my journal 2

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dude

Dude, let us hope that the GBL_ID will start with a big win and won't let us down.

If we could just get to 6k (on my account) we could then include the GBL_ON and then bye bye baby, because then there's no looking back. We'd get to 10k very quickly and then... I am ready to fly.

Let's just pray that vito dies and that the GBL_ID and the others take us to 6k. Then the sky is the limit.

Another 5 hours to go.

I am telling you - the sky is the limit. Look here at our (investors) account:

Snap1.jpg

We were like a hot air balloon losing altitude and then, each time we lost altitude, we wised up and identified and dropped, one by one, all the sandbags (ES_ID_3, YM_ID_2, ZN_ID, ZN_ID_2) and (with a little bit of luck, too) we took off like a rocket. And now, literally, the sky is the limit.

THOSE DAMN SANDBAGS-SYSTEMS
I've been a goddamn moron in choosing sandbags-systems and hoping they'd bring our equity curve up. That's because I selected systems based on their in-sample (obviously all the in-samples look good or I wouldn't even have automated them) rather than their out-of-sample. Never again. Never again. Never again. We'd have made more than 10k by now, had I not chosen those four mother ****ers, that caused us 6500 dollars of losses.

On my own account, I've instead benefited from the mistakes made on the investors' account, and started off on the right foot and we've already doubled the account in about two months.

MY DREAM: CATCHING UP WITH THE INVESTORS
My dream/project/ambition is to catch up with my account, and equal the investors' account in terms of systems traded. All I'd need is 15k to do that. Then both accounts can be managed in an identical way, and I can be a bit more carefree. Right now it is 4 systems on mine vs. 8 on the investors'. If we reach 6k, it will be 5 vs 8. If we reach 10k, it will be 7 vs 8. But soon the investors' account may go up to 11 systems, and then it will be much harder to catch up with it, because it will grow exponentially. If I had been disciplined when I started with 5k in June, right now I'd be caught up. But instead I did my own discretionary trading and tampering and I blew my account two or three times between June and now. Then I came up, as I said repeatedly on the journal, with the Golden Share trick, whereby they have a percentage of my account, and I need their permission to implement any changes, and of course discretionary trading and tampering with the systems is totally banned.

ONLY WAY TO FAIL IS DYING OR HAMMERING MYSELF IN THE BALLS...
The only way I can fail now is if I die or if, irrationally, I start hammering myself in the balls in some new creative way.

I am not that masochistic though. For example, Vito tends to stress me out and could have sabotaged my mind and work life in many ways (much more than he's already doing), but I dealt with him in the best of ways. I have reported him to the management, and I have taken it easy: keeping my distance from him and being cold. I didn't face him directly, nor picked up a fight with him, which would have caused me much more damage. So, all in all, I am not that afraid of success, not so afraid that I will go out of my way to sabotage myself and prevent myself from reaching it.

...BUT I AM NOT THAT MASOCHISTIC
I don't overeat, I don't drink, I don't smoke, I brush my teeth, I don't have piercings, I don't have tattoos... I have not been hurting myself in any way which resembles the way I was hurting myself with compulsive gambling. I wish myself well. I have increased my part-time schedule, year after year, bringing it all the way to 6 hours, from 9 to 15. In other words, I am not used to being successful, I almost can't believe I will make money (and I am making), I have to get used to the new situation, but I don't think it will make me so uncomfortable that I will find new creative ways to prevent it from happening.

A CALCULATED GAMBLE WAS NEEDED
Especially thanks to the investors who are monitoring me, because a dangerous thing would have been to scale up too fast. But I definitely cannot do it on their account, because there's a few ways they're avoiding that (the "profit cushion" concept first of all), and they're not stopping my scaling up on my account, because we're actually investing beyond what the max drawdown would allow us to do, but they're slowing me down enough to make it a calculated gamble, rather than a reckless one. I mean: we started with 2500. It would taken years to get anywhere if we didn't do a calculated gamble. You see, all my good systems have a drawdown of 10k, so we could only have traded the crappy ones. But the crappy ones are no good, because they trade rarely and they trade badly. We could have been going up and down for 2 years before being able to afford one of the best systems (GBL systems and ZN_ON_2).

