Trend Following Strategy

Ran a  simple back test on EUR/USD daily prices from June 9 1998 to now using a simple trend following strategy.

Starting Equity: $10000


Enter long/short positon when price is at a 20 day high/low. Liquidate position when price is at a 10 day low/high.  Stop loss set at current price -/+ 2 times the average true range of the past 14 days. Size position by a risk of 3% of account equity.


Ending Equity: $21002.37

Total trades: 123
Total long trades: 59
Total short trades: 64
Total winning long trades: 31
Total winning short trades: 29

A 110% return in 13.5 years. That’s about annual return of 5.7%, excluding commissions and slippage. That’s not bad.

For reference, S&P500 returned 15.26% during the same period.

2008 performance:

Long 15659.6810306093 at 1.4749 on 20080104. STP at 1.448514286. Equity 13773.0621668294
STP 15659.6810306093 at 1.448514286 on 20080121. Equity 13359.8703018246
Long 18182.5836311578 at 1.4972 on 20080226. STP at 1.475157142. Equity 13359.8703018246
Closed 18182.5836311578 at 1.5681 on 20080424. Return 9.64938394104796%. Equity 14649.0154812736
Short 12581.9762811434 at 1.5592 on 20080425. STP at 1.594128572. Equity 14649.0154812736
STP 12581.9762811434 at 1.594128572 on 20080711. Equity 14209.5450168354
Short 16642.5232585075 at 1.5588 on 20080729. STP at 1.584414286. Equity 14209.5450168354
Closed 16642.5232585075 at 1.4323 on 20080917. Return 14.815950754981% Equity 16314.8242090366
Long 9626.6171006968 at 1.4772 on 20080922. STP at 1.426357142. Equity 16314.8242090366
STP 9626.6171006968 at 1.426357142 on 20080930. Equity 15825.3794827655
Short 8708.93520430527 at 1.3817 on 20081002. STP at 1.436214286. Equity 15825.3794827655
Closed 8708.93520430527 at 1.2979 on 20081104. Return 4.61163519595578% Equity 16555.1882528863
Short 8321.18130624339 at 1.2487 on 20081119. STP at 1.308385714. Equity 16555.1882528863
STP 8321.18130624339 at 1.308385714 on 20081211. Equity 16058.5326052997
Long 10991.8246517133 at 1.3375 on 20081212. STP at 1.293671428. Equity 16058.5326052997
Closed 10991.8246517133 at 1.3852 on 20090102. Return 3.26499343852682%. Equity 16582.8426411864


Exploring Chicago Arts District: January 2nd Fridays

Originally posted on Venue Cricket blog!

On the second Friday of every month, the artists of Chicago’s Arts District open their doors to the public.  This community, which displays so many varieties of creativity, is the very definition of a hidden gem.  Spanning just a few contiguous blocks around 18th and South Halste­­d, the art walk offers a new surprise at every door.  And in some cases, the door even opens into an artist’s home.  With an unassuming bed tucked in the corner, the visitor is reminded that he has been given the rare privilege of entering the place where the artist lives and breathes his work.

Strangely, a visitor wandering into the same neighborhood on any other day of the month will be struck by its ghost town feel.  With all of the galleries and creative spaces locked down, only a few window displays hint at the spirit of the community.  Giant unoccupied spaces, easily spotted thanks to their full glass facades, serve as a reminder of the artist’s struggle and the recent exodus from this area.  However, behind many of the closed doors the creative process continues, and once a month the neighborhood comes alive.

Chicago Arts District - January 2nd Fridays

  1. The art walk is well attended, but not crowded.  Freshly fallen snow gives S. Halsted a magical quality.
  2. To get relief from the cold, stop by Whisky Ginger, a charming vintage shop.  The owners, Stevie and Dan, greet visitors at the door, offering them cups of hot toddies (warm whisky drinks, of course).  The engaged couple lives right behind the chalkboard, which they thought up as a creative solution to separate the two spaces.
  3. The Chicago Art Department presents “Fight Club”, a boxing photo exhibit complete with live boxing to set the mood.
  4. Rooms Gallery features “She Who Will be Slapped”.  With a look of deep despondency, the lead actress from the dramatic film projecting on the wall sits perfectly still before the audience.
  5. Black Cloud Gallery showcases the nonprofit Architecture for Humanity.  This fun exhibit features retro view finder reels and ping pong balls (which are piled up to represent donations that guests have left for the organization).
  6. Bryan Sperry Studio displays a room full of robotic creatures.  Each sculpture is unique in design, color, and facial expression.  The figures are so detailed that they almost feel alive, perhaps an extra terrestrial species.
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Galleries, Car Dealerships, Churches, and Other Local Establishments Add a New Revenue Stream to Their Businesses by Making Their Venues Available for Private Events After Regular Business Hours

CHICAGO, IL – January 10, 2012 – Chicago startup, Venue Cricket, is providing a means for local businesses to turn themselves into event venues. With the economy still growing at a sluggish pace, businesses are looking for additional revenue streams and have taken the opportunity to heart. The site allows anyone with an event space to create a profile complete with photos, descriptive information, and an availability calendar. Users of the site can then filter venues according to their criteria and book their chosen venues online.

