my journal 2

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Maybe things are starting to turn around for us and the drawdown.

There were two new trades, one on silver and one on EUR. Both long. Also ES seems to have started going upwards.

If things will keep going upwards for the three above symbols, the day will certainly end as profitable.

As I've always said: my systems perform best when the markets either go up or sideways. They are less likely to do well when the markets (ES and EUR, cfr. following sentence) come down. I've also explained why before: there's a large number of my systems only going long, on futures that are positively correlated to either EUR or ES. There you go.

Despite repeating this over and over again, there's people close to me and to my systems who still don't get it, and make all sorts of absurd hypotheses, and keep repeating them to me as if they knew about my systems more than I do: "the systems perform best in a directional market", "the systems perform best with volatility"... yeah, gee, thanks for teaching me about my systems. Gee, great to hear you know everything about what I've built. The truth is that you don't know jack****.

It's not about direction nor volatility (the greatest volatility is when markets fall, and my systems don't do as well then). It's instead about ONE direction (up) and no direction (range). That's when they work. But hell no, you stupid ****. Now you even preach about my own creation to me. Arrogant ****.
 
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another hour to go

I still haven't decided whether to tell my friend to **** off or to accept my freeloading friend's company.

Interesting post titled "My BF's free-loading friend":
I am so tired of my boyfriend's free-loading friend (who we'll call JOE). He is so annoying and he really uses my bf's kindness for his own gain. He always needs a favor or is always hanging around like a third wheel and i'm so sick of it. He's 28, he lives with his mother, is sleeping on her couch, doesn't have a job, and doesn't have a girlfriend. With all that this guy doesn't have going for him, he has the nerve to be conceited. He's always asking to come over to my bf's apartment and use his computer (he's too good to use his mom's dial-up connection at home). The worst part is that he doesn't even use the computer to try to find a job. He uses it to log on to dating sites. Then he has the nerve to be selective about who he wants to date. He should be happy that anyone wants to date him at all.

While he's at my bf's place, he hangs around and wants to watch music videos or some dumb show then proceeds to give opinions about all the female celebrities and actresses. He'll make sexist remarks like "Oh, yeah, she's hot. I'd definitely do her." This guy really is a pig. He's so obnoxious.

He lingers around for hours and we're always waiting for him to leave. There are times when we really want to be alone and he just doesn't get the hint. My bf told me that he feels sorry for him so that's one reason why he let's him come over. The other reason is because when my bf was a kid, he lived with Joe and his mom for a few months...
[...]
Click to expand...

Yeah, which reminds me that I did live with him for three days when I was here in Rome, in 1999. And in the morning I asked him if I could borrow one of his t-shirts and he refused because he said that I'd ruin it. I was pretty offended. His mother witnessed the event and later she kept sending me Lacoste t-shirts for years, to make me forgive her son. I did forgive him all right and he's been exploiting me and all his other friends for the past 10 years, causing us expenses for a total of hundreds of thousands (all of us put together). I met him rarely so he only got me to spend a few thousands on him and his girl friends.

The one major factor in my decision is if I get him to purchase his return ticket in front of me. Other than that, I also need the proof that he's coming with a few hundreds... otherwise every expense will be on me: fuel, fines, food, unpredicted expenses. This guy is a relentless professional and he will keep pressuring you all day long until you finally give in and basically spend whatever he wanted you to spend. He'll invite people to dinner or to your house in front of you, so you'd look mean if you said "no, wait: I don't want you to come" or "i won't pay for your dinner".

He deserves to die basically, but, as that girl said, he was a friend to me when I was younger, so he earned the right to exploit me for the rest of our lives. But I can be a nazi, so he better watch out, because I am feeling a 49% resolve to ditch him and take a plane tomorrow. Let alone that, for a year, despite his insistence, I did not meet him once, knowing he was going to make me spend money.

Going for a ride with daniel is like hosting a tumor in your body. You know when it starts but you don't know when it will end. It grows inside you and it eats you away and there's nothing you can do about it, until you go through the medical treatment. But if you're not careful he could come back and eat you more.

But then again, isn't it better to host a tumor than to go on vacation by yourself? A tumor can always keep you company, given that it's a living thing.

I know that in my quest to make things perfect, I would sooner or later exterminate the human race. That is why I still haven't decided to exterminate a friend who is clearly unfair to me. I've already had problems last year with my highschool friends, and called them "careless bums" and told them I am getting a house by myself with my spanish friend this year. Now this freeloading college friend... he's much worse than the two careless bums put together. But maybe I could get him to bum things off the bums, and share my pain and costs with them. I could cure them with their own medecine.