Another 4 hours to go. Now I'll go back to work.
 
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Re: dude

You expend enormous amounts of energy worrying about things that are beyond your control. That is somewhat illogical for someone whose primary interest is a task that one can only succeed at if one manages to remain totally logical.
 
Yes, but I also have enormous amounts of time, so maybe I am targeting imaginary problems to stay in shape, while I have nothing else to do.

Did you drink a beer lately? Are you sure that was rational? Can you please justify it rationally? I suppose you also do not smoke, nor have any tattoos. If so, can you justify them rationally? How rational is it to inflict damage and pain on your body?
 
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Yes, but I also have enormous amounts of time, so maybe I am targeting imaginary problems to stay in shape, while I have nothing else to do.

Did you drink a beer lately? Are you sure that was rational? Can you please justify it rationally? I suppose you also do not smoke, nor have any tattoos. If so, can you justify them rationally? How rational is it to inflict damage and pain on your body?

I am unsure whether your question is rhetorical, but I'll answer anyway.

I did drink a beer lately. It was refreshing and provided my body with liquid. It seemed perfectly rational at the time as I don't believe that modest amounts of alcohol are bad for the health.

I have no tattoos, nor do I smoke.

To a certain degree it could serve a purpose to inflict damage to your own body, because your body is incredibly good at adjusting, coping and adapting to the pressures it is put under. At the simplest level, when you use a part of your hand a lot, you often develop a blister (damage) and the body goes on to build up a thicker layer of skin to cope with this in future. This principle is also true mentally, not just physically.
 
Interesting. So maybe I am callous in that part of my brain, the part that hates. It wasn't rhetorical. If you start asking me to rationally justify everything I do, it will take me a while to answer, so you might as well justify everything you do rationally, in the meanwhile, while waiting for my answer.

It doesn't matter how long it takes me - I will eventually find something irrational in your behaviour and then it will be payback time. For example using ninjatrader is equivalent to hammering yourself in the balls. Can you justify that, rationally? Actually it's the ninja trader that is hammering you in the balls - you put a ninja in your pc and then he turned on you and he's hammering you in the balls.
 
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Interesting. So maybe I am callous in that part of my brain, the part that hates. It wasn't rhetorical. If you start asking me to rationally justify everything I do, it will take me a while to answer, so you might as well justify everything you do rationally, in the meanwhile, while waiting for my answer.

It doesn't matter how long it takes me - I will eventually find something irrational in your behaviour and then it will be payback time. For example using ninjatrader is equivalent to hammering yourself in the balls. Can you justify that, rationally? Actually it's the ninja trader that is hammering you in the balls - you put a ninja in your pc and then he turned on you and he's hammering you in the balls.

Whether to stay with NinjaTrader or not is actually a very difficult decision to make, although I guess you would have no problem providing your own opinion on that.

It's funny that you have decided that my criticism is something you will pay me back for - I didn't intend it that way, I would rather you thought about it and I'm convinced that arguing whether it's justified or not is a waste of time.

Actually I might as well delete my post, since on re-reading it, it wasn't what I meant to say at all, but I knew what I did want to say would be filtered by your shields and I might as well **** into the wind. So let's cut the crap and I'll say what I was originally going to say, for what it's worth.

It's just this: forget about how great it feels to have a rising equity curve making new highs. The market is bound to take a lot of it back so you're wasting your energy getting excited. And when the market takes it back, don't waste your energy getting depressed about it either. Just find a way of channeling your energy.

The same applies to your restlessness. It's an over-abundance of energy. Find a way of channeling it into something useful.
 
Yeah, I know. Thanks for the feedback. Nothing to get offended about.

I have a lot of energy, and sometimes I use it for the wrong things. I could channel it swimming for example, but the problem is that I am not where I should be in order to swim (pleasantly, because I could swim in a swimming pool, but I would not like it).

So I end up getting into conflict with people around me and with myself (compulsive gambling and so on).

