my journal 2

[Yamato]

anxious and bored and upset

Anxious and bored and upset, all at once.

Sooner or later I will start working on my three buddies: nq, si, hg (got to buy the data first). Too bad for wheat, corn and soybean, but the limit up/down deal is too risky, PLUS I can't get the data for a cheap price. I will wait another week or two, out of fatigue, and to allow myself to change my mind about the futures to add.

For now I will just post some music videos. And maybe write some random stuff.

http://www.thatfilmwatchingsite.org/watch-828-Once-Upon-a-Time-in-the-West-Cera-una-volta-il-West

http://www.thatfilmsite.org/watch-83710-GixF9-la-testa

http://www.thatfilmsite.org/watch-752-The-Good-the-Bad-and-the-Ugly-Il-Bello-Il-brutto-Il-cretino

http://www.thatfilmsite.org/watch-829-Once-Upon-a-Time-in-America

http://www.thatfilmsite.org/watch-12813-The-Mission

http://www.thatfilmsite.org/watch-903-Nuovo-cinema-Paradiso

http://www.thatfilmsite.org/watch-1012-The-Untouchables

 

[Yamato]

Today I might be able to actually go home on time. Maybe I'll sleep. Tonight I have to go to dinner to a friend's house, who will help me move out of the apartment within the next two months. I have to move to another apartment in the same building. My plan is to get very drunk and go to sleep as soon as I get home. No xanax though. Just a lot of drinking. Beer and prosecco. Then I sleep for two hours, then I go to dinner and engage in the usual useless conversation for two hours and I come home. It sucks to have to go to dinner to just get someone to help you move out, with the logistics of it. She knows I'd never go otherwise. But now I have to go. Damn. Or she won't do it. Or rather, she'd still do it, but reluctantly. Bull****.

 

[Yamato]

Getting there... I got home. On the way here, I already drank one 20 cl. bottle of prosecco, still one to go. I swallowed the melatonin and xanax, too, just in case. In the next 30 minutes I should fall asleep. Drunkenness slowly building up:

http://www.youtube.com/watch?v=Ux0vyv7dEGk

Two trades opened by the systems, NG and CL. Not a typical uneventful day. What the hell, did he shake this bottle or what? Going at full speed towards my drunkenness:

Once Upon a Time... Sleep:

 

[Yamato]

It worked. I slept 4 hours, went to dinner, ate too much, but otherwise it was fine.

Now I am back and I can stay up a bit longer since I slept so much in the afternoon.

 

[Yamato]

some new risk & money management concepts

I don't know precisely where risk and money management begin and end, so I'll call these ideas risk and money management ideas.

1) the more systems the better
This is not as simple as it sounds. What I mean to say is not only for example that it's better to have 3 systems rather than 1 with a max drawdown AND monthly profit of 3k. I even go as far as thinking that it's better to have 3 systems with those values at 3k than 1 with those values at 2k. Diversification is good even at the cost of a little more drawdown and a little less profit. Yet what is great is that usually diversification increases profit without increasing drawdown and often it even decreases it.

2) maximising profit / drawdown
This is not banal either. In particular, profit should be maximised by optimising the ratio of profit/max drawdown. For example, now we're trading systems with a max drawdown of roughly 10k and a profit in the 9 back-tested years of 600k. The ratio is roughly 600/10=60. We should at once seek to maximise the number of systems traded and this ratio of total profit / max drawdown (which is basically what the sharpe ratio does, too). Once again, it's better to get a profit 500k with 30 different systems than 600k with 10 different systems trading 3 contracts each.

It's easy to add good systems, one by one, without increasing the drawdown or even increasing it a little, because you know that adding systems is a good thing in itself. It will be harder, once all good systems are being traded, to add contracts to some of the systems (those maximising the profit / drawdown ratio). Overall sharpe ratio might to do that. And especially I could use my genetic algorithm excel add-in.

 

[Yamato]

let's do it

Let's do it. Let's buy the data. Let's go all the way...

http://www.youtube.com/watch?v=U9qcGGBN3-c

 

[Yamato]

odd mood - relaxed and bored

I noticed that I have started to forget words again, as it usually happens after taking xanax for a few days - but I haven't developed an addiction to it.

Taking very mild doses, a 0.25 mg. pill per day at the most.

I have planned my vacation for September, with my friends from highschool, like last year. This time I arranged so that I won't have to act like the maid and clean after the pigs. One of them is not a pig and I will live with him. It would be nice if in September I could go there, to the island, and not come back.

