation Value: $1,038,807.88 +96,583.79 (+10.3%)

IB Olympiad 2009 Day Eight

Closing Liquidation Value: $942,224.09 -$59,055.29 (-5.9%)

IB Olympiad 2009 Day Seven

Closing Liquidation Value: $1,001,279.38 +$133,740.23 (+15.4%)

Today was a good day, the market bounced boosting the program's existing option positions and enabling the program to sell calls to open a number of new positions. While not fully hedged, the portfolio is much better equipped to handle movements in either direction now. Just boost to oil and DT2009 will be off to the races.

IB Olympiad 2009 Day Six + Current Rankings

Closing Liquidation Value: $867,539.15 -$159,754.08 (-15.6%)

Well, school started here today so aside from the first few hours of the day my program did not run since I left my laptop at home. While it was running it entered a large number of new naked put positions and added slightly to its DXO position. Then Obama gave his oath of office and the nervous nelly market dropped another 2% and oil was crushed (DXO lost 11.4%, and thats a $300k position). The scenario unfolding before us now is almost identical to January 2008 when stocks first entered it's bear market. Stuff is getting wiped out. Take a look at the big banks (ie BAC, JPM, WFC, etc) can you say nationalization? Unfortunately, this is the worst conceivable market for my option writing strategy. When stocks make very large high volatility moves, then continue in the same direction thats bad news for me (see BAC below, my program sold feb5p on Friday). I need to work out a way for my program to hedge its self against situations of extreme volatility because the way things are written now my program will just keep selling puts all the way to zero, which is obviously going to be a loosing strategy. On the other hand, any bounce in the market will be very good for the current portfolio and will certainly lead to call selling. Naked calls would be a nice hedge to all the naked puts, but the market needs to bounce for the program to enter naked call positions.


In other news, IB announced the rankings after the first week (see below). From this I estimate that I was in 20-30th place at the end of last week. It looks like the competition is once again very tough this year. After only a week, the top ten places are up 14.6% or more with first place gaining 70%!! This is somewhat discouraging to me because there is no conceivable way for my program to profit that fast aside from if oil doubled over night (not gonna happen). The only way to make 70% on $1M in a week is with some extremely highly leveraged strategy. Since it was options expiration week I surmise that that first place contestant wagered very heavily on a few front month options. Way to go Ahmed Taha! It will be interesting to see how this list evolves over the next 7 weeks, are these rates of return going to be sustainable and will DT2009 make the cut? Anyways, congrats to all of these contestants, your hard work is paying off. Are any of the blog readers up there?

By the way, if you are curious about how this compares to last year, check out the first week's rank in 2008. As you will see, this year is slightly tougher which I assume is due to a significantly larger number of players. You also might find interesting info here.

100% Solar Powered House

IB Olympiad 2009 Day Five

Closing Liquidation Value: $1,027,293.23 (+2.6%)

Here is a screen shot of the portfolio at the eod:


Aside from weakness in crude it was a good day for DT2009 because of the option writing strategy. The robot was unable to do much because the account was out of buying power most of the day. Unfortunately I don't think today's gain will be enough to put me on the leader board next week but we'll see. I am very curious to see how big the top gains are. Have a nice weekend everyone!

IB Olympiad Day Four

Into the green!! Thanks to the option writing strategy and a very nice market reversal.

Closing Liquidation Value: $1,000,912.19 +$48,576.2 (+5.1%)

IB Olympiad 2009 Day Three

Closing Liquidation: $952,335.95 -$31,774.78 (-3.2%)

Stocks: +$1k
Options writing: -$33k <-from Monday's positions
SSO daytrading: Off
Oil: Flat

IB Olympiad 2009 Day Two

Well, today was another mediocre day for the robot DT2009. It got chopped up pretty bad on the SSO day trading strategy as the market struggled for direction. I may end up turning this strategy off but it seems to perform very well in trending markets (like yesterday). On the other hand, a pop in oil and a drop in market volatility helped out the other strategies. On the day:

Stocks: negligible
Option writing: +$17k (~2%)
SSO day trading: -$30k (~3%)
Oil: +$18k (~2%)

For a small profit on the day...

