2007 Feb 13 - Tue

Darvas Selections for 2007/02/14

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

Start: 2007-01-13 High: 2007-02-07 EOD: 2007-02-13 Symbol Stop ABB 18.62 ACN 37.86 AET 42.99 AFL 48.71 AMKR 11.40 AMP 59.35 AMT 39.30 AN 22.56 ANAD 11.40 ARO 37.06 ATHR 24.80 BEN 121.77 BIG 26.34 BMC 35.41 CAR 26.76 CECO 28.13 CHINA 10.63 CHKP 24.43 CIT 58.63 COH 47.03 COL 66.18 COST 54.66 CRM 47.82 CROX 57.32 CX 36.37 DD 51.00 DISH 41.53 DTV 24.76 EEM 116.50 EFA 74.51 EXPE 21.65 FHN 44.05 FISV 51.44 GGP 65.07 GIGM 11.95 GILD 71.92 GNW 36.61 GR 48.39 HAS 28.94 HCP 39.60 HLT 37.31 HON 45.90 HTZ 19.95 IACI 39.48 IBN 45.89 IFX 15.68 ITW 50.29 JCP 84.09 KEY 38.97 KLIC 9.09 LEH 84.13 LLL 83.25 MCO 74.82 MET 64.75 MIR 34.61 MLS 26.30 MRVC 4.19 NKE 100.25 NOC 73.57 NT 29.32 NTY 52.32 NUAN 12.72 NYT 25.69 PCAR 69.72 PLCM 32.43 RHT 24.47 RTN 53.22 SCUR 8.84 SNV 32.10 SPG 121.24 TGT 59.88 TRN 39.83 TSN 18.67 UBS 63.33 UIS 9.22 URI 28.25 VNO 132.85 WLP 79.00 XL 71.56 XLI 35.96 XLY 39.72 YHOO 29.88 ZMH 85.00

Start: 2007-01-13 High: 2007-02-08 EOD: 2007-02-13 Symbol Stop AFFX 27.83 ALVR 7.77 AMX 45.76 ANAD 11.40 ANF 82.81 APCC 30.85 ARO 37.06 BEN 121.77 BG 79.85 BGC 48.38 BIG 26.34 CBS 31.91 CHINA 10.63 COH 47.03 CVG 26.50 DIS 34.44 DLTR 32.53 EDS 27.62 EMC 14.38 EXC 62.72 EXPE 21.65 FMCN 85.84 GGP 65.07 GT 25.33 HAS 28.94 HCP 39.60 HTZ 19.95 IACI 39.48 IBN 45.89 IFX 15.68 IP 36.93 ITW 50.29 MA 113.08 MCO 74.82 MET 64.75 MNST 51.39 MRVC 4.19 NKE 100.25 NOC 73.57 NT 29.32 NUAN 12.72 PRU 91.26 RHT 24.47 RMBS 21.49 SONS 7.80 TGT 59.88 TIF 40.50 TROW 48.94 UBS 63.33 UIS 9.22 URI 28.25 VNO 132.85 WLP 79.00 WYN 32.65 XEL 24.14 XL 71.56 YHOO 29.88 ZMH 85.00

[/Trading/Darvas/D200702] permanent link

Darvas Results at EOD 2007/02/13

In comparison, the Dow Jones Industrial Index opened at 12549, had a higher high of 12658, had a higher low (an all positive day) of 12549, and closed up further at 12654.

