Wishing you all a fantastic time off for this end of year!
Be it with friends, family, or any way you will spend it….
The Au.Tra.Sy blog will be no exception and go into a short “hibernation period”.

Will Christmas bring the Bear back? We shall not care - we are systems traders... image credits: alicepopkorn@flickr

I certainly seem to have hit a (small) motivation “roadblock” and slowed down in my research/development of a trading system in the last few weeks. So these few days break are most welcome to “recharge the batteries”.

Looking back at the last 3-4 months the blog has been live, I feel pretty happy of the experience and the path it has taken. Traffic has been decent for this kick-start period so it seems that you are happy too – which is encouraging. It takes time to keep a blog, up but it helps keep me on track! I have also “met” (by email, blog comments, forums, etc.) some great people that pushed me to further some of my reflexions and learn new things. You are part of this, so thank you!

If you have any further suggestions about the blog, please let me know by email or by commenting below – I always appreciate every single comment.

Selection of posts

If you have joined recently you might want to catch up on these selected posts:

• Series of posts on the e-ratio: use it to measure your edge, code it up in TradersStudio and AmiBroker.
• A bit more personal: why I write the blog and what’s in the pipeline.
• Michael Covel dropped by to comment (and argue a bit) on the review post of his book Trend Following.
• Continuous Futures contracts and their different options, with some C# code to generate the data using the CSI API.

Xmas Reading Linkfest

Also, I did not want to let you with nothing “to chew on” while I’m away, so I am sharing a list of reading material that I will probably go through in the Christmas break:

• I have come across Futures and Options Trader magazine, an interesting quarterly publication with free PDF download (requires email registration). Some good articles for automated trading systems, with a finger on the “market pulse” (Futures calendars, etc.).
• On the nature and origins of trend following by Stig Ostgaard.
• For those that have not come across it before: Mebane Faber’s updated tactical asset allocation paper, also a paper discussing its conclusions.
• A couple of articles from Taleb: the Fourth Quadrant – a map of the limits of statistics, Bleed or Blowup? Why Do We Prefer Asymmetric Payoffs?
• To balance with the above – a critic of Taleb’s views.
• Stats book:
  A stats book is always a good idea as this is an often “skill for life” – as illustrated in the excellent – and definitely required understanding for the data analysis that comes with trading systems development. My short-list, in no particular order: this one, that one and 2 other ones.
  But as it is Christmas, I will probably make it easy on myself, and start with this illustrated cartoon Stats guide, which seems to have great reviews and will surely be more fun to read (and learn – it is still a serious book).
• Mandelbrot: (Mis)behavior of the Markets
  I found this a very enjoyable read and I am planning on re-reading it during the break. Despite the subject matter (fractal analysis of financial time-series and “review” of the Efficient Market Hypothesis/CAPM, etc.) this is an easy read, which expands on some of the concepts popularised by Taleb. Hopefully a more detailed review will be coming in the new year.
• Vince’s Portfolio Mathematics
  This one has been sitting on my desk for a while. It is a reference in the Risk/Money Management/Position Exposure and introduces the Optimal f and Leveraged Space Model – I think every trader should read this, if only to understand some of the concepts. I will aim to finish it and post a review of it in January.
• And finally some non-trading related books that might provide philosophy insights on how to approach life, recommended by Tim Ferris (from The 4-Hour Workweek):
  Zorba the Greek: Epicurean and Stoic philosophies wrapped into a laugh-out-loud story you will never forget.
  Letters from a Stoic (Seneca): Common Sense, Roman Decadence, and the Meaning of Life – A timeless masterpiece!

Note about the FTC

Note that the FTC (Federal Trade Commission) has changed some rules regarding blogging endorsements. As I get paid (a little – literally pennies) off the links to Amazon – including purchases you make while on Amazon that I did not link directly to – I added a disclosure page highlighting just that and other things about the blog. I am not sure I have to (as I am based in London) but a little transparency does not hurt – and it’s also a friendly reminder that you can support the Au.Tra.Sy blog by starting all your Amazon shopping here ;-)
Rest assured that when I review or recommend books, I only do so if I liked them/found them useful (or not in case of negative reviews…) and all my library books actually sit on my bookshelf (+ some that I have not deemed relevant, or read yet!…).

2009 Closing

These are most likely my last online words for 2009… Have fun and see you on the other side for a great new decade!