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Backtesting a Successful Trading Algorithm

By Erik Zimerman On February 13, 2018 · 4 Comments · In The Jackal's Den, The Whiskey Room

Being one who understands something of economics, the stock market, the arts of war, high cuisine, technology and can dance a pretty mean salsa, it stood to reason that of all people, your humble Lighthouse Keeper should be able to write a decent trading bot. We have all heard how an ever increasing amount of the day-to-day market activity is dominated by Quants and their bots. With this algorithmic trading, computer programs basically buy and sell securities with lightning speeds, making decisions based on any number of measurable criteria far more quickly than any human could. Still, the trick is to know what “measurable criteria” should tell a bot to buy, hold or sell what security and how much of it. Physicists, nuclear neurosurgeon rocket scientists and PhDs of unknown types reportedly dominate this Quant world. Never one to be stymied nor overly impressed with titular authorities¹ and academic regalia, I dusted off my one of my old trading strategies I had developed and delved into the Quant world. Apparently, python was a good language to do this with, and though I get by well enough with JavaScript, VBscript, and even php, had never even seen Python. All the available [...]

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Selling or Liquidating your Notes on Lending Club (and some other P2P insights)

By Erik Zimerman On May 2, 2016 · Add Comment · In The Whiskey Room

Lending Club, among other players in the industry such as Prosper, is one of the great success stories in the peer-to-peer revolution, or the “share economy”. The idea is simple enough, the internet is ideal for cutting out middlemen, so why not banks? In the idealized (and fictitious) scenario, a bank is an institution that takes and safeguards deposits from people in exchange for an interest rate, say 2%, and then uses those deposits to make loans to people and businesses that need them at a higher interest, say for example 6%. The Bank is thus simply an intermediary that facilitates a market in which some people have money they wish to save, and others need loans to invest or purchase goods and services with. Lenders and borrowers. The margin between the two rates, 6 and 2 percent respectively, is the gross profit of the bank, in this case 4%. And of course, out of that 4%, the bank presumably has to pay its many expenses such as rent, insurance, marketing, staff salaries (a really high-tech secure vault like in the movies) and the like. And finally, like in any business, if there is some profit leftover after all these [...]

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Debunking Modern Monetary Theory (MMT) & Understanding it First

By Erik Zimerman On April 21, 2014 · 56 Comments · In The Whiskey Room

Firstly, your humble writer, who was distracted first by untimely (though much enjoyed) reserve duty, and then quite a heavy workload, failed to convey his profound and (at the time) prophetic commentary on important recent events; Putin and Ukraine, the capture of El Chapo, and so forth. Though we shall hopefully revisit some of these in any event, a good way to get back into rhythm is write about a subject less pressing on the clock. And what better field than the “Voodo” mysteries on the attempts at making a science out of economics. In recent years, an imaginative group often going by “MMTers”, and usually finding the amiable and articulate Mr. Warren Mosler leading their charge, have caused quite a stir, at least among the more thoughtful part of the electorate. Firstly, we must point out that for the most part, proponents of MMT insist that it is not an ideology or even a proponent of any specific economic policy, but rather merely aims to describe the way money works in the modern world; hence Modern Monetary Theory. Specifically, they refer to a fiat currency regime (with the fiat as legal tender, and taxes) with a free-floating exchange rate. [...]

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Backtesting a Successful Trading Algorithm

Selling or Liquidating your Notes on Lending Club (and some other P2P insights)

Debunking Modern Monetary Theory (MMT) & Understanding it First

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