Links for mid Jan 2018

#109 — Biology and Culture: Sam Harris
“In this episode of the Waking Up podcast, Sam Harris speaks with Bret Weinstein about the moral panic at Evergreen State College, the concept of race, genetic differences between human populations, intersectionality, sex and gender, “metaphorical truth,” religion and “group selection,” equality, and other topics.
Bret Weinstein has spent two decades advancing the field of evolutionary biology. He has made important discoveries regarding the evolution of cancer, senescence, and the adaptive significance of moral self-sacrifice. He is currently working to uncover the evolutionary meaning of large-scale patterns in human history, and applying evolutionary insight in the quest to prototype a liberating, sustainable anti-fragile governance structure for humanity’s next phase.”

Automate This! Yuval Harari on how the coming A.I. revolution could leave most of humanity behind

Full episode: http://www.cbc.ca/radio/day6/episode-370-automate-this-the-future-of-work-in-an-artificially-intelligent-world-1.4457056

Episode 18 of Farnam street Podcast: Naval Ravikant on Reading, Happiness, Systems for Decision Making, Habits, Honesty and More
Naval Ravikant (@naval) is the CEO and co-founder of AngelList. He’s invested in more than 100 companies, including Uber, Twitter, Yammer, and many others.
In this wide-ranging interview, we talk about reading, habits, decision-making, mental models, and life.

Creative Investing, with CoVenture’s Ali Hamed – [Invest Like the Best, EP.71]
The conversation, with a 26-year old investor named Ali Hamed, serves as an example of what’s possible when you think creatively.
Ali views the world with a fresh set of eyes, and has already become an expert at identifying new investment opportunities where others have not. As the second prodigy 26 year old in as many weeks on the podcast, these young guns are making me feel like an ancient 32 year old.
We talk a lot about “alpha” in our world, earning returns better than the market. But the key word in that last sentence isn’t alpha, it’s earning. Hopefully you, like me, will use this conversation as a reminder of what it takes to earn differentiated returns. It’s not just the hard work, but also the mindset. We explore many examples of how to create new investment opportunities, from rolling up Instagram accounts, to financing perishable fruit like watermelons, to heavy machinery software.

Ep.28: Industrial Society and Its Future | Machine Intelligence, Encryption, and the Will to Power
In this episode of Hidden Forces, host Demetri Kofinas lays out his vision for a possible future driven by the emergent forces we have been covering in 2017. He reads passages from Ted Kaczynski’s “Industrial Society and its Future,” as well as from Bill Joy’s “Why the Future Doesn’t Need Us.” He plays clips from interviews with Barack Obama, Tim Cook, and Jamie Dimon, as he considers how power, privacy, and control, all factor into the emerging technological landscape.
What is the goal we seek to attain with our technologies? What are the benefits and the costs associated with allowing the technological, political, and economic forces of the modern age to continue unabated?

Your smartphone is making you stupid, antisocial and unhealthy …

Ten years into the smartphone experiment, we may be reaching a tipping point. Buoyed by mounting evidence and a growing chorus of tech-world jeremiahs, smartphone users are beginning to recognize the downside of the convenient little mini-computer we keep pressed against our thigh or cradled in our palm, not to mention buzzing on our bedside table while we sleep.

The 3 Tricks That Made AlphaGo Zero Work
There were many advances in Deep Learning and AI in 2017, but few generated as much publicity and interest as DeepMind’s AlphaGo Zero. This program was truly a shocking breakthrough: not only did it beat the prior version of AlphaGo — the program that beat 17 time world champion Lee Sedol just a year and a half earlier — 100–0, it was trained without any data from real human games. Xavier Amatrain called it “more [significant] than anything…in the last 5 years” in Machine Learning.

