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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
SymbolStop
ABB18.62
ACN37.86
AET42.99
AFL48.71
AMKR11.40
AMP59.35
AMT39.30
AN22.56
ANAD11.40
ARO37.06
ATHR24.80
BEN121.77
BIG26.34
BMC35.41
CAR26.76
CECO28.13
CHINA10.63
CHKP24.43
CIT58.63
COH47.03
COL66.18
COST54.66
CRM47.82
CROX57.32
CX36.37
DD51.00
DISH41.53
DTV24.76
EEM116.50
EFA74.51
EXPE21.65
FHN44.05
FISV51.44
GGP65.07
GIGM11.95
GILD71.92
GNW36.61
GR48.39
HAS28.94
HCP39.60
HLT37.31
HON45.90
HTZ19.95
IACI39.48
IBN45.89
IFX15.68
ITW50.29
JCP84.09
KEY38.97
KLIC9.09
LEH84.13
LLL83.25
MCO74.82
MET64.75
MIR34.61
MLS26.30
MRVC4.19
NKE100.25
NOC73.57
NT29.32
NTY52.32
NUAN12.72
NYT25.69
PCAR69.72
PLCM32.43
RHT24.47
RTN53.22
SCUR8.84
SNV32.10
SPG121.24
TGT59.88
TRN39.83
TSN18.67
UBS63.33
UIS9.22
URI28.25
VNO132.85
WLP79.00
XL71.56
XLI35.96
XLY39.72
YHOO29.88
ZMH85.00

Start: 2007-01-13
High: 2007-02-08
EOD: 2007-02-13
SymbolStop
AFFX27.83
ALVR7.77
AMX45.76
ANAD11.40
ANF82.81
APCC30.85
ARO37.06
BEN121.77
BG79.85
BGC48.38
BIG26.34
CBS31.91
CHINA10.63
COH47.03
CVG26.50
DIS34.44
DLTR32.53
EDS27.62
EMC14.38
EXC62.72
EXPE21.65
FMCN85.84
GGP65.07
GT25.33
HAS28.94
HCP39.60
HTZ19.95
IACI39.48
IBN45.89
IFX15.68
IP36.93
ITW50.29
MA113.08
MCO74.82
MET64.75
MNST51.39
MRVC4.19
NKE100.25
NOC73.57
NT29.32
NUAN12.72
PRU91.26
RHT24.47
RMBS21.49
SONS7.80
TGT59.88
TIF40.50
TROW48.94
UBS63.33
UIS9.22
URI28.25
VNO132.85
WLP79.00
WYN32.65
XEL24.14
XL71.56
YHOO29.88
ZMH85.00