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

Start: 2007-01-12
High: 2007-02-06
EOD: 2007-02-12

Symbol	Open	High	Low	Close	Stop	O->H	O->C
AA	34.85	36.05	34.55	35.00	32.29	1.20	0.15
ABB	18.42	18.55	18.38	18.55	18.62	0.13	0.13
AEP	45.83	45.88	45.38	45.78	45.23	0.05	-0.05
AFL	47.86	48.06	47.61	47.84	48.71	0.20	-0.02
AMP	60.35	61.53	60.28	61.12	59.35	1.18	0.77
ANAD	11.36	12.32	11.24	11.98	11.40	0.96	0.62
ARO	37.75	38.25	37.66	38.18	37.06	0.50	0.43
AVP	38.32	38.66	38.03	38.60	38.64	0.34	0.28
BEN	122.34	122.97	121.75	122.91	121.77	0.63	0.57
BMC	31.02	32.10	30.93	32.01	35.41	1.08	0.99
CE	28.62	29.19	28.62	28.99	27.32	0.57	0.37
CECO	29.47	29.50	29.25	29.35	28.13	0.03	-0.12
CHINA	10.72	10.76	10.56	10.62	10.63	0.04	-0.10
CHKP	24.38	24.91	24.36	24.65	24.43	0.53	0.27
CIT	58.91	59.33	58.87	59.12	58.63	0.42	0.21
CRM	47.50	48.93	47.50	48.49	44.32	1.43	0.99
CROX	55.70	55.70	52.60	53.54	57.32	0.00	-2.16
DE	103.23	104.19	102.52	102.67	100.95	0.96	-0.56
EEM	113.95	115.40	113.87	115.17	116.50	1.45	1.22
EFA	74.83	75.34	74.77	75.30	74.51	0.51	0.47
FHN	43.74	43.99	43.05	43.92	44.05	0.25	0.18
FRX	53.33	53.50	52.86	53.30	56.54	0.17	-0.03
GGB	17.24	18.24	17.20	18.17	18.04	1.00	0.93
GGP	59.50	63.12	59.42	62.98	65.07	3.62	3.48
GNW	35.89	36.50	35.77	36.43	36.61	0.61	0.54
HLT	36.35	36.90	36.22	36.61	37.31	0.55	0.26
HON	46.10	46.59	46.03	46.51	45.90	0.49	0.41
HRS	51.80	52.00	51.33	51.79	51.69	0.20	-0.01
ITW	52.00	52.56	51.89	51.95	50.29	0.56	-0.05
KEY	38.89	39.10	38.55	38.97	38.97	0.21	0.08
LEA	38.98	39.12	38.46	38.98	40.60	0.14	0.00
LEH	82.22	83.04	81.82	82.83	84.13	0.82	0.61
MAT	26.20	26.52	25.96	26.42	26.13	0.32	0.22
MET	63.80	64.97	63.50	64.85	62.87	1.17	1.05
MIR	34.98	35.37	34.81	35.36	34.61	0.39	0.38
MLS	25.88	26.25	25.86	26.24	26.30	0.37	0.36
MRVC	4.27	4.27	4.20	4.22	4.19	0.00	-0.05
NOC	74.41	74.99	74.36	74.60	73.57	0.58	0.19
NTRS	62.25	62.34	61.90	62.17	58.66	0.09	-0.08
NUAN	13.74	14.08	13.67	14.07	12.72	0.34	0.33
NVL	43.72	43.95	43.67	43.85	40.00	0.23	0.13
NYT	25.36	25.50	25.13	25.16	25.16	0.14	-0.20
RDN	61.00	62.01	60.82	61.90	62.50	1.01	0.90
SID	34.68	35.96	34.64	35.51	35.20	1.28	0.83
SNE	49.40	49.80	49.40	49.71	48.01	0.40	0.31
SNV	32.57	32.78	32.51	32.78	32.10	0.21	0.21
SPG	113.50	118.05	113.09	118.00	121.24	4.55	4.50
SSTI	5.44	5.50	5.35	5.47	5.19	0.06	0.03
STP	37.50	37.70	37.00	37.36	38.24	0.20	-0.14
TPX	24.83	25.36	24.64	25.36	24.40	0.53	0.53
TSN	18.34	18.83	18.13	18.76	18.01	0.49	0.42
UIS	9.04	9.14	9.03	9.14	9.22	0.10	0.10
WLP	80.98	81.06	80.56	80.87	79.00	0.08	-0.11
XEL	24.10	24.24	24.00	24.21	24.14	0.14	0.11
XLU	37.93	38.25	37.93	38.23	37.84	0.32	0.30
	2395.40					33.83	21.18