Steve Keen on Debt Deflation and modelling the economy using Complex Systems Theory
Steve Keen interview with FT
Interview with Macrovoices Dec 2017

Advertisements

Health Book Notes to start the new year

I used the principle of reading in parallel to look at some recent popular health books. I’m finally getting around to typing up the notes, since its the new year! I used a similar approach as Brett describes below:

http://traderfeed.blogspot.ca/2016/12/reading-in-parallel-becoming-better-at.html

“Reading for information is a bit different than reading for fresh thinking. Often, when we read a book, we simply absorb the ideas of the author. When we read for fresh thinking, we actively play with those ideas and create new ones.

An exercise I’ve mentioned in the past–and that I’ve used in writing my books–is reading in parallel. Select a topic of interest and then purchase at least four highly rated, well-reviewed books related to that topic. Skim each book in advance and mark off the sections most relevant to your selected topic. Then take turns reading from those sections of each of the books, freely moving from an idea in one of the books to related ideas from the other books. So, for example, I might read four books on creativity, but will read the sections on “problem finding” (how to arrive at worthwhile questions to ask) from each of the books. Then I might read the sections on brainstorming from each of the books.

Rarely will I get through every section of every book. The idea is to create a kind of dialogue among the authors, identifying points of overlap and difference. Very often, the ideas from one book will trigger ideas that have you scouring the other books for elaboration. The mixture of ideas from several books will lead to a thought that is not contained in any of the books. When you read in parallel, it’s like being in the room while the authors are conversing. The intersecting of ideas almost always stimulates fresh ways of thinking about (and applying) the topic at hand.”

Health books read in 2017:

The end of heart disease – Dr Joel Fuhrman
Nutritarian Diet Principles
-Nutritionally dense unprocessed foods,high in plants, low animal products (3/week, no dairy)
-ANDI scores: nutrient per calorie. Although I would prefer something that takes into consideration volume and cost
-No white processed carbs
-Salad as a meal, Lots of plants
-No sweetners
-Low sodium
-Oil = procssed, no nutrients and fiber, spike blood sugar, eat nuts instead.
-Score food: Glycemic load, Micronutrient Content, Resistant Starches + Fiber
-Glucose curve, most hunger is toxic hunger not real
-Doesn’t like eggs/oils
-“We likely will always find some vocal people who wan to believe anything, no matter how unsubstantiated so they can rationalize why they don’t need to change their diets and continue”
-Evaluated a lot of nutritional studies
48181d76452c62bf9b8028a82c666960d38dff407b823cf334bca4287c047019

Whole foods diet
-Plant based unprocessed foods, low in fat and refined carbs
-Whole grains better than unprocessed
-Low animal products
-Oils are nutrient poor and calorie dense
-Blue zones: Areas with highest longevity
1_tw2CiV1SeJJInAnG8LFrmw (1)

Plant Paradox by Dr Gundry
-Microbiome restoration/gut bacteria replenishing focused diet with some Keto, more fringe
-Claims to help with autoimmune diseases
-Eliminate lectins
-analogy: fix the ecoyssytem by pluggin holes instead of pouring in good nutrients that leak out
-Olive oil: use plants as delivery mechanism
-Only eat high quality meats/animal products: reduce steroids/antibiotics/lectin accumulation in tissues. Pastured chicken, wild fish in limited amounts
-Eat foods high in Resistant Starches: before this book I had not heard of these starches which convert to oils in a health gut
-We’ve evolved mechanisms to prepare foods in certain ways to reduce lectins in our diet: use a pressure cooker
-Has a lot of good points about how our food supply is manipulated: roundup pesticide on wheat to harvest more easily, then not washed off when given to animals as feed
-Whole grains worse than unprocessed because they contain more lectins,
-GMO increases planet resistance to bugs and to the human microbiome
-Very selective in plants (no nightshades,beans,legumes), almost no fruits (just avacado)
-Lots of toxin’s in the environment: carbon paper
-He seems to be light on published research, heavy on promoting supplements
-Glucosamine may bind to lectin’s and reduce inflammation through that path
Critiques:
http://nutritionstudies.org/the-plant-paradox-by-steven-grundy-md-commentary/
https://www.reddit.com/r/skeptic/comments/6u37ic/factchecking_review_of_the_plant_paradox_the/
http://nutritionstudies.org/the-plant-paradox-by-steven-grundy-md-commentary/

https://medium.com/@Kahn642/the-plant-paradox-and-the-oxygen-paradox-dont-hold-your-breath-for-health-14c146e0c414
https://www.drmcdougall.com/misc/2017nl/may/170500.pdf
Plant paradox shopping list