[/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
SymbolOpenHighLowCloseStopO->HO->C
AA34.8536.0534.5535.0032.291.200.15
ABB18.4218.5518.3818.5518.620.130.13
AEP45.8345.8845.3845.7845.230.05-0.05
AFL47.8648.0647.6147.8448.710.20-0.02
AMP60.3561.5360.2861.1259.351.180.77
ANAD11.3612.3211.2411.9811.400.960.62
ARO37.7538.2537.6638.1837.060.500.43
AVP38.3238.6638.0338.6038.640.340.28
BEN122.34122.97121.75122.91121.770.630.57
BMC31.0232.1030.9332.0135.411.080.99
CE28.6229.1928.6228.9927.320.570.37
CECO29.4729.5029.2529.3528.130.03-0.12
CHINA10.7210.7610.5610.6210.630.04-0.10
CHKP24.3824.9124.3624.6524.430.530.27
CIT58.9159.3358.8759.1258.630.420.21
CRM47.5048.9347.5048.4944.321.430.99
CROX55.7055.7052.6053.5457.320.00-2.16
DE103.23104.19102.52102.67100.950.96-0.56
EEM113.95115.40113.87115.17116.501.451.22
EFA74.8375.3474.7775.3074.510.510.47
FHN43.7443.9943.0543.9244.050.250.18
FRX53.3353.5052.8653.3056.540.17-0.03
GGB17.2418.2417.2018.1718.041.000.93
GGP59.5063.1259.4262.9865.073.623.48
GNW35.8936.5035.7736.4336.610.610.54
HLT36.3536.9036.2236.6137.310.550.26
HON46.1046.5946.0346.5145.900.490.41
HRS51.8052.0051.3351.7951.690.20-0.01
ITW52.0052.5651.8951.9550.290.56-0.05
KEY38.8939.1038.5538.9738.970.210.08
LEA38.9839.1238.4638.9840.600.140.00
LEH82.2283.0481.8282.8384.130.820.61
MAT26.2026.5225.9626.4226.130.320.22
MET63.8064.9763.5064.8562.871.171.05
MIR34.9835.3734.8135.3634.610.390.38
MLS25.8826.2525.8626.2426.300.370.36
MRVC4.274.274.204.224.190.00-0.05
NOC74.4174.9974.3674.6073.570.580.19
NTRS62.2562.3461.9062.1758.660.09-0.08
NUAN13.7414.0813.6714.0712.720.340.33
NVL43.7243.9543.6743.8540.000.230.13
NYT25.3625.5025.1325.1625.160.14-0.20
RDN61.0062.0160.8261.9062.501.010.90
SID34.6835.9634.6435.5135.201.280.83
SNE49.4049.8049.4049.7148.010.400.31
SNV32.5732.7832.5132.7832.100.210.21
SPG113.50118.05113.09118.00121.244.554.50
SSTI5.445.505.355.475.190.060.03
STP37.5037.7037.0037.3638.240.20-0.14
TPX24.8325.3624.6425.3624.400.530.53
TSN18.3418.8318.1318.7618.010.490.42
UIS9.049.149.039.149.220.100.10
WLP80.9881.0680.5680.8779.000.08-0.11
XEL24.1024.2424.0024.2124.140.140.11
XLU37.9338.2537.9338.2337.840.320.30
2395.4033.8321.18