Basically you're saying "find something else to do and some of those problems will disappear because they're not problems to begin with" and I agree. Only I can't really find anything else to do, or rather: I can't find anything else as exciting as looking at my equity curve, my ongoing trades, writing this journal, and similar. For example, I could watch a movie, but when I start doing it, I soon turn it off or interrupt it and get back to checking my equity curve, writing the journal, writing emails to the investors about scaling up (we're in the process of getting into an argument right now), checking the ongoing trades... and if it weren't for the new order of things, I'd actually be placing trades. I'd interrupt the movie to place a few trades, like I have been doing for 13 years. Actually I would not even start the movie, because I'd be staring at the screen like a junkie, so now things are much better.
 
OK, I realise too that trading is all-consuming in terms of time. I used to go to martial arts training 5 times a week, now I only manage 3 times and the sessions are not as long. However I still benefit from and really enjoy sparring. Mainly I pick geriatric ladies to fight against though.
 
Yeah, tell me about it. My only activity between home and the office (and viceversa) is riding the cab and counting the red/green lights. There's seven of them between the office and home. Once we went through seven green lights in a row. That was an exciting day for me, like when Vito is not at the office.
 
I'm back

My parents are coming home.

I am always frustrated because of the usual worries: systems not reaching the threshold of 5000, Vito coming back on monday... by the way, just saw the Italian Minister of Agriculture, who looks like him:

Asshole:
asshole.jpg

Minister of Agriculture:
zaia.jpg

Damn, this dick head has his role model in the corrupted Italian minister of agriculture.

Oh ****... he's coming back. Monday. **** him. **** him. **** him. **** him.

And the systems still did not reach 5000. Yeah, just a week ago I thought they'd reach it in six months, but now I got used to their speed and I was expecting them to reach it this week.

Another issue that is really pissing me off is that I have been looking at this page five times a day for the past seven days:
http://www.tradingawards.com/

To see if I won any awards for best journal, and what they say is misleading:
"You voted, we counted and the results are in!"

Snap1.jpg

Yes, sure, they're in. But you are not telling us.

What kind of joke is this? It's not like you have to count them manually, so why have you had us wait already seven days?
 
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I've always liked cruises

This guy was on a cruise ship, browsing on the web, just a few minutes ago. I took a snapshot and, when I looked again, he was gone. He was on the Crystal Serenity's internet lab cam:
http://www.kroooz-cams.com/serenity/serenity.php

Position: "cruising the atlantic ocean, en route to cartagena, columbia", but safe on the ship, no danger of getting killed by the columbians.

Snap1.jpg

Snap2.jpg

If I get rich I will do, as the first thing, a few cruises around the world, and you will come to this web site to see me in the internet lab cams, turning my systems on, via vnc or teamviewer:
http://www.kroooz-cams.com/

From that same computer, en route to cartagena, I will write a few posts on this journal, but in a better mental state than now. If the systems keep going like this, it could happen in just a few months. But it cannot happen unless I quit my job first, because I only get 20 days of vacation per year. Not enough for a cruise (I want to stay two months on the ship, not just one week).

Here's a map to see the night zone, changing, for when you see the outdoors cams, and want to know why it's dark:
http://www.fourmilab.ch/cgi-bin/Earth/action?opt=-p

When you're stressed out and surrounded by vito chimps, nothing's more relaxing than imagining that you're in the internet lab of a cruise ship, connecting to your server, and turning your systems on, so they can produce more money for you to stay longer on the cruise around the world.

Yes, there may be a vito chimp on the cruise, too. But he will get off in just a few days. Besides, I want to pay big bucks so I can stay on a floor where there are no vito chimps.

I also want big waves. I like to be on a big ship with big waves around me. I never ever puke and I would have fun looking at others puking everywhere while I am doing all right.

 
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parents at home: good and bad

Damn. Tonight my parents were at home.

Good and bad. Bad because they depressed me, and good because they depressed me. They killed all my excitement, because they got me depressed. Or rather: my emotionally dead father got me depressed.

