Yamato
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Yamato
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Re: self-control update
Yeah, I guess the personality types are only so many. Maybe 10 different types of people? Besides, we're all here, trading and writing/reading journals, so we might be even closer because of all these filters... maybe that's also why you're reading the journal, because you can relate to what i say. We also have that compulsive trading "itch" in common.
Think about your signature quote, "It's how you deal with failure that determines how you eventually achieve success". It talks about my post. How did I deal with failure? The wrong way. It scared me so much (because my father always made me feel really bad - terrorized me - about failing at anything), that I stopped trying to do anything which I wasn't sure of acing from the start. But how many things can you be good at before you even begin doing them? None. Only those you practiced without realzing. Or only those where you think you'll be good, for ungrounded reasons, such as trading, and in fact I was not good at all. I started it because first of all I wanted to make money, and second of all because I was certain I'd be good at it. I was wrong, but now I am pretty good at it, even though still unprofitable. I would say that, despite having lost money for 12 years, I am actually quite an expert at it. Maybe like a coach might be a good coach, without actually being able to play and win a game himself. You wouldn't say the coach knows nothing about the sport just because he's not playing it himself.
Anyway, many things to say about this subject of dealing with failure. Probably one fails because he doesn't practice, and he doesn't practice because he's afraid of failing. Very good example with girls. You don't try because you don't want to get rejected. But the less you try the less you're good at it. Then, when you finally go for it, you get rejected. That leads to try even less. If anything parents should therefore boost your confidence and try to make you immune to being hurt by failure. Instead no, hell no, i had a father who added extra pain to each failure I experienced, by reminding me of them, throughout my life. That's why I still resent him today. Each time I failed at something he listed to me all my mistakes and failure from birth. Why did he do that? I do not see any possible good reason. I see sadism, sickness, mental sickness. Even now I avoid him. He's nothing but negativity. If we talk about finance, he tells me the banks will soon go bankrupt. Earthquakes. The end of the world... that's my father. Yeah, sure, I'm grown up... I should be my own person... but these things stick with you. Don't make them stick with you? How do you do that? How do people do that? Maybe they rebel violently? I'd have to at least kill him, or yell at him, but I can't even do that. They've taken even that defense from me. That I owe to my "show the other cheek" mom. Abused by a father, and made defenseless by my mom. Really ****ed over from all sides.
Did you have similar experiences as far as your parents?
Jesus, this is honestly like you've written about me
Yeah, I guess the personality types are only so many. Maybe 10 different types of people? Besides, we're all here, trading and writing/reading journals, so we might be even closer because of all these filters... maybe that's also why you're reading the journal, because you can relate to what i say. We also have that compulsive trading "itch" in common.
Think about your signature quote, "It's how you deal with failure that determines how you eventually achieve success". It talks about my post. How did I deal with failure? The wrong way. It scared me so much (because my father always made me feel really bad - terrorized me - about failing at anything), that I stopped trying to do anything which I wasn't sure of acing from the start. But how many things can you be good at before you even begin doing them? None. Only those you practiced without realzing. Or only those where you think you'll be good, for ungrounded reasons, such as trading, and in fact I was not good at all. I started it because first of all I wanted to make money, and second of all because I was certain I'd be good at it. I was wrong, but now I am pretty good at it, even though still unprofitable. I would say that, despite having lost money for 12 years, I am actually quite an expert at it. Maybe like a coach might be a good coach, without actually being able to play and win a game himself. You wouldn't say the coach knows nothing about the sport just because he's not playing it himself.
Anyway, many things to say about this subject of dealing with failure. Probably one fails because he doesn't practice, and he doesn't practice because he's afraid of failing. Very good example with girls. You don't try because you don't want to get rejected. But the less you try the less you're good at it. Then, when you finally go for it, you get rejected. That leads to try even less. If anything parents should therefore boost your confidence and try to make you immune to being hurt by failure. Instead no, hell no, i had a father who added extra pain to each failure I experienced, by reminding me of them, throughout my life. That's why I still resent him today. Each time I failed at something he listed to me all my mistakes and failure from birth. Why did he do that? I do not see any possible good reason. I see sadism, sickness, mental sickness. Even now I avoid him. He's nothing but negativity. If we talk about finance, he tells me the banks will soon go bankrupt. Earthquakes. The end of the world... that's my father. Yeah, sure, I'm grown up... I should be my own person... but these things stick with you. Don't make them stick with you? How do you do that? How do people do that? Maybe they rebel violently? I'd have to at least kill him, or yell at him, but I can't even do that. They've taken even that defense from me. That I owe to my "show the other cheek" mom. Abused by a father, and made defenseless by my mom. Really ****ed over from all sides.
Did you have similar experiences as far as your parents?
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Yamato
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good fxcm forex charts link
This is a good one:
http://www.dailyfx.com/charts/forexpowerchart/
Considering it's free and you don't need to login, and that it works from work (whereas a lot of other web sites are blocked), this is a very good web link (forex chart link).