Start: 2007-01-12
High: 2007-02-07
EOD: 2007-02-12

Symbol	Open	High	Low	Close	Stop	O->H	O->C
ABB	18.42	18.55	18.38	18.55	18.62	0.13	0.13
ACN	38.69	38.80	38.43	38.72	37.98	0.11	0.03
AET	43.00	43.61	42.90	43.43	42.99	0.61	0.43
AFL	47.86	48.06	47.61	47.84	48.71	0.20	-0.02
ALTR	20.41	21.03	20.41	20.62	20.64	0.62	0.21
AMKR	11.07	11.42	11.02	11.36	11.40	0.35	0.29
AMP	60.35	61.53	60.28	61.12	59.35	1.18	0.77
AMT	39.50	39.98	39.47	39.55	39.30	0.48	0.05
AN	22.82	23.08	22.81	23.08	22.56	0.26	0.26
ANAD	11.36	12.32	11.24	11.98	11.40	0.96	0.62
ARO	37.75	38.25	37.66	38.18	37.06	0.50	0.43
ATHR	26.16	26.16	25.48	25.57	24.84	0.00	-0.59
BEN	122.34	122.97	121.75	122.91	121.77	0.63	0.57
BIG	26.36	26.49	26.23	26.35	26.34	0.13	-0.01
BMC	31.02	32.10	30.93	32.01	35.41	1.08	0.99
CAR	26.79	27.05	26.62	26.97	26.76	0.26	0.18
CECO	29.47	29.50	29.25	29.35	28.13	0.03	-0.12
CHINA	10.72	10.76	10.56	10.62	10.63	0.04	-0.10
CHKP	24.38	24.91	24.36	24.65	24.43	0.53	0.27
CIT	58.91	59.33	58.87	59.12	58.63	0.42	0.21
COH	47.29	48.30	47.29	48.25	47.03	1.01	0.96
COL	68.07	68.56	67.72	68.34	66.18	0.49	0.27
COST	56.14	56.62	55.90	56.46	54.66	0.48	0.32
CRM	47.50	48.93	47.50	48.49	44.32	1.43	0.99
CROX	55.70	55.70	52.60	53.54	57.32	0.00	-2.16
CX	35.52	35.91	35.36	35.68	36.37	0.39	0.16
DD	50.94	51.42	50.73	51.33	51.00	0.48	0.39
DISH	41.69	42.41	41.68	42.12	41.53	0.72	0.43
DTV	24.13	24.34	23.86	23.95	24.76	0.21	-0.18
EEM	113.95	115.40	113.87	115.17	116.50	1.45	1.22
EFA	74.83	75.34	74.77	75.30	74.51	0.51	0.47
EXPE	21.53	21.90	21.48	21.65	21.65	0.37	0.12
FHN	43.74	43.99	43.05	43.92	44.05	0.25	0.18
FISV	53.38	53.92	53.38	53.71	51.44	0.54	0.33
GGP	59.50	63.12	59.42	62.98	65.07	3.62	3.48
GIGM	11.80	12.27	11.75	12.03	11.95	0.47	0.23
GILD	70.97	71.47	70.43	70.57	71.92	0.50	-0.40
GNW	35.89	36.50	35.77	36.43	36.61	0.61	0.54
GR	49.37	50.19	49.26	50.10	48.39	0.82	0.73
HAS	28.67	28.70	28.28	28.47	28.94	0.03	-0.20
HCP	39.90	40.50	39.05	40.29	39.60	0.60	0.39
HLT	36.35	36.90	36.22	36.61	37.31	0.55	0.26
HON	46.10	46.59	46.03	46.51	45.90	0.49	0.41
HTZ	20.50	20.61	20.28	20.36	19.95	0.11	-0.14
IACI	39.48	39.83	39.34	39.74	39.48	0.35	0.26
IBN	43.90	43.90	40.79	42.24	45.89	0.00	-1.66
IFX	15.65	15.91	15.64	15.89	15.68	0.26	0.24
ITW	52.00	52.56	51.89	51.95	50.29	0.56	-0.05
JCP	82.85	83.58	82.75	83.34	84.09	0.73	0.49
KEY	38.89	39.10	38.55	38.97	38.97	0.21	0.08
KLIC	9.52	9.73	9.46	9.57	9.09	0.21	0.05
LEH	82.22	83.04	81.82	82.83	84.13	0.82	0.61
LLL	85.50	86.10	85.25	85.92	83.25	0.60	0.42
MAT	26.20	26.52	25.96	26.42	26.13	0.32	0.22
MCO	71.84	72.10	70.81	70.95	74.82	0.26	-0.89
MET	63.80	64.97	63.50	64.85	62.87	1.17	1.05
MIR	34.98	35.37	34.81	35.36	34.61	0.39	0.38
MLS	25.88	26.25	25.86	26.24	26.30	0.37	0.36
MRVC	4.27	4.27	4.20	4.22	4.19	0.00	-0.05
NKE	103.43	105.57	103.43	105.20	100.25	2.14	1.77
NOC	74.41	74.99	74.36	74.60	73.57	0.58	0.19
NT	29.08	30.39	29.08	30.29	27.56	1.31	1.21
NTY	52.10	52.25	50.37	50.87	52.32	0.15	-1.23
NUAN	13.74	14.08	13.67	14.07	12.72	0.34	0.33
NYT	25.36	25.50	25.13	25.16	25.16	0.14	-0.20
PCAR	69.18	69.96	69.12	69.86	69.72	0.78	0.68
PLCM	33.73	33.99	33.49	33.84	32.57	0.26	0.11
RHT	25.00	25.15	24.16	24.27	24.47	0.15	-0.73
RTN	54.54	55.26	54.14	55.26	53.22	0.72	0.72
SCUR	8.81	8.87	8.74	8.81	8.84	0.06	0.00
SID	34.68	35.96	34.64	35.51	35.20	1.28	0.83
SNV	32.57	32.78	32.51	32.78	32.10	0.21	0.21
SPG	113.50	118.05	113.09	118.00	121.24	4.55	4.50
SSTI	5.44	5.50	5.35	5.47	5.19	0.06	0.03
TGT	62.02	62.35	61.77	62.13	59.88	0.33	0.11
TRN	39.56	40.37	39.55	40.25	39.83	0.81	0.69
TSN	18.34	18.83	18.13	18.76	18.01	0.49	0.42
UBS	62.50	63.12	62.17	63.04	63.33	0.62	0.54
UIS	9.04	9.14	9.03	9.14	9.22	0.10	0.10
URI	28.40	28.76	28.32	28.40	28.25	0.36	0.00
VNO	130.51	134.48	130.04	134.32	132.85	3.97	3.81
WLP	80.98	81.06	80.56	80.87	79.00	0.08	-0.11
XL	72.48	72.72	72.33	72.61	71.56	0.24	0.13
XLI	35.82	36.20	35.82	36.20	35.96	0.38	0.38
XLU	37.93	38.25	37.93	38.23	37.84	0.32	0.30
XLY	39.36	39.62	39.31	39.62	39.72	0.26	0.26
YHOO	29.37	29.68	29.26	29.56	29.88	0.31	0.19
ZMH	83.07	84.39	82.78	84.18	85.00	1.32	1.11
	3792.74					53.22	31.26