He deals the cards as a meditation
And those he plays never suspect
He doesn't play for the money he wins
He don't play for respect

He deals the cards to find the answer
The sacred geometry of chance
The hidden law of a probable outcome
The numbers lead a dance

 

[Yamato]

the die is cast

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

The die is cast - I have purchased the data. I have not received it yet, but I asked to receive it.

Soon I will have to work my ass off on the new systems, back-testing them and then automating them. In the process I will probably create systems not just for the 3 new symbols but also for the old ones.

This week we're presently down, somewhere around -200 dollars for the week. This is not good. I expected to make a 1000. This is the type of thing that if I were trading my own account, would urge me to trade discretionary to make back the expected win.

 

[Yamato]

can't sleep

This time I decided that I was tired enough not to take melatonin and xanax, and here i am - I woke up at 5:30 and can't fall back asleep.

I am having some thoughts about trading, as follows:

Only when you fully realize that your hoping doesn't affect the markets are you ready to trade discretionary. Somehow this was never my case. Tonight the systems need the markets to go one way and my discretionary trading needs the markets to go the other way. I found myself wondering "what should I hope for?". So this means i am still prey to some magical thinking, and deep inside I expect the markets to be affected by my hoping. I don't just think in terms of statistics. I am too self-centered and egomaniac to be a good discretionary trader.

Also, despite the fact I say i am atheist, I have always thought god is on my side and wants me, or rather has meant me to be successful .

I am impatient about this not coming true and success not taking place yet. I keep on waiting for my trading to make this happen. And I have increasingly invested my hopes on the investors since my discretionary trading proved unprofitable, even to my stubborn mind.

Since the systems proved profitable on their account, I am hoping for them to increase the investment. My hoping may affect them, unlike the markets. It may affect them adversely, too.

This week, too, may turn out to be profitable. Right now we're at about +100. It might be a breakeven week. Anyway, only up since xmas.

 

[jezek5]

"Also, despite the fact I say i am atheist, I have always thought god is on my side and wants me, or rather has meant me to be successful ."

Very strange fellows we are Travis,i to am an atheist but
have always felt god not to be on my side,good weekend to you.

 

[Yamato]

Have a good weekend.

 

[Yamato]

http://www.youtube.com/watch?v=UMCmPAfIKJ0

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

It was a splendid day. Systems added yet another profitable week to their résumé.

It was effortless -- I was all day at work, until now. It's less tiring to work than to come home and root for my systems.

That's what happened on the investors' account. On my account, my last discretionary delusion was closed out on margin call and my own account is now out of (minimum) margin.

It's all right, it's all right, it's all right, it's all right, it's all right, it's all right, it's all right... it's all right like this.
Va bene, va bene, va bene, va bene, va bene, va bene, va bene... va bene così.

 

[Yamato]

weekly update... and Uncle Point

This is just amazing. This thing keeps going and going, at a rate that I'll just get tired and stop rooting for my systems. It never lets me down. Look at it. It's been going up for almost as long as 4 straight months:



What? Not again... I just heard myself thinking that god is on my side.

Tomorrow it will be even better looking because today some 60 dollars were made and the exchange rate of the euro got better by about 1% (right now it's using yesterday's). So this will add another 100 dollars to where we are now in the equity line.

Look at it. What seemed like a huge fall in december is now only a small ditch. Look, I had written about it on Dec 24, 2010, on my post number 1929 (quite a coincidence that the systems were at their worst on post 1929):
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-193.html#post1363912

Dude, this week, too, we just kept on falling. It seems that my bad luck never ends...

Things definitely looked different back then. How many people back then, after looking at that chart, would have said "let's keep going"? Only my investors, because they knew what we were doing, and that some systems worked while others didn't. Yet another reason to hold on to the investors despite the slow scaling up process: their uncle point. Many people might have given me money, unknown people, mobsters, but then, who knows if they'd have waited for six months with that kind of situation? That's the "uncle point" concept:
http://www.seykota.com/tribe/risk/index.htm

In particular, one of the most important, and perhaps under-acknowledged dimensions of fund management is the UNCLE POINT or the amount of draw down that provokes a loss of confidence in either the investors or the fund management. If either the investors or the managers become demoralized and withdraw from the enterprise, then the fund dies. Since the circumstances surrounding the Uncle Point are generally disheartening, it seems to receive, unfortunately, little attention in the literature.

In particular, at the initial point of sale of the fund, the Uncle Point typically receives little mention, aside from the requisite and rather obscure notice in associated regulatory documentation. This is unfortunate, since a mismatch in the understanding of the Uncle Point between the investors and the management can lead to one or the other giving up, just when the other most needs reassurance and reinforcement of commitment.

Well, I don't know what they were actually thinking... in fact I was more demoralized more than they were, I wrote them daily emails regarding my demoralization, but at this point...