Actually, out of all five of us, there's only one person working full time. Two are working part-part-time. I am working part-time. And Daniel is not working at all. It cannot be a coincidence.
 
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ten minutes to go

In just 10 minutes I will leave this building and go on vacation. I haven't been on vacation since May 2010. This is an historical moment.

My next task will be to decide whether to exterminate daniel or let him come with me on vacation, and suck money out of me for two weeks.

Then the careless bums will come, in the middle of september.

What kind of vacation is this? ****ed between free-loader and careless bums, one destroying my finances and the others messing up my house?

Why can't I just resolve to live all by myself, and be rid of all problems/people? No people, no problems.

I need to make some japanese friends: quiet, efficient.

What can I do with these european/american friends? Nothing. They're inefficient.

Just 6 more minutes and then I am officially on vacation.

Too bad I can't just quit my job and stay there. We'll see.

I might negotiate with free-loader.

I cannot accept anything less than him buying his return ticket today. That is the minimum. There's a tradeoff between the need for company and putting up with being exploited.

4 minutes and I am on vacation.

3 minutes and I am on vacation.

OK. I am turning off my computer. I'll come back to this office in more than 3 weeks.
 
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back home and officially on vacation

Back home and:

1) dan is postponing the meeting, making up excuses, trying to manipulate me.

2) my systems are losing another few thousands today... a total of about -3600 dollars today at this precise moment.

I wrote him a text message saying: "You know the conditions. If you don't do these things I will go alone".

We'll see how far his manipulating efforts go. It's very clear that all i have asked is to buy the return ticket with his money and in advance and to have a proof that he's bringing at least 300 dollars with him. And the only proof can be that he gives them to me today. The plane leaves much earlier than the ship, so I cannot wait to see the money until tomorrow or I'll be screwed, if he doesn't bring it. Since he ditched me so many times, I cannot afford to take any risks. I need to see the ticket purchased and I need to see = have his money. If I wait until tomorrow, he might not have the money, and in that case I am screwed because I'd end up paying for everyone.
 
The day might not even end up being unprofitable, depending on how CL and SI behave. If CL recovers its losses, then things are totally different, and it will be a profitable day.

Five minutes ago we were at -3600, and now we're at -3000.

Now, five minutes later, we're at -1000.

Another five later and we're at -2500.

Just another hour and I'll know if I go with or without Daniel.


I'd rather be caught in the middle of these waves than go on vacation with someone who exploits me.
 
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If I was you, I'd ditch this Dan guy. You don't owe him anything. The guy didn't even loan you a T-shirt and yet he'll happily let you pay for his holiday. No way... Get rid. You are already restless about it, it's only going to get worse when you're away. Doesn't matter if you have to go alone, you are ok with your own company. Like me. When I have my break at work (I work in a pub), I always go and sit alone. I'd much rather listen to my inner voice than some of the muppets in there.

Failing that, if you are too nice to ditch him, you could resign yourself to the fact that you are going to pay for everything and just focus on having an amazing time. I had a similiar thing years ago when I went to Amsterdam with some friends. One of them hardly had any money. We'd all get a round of drinks in but some way he'd get out of it. The last day he was pestering me for money all day and abusing my generosity. We went out that evening and he asked me if he could borrow some money. I went mad at him for not bringing enough money and the fact that I'd already helped him out numerous times on holiday and before hand and I never saw anything back, he didn't even seem that grateful. Then I just thought, it's our last night in Amsterdam, we probably won't do it ever again, I'll calm down, give him some money as long as he promised we'd have the best night we ever had, which he did, and we did. A night I'll never forget.

So in other words, if you know its going to happen, if it's inevitable, accept it, deal with it, and forget about it. Focus all your energy on having a good time.

Either way, have a great time!

Sam.
 
Replying as I read.

I'll see if he comes with the money or not. I would not want to lose him as a friend, but I'd want to send the message that I won't be fooled or exploited anymore. Too many years of exploitation.

He didn't loan me a t-shirt but he's one of the few friends left from college. He feels like a relative to me now. Like an idiot cousin.

Yes, that is what I am worried about, that he will get even worse once we are there.

Yes, people are just muppets.

I don't have enough money or patience to let him manipulate me into paying for everything this time. It's been going on for too long. I can't lose him as a friend either. So I'll do something in between.

Now it all depends on how he behaves. If he still tries to fool me, then I'll go alone. He still didn't show up. The travel agencies close in less than 2 hours.

If he shows up later than 6 pm, then it's over. He won't come on this vacation. No doubts about this. He still has 40 minutes.