“Many of the venues we are working with have periodically held events in the past, and have been looking for ways to do so more frequently and systematically. Until now these businesses did not have cost effective ways of establishing themselves as event venues on a larger scale,” said Dmitry Grekov, CTO and Co-Founder. “At the same time, event hosts generally turned to conventional venues like hotels, simply because it would take much more leg work to find the more interesting but lesser known spaces.”

As most event hosts know, the venue booking process can be a painful one. Unlike most other industries, which have been reshaped by the internet, booking a venue still requires event hosts to make lists of potential options and call each one to determine availability and pricing. Venue Cricket’s mission is to change that by providing a convenient search and book tool.

Venue Cricket is the brain child of CEO and Co-Founder Ella Lief, who graduated with an Economics major from Harvard University in 2007. She first noticed the problem when she was organizing a Chicago alumni event. “Finding an interesting venue that could accommodate the group turned out to be a real challenge. I was surprised that there were no websites similar to Expedia but tailored for the venue search,” says Lief. “The issue came up again when I was booking a venue for a conference I was planning. I wanted to rent an auditorium from a school or University and could not find any resource online that would help me do the job.”



Ella Lief

(312) 772-2522

Is that a button on your page or are you just happy to see me?

How many times do you come to a web page and are confused on what to do next? Too many links? Too few? What did the author want you to do? Where did they want you to go?

A lack of proper direction can be very frustrating, and very noticeable, while a page that has a clear purpose can feel as comfortable as old sneakers (or southern comfort food, you take your pick). Here is an interesting thought, while you might not know what the creator of the above page wanted you to do; he, the author, did not know either. It is not something that is thought about often, but it should. Proper user interface strategy with nice and visible actions is the biggest differentiator between web sites that are a joy to use and that are  just a pain.

Case in point, one of my clients is a major media and entertainment company. I recently attended a discussion in which 2 VPs, 1 Director and several Managers discussed, for about 30 minutes, what color to make a particular button. Doing the math and assuming an average hourly salary of $150 in this room we see that this client has spent $900 in order to decide the color of a button. You might say that it was a waste of money. I think that it was an investment well spent. After all, this will lead to sales down the road. And in fact this type of work has already paid dividends. After all, this, mouse themed, client is solidly at the top of the industry and only keeps gaining the lead in the markets.

In summary, spend the time to think how your project will look, how your customer will experience it and how you will lead your user to complete their task.


Bossypants, by Tina Fey

So I read Bossypants recently and I have to say, I loved it! I’ve been missing Liz Lemon since 30 Rock has been on its extended hiatus, and Bossypants was the perfect dose of Tina Fey. I loved her quirky, self-deprecating tone of voice. Really, it’s like watching Liz Lemon’s life, but in a much more toned-down, realistic way. (Can you tell that I love that she has gone on to do exactly what she wants to do in a vaguely autobiographical way? And that 30 Rock has stayed successful, despite what she might write about fearing that each season would be their last?)

I think that I can’t exactly call it a memoir or a strict autobiography when she gives so much more than that–advice, tidbits about history, a behind the scenes look at SNL. Of course, it’s complete with lots of funniness. (And I’m always impressed with people who manage to be truly funny.)

Seriously, go read this book and revel in Tina Fey’s funniness and her endearing messages:

“Obviously, as an adult I realize this girl-on-girl sabotage is the third worst kind of female behavior, right behind saying “like” all the time and leaving your baby in a dumpster. I’m proud to say I would never sabotage a fellow female like that now. Not even if Christina Applegate and I were both up for the same part as Vince Vaughn’s mother in a big-budget comedy called Beer Guys.” (page 53)

Message received: stop saying like all the time! And now I’m off to find something new to read.

(Also, I confess that I don’t really know what the difference between tags and categories on wordpress is. Consider this both tagged and categorized.)

(crossposted to my own blog)


Yay to yaysornays! So exciting that it is my first post 🙂 Since it is my first post, let me talk about something I like.


I recently stumbled upon some pretty videos showing some pretty numbers on some financial issues. Both of them are kind of old from last year, but I still think they are well made and bring up some good points. And the first one is surprisingly from the ending of a Will Ferrell’s movie.

What I like about them is that they are both informative yet entertaining. Put things into perspective that makes you do more research and thinking about those numbers, like how the Iraq war spendings (3+ trillions) dominated everything else on the graph: OPEC climate change fund (3 billions) and saving amazon rainforest (21 billions).