...potentially an "uncle point", I was given "reassurance and reinforcement of commitment". And that is how we got to this other point, potentially a point where you'd still call your uncle, but this time to show him the excellent performance:



It almost seems like the systems lost on purpose so to enable me to write this beautiful post and make this excellent point about the "uncle point". It's as if they told me "first we will test you and the investors in the bay to see if your ship is strong enough to embark on a cruise and then we will let you go into open sea". Instead, this is just what happens to "funds", and it was all random, or rather, it's life talking to me and showing itself.

This occasion deserves to be celebrated with a song:

They're still all there. My usual game of picking out the systems we're trading on my scatter plot:



Sooner or later, if we're desperate for new systems and have spare capital to invest, we should add those in red as well. Maybe this could be done when we'll double up the investment.

Those two new systems, circled in red, are not excellent, but they're profitable. I would not trade 2 contracts on those. But if they get traded they increase (historical) profit while decreasing (historical) max dradown. The only problem is that they'd require about 3k more capital. But I am not ready to ask for them to be enabled, because as I said, they're not as good as those we're already trading. The situation would be right when we'll trade 2 contracts of all the excellent ones, and that way we can add these two as well, with 1 contract.


I found more on the "uncle point":
http://www.mypivots.com/dictionary/definition/416/uncle-point

The uncle point is a place where a trader has had enough pain or draw-down and decides that the trade is no longer working and throws in the towel. i.e. the trader flattens his/her position. This includes the point of emotional stress as well as financial analysis of the losses being suffered.

The uncle point is usually the point where you know something is truly going wrong with your system and you take action and get out.

The exact origin of "say uncle" or "cry uncle," first appearing in written English around 1918 is unclear but there are some interesting theories. One theory posits that "uncle" is actually a mangled form of the Irish word "anacol," meaning "protection" or "safety," making a demand from an aggressor to "cry uncle" equivalent to the thug demanding that his victim "cry for help" as a signal of surrender. There's no real evidence to support this theory, but there certainly was no lack of recent Irish immigrants in the U.S. around the turn of the century, so it's not entirely implausible.

The other popular theory about "cry uncle" suggests that the phrase may actually be thousands of years old, and that its origins go all the way back to the Roman Empire. According to this theory, Roman children, when beset by a bully, would be forced to say "Patrue, mi Patruissimo," or "Uncle, my best Uncle," in order to surrender and be freed. As to precisely why Ancient Roman bullies forced their victims to "cry uncle," opinions vary. It may be that the ritual was simply a way of making the victim call out for help from a grownup, thus proving his or her helplessness. Alternatively, it may have started as a way of forcing the victim to grant the bully a title of respect -- in Roman times, your father's brother was accorded nearly the same power and status as your father. The form of "uncle" used in the Latin phrase ("patrue") tends to support this theory, inasmuch as it specifically denoted your paternal uncle, as opposed to the brother of your mother ("avunculus"), who occupied a somewhat lower rung in patrilineal Roman society."

 

[Yamato]

I am tired

Yeah, tired again. Unable to sleep properly, tired.

At work they're abusing my skills and efforts.

This is the worst time to buy data and get started testing new systems, but I'll do it slowly. Yesterday they offered me a deal where I'd buy ALL futures for less than seventy dollars, but i turned it down, because I have to focus on just the 3 selected futures and an excess of information and opportunities can kill you, just like an excess of water can kill a plant.

This is the same reason I've cut down on the emailing between me and the investors. I found that anything above 3 emails per day endangers our relationship. As usual, the situation for me is that I get along better with people I meet rarely. I get along the best with those I never meet.

 

[Yamato]

the NQ, HG, SI song

I just can't stop listening to this song:

http://www.youtube.com/watch?v=tcuszKqpRWs

In the last 24 hours I've played it dozens of times. Since I just received the NQ, HG, SI data, this song will be remembered as the NQ, HG, SI song. Forever, in my mind, when I'll listen to this song, I will think immediately about Nasdaq, Copper and Silver futures.

Respiri piano per non far rumore,
ti addormenti di sera,
ti risvegli col sole,
sei chiara come un'alba,
sei fresca come l'aria.

Diventi rossa se qualcuno ti guarda,
e sei fantastica quando sei assorta
nei tuoi problemi, nei tuoi pensieri...

Ti vesti svogliatamente,
non metti mai niente che possa attirare attenzione,
un particolare, solo per farti guardare...