Yeah. Good thing on being generous and having fun, but he's made us all spend hundreds of thousands of dollars. This thing with him has been going on for over a decade. It's not like with your friend in amsterdam.

I will rather have a miserable time by myself than being exploited by him. Either way, I won't have much fun, but at least I'll have a peaceful vacation and I won't be exploited.
 
he got offended, finally

Ok, so here's what happened.

He was an hour and a half late as usual. I told him to go get the return ticket or I would not leave with him tomorrow.

Hell no. He wanted to get in and kept ringing. I didn't open, so he stayed there and we kept negotiating via sms, while he was sitting in the stairs in front of my door.

There was no way to get him to understand that I was only going to accept either of these:

1) buy return ticket plus leave me a deposit of 300 euros in case you rip me off while we're there (by inviting to the restaurant some women and having me pay for it, which is his typical thing).

2) leaving me a deposit of 400 euros.

Instead all he did for one hour was:

1) ringing my bell 50 times
2) sending me 50 text messages saying that he was sincere friend and he felt sad that's how I felt about him (ah ah, like I didn't tell him every day for the last 10 years)
3) that he would show me a suprise - i just had to open the door and hug him
4) that he had 1000 euros and he wanted to show them to me - all i had to do is open the door

I replied that i would not open the door until he slipped me 400 euros or 300 plus the ticket, because i knew it was his usual trick to overwhelm me with words and manipulate me. I would not open the door for today period.

I replied that all i needed was a deposit of 400 euros to keep here in my house in rome, given that he had ripped me off endless times in the past 10 years.

I replied that I had told him dozens of times that I considered him a free-loader.

Nothing to do.

He got offended that I told him that I need some guarantee that i would not get ripped off by him for the nth time, namely by bringing no money with him (which proved that he was counting on me to pay, as usual).

Final consequences:

1) I lost the 200 euros I spent to buy the ship's tickets for me and him, which shows I gained nothing from arguing with him. It was merely for the sake of stating a point and not being fooled by him yet another time.

2) I am taking the plane tomorrow by myself.

3) He went home, after sending me a few final text messages saying stuff like he was my sincere friend, and he was sorry that i felt that way about him. How sensitive now that I called him a free-loader, and how insensitive when he had me pay for 100 dinners in a row. How insensitive a week ago when, after i warned him against it, he invited two chicks to come with us on vacation, in front of me, in a way that i could not say "no, you can't come" (then i had him cancel everything later).

Final considerations. I don't know what I could be blamed for. I have been a fool for 10 years, paid for his dinners (with his female friends) between 50 and 100 times. Then one day I get tired of being exploited, and after purchasing his one-way ticket, I ask him to bring some money while on vacation with me, and to purchase a return ticket with his own money (his own ticket because I am staying there). I also had told him I'd pay for the fuel throughout the trip.

Sad, sad, sad. Sad that he got offended, but...

If he felt that it was ok to free-load on his friends for ten years, extorting us hundreds of thousands of dollars, then sorry for breaking the bad news to you. Sorry for waking you up from a dream where it felt ok to do so. Sorry to be the first guy who refused to be a sucker.

http://www.imdb.com/title/tt0128442/
Mike McDermott: Listen, here's the thing. If you can't spot the sucker in the first half hour at the table, then you ARE the sucker.
Click to expand...

That's the case every time I went out to dinner with daniel. I knew i was the sucker. And now it's all over.

http://www.imdb.com/title/tt0099685/quotes
Henry Hill: Didn't matter. It didn't mean anything. When I was broke, I'd go out and rob some more. We ran everything. We paid off cops. We paid off lawyers. We paid off judges. Everybody had their hands out. Everything was for the taking. And now it's all over.
Click to expand...

Dan was a good fellow, but now it's all over. I simply ran out of money and patience.

http://www.youtube.com/watch?v=ja3Die31ihk

http://www.youtube.com/watch?v=lHy9jZ8tDk0

Dan. I'd rather whack you than be exploited one more time by you.

http://www.youtube.com/watch?v=cmwV0RcB1E8

In a way, I think his getting offended was a trick, a ruse, to keep me from realizing that I was actually the one who was right. I mean. You rip me off for ten years, and then you get offended that i open my eyes? What better way to keep me from further getting mad? It's like an act, he put up, in order to come out clean of this mess.

Or maybe he actually got offended or rather "hurt" because i opened his eyes as to the fact that he'd been exploiting dozens of friends for ten years, and woke him from his delusional state. Yes, the latter is probably the case. But hey, I am still right. I cannot be considered guilty because i woke you up from a state of denial which made it ok for you to exploit me and every other friend you had. I mean, we work every day, to support your dinners, while you do nothing all day long. You're not paralyzed. You just don't want to work. Then one day someone complains and asks you to not screw him ever again, and you offended? I would say this is an excellent actor, especially good at deceiving himself about the situation he is in.