He's a powerful cure for my over-excitement. I was too excited about the systems being successful. As soon as I met him all that vanished. He didn't even have to start his lecture about the world falling apart. Just his presence depressed me completely and killed all my excitement instantly.

So the consequence is pretty good. The systems made a lot of money in the past few days, but I feel like nothing happened, so I am ready to keep working. All my restless excitement is gone. Maybe that is the secret of my restless working: I am never satisfied or happy, being exposed to mr "stay alert because there's a catastrophe coming your way".

Yeah, on the other hand he's paying all the bills until I make it big and leave on a cruise.

As they say, "parents: can't live with them, can't live without them".

I am getting very quickly to a point where I feel sorry for myself, and for my parents, too.

My dad has ruined our life basically. I think he realizes it, too. But he still won't give me any money.

As I said before: it's more acceptable to him that we suffer out of good principles, rather than live well but according to selfish superficial principles. He's a sick *******, who lived a sick life, and wants everyone around him to be as miserable as he's been. That's the way it looks from here at least. I definitely cannot understand him. I think he's sadistic. People around us disagree, and say nice things about him, but I am convinced he's sadistic.

Anyway, all I could get out of him, regarding the systems, is the scatter plot. That's all he ever contributed. However, it is not a bad idea. I like it, not because I secretly like my dad, but because... hey, he's a statistician, he began his career as a sociologist. Oh, and he's intelligent. The problem is that he's too used to being intelligent and so he's not receptive anymore and he just wants to lecture and lecture, so it is as if he became stupid, at least when he's around us, because he doesn't consider up to him (and it shows).

Snap2.jpg

What's not good in this scatter plot right now is that many of the systems have similar amounts of trades and similar sharpe ratios, and so they're so crammed together that I had to exclude the ones that are clearly the best and already allowed to trade (or not allowed because they still have too much drawdown for us). So only the other systems are showing: the best are excluded.

But then within this group everything is perfect because it confirms I have already identified everything that is good.

I have circled in blue first of all those systems that do have good sharpe ratios but that due to no out-of-sample methodology being used in back-testing only have an out-of-sample equivalent to their forward-tested trades: too small to tell if they are good.

On the other hand, the CL_ID_3 and the NG_ID_2 used the out-of-sample methodology so we have trusted them with real money despite almost no trades made (NG_ID_2 traded 6 times or so and it's not even showing on the scatter plot).

The systems within the red circles will soon be included (at 5000) or have already been included.

The only system left out is the YM_ON_2, which doesn't cound because it's a replica of the ES_ON_2, but it works worse.

So basically there's nothing to worry about. As soon as we'll reach 5000 (next week hopefully), we will allow a few more systems, and then we can stop worrying about adding more because we've already looked at everything and there's nothing that is good enough to add.

--------------

It's late, I am tired but I am frustrated and I can't sleep. That is because my parents are home.... not my parents, damn: I always intend to say "my dad". He's the asshole. My mom is fine.

My dad is home and he pissed me off by just being around, and I cannot sleep because I am frustrated because he never fails to bring back sad memories. Mistreatments for which he never apologized. That animal.

Tomorrow they'll invite some friends here and they want me to meet them. And this I don't like either. Because they're forcing me to meet them. Once again "they" is "my dad".

Each time I am home in the weekends, which is always, and they come, then they force me to stay with them, force me to meet others... it's all about forcing me to do something. And once again "them" means "my dad". My mom is just a sidekick.

A conversation with my dad is not a conversation, but a monologue and that, too, is about being forced to listen to him. You're talking about something, he hijacks the conversation and starts his monologue and doesn't give a damn if you have nothing to say about it or if you have something to say about it - all that matters is what he says, and that you listen.

Thanks to the support and caring by the readers (even those who don't write comments because I banned them or are afraid I would ban them), I think I have put behind me today's worries and now I can go to sleep. And for tonight I don't wish death on anyone, not even my father.
 