This singer in some ways (looks, singing, arrangement) reminds me of this other singer:

 

[Yamato]

brainstorming on the new futures

This is the plan:

DONE:
1) selection of right futures
2) getting the data

TO DO:
1) back-testing
2) automation

I will start by back-testing all the systems on the new futures and then I will proceed to automate all of them, all at once. Economies of scale.

Brainstorming on the back-testing phase.

I will need to verify how all the 74 existing systems perform on the 3 new symbols. This work would seem huge, because it would imply that I test 74 * 3 = 222 systems. But I can proceed by families of strategies.

For hg and si, i should discard the non applicable systems together. Since at the start it will be more tiring, I will start by studying all the systems to be applied to NQ.

I will break this into smaller tasks when I'll get down to doing it, beginning tomorrow, or even later.

 

[Yamato]

planning for efficient and rational NQ testing

I will start by testing on NQ all the systems that work for the es/ym, and maybe also those that don't work. Then I will only test the remaining families, as far as those that weren't already tested (in red below):

ON bounce
Opening Gap
overstretched
Range Breakout
Volat.Breakout
WeekDay Bias
WITH ID trend
WITH ON trend

This means I will test just 4 simple systems (red ones) and will have to test several versions of systems for the other families of strategies.

It won't be as many as 74 but probably just 25 in total (five versions per strategy not already traded by es/ym).

Ready for takeoff.

This phase will take me... hmm, an average of 10 new systems back-tested per week... this whole thing will take me about a month and a half. Then I will automate everything in 2 weeks. As I said, I need 2 months to make it happen. It's exactly what I need to keep myself busy while the systems bring their total profit to 20k, after which from what I understood there might be some scaling up: new systems or more contracts for the existing systems or both.

 

[Yamato]

getting started on NQ testing

It's got its own comprehensive entry on wikipedia, which is quite amazing and unusual:
http://en.wikipedia.org/wiki/NASDAQ_futures

All of the NASDAQ derived future contracts are a product of the Chicago Mercantile Exchange (CME).[5] They expire quarterly (March, June, September, and December), and are traded on the CME Globex exchange nearly 24 hours a day, from Sunday afternoon to Friday afternoon.[5]

E-Mini NASDAQ futures (ticker: QCN) contract's minimum tick is .50 index points = $10.00[5] While the performance bond requirements vary from broker to broker, the CME requires $4,000, and continuing equity of $3,200 to maintain the position.[6]

E-MINI NASAQ Biotechnology futures (ticker: BIO) contract's minimum tick is .10 index points = $5.00[7] While the performance bond requirements vary from broker to broker, the CME requires $3,750, and continuing equity of $3000 to maintain the position.[6]

NASDAQ-100 futures (ticker: ND) contract's minimum tick is .25 index points = $25.00[8] While the performance bond requirements vary from broker to broker, the CME requires $17,500, and continuing equity of $14,000 to maintain the position.[6]

E-Mini NASDAQ-100 futures (ticker: NQ) contract's minimum tick is .25 index points = $5.00[9] While the performance bond requirements vary from broker to broker, the CME requires $3,500, and continuing equity of $2,800 to maintain the position.

Better make sure I am using the one with the biggest volume, and know every implication of the difference between NQ and QCN, which is actually the E-mini NASDAQ Composite Futures:
http://www.cmegroup.com/trading/equ...nasdaq-composite_contract_specifications.html

All my sources for volume are TWS demo (since it's the weekend) and these two:
http://www.futuresmag.com/Issues/2010/March-2010/PublishingImages/2010TradersViewChart.pdf
http://www.cmegroup.com/daily_bulletin/preliminary_voi/VOIREPORT.pdf

They basically deny the existence of QCN. As if it were something for rare stamps collectors.

I will now focus on NQ, which however seems to have gone through a tick change in 2006... got it!

From a post here:
http://forum.esignal.com/showthread.php?postid=83365

I knew the tick size of ND and NQ should have changed to .25 from .5 since 4/2/2006. But I am still receiving ONE digit after the decimal point, namely, .2 and .7 instead of .25 and .75, respectively. Sent an e-mail inquory to eSignal Tech support on Wednesday, but no response so far.

Indeed, I do remember trading the Nasdaq future back in 2004, and it was definitely the NQ one and I do remember it moving in 0.5 ticks. Well, not anymore:
http://www.cmegroup.com/trading/equity-index/us-index/e-mini-nasdaq-100_contract_specifications.html

Let's see... 5 dollars per tick. Like the YM. Ok, so one point is 20 dollars... I like it a lot! More volume than YM (about 200k contracts per day, vs. 100k), but low ticks, so trading costs are less than both ES (one-tick spread but big ticks) and YM (small ticks but two-ticks spread).