[/Trading/Darvas/D200702] permanent link

Trading Sites of the Day -- A ThreeSome: Alea, Interfluidity, Coding the Markets

Today I ended upon Coding The Markets because of the name. Perhaps this would be a kindred soul who would offerup all sorts of pearls of wisdom. The author doesn't get quite as deep as I would like. He obliquely refers to playing with his 600kloc crafted in MS VC++/MFC. No meat there though. He does spend some time reviewing sections from Larry Harris' book Trading & Exchanges: Market Microstructure for Practitioners. That book does indeed explain a lot of what goes on behind the scenes in the operations of pricing and exchanges.

I managed to get side-tracked to Andrew Gelman's Statistical Modeling, Causal Inference, and Social Science. A lot of the stuff I'm developing is based upon statistics and sampling. Andrew presents the human side of statistics.

Just to match the statistics side with probability, here is the Oddhead Blog.

Continuing to be side tracked, I see an article about scalping at trade-ideas software. Sunday was the first in a series on scalping. There is to be second Wednesday.

Getting back to what was supposed to be my second submission, Alea is a blog that crosses many economic a nd market boundaries, but stays mostly with the derivatives markets. If one were to spend some time with the site, I think there are many potential meaningful tidbits.

And yes, I know, I havn't described the sites in the same order they are presented in the title. Just seeing if you were paying attention. Anyway, the third entry is interfluidity. I think he is talking about the fluidity of the markets from one place to the other and the liquidity (or lack thereof) of the flows thereof.

[/Trading/SiteOfTheDay/D200702] permanent link

Mit Press Journals: Evolutionary Computation

In my pursuit for recent relevant information regarding Genetic Programming, I see that MIT Press has a Journal called Evolutionary Computation. And contrary to many scientific publishers, the subscription cost is actually atainable: $61 for an electronic subscription to a quarterly journal. They do have the odd free article to download as a teaser.

The journal is described as covering "both theoretical and practical developments of computational systems drawing their inspiration from nature, with particular emphasis on evolutionary algorithms (EAs), including, but not limited to, genetic algorithms (GAs), evolution strategies (ESs), evolutionary programming (EP), genetic programming (GP), classifier systems (CSs), and other natural computation techniques."

[/Trading/AutomatedTrading] permanent link

Chris Donnan: Programming - Brooklyn Style

Ahh... finally, a programmer who writes about programming in the financial markets. They guy talks about data sources, optimizers, platforms, languages, networking, and a whole raft of other stuff. I've put him on my read-frequently list.