Between all the books:
Pain points: Whole grains vs white, Olive Oil (processed, stripped of nutrition and low fiber), Fruit, Beans/Legumes (but not according to the blue zones)
Agreement: Low animal protein, High amount of plants, Mostly unprocessed foods, Low sugar/refined carbs

Update: This is not the only health/diet/nutrition review so i’ll add some interesting links from my previous research

How to Live a Longer, Higher Quality Life, with Peter Attia, M.D. [Invest Like the Best, EP.27]
Healthspan vs Lifespan:
longevity-white-board

Intermittent Fasting and Leangains

Dom D’Agostino on Fasting, Ketosis, and the End of Cancer

Everything You Need to Know About the Slow-Carb Diet™

http://www.marksdailyapple.com/diet-dogma/

People have the tendency to cluster around ideas as if they were tangible things and hold on for dear life. When we find something we like, or something that makes sense, like religion or a political stance or a diet, roots are planted and – for most of us – they are permanent. They’re permanent mainly because it’s easier that way. It takes less work to blindly cling to dogma. It’s hard (and humbling) to reevaluate an entire belief system and start over. We prefer the path of least resistance, and we’d simply rather not think too hard. Once the roots of a dogmatic belief find purchase in the hard packed earth of the lazy mind, they’re staying put.

http://www.leangains.com/2010/10/top-ten-fasting-myths-debunked.html
Everyone who learns about nutrition through the usual channels, be it fitness magazines, mainstream diet books and forums, gets cursed with the prevailing belief system of what constitutes a good diet.
Though specific dietary recommendations vary slightly depending on who you listen to, there are many common denominators and “rules” that you are told you must adhere to. Call it broscience, incompetence or ignorance, same thing. We’ve all been there and we’ve all followed these rules. Led like sheep, not knowing better. Trusting that those we listen to knew what they were talking about. While these dietary myths run rampant in the bodybuilding and fitness community, you’ll find that many are being endlessly propagated in the mainstream as well.
Upon closer scrutiny, the great majority lack scientific basis. They are born out out of half-truths, faulty conclusions drawn from poorly conducted studies or created when a study gets cited out of context.

Links for Dec 20: WTF edition

More Tim O’Reilly for you….
Narrative as Destiny: Steering Markets and Innovation to Serve Society

Tim O’Reilly, founder and publisher of O’Reilly Media, technology thought leader, and investor known to many as the “conscience of Silicon Valley,” brings a lens of storyteller to explore the role of technology and economics in today’s marketplace. In his many-worlds approach to the innovation multiverse, it is not simply technology that determines our future; the stories we tell about those developments also shape our destiny. Discussing his new book, WTF: What’s the Future and Why It’s Up To Us, and asking the essential question, “Who gets what and why?” O’Reilly looks at such fundamental issues as whether our basic model of growth in the old capitalist economy is the best one for society, and what the changing nature of tech platforms could mean for consumers and the economy if we had more wisdom to steer it.

A Decade of Stagnation, Why?
PANEL DISCUSSION at Reawakening
What explains the slow recovery from the financial crisis and great recession in so much of the world?