Start: 2007-01-12
High: 2007-02-07
EOD: 2007-02-12
SymbolOpenHighLowCloseStopO->HO->C
ABB18.4218.5518.3818.5518.620.130.13
ACN38.6938.8038.4338.7237.980.110.03
AET43.0043.6142.9043.4342.990.610.43
AFL47.8648.0647.6147.8448.710.20-0.02
ALTR20.4121.0320.4120.6220.640.620.21
AMKR11.0711.4211.0211.3611.400.350.29
AMP60.3561.5360.2861.1259.351.180.77
AMT39.5039.9839.4739.5539.300.480.05
AN22.8223.0822.8123.0822.560.260.26
ANAD11.3612.3211.2411.9811.400.960.62
ARO37.7538.2537.6638.1837.060.500.43
ATHR26.1626.1625.4825.5724.840.00-0.59
BEN122.34122.97121.75122.91121.770.630.57
BIG26.3626.4926.2326.3526.340.13-0.01
BMC31.0232.1030.9332.0135.411.080.99
CAR26.7927.0526.6226.9726.760.260.18
CECO29.4729.5029.2529.3528.130.03-0.12
CHINA10.7210.7610.5610.6210.630.04-0.10
CHKP24.3824.9124.3624.6524.430.530.27
CIT58.9159.3358.8759.1258.630.420.21
COH47.2948.3047.2948.2547.031.010.96
COL68.0768.5667.7268.3466.180.490.27
COST56.1456.6255.9056.4654.660.480.32
CRM47.5048.9347.5048.4944.321.430.99
CROX55.7055.7052.6053.5457.320.00-2.16
CX35.5235.9135.3635.6836.370.390.16
DD50.9451.4250.7351.3351.000.480.39
DISH41.6942.4141.6842.1241.530.720.43
DTV24.1324.3423.8623.9524.760.21-0.18
EEM113.95115.40113.87115.17116.501.451.22
EFA74.8375.3474.7775.3074.510.510.47
EXPE21.5321.9021.4821.6521.650.370.12
FHN43.7443.9943.0543.9244.050.250.18
FISV53.3853.9253.3853.7151.440.540.33
GGP59.5063.1259.4262.9865.073.623.48
GIGM11.8012.2711.7512.0311.950.470.23
GILD70.9771.4770.4370.5771.920.50-0.40
GNW35.8936.5035.7736.4336.610.610.54
GR49.3750.1949.2650.1048.390.820.73
HAS28.6728.7028.2828.4728.940.03-0.20
HCP39.9040.5039.0540.2939.600.600.39
HLT36.3536.9036.2236.6137.310.550.26
HON46.1046.5946.0346.5145.900.490.41
HTZ20.5020.6120.2820.3619.950.11-0.14
IACI39.4839.8339.3439.7439.480.350.26
IBN43.9043.9040.7942.2445.890.00-1.66
IFX15.6515.9115.6415.8915.680.260.24
ITW52.0052.5651.8951.9550.290.56-0.05
JCP82.8583.5882.7583.3484.090.730.49
KEY38.8939.1038.5538.9738.970.210.08
KLIC9.529.739.469.579.090.210.05
LEH82.2283.0481.8282.8384.130.820.61
LLL85.5086.1085.2585.9283.250.600.42
MAT26.2026.5225.9626.4226.130.320.22
MCO71.8472.1070.8170.9574.820.26-0.89
MET63.8064.9763.5064.8562.871.171.05
MIR34.9835.3734.8135.3634.610.390.38
MLS25.8826.2525.8626.2426.300.370.36
MRVC4.274.274.204.224.190.00-0.05
NKE103.43105.57103.43105.20100.252.141.77
NOC74.4174.9974.3674.6073.570.580.19
NT29.0830.3929.0830.2927.561.311.21
NTY52.1052.2550.3750.8752.320.15-1.23
NUAN13.7414.0813.6714.0712.720.340.33
NYT25.3625.5025.1325.1625.160.14-0.20
PCAR69.1869.9669.1269.8669.720.780.68
PLCM33.7333.9933.4933.8432.570.260.11
RHT25.0025.1524.1624.2724.470.15-0.73
RTN54.5455.2654.1455.2653.220.720.72
SCUR8.818.878.748.818.840.060.00
SID34.6835.9634.6435.5135.201.280.83
SNV32.5732.7832.5132.7832.100.210.21
SPG113.50118.05113.09118.00121.244.554.50
SSTI5.445.505.355.475.190.060.03
TGT62.0262.3561.7762.1359.880.330.11
TRN39.5640.3739.5540.2539.830.810.69
TSN18.3418.8318.1318.7618.010.490.42
UBS62.5063.1262.1763.0463.330.620.54
UIS9.049.149.039.149.220.100.10
URI28.4028.7628.3228.4028.250.360.00
VNO130.51134.48130.04134.32132.853.973.81
WLP80.9881.0680.5680.8779.000.08-0.11
XL72.4872.7272.3372.6171.560.240.13
XLI35.8236.2035.8236.2035.960.380.38
XLU37.9338.2537.9338.2337.840.320.30
XLY39.3639.6239.3139.6239.720.260.26
YHOO29.3729.6829.2629.5629.880.310.19
ZMH83.0784.3982.7884.1885.001.321.11
3792.7453.2231.26

[/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.

Original Sources

Textbooks provide an efficient way to get a quick view of the "playing field," but, if you really want to play, then eventually you must engage the original resources. A person who tries to do original research without reading original research is like a person who tries to dance without listening to music. It can be done, but something vital is missing.

Back to Steele's Home Page

[/Trading/TechnicalAnalysis] permanent link


Magazine: Automated Trader -- The Portal of Automated and Algorithmic Trading

Well one magazine called Automated Trader. I'll have to follow it to see what it has to offer.

[/Trading/AutomatedTrading] permanent link



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