Rather then give a boring commentary of the events that have occurred in the past year I will post some stock and index charts that will tell the story for me. The charts are daily charts that I have taken from my eSignal screens. I know that technically there are still 2 trading days before christmas and the year is not over yet but I am not opening my trading platform again until 2012 so Merry Christmas and a happy New Year to all of my readers. Each chart will open larger in a new window.

VIX (Chicago Board Options Exchange Market Volatility Index) Daily Chart 2011 Candlestick

30 Year T-Bond Interest Rates Daily Chart 2011 Candlestick

NASDAQ Composite Index 2011 Daily Chart Candlestick

Dow Jones Industrial Average 2011 Daily Chart

HANG SENG INDEX Daily 2011 Chart Candlestick

NIKKEI 225 Index Daily 2011 Chart Candlestick

S&P ASX 200 Index 2011 Daily Chart Candlestick

EUR/USD Daily Spot Price 2011 Candlestick

Gold Futures (GC #F) Daily Chart 2011 Candlestick

NYME Light Crude Oil (CL #F) Daily Chart 2011 Candlestick

Define a question, problem or specific aspect of my life to change.

• Improve liver functions.
• Reduce serum Cortisol and increase Testosterone naturally.
• Reduce Blood Pressure.
• Reduce CRP and ESR values.

As you can see this is a laundry list of things that I hope to improve. The main way I hope to improve these metrics is through diet exercise, supplementation of specific compounds, meditation and breathing exercises and more sleep.

Monitoring

I will be having blood and other tests at 3 monthly intervals to monitor progress. This second goal of improving key health metrics  is closely linked to improving my body composition. Over the course of the next year I will be posting the health related articles and experiments I am undertaking.

The Metric’s Simple Hypothesis

Reduce Blood Pressure

The first metric that I will be targeting is blood pressure. Blood pressure really is the silent killer. From the literature  that I have reducing body fat, reducing salt intake and increasing cardiovascular fitness all help reduce blood pressure.

Improve Liver Functions

This will be the hardest metric to improve as medical profession is unable to find out what’s going on. After two liver biopsy still no definitive diagnosis, they have discounted a lot of things I am no closer to an answer. Hopefully by reducing my body fat and eating healthier this may improve.

Reduce serum Cortisol and increase Testosterone naturally

An inverse relationship appears to exist in the literature that I have read between Cortisol and Testosterone. I will be reducing my coffee intake although not conclusive some studies indicate coffee increases Cortisol levels. I will also be taking up meditation and breathing exercises to reduce Cortisol levels. To increase my Testosterone I will be doing weight training, taking Zinc and Selenium supplements as I am deficient and getting adequate sleep.

Reduce CRP and ESR values

These are both non specific blood indicators that in my case the Dr.’s believe show inflammation in my body. I will begin taking turmeric and krill oil daily and see if this has a positive impact on these values.

Test, test & re-test

I will be testing these key metrics at three monthly intervals except for blood pressure which will be checked more regularly. This is just a very rough outline, everything I am undertaking is done under direct doctors supervisions. I would advise anyone who wants to improve their key health metrics that they visit their local doctor.

I have wanted to see Moneyball since it came out at the cinemas. I finally took the time out and went and saw it last night. I was very impressed with the movie to say the least. It really drew me in and it didn’t feel slow at all even with it’s 2 hours 21 minutes running time.

Moneyball depicts the story of Oakland A’s GM Billy Beane’s (Brad Pitt) challenges to put together a championship team on a budget. He employs Peter Brand(Jonah Hill) who uses computer-generated analysis to pick players to draft. Moneyball will appeal to a diverse audience and even if you don’t know much about baseball I still recomend it.

Watch the Trailer for Moneyball

Moneyball left me Wanting More Baseball

After watching Moneyball I decided that I need to add watching a baesball game at Fenway Park to my bucket list. In Australia baseball is not really that big, I do remember seeing the Adelaide Giants play at the Norwood oval back in the early 90′s. I am an avid cricket fan but there is just something about baseball that I love. I am adding the Bill James Historical Baseball Abstract to my books to read list.