Some great ideas here:
– The nature of bank lending, interaction with real estate, Positional goods, Ecological limits, Decline of leisure time, Inequality

Roger McNamee On Being In The Right Place At The Right Time (And Making The Most Of It)

Update: Article Roger McNamee wrote recently: I was Mark Zuckerberg’s mentor. Today I would tell him: your users are in peril

Roger McNamee is one of the most successful technology investors of all time. While running the T. Rowe Price Science & Technology Fund, and generating a 17% compound average growth rate in the process, Roger made the unheard of move of committing capital, as a mutual fund manager, to venture investments in Electronic Arts and Sybase. From there, he started the industry’s first crossover fund with John Doer, investing in both late-stage venture capital and public market securities. In March of 2000, he co-founded private equity firm Silver Lake Partners in anticipation of the tech bust and, in 2004, founded Elevation Partners where he would become one of the first investors in Facebook and other nascent tech stars. In this episode, Roger shares what made him so successful as an investor, how music saved his life and why he has shifted his focus today from investing in tech to warning of the rising risks tech giants present to democracy and society.

Linkfest to podcasts/articles Nov 2017

I hope to elaborate more on some of these topics in the future, but in the meantime, check out some great conversations:

What is Technology Doing to Us? A Conversation with Tristan Harris on Sam Harris
“In this episode of the Waking Up podcast, Sam Harris speaks with Tristan Harris about the arms race for human attention, the ethics of persuasion, the consequences of having an ad-based economy, the dynamics of regret, and other topics. ”
*really interesting about how VR is an upcoming immersive technology where the next arms race for attention will be if not regulated

Philip Auerswald on the Rise of Populism
“Author and professor Philip Auerswald of George Mason University talks with EconTalk host Russ Roberts about the rise of populism in the United States and throughout the world. Auerswald argues that the rise of cities and the productivity of urban life has created a divergence in experience and rewards between urban and rural areas around the world. Auerswald ties these changes to changes in voting patterns and speculates about the sources of the increasing productivity of metropolitan areas”
It’s interesting how he tied in the cities aspect to productivity and inequality. He also quoted Henry George but didn’t seem to mention George’s theory about how most of the taxation should fall on unearned income (real estate gains) instead of labour and capital.

The Incredible Value of Deep Work, Instead of Distraction, with Cal Newport
I always appreciate Cal Newport’s thoughts on deep work

Tim O’Reilly on What’s the Future on EconTalk
“Author Tim O’Reilly, founder of O’Reilly Media and long-time observer and commenter on the internet and technology, talks with EconTalk host Russ Roberts about his new book, WTF? What’s the Future and Why It’s Up to Us. O’Reilly surveys the evolution of the internet, the key companies that have prospered from it, and how the products of those companies have changed our lives. He then turns to the future and explains why he is an optimist and what can be done to make that optimism accurate.”
-Uber
-Key to next economy: As one thing becomes commoditized, something else becomes valuable (specialty coffees)
-Software: 20th century mindset, search results, relevant products. Software programs/algo’s are workers, and the programmers are managers, managers monitor real time data and make tweaks to program…..()
-Continuous education is the way of the future, We are doing the equivalent of teaching someone to Plow, On demand learning, how do we teach kids and give them access to the right. Potentially away from regimented schooling, to home schooling

Joe Rogan Experience #1037 – Chris Kresser
“Chris Kresser is a health detective specializing in investigative medicine, blogger, podcaster, teacher and a Paleo diet and lifestyle enthusiast. His new book “Unconventional Medicine” is out now, available on Amazon and https://unconventionalmedicinebook.com/”
The need for prevention and proper nutrition
“The doctor of the future will give no medicine but will interest his patients in the care of the human frame, in diet and in the cause and prevention of disease.”
― Thomas Edison

JRE #1006 – JORDAN PETERSON & BRET WEINSTEIN 09.01.17

“#1006. Jordan Peterson is a clinical psychologist and tenured professor of psychology at the University of Toronto. You can check out all Dr. Peterson’s self-improvement writing programs at http://www.selfauthoring.com Bret Weinstein is a biology professor at Evergreen State College in Olympia, WA. Currently he is in the middle of an intense controversy that has been documented by the Wall Street Journal, New York Times, and several other mainstream media outlets”

Interview With Derek Thompson: Masters in Business (Audio)
“Bloomberg View columnist Barry Ritholtz interviews Derek Thompson, author of the book “Hit Makers: The Science of Popularity in an Age of Distraction.” Thompson is a senior editor at The Atlantic, where he writes about economics, labor markets and the media. This commentary aired on Bloomberg Radio.”
-Content may be king, but distribution is the kingdom…..

