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2007 Feb 08 - Thu

Trading Site of the Day -- Meyers Analytics: Meat and Potatoes of Algorithmic Trading

Meyers Analytics isn't afraid to explain the algorithm behind the product. The man behind the web site is Dennis Meyers. He sells pre-packaged algorithms to those who want an out of the box solution.

For those who like to tinker, I think enough information is provided for one to independently implement the algorithms. If there isn't quite enough information on the web site, he refers to past articles he has written in magazines such as Stocks and Commodities as well as Active Trader.

This style of this site is defintely rare. Describing the algorithm in the package that you are selling is almost unheard of. But, there are many out there who are not programmers and want prepackaged solutions, such as what Mr. Meyers offers. My hat is off.

[/Trading/SiteOfTheDay/D200702] permanent link

Darvas Selections for 2007/02/09

Here are the selections for Friday. These lists have the Darvas stop calculated in the second column.

Start: 2007-01-08
High: 2007-02-02
EOD: 2007-02-08

Symbol Stop

ABB 18.62
ACN 37.98
ADCT 16.65
AEP 45.23
AMP 59.35
ANF 82.81
ARBA 9.42
AVP 36.89
BC 30.49
BNI 75.70
BUD 50.65
CA 25.77
CAR 26.76
CEM 11.78
CEN 30.38
CGV 39.99
CHKP 24.43
CIT 58.63
CMS 17.12
COH 47.03
CPWR 8.88
CRM 44.32
CROX 57.32
CX 36.37
D 85.53
DE 100.95
DHI 29.38
ETN 78.23
ETR 96.32
FRX 56.54
GMST 3.98
GR 48.39
HAS 28.94
HCR 53.08
HLT 37.31
HLTH 14.52
HYSL 42.44
IJR 68.48
IR 43.26
JCP 84.09
KEY 38.97
KR 25.99
LEH 84.13
LLL 83.25
MAT 26.13
MCO 74.82
MET 62.87
MIR 34.61
MNST 51.39
NKE 100.35
NOC 73.57
NTY 52.32
NYB 16.94
ONNN 9.35
PCAR 69.72
PLCM 32.57
PRU 91.26
PWR 20.70
RAD 6.24
RCL 45.01
RGC 22.44
RRI 15.89
RTN 53.22
RYL 57.30
SCUR 8.84
SID 35.80
SLE 17.30
SNV 32.10
SPF 29.27
SSTI 5.28
SVU 37.74
SWK 57.26
T 37.22
TIN 48.29
TSN 18.15
TYC 32.32
UIS 9.22
WSM 35.65
XLI 35.96
XLY 39.72

Start: 2007-01-08
High: 2007-02-05
EOD: 2007-02-08

Symbol Stop

ACN 37.98
AEP 45.23
AET 42.99
AMP 59.35
ANAD 11.40
ATHR 24.84
BIG 26.34
CAR 26.76
CEN 30.38
CIT 58.63
CMS 17.12
CRM 44.32
CROX 57.32
CX 36.37
D 85.53
DE 100.95
DO 85.14
ETN 78.23
ETR 96.32
FE 62.90
FRX 56.54
GGB 17.97
GMST 3.98
GT 25.33
HCP 41.43
HLT 37.31
HLTH 14.52
HRS 51.50
IACI 39.48
KEY 38.97
KR 25.99
LEA 40.60
MAT 26.13
MEL 44.36
MIR 34.61
MLS 26.30
MNST 51.39
MRVC 4.19
NOC 73.57
NTY 52.32
PCAR 69.72
RAD 6.24
RRI 15.89
RTN 53.22
SCUR 8.84
SHLD 176.50
SID 35.80
SPG 121.24
SSTI 5.28
STP 38.24
SUNW 6.25
TPX 24.40
TRI 48.27
TSN 18.15
TYC 32.32
UIS 9.22
WLP 79.05
XEL 24.12
XLI 35.96
XLU 37.64
XRX 17.30

