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