It stimulates me into thinking about and researching about the numbers. After some research, I found that some part of the graph itself could be a little bit over-exaggerating. In the case of saving amazon rainforest as an example, we should note that the quoted 21 billions to save amazon rainforest is only the amount of money the Brazilian president raising for a new international fund. There are other funds to save the rain forest; policies and infrastructures to achieve the goal.  If you add the costs of those policies and funds over the years, it is definitely way greater than 21 billions; which is the way they calculated the quoted 3+ trillions number for the Iraq and Afghan war. It is a result of adding up the dollar amount spent with the estimated indirect cost and all the predicted costs (healthcare and facilities maintenance) over the future years.

What are your take-away from the graph? and what is the most striking number in the graph to you? What do you think about the the CEO pay to the average employee pay ratio of 319 to 1?

Yay to yaysorna…


“The Inmates are Running the Asylum”

Just started reading This book by Alan Cooper. It is a technologist’s account on why we need to design better interactions between humans and computers and how to do it by focusing on the customer. This sentence was particularly interesting:

“The successful professional for the twenty-first century is either a business-savvy technologist or a technology-savvy businessperson, and I am writing for this person.”

Here, he touches upon something that I have been pondering in the past three and half years: why are so many IT projects failing (and hence needing consultants), even when you put a perfectly capable technology team and an equally capable business team together (and often, especially when both teams are experts at what they do)?  Because, the true business-savvy technologists and technology-savvy businessperson are rare. The elephant in the room seems to come down to the fact that technology-inclined and business-inclined people just have thought processes that are so fundamentally different from each other that it often impedes collaborative communication.

Have you ever been to a meeting with technologists and business folks all in one room where everyone seems to be agreeing, but really talking right across each other? Or are you a business person that feel your IT department produces bad software or a technologist that think your business department is all talks but don’t get down to get anything done? That is because technologists tend to take more of the “how” perspective while business strategists think more about the “why”. Mr. Cooper himself described how he had to resist his urges as a technologist to jump right into the “how” and instead focusing on making a “business case” first by taking on the average product users’ point of view.

You ask, what’s the solution then? Well, here’s an interesting while seemingly unrelated observation: what is it that makes love affairs between a computer geek guy and a art loving, poetry writing girl successful? It’s the same combo of opposite minds, but they sure seem to work out more often than IT projects do.

Essentially, I think it comes down to trust, respect and patient communication. If we are willing to think from the other team’s perspective and really on each other’s strength instead of pointing out our differences, no matter it is a relationship or IT project, it’s more likely to succeed. Easier said than done though.

Either way, rambling aside, it seems that no matter you are a technologist, a designer, or just a technology user, you’ll find some interesting insights in this book. Recommended.

#5 Magazine for iPad and iPhone, a revolution in interactive newspapers

Yesterday I found a new magazine in the Apple Newsstand. It was a unique magazine in a couple of ways. Firstly it was free. To clarify, it was completely free. This is very different from many other magazine apps in the app store, as those require you to buy a subscription to actually get content onto their “free” app. This magazine also was different in other ways. It seems that this is the first magazine that was designed with the iPad and iPhone in mind.

It is not a collection of linked articles or a rehash of the web site. It is an experience that is built completely for the interactivity of the touch screen. Images shift under your fingers, videos flow and music plays. You read an article about a photo model, and you see the video of the shoot right there. It was a full immersion experience.

Using this app on the iPhone, as I was going, did leave a desire for a bigger screen, but then again, it was still enjoyable. I did have to squint just a bit to see it sometimes. I can really see how this app would shine on the iPad. Overall, I think, this is what the future of magazines should be. A fully immersive multimedia experience. Compared to this, other apps seem just simple and antique. Many people are saying that the old media is dead. But I say, with apps like this … it’s about to get a new lease on life.

If you would like to see it, here is a link to the app on iTunes.

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children of the revolution

I was browsing the Wall Street Journal this morning, as is my wont, and I found this interesting article on children of government leaders in China. This article “Children of the Revolution“, describes these children as “princelings” and discusses how others in China view them and how they view themselves. It’s really fascinating to see how many of them are Western-educated. It’ll be interesting to see if that leads to change later in the Party, or if it’s more just for show and as a status symbol only.

I found it an utterly riveting article, if only to shine some light on how much China is changing.

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Welcome to a bold experiment.

Please join me in this bold experiment. I along with several other friends will be posting here on a weekly basis. The topics will be vast and varied, keep up with us for a bit and something will surely catch your eye.

There are no topics which are taboo, and everything is accepted. In time, if people are interested we will accept guest bloggers and contributors.

For now, let the experiment begin.