[/Trading/Darvas/D200702] permanent link

SmartQuant QuantDeveloper & DataCenter Release

SmartQuant has released a revision to QuantDeveloper. DataCenter and QuantDeveloper are at the following revision levels:

DataCenter
Version 2.1.6 (22-Jan-2007) 

QuantDeveloper Enterprise Edition
Version 2.4.3 (08-Feb-2007)

[/Trading/SmartQuant/Releases] permanent link

Darvas Results at EOD 2007/02/08

In comparison, the Dow Jones Industrial Index opened at 12665, had a high of 12665, had a low of 12575, and closed down at 12637.

If Low is green, then it stayed above the stop level. If Close is green, the symbol closed up for the day.

Start: 2007-01-07
High: 2007-02-01
EOD: 2007-02-07

Symbol Open High Low Close Stop O->H O->C

AA 32.34 32.76 32.20 32.64 32.29 0.42 0.30
ACF 27.24 27.26 26.11 26.78 25.60 0.02 -0.46
ACN 38.95 39.00 38.52 38.84 37.98 0.05 -0.11
AGU 35.77 35.93 35.57 35.65 34.51 0.16 -0.12
AL 50.98 51.95 50.76 51.85 50.00 0.97 0.87
ANF 79.00 83.82 78.62 83.22 80.46 4.82 4.22
ARBA 9.22 9.75 9.11 9.71 9.42 0.53 0.49
BA 89.64 90.36 88.55 89.52 89.73 0.72 -0.12
BAX 49.80 49.88 49.51 49.78 49.98 0.08 -0.02
BC 33.81 33.98 33.61 33.76 30.49 0.17 -0.05
BMET 42.38 42.63 42.24 42.38 42.08 0.25 0.00
BNI 79.65 79.88 79.25 79.44 75.70 0.23 -0.21
CECO 29.00 29.18 28.96 29.05 28.13 0.18 0.05
CEM 11.77 11.80 11.58 11.64 11.78 0.03 -0.13
CEN 30.78 30.88 30.30 30.37 30.38 0.10 -0.41
CGV 40.02 40.45 40.02 40.45 39.99 0.43 0.43
CIT 61.00 61.02 59.88 59.89 58.63 0.02 -1.11
CPWR 9.14 9.20 9.03 9.12 8.88 0.06 -0.02
CRM 47.69 47.99 46.75 47.70 44.32 0.30 0.01
D 87.13 87.65 87.04 87.48 85.53 0.52 0.35
DE 103.51 103.51 102.19 102.90 100.95 0.00 -0.61
DHI 29.05 29.20 28.61 28.65 29.38 0.15 -0.40
DO 86.50 87.90 84.47 87.23 79.34 1.40 0.73
EFA 74.59 75.00 74.46 74.96 74.51 0.41 0.37
ETR 98.80 98.80 97.60 98.24 96.32 0.00 -0.56
FRX 55.24 55.71 53.40 55.34 56.54 0.47 0.10
GGB 17.23 17.58 17.15 17.40 17.97 0.35 0.17
GILD 72.06 72.53 71.58 72.16 71.92 0.47 0.10
HLT 37.52 37.54 37.17 37.50 37.31 0.02 -0.02
HLTH 14.39 14.80 14.19 14.67 14.02 0.41 0.28
HRB 24.45 24.63 23.95 24.52 24.26 0.18 0.07
HYSL 42.54 42.74 42.32 42.69 42.44 0.20 0.15
IJR 68.35 68.77 68.28 68.68 68.48 0.42 0.33
ITT 59.97 60.57 59.78 60.30 60.26 0.60 0.33
ITW 52.01 52.14 51.68 51.75 50.29 0.13 -0.26
JCP 83.62 83.93 82.27 83.45 84.09 0.31 -0.17
KR 26.00 26.20 25.80 25.95 25.99 0.20 -0.05
LEH 85.50 85.50 83.07 84.42 84.13 0.00 -1.08
LLL 86.84 86.97 86.21 86.82 83.25 0.13 -0.02
LYO 30.21 30.55 30.21 30.41 31.30 0.34 0.20
MAT 25.72 26.51 25.64 26.46 25.33 0.79 0.74
MCO 73.85 76.09 73.85 74.84 72.60 2.24 0.99
MET 64.35 64.38 63.63 63.78 62.87 0.03 -0.57
MNST 53.00 53.93 52.84 53.32 51.39 0.93 0.32
NIHD 74.44 75.22 73.75 75.08 73.64 0.78 0.64
OI 23.01 23.43 23.00 23.20 23.11 0.42 0.19
ONNN 9.70 9.72 9.51 9.55 9.35 0.02 -0.15
PRU 91.50 92.83 91.19 92.14 90.02 1.33 0.64
PX 63.37 63.46 62.65 62.77 63.18 0.09 -0.60
RCL 41.77 41.95 41.62 41.70 45.01 0.18 -0.07
RGC 22.66 22.93 22.20 22.58 22.44 0.27 -0.08
RYL 57.38 57.40 55.39 55.96 57.30 0.02 -1.42
SLE 17.00 17.25 16.90 17.12 17.30 0.25 0.12
SNV 32.65 32.71 32.47 32.61 32.10 0.06 -0.04
SUNW 6.60 6.69 6.53 6.59 6.25 0.09 -0.01
SVU 38.37 38.48 38.06 38.19 37.74 0.11 -0.18
SWK 58.09 58.09 57.39 57.85 57.26 0.00 -0.24
SYK 62.40 62.97 61.72 62.51 62.07 0.57 0.11
TIN 49.88 49.88 49.06 49.49 48.29 0.00 -0.39
TMX 30.70 31.31 30.54 31.27 30.93 0.61 0.57
TSN 18.12 18.30 18.00 18.25 18.15 0.18 0.13
TV 28.86 28.89 28.50 28.59 28.65 0.03 -0.27
TYC 31.85 31.90 31.60 31.80 32.32 0.05 -0.05
UBS 63.66 64.31 63.63 64.02 63.33 0.65 0.36
UIS 9.01 9.46 9.01 9.22 8.50 0.45 0.21
UNP 100.24 101.15 99.71 100.58 99.09 0.91 0.34
WPI 28.10 28.29 27.99 28.21 28.01 0.19 0.11
WSM 35.00 35.40 34.91 35.07 35.65 0.40 0.07
XLI 36.28 36.28 35.97 35.99 35.96 0.00 -0.29
XRX 17.26 17.36 17.22 17.33 17.30 0.10 0.07
2866.45 28.00 4.87