[/Trading/AutomatedTrading] permanent link

Books on Financial Time Series Analysis

There is a course being presented on Financial Time Series Analysis by J. Michael Steele. There is a reading list titled An Eclectic Selection of Books Pertaining to Financial Time Series. I reprint it here just in case it goes away:

General References:

Chris Chatfield, The Analysis of Time Series: An Introduction (6th Edition), Chapman and Hall, New York, 2004.

This is perhaps the most widely required texts for time series courses at the level of our course. It does not focus specifically on financial series, but it provides one will a good general basis. It strikes a sensible balance between theory and practice.

N. H. Chan, Time Series: Applications to Finance, John Wiley and Sons, New York, 2004.

A straightforward text that develops the theory of time series a the level of our course. It is less encyclopedic than Zivot and Wang, and this makes it easier to read. This text is useful even though it does not fully engage the struggle required by an honest attempt to understand real-world financial time series.

James D. Hamilton, Time Series Analysis, Princeton University Press, Princeton New Jersey, 1994.

For many, the "big green book" is their main resource. Weighing in at just under 800 pages, it is arguably the most complete treatment of the theory of time series as it is currently applied in economics and finance. It is more mathematical than our course, but for students who expect to make time series a serious part of their professional tool kit, it is worth the investment.

Terence C. Mills, The Econometrics of Financial Time Series (second edition), Cambridge University Press, Cambridge UK, 1999.

This book is close to the level of our course, and it provides good supplementary reading. Chapter 5, Modelling Return Distributions is particularly relevant. Whereas Zivot and Whang devote their energy to reporting on models that are off current interest, Mills takes a more editorial point of view. This is also one of our aims.

C.W.J. Granger (editor), Modelling Economic Series: Readings in Econometric Methodology, Clarendon Press, Oxford, 1990.

This is a collection of essays by leading econometrician's. The book now shows signs of age, but some bits are timeless, such as Leamer's "Let's Take the Con out of Econometrics." If I had picked the subtitle, I might have chosen "Modelling is not (or should not be) for Sissies."

State Space Models:

J. Durbin and S. J. Koopman, Time Series Analysis by State Space Models, Oxford University Press, 2000.

This is book is at the level of our class and it provides as smooth an introduction to state space models as you are likely to find. The basic theory is developed without going overboard.

A. C. Harvey, Forecasting, Structural Time Models and the Kalman filter, Cambridge University Press, 1989.

This text is also at the level of our course, and it is also well worth your time. When I first looked at it I thought it was "too hard" for our class, but now I don't see what I thought was the problem.

M. West and J. Harrison, Bayesian Forecasting and Dynamic Models (2nd Ed.), Springer-Verlag, 1999.

This book is often referenced, perhaps more often than it is read. Its 680 pages make it a book that many need to reference but few need to digest. Once you have some experience with state space models, it becomes a useful resource which (ironically!) turns out to be less encyclopedic than one might hope.

Works with an Attitude:

David F. Hendry, Econometrics: Alchemy or Science (New Edition), Oxford University Press, Oxford, 2000.

This bravely titled collection of essays is well-worth dipping into, though I doubt that few readers will plow through all of the individual works. Certainly one of the attractive features of the book is its willingness to tackle some hard issues head-on. De minimus, it gives us a list of the problems that you will face.

Authors of academic papers often relegate their acknowledgment of the shortcomings of their work to their closing paragraphs, and, just as often, they suggest that the present defects will be remedied at a later date. The authors and the readers quietly conspire in their knowledge that no remedy is unlikely to be forthcoming.

Robert E. Rubin and Jacob Weisberg, In an Uncertain World: Tough Choices from Wall Street to Washington, Random House, New York, 2003.

Rubin's premise is that to think wisely about the world, one must think probabilistically. He does not suggest that explicit models must be used at every turn, but he does argue that leaders are nuts unless they explicitly consider multiple circumstances that have widely differing likelihood of coming to pass. The work is autobiographical, and it comes from a certain political perspective. Nevertheless, Rubin is about as nonpartisan as a person can be who has had access to the top levels of financial decision making. This is a nontechnical book, but reading it will enrich almost anyone's understanding of the potential and the limitation of probabilistic models.

Andrei Shleifer, Inefficient Markets: An Introduction to Behavioral Finance, Oxford University Press, Oxford, 2000.

This brief, efficient survey puts on the table all of the most important examples of situations where the Efficient Market Hypothesis is known to break. It sets forth many of the basic arguments both for and against the EMH in all its many flavors.