I feel totally ok about what's happened today. I maybe regret ever inviting him, and then i regret not stating the situation from start and not making clear that i was not going to pay for everything, which is an automatic assumption when you're dealing with daniel. In fact it's not even an option to ever make him pay for anything, and this abrupt change in me and in my expectations from him was maybe too abrupt. I am right and yet I was too abrupt in shocking his lifestyle, a lifestyle whereby he's used to being supported by his friends.

I guess that now that my rules have changed and I am not willing to be exploited anymore, we cannot be friends any more, and the best way for him to tell me was not "hey, if i can't exploit you, we can't be friends" but "I am so hurt that you think that i am a free-loader".
 
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Ok. I am going pack my little computer bag.

Then i'll go to sleep and tomorrow I'll take a plane. By myself. Much lighter traveling.

In the meanwhile, it seems that my systems will be profitable for the day. All thanks to two silver trades making a total of 7000 dollars right now.
 
You did the right thing. You will have a much better holiday without him. He actually sounds like my friend (the one in the Amsterdam tale). Makes false promises just to get you to open the door or come out/meet him. Maybe it's the same guy travelling from country to country! It really does remind me of him. There have been so many times this guy has parked outside my house texting me to go out even when I tell him no so many times.

Anyway, I think you've been really patient with this guy. If it was someone from your office, by now you'd be saying something like "I hope he dies in a terrible car accident!".

Where is it you are going again? I really need a holiday as well. Would love to visit your country even just for the wine. Love me some Italian wine.

Right, drunk (as usual) and going to bed. Have a great holiday Travis.....

Sam.
 
Yes, I am going to a mediterranean island. I cannot disclose more details for privacy reasons.

Regarding my friend, I suppose there's a stereotype that he fits: the compulsive, manipulator free-loader:

1) they're restless
2) they don't feel guilt
3) they comply to good manners
4) their only purpose is to get you to do what they want you to do, and they are very good at that: they'll insist, they'll... he stayed an hour outside my door ringing the bell and texting me "hug me, brother" but he would not purchase a return ticket nor let me have any of his money.

It's a different category from the well-mannered troll, because he also achieves manipulation and pulling your leg but this time not through good manners and pretense but through verbal and physical violence and insistence. The well-mannered troll instead pretends he's your friend. This guy is a hurricane, and if you let him into your life, you will lose control of it. That's why he wanted me to open the door and didn't want to slip the money through the door. He knew that if I had opened he would have physically and verbally overwhelmed me. He is definitely like your friend, but I still don't know if your friend has been doing this for years or it was just a phase and it might end as soon as he gets a job. This guy instead has been doing it all his life and he probably will never get a job: he's a lot older than your friend. Your friend will probably get a job sooner or later.

Eventually last night he kept writing me and his last message was: "I feel admiration and affection for you, and instead you hate me and resent me. These are not the premises for a vacation together. Have a nice trip".

I replied "you want to have your cake and eat it, too" or whatever it sounds like in Italian. Then I told him "all I had asked was for a deposit, given all the times you have ripped me off in the past, but you would rather commit suicide than do that". And I also wrote "you manipulate people, you extort money, you rip people off, you disrespect people in all ways, so you cannot be surprised if every once in a while someone will not put up with it".

But probably he was not suprised. Probably he was acting hurt and surprised, to capitalize on the situation.

If you don't let these people manipulate you, in a final manipulation attempt, they will make you think that you've offended them. When in fact the reality is just that he didn't want to spend any money, and that's the way he's been living for the past 10 years. Great expensive lifestyle, all paid by his friends.

Or he has been living a lie and he doesn't realize that he's a free-loader. That's probably the case, too.

One important thing that has to be added and that I and all his friends notice is that his parents never told him anything and act as if everything is ok. As if it's normal that, after doing a BA and a master's, spending hundreds of thousands of dollars for his "education" (no one learns anything anyway at school), they find it acceptable that he has done nothing for the next 15 years. He's stayed home, and especially he has gone to parties every night, ever since he graduated from college.

He's not even going to help you if you ask him to help you move some furniture. A friend just told me so a week ago. We all think he's not a bad guy, and that he never says anything negative about anyone. The only problem is that he is not willing to make any efforts, sacrifices, nor pay for anything.
 
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still in deep drawdown

I've updated this from the airport (it goes up to yesterday):

Snap1.gif

14th day of drawdown. We have gone down 27k, and then come back up 7k.
 