Start: 2007-01-07
High: 2007-02-02
EOD: 2007-02-07

Symbol Open High Low Close Stop O->H O->C

ABB 18.42 18.54 18.37 18.48 18.62 0.12 0.06
ACN 38.95 39.00 38.52 38.84 37.98 0.05 -0.11
ADCT 16.74 17.13 16.65 17.10 15.98 0.39 0.36
AEP 45.01 45.37 44.77 45.30 43.48 0.36 0.29
AMP 61.48 61.75 61.06 61.33 59.35 0.27 -0.15
ANF 79.00 83.82 78.62 83.22 80.46 4.82 4.22
ARBA 9.22 9.75 9.11 9.71 9.42 0.53 0.49
AVP 37.24 38.45 37.00 38.13 36.89 1.21 0.89
BC 33.81 33.98 33.61 33.76 30.49 0.17 -0.05
BNI 79.65 79.88 79.25 79.44 75.70 0.23 -0.21
BUD 50.30 50.38 50.07 50.19 50.65 0.08 -0.11
CA 26.79 27.00 26.75 26.96 25.77 0.21 0.17
CAR 27.00 27.00 26.42 26.50 26.76 0.00 -0.50
CEM 11.77 11.80 11.58 11.64 11.78 0.03 -0.13
CEN 30.78 30.88 30.30 30.37 30.38 0.10 -0.41
CGV 40.02 40.45 40.02 40.45 39.99 0.43 0.43
CHKP 24.84 24.94 24.60 24.76 24.43 0.10 -0.08
CIT 61.00 61.02 59.88 59.89 58.63 0.02 -1.11
CMS 17.55 17.71 17.55 17.67 17.12 0.16 0.12
COH 47.31 47.63 46.92 47.51 47.03 0.32 0.20
CPWR 9.14 9.20 9.03 9.12 8.88 0.06 -0.02
CRM 47.69 47.99 46.75 47.70 44.32 0.30 0.01
CROX 57.00 57.24 55.97 56.49 57.32 0.24 -0.51
CX 36.36 36.63 35.87 36.50 36.37 0.27 0.14
D 87.13 87.65 87.04 87.48 85.53 0.52 0.35
DE 103.51 103.51 102.19 102.90 100.95 0.00 -0.61
DHI 29.05 29.20 28.61 28.65 29.38 0.15 -0.40
ETN 78.35 78.36 77.38 77.82 78.23 0.01 -0.53
ETR 98.80 98.80 97.60 98.24 96.32 0.00 -0.56
FRX 55.24 55.71 53.40 55.34 56.54 0.47 0.10
GMST 4.14 4.16 4.11 4.15 3.98 0.02 0.01
GR 50.10 50.30 49.51 49.91 48.39 0.20 -0.19
HAS 28.95 29.26 28.73 29.12 27.91 0.31 0.17
HCR 53.10 53.54 53.00 53.39 53.08 0.44 0.29
HLT 37.52 37.54 37.17 37.50 37.31 0.02 -0.02
HLTH 14.39 14.80 14.19 14.67 14.02 0.41 0.28
HYSL 42.54 42.74 42.32 42.69 42.44 0.20 0.15
IJR 68.35 68.77 68.28 68.68 68.48 0.42 0.33
IR 43.64 43.64 42.92 43.05 43.26 0.00 -0.59