From the reviews on Amazon this book looks like it will be an excellent read. I am quite interested in reading the methods for player evaluation and am interested to see what statistical methods are used.

I am interested in getting some feedback from my American readers on Bill Jame’s book and the original Moneyball book. Is it worth reading?

Sabermetrics

“the search for objective knowledge about baseball.”

-Bill James

Essentially Billy Beane based drafting decisions on two key questions:

1. Does the player get on base?
2. Can the player hit?

Final Word

Excellent cast, great storyline an inspiring movie. It just goes to show that statistical analysis can be applied to a diverse range of fields. I loved the quote at the start of the movie I will paraphrase it as I cant remember it exactly.”We have got to think differently, we are the last dog to the bowl. Everyone knows what happens to the runt of the litter”. Retail traders need to be aware that they are the last dog to the bowl.

I want to share with you a video by Dr. Mike Evans he is founder of the Health Design Lab at the Li Ka Shing Knowledge Institute. It is very well put together presentation and very thought provoking.

I will be following the eight step process for successful life change outlined in my previous post.

Define a question, problem or specific aspect of my life to change

Increase lean muscle mass and reduce body fat.

Why target Body Composition?

By focussing on changing my body composition it will allow me to focus more on health then weight loss. Two people can be of equal height and equal weight and look completely different. This is due to the fact that fat tissue takes up more space then lean muscle mass.

Gather information, resources and observe successful people

Over the last few years I have spent a great deal of time gathering information reading books, blogs and scientific literature and have developed my working hypothesis. In it’s most simple form:

• Create a calorie deficit.
• Undertake cardiovascular training.
• Undertake weight training.

Test hypothesis by undertaking experiment and collect data

In order to test the hypothesis I will have to record calorie intake. The easiest way to keep a food journal is by photographing everything I put in my mouth. From the research I have done this is the most effective way to accurately record calorie intake.

One of the best resources I have found for evidence based fitness information is ExRx. Both my resistance and cardio programs will be based off information from this website.

“Review of the scientific literature suggests that moderately intense aerobic activity needs to be performed most days of the week to bring about significant fat loss. Some sources recommend brisk walking progressing to 45 minutes or more daily. Other authorities recommend working up to 60-90 minutes of daily physical activity for weight loss.

The USDA recommends at least 60 to 90 minutes of daily moderately intense physical activity while not exceeding caloric intake requirements to sustain weight loss in adulthood. About 60 minutes a day may be needed to prevent weight gain. (USDA 2005).

Alternating weight bearing with non-weight bearing exercises every other day may be recommended to minimize the repetitive orthopedic stresses of exercising daily.”

Source: Aerobic Exercise Guidelines for Specific Goals

Monitoring

The best way to monitor body composition is by way of DEXA scan.  For simplicity I will be using a simple tape measure and body fat scales to monitor progress. This is not accurate however I think it is overkill to have a DEXA scan every month. I had my last DEXA scan at the end of 2008, my body composition has not significantly changed since then. I will also monitor my strength gains be keeping a training journal.

Hypothesis refinement

At the end of each month I will analyze the data and refine the hypothesis if needed and re-test. This is the basic outline however I am sure over the course of the project this will be refined updated and improved.

For over 10 years I have been writing code and building impressive virtual structures and writing trading systems. I have put so much of my time effort and energy into creating these virtual structures that I have neglected myself. This is not uncommon in today’s modern society. The past year has made me realise that I have been simply going throughout the motions of everyday life. In 2012 I am going to change this.

Change is hard, Why Bother?

Have you ever woke up in the morning and asked yourself how the hell did I get here? I know I have asked this question of myself on many occasions. After some introspection and critical analysis I have determined that my current position is a direct result from my choices and actions (or in-actions).

I am the creator of my own reality.

Some things are out of our control

I have previously allowed myself to be the victim of my circumstances however this is not helpful. I have come to accept that I cannot control many aspects of life, however I can choose how I will react to these events.

I do not control the universe, with the good will come bad. Deal with it positively.