Now let's check the trading schedule. Hopefully it's the same as ES and YM:
http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_contract_specifications.html
http://www.cmegroup.com/trading/equity-index/us-index/e-mini-nasdaq-100_contract_specifications.html

Yes! Identical.

Ok, the YM_ON systems works fine on NQ. I am using trading costs of 0.50 point per trade (two ticks, one tick for spread costs and one tick for commissions).

Tell you what: it works even better. Gotta love the NQ. It has the qualities of ES and YM combined, plus more (volatility for example). For today it's enough. I am saving the NQ_ON system and going to stop here for today. Done with my 75th system and done with one of the 8 families of strategies (ON bounce). It makes about 2500 dollars per year, both in the in-sample and in the out-of-sample.

My systems want to dedicate this song to me, and I reciprocate:

My love,
There's only you in my life
The only thing that's bright

My first love,
You're every breath that I take
You're every step I make

And I
(I-I-I-I-I)
I want to share
All my love with you
No one else will do...

And your eyes
Your eyes, your eyes
They tell me how much you care
Ooh yes, you will always be
My endless love

Two hearts,
Two hearts that beat as one
Our lives have just begun

Forever
(Ohhhhhh)
I'll hold you close in my arms
I can't resist your charms

And love
Oh, love
I'll be a fool
For you,
I'm sure
You know I don't mind
Oh, you know I don't mind

'Cause you,
You mean the world to me
Oh
I know
I know
I've found in you
My endless love

Oooh-woow
Boom, boom
Boom, boom, boom, boom, booom
Boom, boom, boom, boom, boom

Oooh, and love
Oh, love
I'll be that fool
For you,
I'm sure
You know I don't mind
Oh you know-
I don't mind

And, YES
You'll be the only one
'Cause NO one can deny
This love I have inside
And I'll give it all to you
My love
My love, my love
My endless love

 

[Yamato]

usual insomnia

Watching this movie:
http://www.putlocker.com/file/1VH8GABHUJBM#

I'll write more in a bit, after I'll finish the movie, because for sure I won't be able to fall asleep.

[...]

Some things have been happening, things that I can't discuss here, but basically I might stop writing 33% of what I've been writing and might deny myself 33% of freedom and deny readers 33% of information. Or then again, things might go another way and I'll keep/resume writing my journal as freely as I've been doing until here.

Certainly, it bothers me to not be able to write my journal with the things that are on my mind. It bothers me even more when the diktat comes from a superior entity.

Probably, I will either stop writing the journal altogether, which is unlikely but possible, or I'll just keep going as I've been going until here. I don't see it very likely that I'll deny myself 33% of my freedom, because if I write a journal, it's because I enjoy writing a journal where I can speak my mind and if I can only partially speak my mind, it becomes pointless.

For now I can only say that I am totally pissed off and frustrated about events. But I could tell the events were coming - I saw them coming. I saw things going astray since a while ago.

I won't read my email for a long time either, because it's a source of frustration.

I don't even know what I can write here anymore - I have to apply censorship to my own writing, and it takes all the pleasure out of it. Do I write any more or do I just stop writing? Should I write this journal in Italian from now on? Should I just post music videos and lyrics? We'll see where my free spirit and my sense of justice and dignity will take me. For example, at work I was never promoted despite working hard, and this is due to my sense of justice, outspokenness and being the way I am. Is my sense of freedom and dignity worth being sacrificed for my career? Should I kill my ideas and thoughts so that I get promoted faster and achieve success? Success at any price?

Nope. So far my actions have shown that I want success but on my own terms and that I can't live with humiliation. My sincerity is a luxury that I have gotten used to, and so is being treated fairly and respectfully. I'd rather not get promoted and not be successful than having to put up with humiliation from superior entities. So, I don't know when my true nature will emerge, but sooner or later it will emerge, and drive me to clash with superior entities as usual.

I think the easiest thing to do would be to stop writing here and take my journal to an Italian forum, but first of all, I'd be denying myself a lot of potential benefits from writing here, in English, and getting important feedback. In Italian I'd be getting no useful feedback because Italians are fewer and less informed about these subjects. Second of all, I'd be depriving many readers of information about me and my trading. By now this has become like a soap opera, and my posts are episodes of it, even to myself.

So I am not going to stop writing here that easily, because of myself and because of the few affectionate readers. I might take a break but not stop altogether. But then if I keep writing, then I need to be able to speak my mind and cannot suppress my thoughts.

For now I am satisfied with this post as far as speaking my mind, even though it sucks, as it sounds like the journal of some Russian gulag's prisoner.

 

[Yamato]

Damn. I had to take both melatonin and xanax and I still cannot fall asleep.