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Re: parents at home: good and bad

Thanks to the support and caring by the readers (even those who don't write comments because I banned them or are afraid I would ban them), I think I have put behind me today's worries and now I can go to sleep. And for tonight I don't wish death on anyone, not even my father.[/QUOTE]

Just be at peace Travis in knowing that the the universe loves us all and only wants what is best for us. And that we will learn all we need to be successful and at peace.

Dave
 
Thanks for the nice encouraging message even though I find it unlikely to be the case. Unless we're living in a small community of vegetarians and such.
 
golden share method: limits and advantages

Yesterday I wanted to enable the GBL_ID on my account, and I was rushing the investors to okay my decision, and for the first time they resisted me in my scaling up urges.

My choice was to keep pressuring them and maybe get my way or to open my eyes and acknowledge and accept their first "no" on my account.

It was a success: I acknowledged it was a "no", and I did not enable the GBL_ID.

Had I been on my own I would have immediately enabled it and... listen to this: I would have made 650 dollars.

So that's what I was thinking: yes, I did not make 650 dollars due to following a good method. This really sucks.

I asked the investors to wire me money so they could be part of my account and stop me from gambling. Yesterday when, once again, I wanted to scale up, they said it was too fast and that the new system would not add a good enough Sharpe Ratio and, with a small drawdown, we would have to disable it again... basically they said it was a bit of a gamble and that they weren't entirely ok with it.

So I could not do anything but acknowledge their "no", because I was the one who put them there to begin with.

Yes, my gamble would have been right, it was a good idea, and it was not entirely compulsive gambling, but it had elements of my compulsive gambling: the rushing. The urge to scale up that I was feeling. They also felt that I was rushing them and they mentioned it.

This post is not as concise and clear as I wanted to be, because my parents are out there, waiting for me.

I have mixed feelings about this: you can't expect me to be happy about having lost 650 dollars or rather "not having made 650 dollars".

But I have gone on a path of safety and followed a method which will ensure that I don't blow out my account in the future.

What i do know from the past is that, with this quick scaling up, I have yes doubled my account for 3 months in a row in the spring of 2008 and then again tripled it in december 2008. But throughout the rest of the 13 years, I have done nothing but blowing out accounts.

So the investors are good, and they did a good thing in stopping me and I did a good thing in listening to them and allowing them to stop me. The golden share method worked despite the fact that we missed a profit of 650 dollars.
 
You voted, we counted and the results are in!

After 8 days since the end of voting, Members' Choice Awards are still up there, on the top right corner, to **** me off every time I go and check, five times a day, and all they have is the winners of 2009. I am telling you: these guys are rigging the vote.

I want a vote recount.

Other good things to cheer myself up.

The Vito countdown has begun.

In less than 48 hours I will be facing the chimp again, every day, for six hours a day. And he will poison by my brain with the stupidity flowing from his persona.
 
Sharpe Ratio

The Sharpe Ratio has a fundamental problem when it is used as a measure of the quality of trading systems. It is essentially a measure of volatility of your profits and losses. So if you have a trend following system, you'll have loads of small losses and some mega winners, and that will give you a rubbish Sharpe Ratio.

But your investors are the ones with the money.

You want to use the Sortino Ratio. Not that I know anything about it other than what I just wrote, but maybe you want to check out your systems that way as well. Maybe it's in Tradestation or you can get a formula for it off the net for Excel.

It might give a completely different scatter plot.
 
Yes, thanks for the advice and the feedback.

However, there's many reasons why I will keep using the Sharpe Ratio:

1) I dislike formulas and having learned the Sharpe Ratio (still struggling with some parts of it actually), I certainly don't want to get into a new formula

2) the sharpe ratio is the industry's standard, so it is more convenient to use it, because more people are familiar with it (regardless of its quality in appraising a system's quality)

3) the investors themselves prefer to use the sharpe ratio (I have learned it and implemented it because of their request)

4) my systems are not trend-following systems in that their trades last only a few hours and they have a majority of wins, yet also with wins being bigger than losses. Those that behave differently it's because they have failed (the majority are not good enough to be traded).