JCP 83.62 83.93 82.27 83.45 84.09 0.31 -0.17
KEY 39.23 39.37 38.96 39.31 38.97 0.14 0.08
KR 26.00 26.20 25.80 25.95 25.99 0.20 -0.05
LEH 85.50 85.50 83.07 84.42 84.13 0.00 -1.08
LLL 86.84 86.97 86.21 86.82 83.25 0.13 -0.02
MAT 25.72 26.51 25.64 26.46 25.33 0.79 0.74
MCO 73.85 76.09 73.85 74.84 72.60 2.24 0.99
MET 64.35 64.38 63.63 63.78 62.87 0.03 -0.57
MIR 34.83 34.99 34.51 34.98 34.61 0.16 0.15
MNST 53.00 53.93 52.84 53.32 51.39 0.93 0.32
NKE 102.70 103.70 102.24 103.39 100.35 1.00 0.69
NOC 73.64 74.55 73.45 74.39 73.57 0.91 0.75
NTY 54.27 54.27 50.43 51.43 52.32 0.00 -2.84
NYB 17.06 17.06 16.81 16.90 16.94 0.00 -0.16
ONNN 9.70 9.72 9.51 9.55 9.35 0.02 -0.15
PCAR 70.34 70.40 68.44 69.45 69.72 0.06 -0.89
PLCM 34.64 34.86 34.18 34.81 32.57 0.22 0.17
PRU 91.50 92.83 91.19 92.14 90.02 1.33 0.64
PWR 21.25 21.38 21.10 21.25 20.60 0.13 0.00
RAD 6.31 6.35 6.29 6.31 6.24 0.04 0.00
RCL 41.77 41.95 41.62 41.70 45.01 0.18 -0.07
RGC 22.66 22.93 22.20 22.58 22.44 0.27 -0.08
RRI 15.80 15.94 15.33 15.58 15.89 0.14 -0.22
RTN 55.05 55.19 54.49 54.67 53.22 0.14 -0.38
RYL 57.38 57.40 55.39 55.96 57.30 0.02 -1.42
SCUR 9.22 9.24 8.97 9.05 8.84 0.02 -0.17
SID 34.38 35.37 34.00 35.13 35.80 0.99 0.75
SLE 17.00 17.25 16.90 17.12 17.30 0.25 0.12
SNV 32.65 32.71 32.47 32.61 32.10 0.06 -0.04
SPF 29.00 29.02 27.90 27.98 29.27 0.02 -1.02
SSTI 5.40 5.50 5.30 5.46 5.28 0.10 0.06
SVU 38.37 38.48 38.06 38.19 37.74 0.11 -0.18
SWK 58.09 58.09 57.39 57.85 57.26 0.00 -0.24
T 37.08 37.50 36.94 37.38 37.22 0.42 0.30
TIN 49.88 49.88 49.06 49.49 48.29 0.00 -0.39
TSN 18.12 18.30 18.00 18.25 18.15 0.18 0.13
TYC 31.85 31.90 31.60 31.80 32.32 0.05 -0.05
UIS 9.01 9.46 9.01 9.22 8.50 0.45 0.21
WSM 35.00 35.40 34.91 35.07 35.65 0.40 0.07
XLI 36.28 36.28 35.97 35.99 35.96 0.00 -0.29
XLY 39.85 39.86 39.69 39.83 39.72 0.01 -0.02
2856.04 26.09 -1.56