I am changing my own reality and improving myself. I am documenting my progress in the hopes that it may help or inspire just one person. We can all get caught up with our work and family and forget ourselves.

How The n++ Project Works

The goal of the project is to use simple scientific methods to improve myself and share the results of my life change experiments. I will use the following system to develop and test specific plans of action to achieve my goals.

1. Define a question, problem or specific aspect of my life to change
2. Gather information, resources and observe successful people.
3. Form a simple working hypothesis
4. Test hypothesis by undertaking experiments and collecting data in a reproducible manner.
5. Analyze the data
6. Interpret the data and refine original hypothesis.
7. Publish results
8. Test, test & re-test and improve model with feedback.

I know I am a geek and you may think this approach is overkill. I have found that success usually comes from a systematic approach.

At the moment I am running eSignal on a dedicated Windows 7 computer, however it would be helpful to also run eSignal on my iMac. If you want to run eSignal on a Mac OS X you really only have two options at the moment.

1. Install on Bootcamp and multi boot.
2. Install in a virtual machine.

I have put together a quick video detailing the options below.

eSignal running in Parallels

The install process is pretty straightforward and so far eSignal has been running perfectly. The best way to see how well eSignal performs is by seeing it in action under Parallels Desktop 7.

• To skip the install process and watch demo of eSignal running in the virtual machine.
• To skip to cold start time of eSignal.

Enrolment has opened in three Stanford University courses that will be offered online. These courses differ from the normal MIT open courseware programs. After completion of tests and assignments you will receive a letter of attainment from the lecturers. While the course’s will not give you credits from Stanford University it is an excellent opportunity to gain knowledge that can applied to trading systems.

The Course’s Offered

1. Introduction to Artificial Intelligence
2. Introduction to Databases
3. Machine Learning

Each of the courses requires about ten hours of additional study on top of the lectures. I have signed up to the advanced track of all three course and am looking forward to taking part. Even though I have already taken a level III AI program at university it will be good refresh my knowledge.

Introduction to Artificial Intelligence Video

Machine Learning Video

Introduction to Databases Video

I love the blog lots of excellent articles. I am looking forward to the book coming out October 27th.

Put in simple terms, a Random Walk basically involves taking successive random steps and tracing the trajectory. I adapted the example from part one of Wilmott on Quantitative Finance and wrote a quick MATLAB script to simulate a simple random walk. Basically flip a coin if it is heads multiply the equity seed by 1.01 and if its tails multiply by 0.99.

Results

The graphs below show succesive runs of the script. I simulated 10,000 coin tosses in each test.

Sim one: You flipped 5069 heads & 4931 tails

Sim Two: You flipped 4946 heads & 5054 tails

Sim Three: You flipped 5026 heads & 4974 tails

Sim Four: You flipped 5042 heads & 4958 tails

MATLAB Code

Writing the code in MATLAB is very straightforward I wrote the code in less then five minutes so it is a bit rough around the edges. I probably could refactor it but it does the job.

% Simple Simulated Random Walk Adapted
% from part 1 Paul Wilmott on Quant Fin

% create matrix with random int either 1 or 2
randMat = randi(2,10000,1);
randEquity = [1:10000];

headCount = 0;
tailCount = 0;
equitySeed = 100.00;

for i=1:10000
    if randMat(i)==1
        % we flipped a heads
        headCount = headCount + 1;
        equitySeed = 1.01 * equitySeed;
        randEquity(i) = equitySeed;
    else
        % must have flipped tails
        tailCount = tailCount + 1;
        equitySeed = 0.99 * equitySeed;
        randEquity(i) = equitySeed;
    end
end

fprintf('You flipped %i heads & %i tails\n', headCount, tailCount);
plot(randEquity);
title('\bf \fontname{Arial} \fontsize{16}Simulated Random Walk');
xlabel('\bf \fontname{Arial} \fontsize{12}Number of Coin Tosses');
ylabel('\bf \fontname{Arial} \fontsize{12}Price in ($)');

% clean-up
clear equitySeed headCount tailCount randMat i;