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Yes I think you are right about the guy acting hurt and surprised to manipulate you. He knows that he's doing, he's not stupid. Anyway, that's dealt with now. I think you'll be much more relaxed without him there.

As for your drawdown. I'm feeling quite tense looking at it myself so you must be bricking it! Oh, in case you don't know, that is English slang for pooing ones pants! In all fairness though, it does look like one of those previous swings from high point to drawdown, just on a bigger scale. Which would make sense as you scaled up, but it would fit with what you said a while back about scaling up at the wrong time. Ideally you'd want to be scaling up now but hey.... Hindsight is a motherf**ker. Is there any way you can model what would have happened if you hadn't scaled up at that particular time? That way you could see if the drawdown would have exceeded the last one.

Anyway, I hope you are sat somewhere with a nice cold beer now! Take it easy,

Sam.
 
Oh, ok, thanks. I was looking it up and could not find it on google.

No, I am not bricking my pants, because it's not my money. Second of all, if there is one most important thing that I learned this year, is discipline. Once you've chosen the systems, you can't disable them because they're losing money. So we have no choice but be disciplined. No one is complaining even.

Yes, capital was quadrupled: that is one of the reasons I am not bricking it. That is the direct consequence of scaling up.

Yes, I did model what would have happened, at the request of Le Big Mac, who later disappeared. And i found out that we would have actually made money, so... and it was indeed a more balanced portfolio, but we had the choice of going for silver or not and we went for silver. In the future, the portfolio will be improved with the increase of the smaller contracts. Unfortunately silver systems cause losses as big as 10k in just one trade.

Also we have been very unlucky with CL_ID_04. It lost every single time it traded. Usually it's the opposite.

I am trying not to drink any beer because i want to get in shape. You will see my swimming video soon, so you can see my body as the camera attached to my leg shoots the movie underwater. The protagonist of my next movie will not be my hand, but probably either my leg or my back.

Yeah, it would be best to chain the mini dvr to my back. I need to work on making it water-resistant. This is the hardest part.
 
That looks awesome, nice work! Hope you are having a nice time. Question for when you have time:

What do you consider to be an acceptable sample size? I am testing my systems on 7 currency pairs over 10 years and I'm testing for buys and sells separately as different settings work better for each. The settings I have selected so far have this many trades over 10 years:

EUR/USD Buys 170
EUR/USD Sells 150

USD/CHF Buys 84
USD/CHF Sells 124

USD/JPY Buys 74
USD/JPY Sells 157

GBP/USD Buys 76

Still working on the others. But I mean is 74 trades over 10 years significant enough to say whether something 'works'? I know you said some of your systems only trade once or twice a year and that you have a 120 systems. Are you confident with the system if it takes 2 trades a year/20 trades in 10 years?

I am hoping at the end of this I will have 14 systems working on 7 pairs.... All of which will have been profitable over the last 10 years I guess I will just have to hope they are for another 10 years.

I am considering optimizing the systems on another time frame after I am done with this one (30 mins), that way I will have more systems and hopefully more trades/profit!

Any thoughts?

Cheers,

Sam.
 
I will reply as I read your post.

I am really glad you liked the video. Thanks for the wishes.

Regarding the sample size, I would not measure it in terms of time but in terms of trades. I would say that from 100 trades to above is good. The same applies to the out-of-sample of course.

Yes, those samples are good enough, but only provided that the same system produces profit across all currencies. Otherwise don't trust it. You see, if you only have 100 trades for 10 years, that is only 50 trades for the in-sample and 50 trades for the out-of-sample. So it is not that much, probably not enough to tell if it's good or not. But you could compensate this problem by making sure that the same algorithm works across all currencies. In that case, the trades add up, in a sense.

Yes, I am confident with those systems making 2 trades a year, because i found that principle to be working on other 15 futures, so, as i said before, it is as if the trades of all these systems added up.

Not only this: for these systems trading rarely to be worth trading, you need their profitability to be very high. Profit factors above 3, sharpe ratios above 4, % of wins above 70%. The less it trades, and the more it has to be profitable in back-testing for you to trust it (and the more it has to work across all futures, as said before).

You keep saying "profitable during 10 years". I hope you're not forgetting that you have to split those 10 years in two samples of 5 years, and only optimize the systems on the first 5 years. Then, when you are all done and you think it is perfect and you're not going to make any more changes, you have to see if it works on the hidden sample (the last 5 years).

Regarding giving you "thoughts" in general, I cannot do that (too burned out for that). But if you ask me a specific question, I will probably answer.
 
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