[/Trading/Darvas/D200702] permanent link

Perl based Code Colorer

In another article, I was looking at various batch oriented code colorization routines. In looking for Perl Modules for another take, I found that there is a Perl module that will do such a job, inline. It can be found at Colorer Library with another similar CPAN module at Syntax Hightlight Universal. I think that second supports about 200 different languages.

[/Personal/SoftwareDevelopment/HTML] permanent link

Cisco Callmanager Call Detail Records (CDR) with Perl

It is possible to obtain Cisco Callmanager Call Detail Records through Perl. However, there are a few prepatory steps to make it work.

Because Cisco recommends that Callmanager not be a member of a domain, it isn't possible to use flow through authentication to access the SQL Database server when on a host other than Callmanager. Cisco therefore suggests that SQL Authentication be changed to 'Mixed Mode'. This can be accomplished by starting sQL Enterprise Manager on the Callmanager Server containing the CDRs (there should only be one server in the cluster with CDR responsibilites), right click on the server name and select properties, select the security tab, and choose 'SQL Server and Windows' for authentication. Callmanager will need to be restarted.

To connect to the database tables, one could code the sa username and password into the queries, but that probably isn't a very good thing. Instead, I'd suggest creating a new login, call it cdr_reader, and assign it to the CDR database with public and db_owner roles.

Perl DBD drivers for Sybase can be used for connecting to the SQL 2000 database tables in Callmanager 3.3 and 4.X. For those who aren't using Debian, steps outlined at Linux Journal and FreeTDS: Tabular Data Stream.

For Debian users, obtaining the package is as simple as running 'apt-get install libdbd-sybase-perl' from unstable or testing. As of the time of this writing, I don't think Stable has the most recent and appropriate version.

I then modified the example from a Perl HowTo slightly to give it a try:

#!/usr/bin/perl

#-- open database
use DBI;
my $dbh = DBI->connect('DBI:Sybase:server=10.10.10.10','cdr_reader','password') or die $DBI::errstr;
$dbh->do("use CDR");

#-- sample query
my $rows = $dbh->selectrow_array("SELECT COUNT(*) FROM CallDetailRecord");
print "CDR has $rows records\n" if ( defined $rows );

That turned out to be quite straightforward. I'll publish another article with some perl queries and summaries I've used.

[/Cisco/Callmanager] permanent link

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