5) I have thoroughly inspected my systems' performance for years, by looking at Return On Account, drawdown, total profit, profit factor, percentage of wins and other things. I have found that, after looking at everything, I come up with the same answer on the best systems, as the one given by setting up a scatter plot with number of trades on the x-axis and sharpe ratio on the y-axis. This also implies that we can accept a system with a relatively lower sharpe ratio, provided that it trades a lot, because that means two things: it makes more money despite a lower performance, such as GBL_ID vs GBL_ID_2, and secondly, it is more reliable, because we have forward-tested it for more trades (forward-testing is to me the most reliable form of out-of-sample).

Having said this, I will check out the Sortino ratio (I already looked at it in the past):
http://en.wikipedia.org/wiki/Sortino_ratio

It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target, or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. It is thus a measure of risk-adjusted returns that treats risk more realistically than the Sharpe ratio.

Yes, point taken. But, reviewing the above points I made, I want to remind you and everyone else that we're doing this stuff not to get a job as academics but to make money, so if the Sharpe Ratio does its job decently, and I don't like to get into that even more complex formula (it seems so), i should not consider it a tragedy. If all is working fine, I don't have to improve things. Let's focus our energies where it pays the most money rather than where we'll get the most compliments for being good academics. What I am saying is that the bottom line is that the sharpe ratio is popular, it is understood by most, and it measures my systems' performance in a very satisfactory manner and quickly, used in conjunction with the number of forward-tested trades (very important detail). The scatter plot devised by my dad kicks ass. That mother ****er has done something positive for once.

I remember yesterday he said this: I'd rather see something not work and know why, than see something that is working and ignoring why. That is the academic mentality. Me, I'd rather make money in the quickest way without caring to explain why. First the money, then the explanation...actually no: as long as the money keeps being made I won't even worry about explaining why, but just focus on spending it.

Yeah, not very related to the Sortino ratio, but the point is actually related, because that formula is more complex, is less used, and I don't think I should get into it, just for the sake of research and for being a good disciplined knowledgeable student. The Sharpe Ratio has been working so screw Sortino.

However, thanks for the advice and the feedback. But I have no intellectual ambition/curiosity whatsoever. I use what works and until it works I don't change it. I will go even further. If you give me a million dollars, I will stop trading altogether. I am not into trading because I like trading but because I like the money, which will then enable me to turn my brain off and do drugs.
 
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checking out my buddies on the serenity

Let's see how they are doing in the computer lab:
http://www.kroooz-cams.com/serenity/serenity.php

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What's up with this ship...?

http://www.crystalcruises.com/ExperienceShips.aspx

"...best cruise ship in the world..."

Snap1.jpg

http://en.wikipedia.org/wiki/Crystal_Cruises

Owned by Japanese:
http://www.crystalcruises.com/AboutUs.aspx

Crystal is wholly owned by Nippon Yusen Kaisha (NYK), the largest shipping company in the world. Headquartered in Tokyo, the firm operates over 800 ships, has offices around the globe and is renowned for its fast, reliable and economical service to people around the world.

It's a totally Japanese company, but it is headquartered in Los Angeles and did not sound Japanese at the start. But it is. So much the better.

This is fascinating:
http://www.crystalcruises.com/files/NYK_History.pdf

...war in the Pacific rendered a heavy blow to NYK and its entire fleet, almost all of which was lost – 172 ships...

Fascinating...

...Almost a half-century after NYK’s wartime losses, the gleaming,
all-white Crystal Harmony arrived in New York for the first time in
August, 1991, having been delivered at Nagasaki, and christened at
Los Angeles on July 20, 1990. Amidst the festivities and formalities of
the occasion in New York, there was also a historic notation to her
visit: she was the very first Japanese luxury liner to visit New York in
forty years, since the early 1950s...

http://en.wikipedia.org/wiki/Nippon_Yusen_Kaisha
http://www.nyk.com/english/group/america_n/

Interesting, built by the South Korean STX:
http://en.wikipedia.org/wiki/Crystal_Serenity

http://www.cruiseweb.com/CRYSTAL-SERENITY.HTM
 
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