Trading the index with seasonal strategies

I recently listened to an interesting interview at Better System Trader with Jay Kaeppel on Seasonality, a topic which I hadn’t done much backtesting on previously.

Jay outlined 3 rules for constructing a seasonal trading strategy on the stock index:
– Stay long the last 4 days and first 3 days of the month (S_EOM)
– Stay long the middle of the month, business days 9, 10, 11 (S_MOM)
– Stay long 3 days before and after holidays (S_HOL)

I’ve recreated these rules on the SPY ETF using R and the Systematic Investor Toolbox with the output below:

seasonal backtest

I’ve showed the equity curves for the 3 strategies separately (S_EOM, S_MOM, and S_HOL) as well as the combination of all 3 rules together (S_C2). A third variation (S_C3) is the combination of all 3 rules with a 200dma risk filter on the SPY itself, that is the strategy will only be long the index if one of the rules is true and the SPY is above its 200dma. Two benchmarks are also on the report: The SPY itself and SPY200, which is the SPY with the 200dma risk filter applied again.

The majority of the outperformance for the seasonal strategy is coming from the End of Month rule. The other two rules increase overall returns slightly but don’t have much of an effect on risk adjusted returns, with the sharpe ratio staying relatively constant. The seasonal strategy with the risk filter (S_C3) has a similar return to the SPY itself, but with half the volatility and nearly one quarter the drawdown. A much nicer ride for your portfolio!

In the future I may explore the impact of transaction costs on the strategy as well as how walk forward testing affects seasonal strategy out-of-sample performance.

Jay recently updated some of the strategies from his book, Seasonal Stock Market Trends, check out the links below for more of his work:
Updating my seasonal trends trading strategy Part 1
Updating my seasonal trends trading strategy Part 2

Pattern matching: a quick look at the last 11 months

John Hussman posted the following pattern on his twitter:

Source: John Hussman’s Twitter

So I thought this would be a great time to see which points in history the Systematic Investor Toolbox pattern matching algorithm would highlight. Instead of looking at the Dow Jones I will use the S&P500 Spyder (SPY). Choosing a window period of approximately 11 months and looking at 20 years of data lets see what happens:

###############################################################################
# Load Systematic Investor Toolbox (SIT)
# http://systematicinvestor.wordpress.com/systematic-investor-toolbox/
###############################################################################
con = gzcon(url('http://www.systematicportfolio.com/sit.gz', 'rb'))
source(con)
close(con)

#*****************************************************************
# Load historical data
#******************************************************************
load.packages('quantmod')
tickers = 'SPY'

data = getSymbols(tickers, src = 'yahoo', from = '1950-01-01', auto.assign = F)


#*****************************************************************
# Dynamic time warping distance
#******************************************************************
# http://en.wikipedia.org/wiki/Dynamic_time_warping
# http://dtw.r-forge.r-project.org/
#******************************************************************
load.packages('dtw')

obj = bt.matching.find(Cl(data), normalize.fn = normalize.mean, dist.fn = 'dist.DTW', plot=T,, n.query=228,n.reference = 252*20)

matches = bt.matching.overlay(obj, plot.index=1:90, plot=T)

layout(1:2)
matches = bt.matching.overlay(obj, plot=T, layout=T)
bt.matching.overlay.table(obj, matches, plot=T, layout=T)

Source: Time Series Matching with Dynamic Time Warping

Interestingly enough, the runup starting in july 2011 is chosen as the closest match, and we all know how that ended. There are multiple other scenarios however.

The average returns of the top 9 matches seem to under perform the anytime/benchmark return (not shown).

More pattern matching posts to come in the future….

Now back to turkey day…..

Update: I ran the same code for the DJIA diamonds (DIA):


The same conclusions hold true, the runup starting in july 2011 is the closest match and the next week/month return is below average. In the future we will examine more pattern matching methods….