Closing Liquidation: $984,110.73 +5,198.86 (+.53%)

Bread and butter: $69k in Jan options are short...

IB Olympiad 2009 Day One

Closing Liquidation: $978,911.87 -$21,088.13 (-2.1%)

Here are some screen shots. About half of today's loss can be attributed to an error in the oil strategy at the open. The other half can be attributed to a SPWRA put position. Otherwise, it was a good day. Particularly for the SSO and financial shorts.

Here are the DXO trades that went awry. This occurred in the first few minutes of the day just after the market opened. The first order didn't get recognized somehow then it placed a second order, they both got reversed, it cycled another 170k shares then finally ended up with the position is wanted, about 116k shares of DXO. The end result was that effectively 500k shares were traded across the $0.01 bid/ask spread (x500k=$5,000). It also blew through $6,000 in commisions just to get a $327,000 position in DXO. I'm still not entirely sure what went wrong here but it had something to do with orders getting backed up due to slowness of execution.
Here are those trades:


A screen shot of the program at the end of the day, it had been restarted a couple times due to wireless issues:


Here is my portfolio at the end of the day, the positions which have zero size have been closed but you can see the realized profit/loss on the far right hand column. It breaks down clearly what worked today and what didn't. The SSO strategy made about $6,000 and the 52 week stock strategy made about $5,000 .

One other thing to consider is that my option writing strategy requires that all positions start at a loss because of large bid ask spreads present in the simulated market. I don't want to go into details but my hope is that the total sum of these positions will be profit come Friday when they expire. Its easy money so long as none of these positions get blown up. A SPWRA position got stopped out today for a $9,640 loss... January puts short: $59,500 (potential for a $60,000 profit if issues stay flat or go up until Friday close). My robot would like to see an up day tomorrow with declining volatility.

I will not be going into this much detail in the future, but just thought I'd get the first day on record and explain the loss. How did other's fare?

Good luck! We could all use it.

The fourth annual 2009 Interactive Brokers Auto-Trading Olympiad begins tomorrow, good luck to my fellow competitors. When it comes to markets, chance is always an element and as such, luck is a good thing to have. We could all use a little luck (or a lot). One of my strategies this year is to hold an "oil balance" with half of cash equivalents via DXO (double oil). In other words, when I have cash left over I will buy oil with some of it to hold in lieu of US dollars. I have a growing fear that the US dollar is going to rapidly loose value as a result of the runaway inflationary lending/creation of money by the feds. So if that happened, I would be somewhat hedged by my position in DXO. On the other hand, oil could move for a number of complex reasons which are seemingly unpredictable; geo-polical, economic, liquidity driven, etc. In practice it will be a directional bet on oil, which I expect to rise having bottomed. So if I'm lucky, oil will move up substantially in the next three months. Anyways, may the best robot win!

Interactive Brokers Olympiad 2007 Trades

As you may recall, I originally started this blog as a venue for posting information about my program performance in the 2007 Interactive Brokers Olympiad. There were some interested parties and I wanted a record for myself, so I posted daily and included all trades made that year. After I came in 10th place and noticed some heavy traffic on those posts I decided to remove them out of fear someone would copy my strategy and provide more competition in 2008. Well, I still use a similar strategy but I am less concerned with people seeing it now because the 2009 Olympiad is about to begin. Plus I think it might be interesting for others to see some of the problems I was having that year and how they were resolved. Enjoy them while they are up because I can't guarantee that they will remain so. I plan to compete again next year. At any rate, the Olympiad 2007 posts are back up for now:

Week 1
-wasn't ready yet
Week 2
-Day One
-Day Two
-Day Three
-Day Four
-Day Five
Week 3
-Day Six
-Day Seven
-Day Eight
-Day Nine
-Day Ten
Week 4
-Day Eleven
-Day Twelve
-Day Thirteen
-Day Fourteen <-missing
-Day Fifteen
Week 5
-Day Sixteen
-Day Seventeen
-Day Eighteen
-Day Nineteen <-missing
-Day Twenty
Week 6
-Day Twenty One
-Day Twenty Two
-Day Twenty Three
-Day Twenty Four
Week 7
-Day Twenty Five
-Day Twenty Six
-Day Twenty Seven
-Day Twenty Eight
-Day Twenty Nine
Week 8
-Day Thirty
-Day Thirty One
-Day Thirty Two
-Day Thirty Three
-Day Thirty Four

Final Results

So that's it. I hope some find this information helpful, I certainly would love to hear about what others have been doing in this competition. A major reason why I am doing this blog is to try and get exchange of ideas and experiences among competitors. So feel free to comment! I won't be posting as extensively as in 2007 but I will do a couple updates per week. So stop by, the game begins on Monday.

One Week Till Go Time

A week from today the fourth annual Interactive Brokers auto-trading college Olympiad begins. While the competition is organized such that most of the program development should be done by now, I won't hold it against anyone if they still have a ways to go. There's no way around it, this is a tough and time consuming task. Recall that I started a week late my first year competing in 2007. Then it took me another week or two to write the option writing strategy which ended up producing most of my profit. If its your first year then I bet you're finding that seemingly simple stuff like observing market data can be complex. All I can say is, keep at it. With enough time and perseverance you will get it working, and if you're late don't sweat it. I started weeks late in 2007 and finished 10th for a $10k prize. Plus, timing can go both ways. Last year the market collapsed in the initial days of the competition and my account lost 30%+ before bouncing back to end in 19th with a 36% profit. If you had started late last year you could have avoided some of that chaos although this year looks to be much less volatile.

To get everyone warmed up here are some stats about the competition which is in its fourth year. Interactive Brokers pays out a total of "$400,000 in prizes to the winning students. The contest spans an eight week trading period in which student traders start with $1 million in phantom money.

Last year's winner was Chirstopher Michalak, a student at the University of British Columbia. At the close of competition, Michalak had grown his account to a balance of over $3.1 million, garnering the top $100,000 prize."

The prizes are hands down the biggest incentive here. If you profit at all and don't break any rules, you are pretty much guaranteed $1000 since they hand out 100 of those. But things really get interesting if you are close to the top 10. 4th through 13th get $10k, 2nd and 3rd get $50k and then there's the $100k gold medal. That's serious money! Since you have to be a student to enter this competition I think its safe to say that its a huge incentive for all competitors. It could be even thought of as a job, a job that rewards success.

"There were a total of 372 trading contestants last year, up from 203 in the second year and 102 in the first year. Last year also saw the addition of international students to the competition. Traders were allowed to program in languages from Java to C++, C, DDE and Visual Basic. "

"The need for financial programmers has been something that we as a company have tried to raise awareness of over the past several years," says Andrew Wilkinson, senior market analyst at Interactive Brokers. "It's much easier to take a programmer and teach them about trading then it is to take a trader and teach them about programming."

These quotes are from FinanceTech.com, more here.

For the next couple months the competition will become the primary focus of this blog. I'll be posting updates about my progress and hopefully others will chime in and comment about their trials and tribulations. If anyone else has an IB Olympiad related blog or website going please let me know so I can add a link to this blog. If there is interest I was thinking about starting a chat room too, it might be interesting to chat intraday about our programs and the market. I also have an algorithm written for posting the program's trades and scans in an IRC chat room in real time. It wouldn't be too hard to set something like that up if there were enough interest. By the way, I am in graduate school working on a phD in Materials Science at the University of Illinois.

Our Earth in Motion

túrána hott kurdís by hasta la otra méxico! from Till Credner on Vimeo.

Incredible Road Accident

The Most Amazing Accident On Road Produced By Rain - Funny bloopers R us