I was considering opening a small 25 dollar micro account with fxcm. Does anyone have any opinion about this idea and about this account?
I was thinking this, besides the fact that I can lose 25 dollars and experiment with everything thanks to microlots: what I was thinking is this. If the EUR is oversold towards the dollar, and the CAD is overbought towards the dollar, then the EUR will be extremely oversold to the CAD. Then I can't go wrong by going LONG on the EUR. Then if I just get two weeks of chart and each time I look for a currency which is oversold to every other currency and another currency which is extremely overbought to every other currency, and I match them together, I will get a perfect trading opportunity. Besides, currencies are not like stocks and they're bound to bounce (especially EUR and big ones). So, all I stand to lose is 25 dollars, and this strategy seems perfect. I might really open an account with fxcm.
But then again I might not. This apparently innocent account could just be a subconscious excuse in my quest to blow out my accounts and forever fail at trading. I did manage to implement profitable automated trading, so I should stick to what I know to be profitable and if anything expand in that direction (creating more systems or improving what I have), rather than insisting at discretionary trading, at which I have been unprofitable for 12 years. Why am I not doing it? Because I have a natural tendency to fix things, to make work what's not working. Once having taken care of automated trading, I started worrying about discretionary trading, where I still sucked. Kind of like after you get hot water, you'll worry about the sink, and after the sink is fixed, you'll worry about the neighbour making noise - never focusing on what's working and never appreciating it. Maybe that's just another compulsive behaviour (to fix things that aren't working) that I inherited from my father. In other words, I forever fail at trading because I am forever trying to succeed precisely in the ways and with methods that are least profitable for me, forever challenging myself to solve all problems and master all situations. This problem can be explained in so many ways, and they all seem to make sense. The bottom line though is that I want to make money and not find out how my mind works, and I should go about it in the fastest possible way.
This is a good one:
http://www.dailyfx.com/charts/forexpowerchart/
Considering it's free and you don't need to login, and that it works from work (whereas a lot of other web sites are blocked), this is a very good web link (forex chart link).
I was considering opening a small 25 dollar micro account with fxcm. Does anyone have any opinion about this idea and about this account?
I was thinking this, besides the fact that I can lose 25 dollars and experiment with everything thanks to microlots: what I was thinking is this. If the EUR is oversold towards the dollar, and the CAD is overbought towards the dollar, then the EUR will be extremely oversold to the CAD. Then I can't go wrong by going LONG on the EUR. Then if I just get two weeks of chart and each time I look for a currency which is oversold to every other currency and another currency which is extremely overbought to every other currency, and I match them together, I will get a perfect trading opportunity. Besides, currencies are not like stocks and they're bound to bounce (especially EUR and big ones). So, all I stand to lose is 25 dollars, and this strategy seems perfect. I might really open an account with fxcm.
But then again I might not. This apparently innocent account could just be a subconscious excuse in my quest to blow out my accounts and forever fail at trading. I did manage to implement profitable automated trading, so I should stick to what I know to be profitable and if anything expand in that direction (creating more systems or improving what I have), rather than insisting at discretionary trading, at which I have been unprofitable for 12 years. Why am I not doing it? Because I have a natural tendency to fix things, to make work what's not working. Once having taken care of automated trading, I started worrying about discretionary trading, where I still sucked. Kind of like after you get hot water, you'll worry about the sink, and after the sink is fixed, you'll worry about the neighbour making noise - never focusing on what's working and never appreciating it. Maybe that's just another compulsive behaviour (to fix things that aren't working) that I inherited from my father. In other words, I forever fail at trading because I am forever trying to succeed precisely in the ways and with methods that are least profitable for me, forever challenging myself to solve all problems and master all situations. This problem can be explained in so many ways, and they all seem to make sense. The bottom line though is that I want to make money and not find out how my mind works, and I should go about it in the fastest possible way.
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Yamato
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self-control update
If I didn't get anything else out of this, which I did for sure, I certainly got a thing out of it: I stopped scratching my head. Check it out everyone. If you are aware of all the bad things you do against your own self-interest and you monitor them daily, you might not be able to keep them all under control, but you will definitely be able to avoid doing them more than you did before. Keeping your enemies into focus, basically. I also have a similar list with all the people to avoid, and it works. I won't always manage to avoid them at all times, but much better than if I didn't have a list. The list has a bunch of names and says for each name: avoid this guy because he does this and that, which bothers you.
Today first weekday (so far) above 90% of self-control. Haven't traded for days. Still have an ongoing short trade on the CAD, which will probably end in a few minutes with a margin call. If that happens, that was (hopefully) my last discretionary trade ever. The next margin (from the loan) will all be used for the automated systems.
If I didn't get anything else out of this, which I did for sure, I certainly got a thing out of it: I stopped scratching my head. Check it out everyone. If you are aware of all the bad things you do against your own self-interest and you monitor them daily, you might not be able to keep them all under control, but you will definitely be able to avoid doing them more than you did before. Keeping your enemies into focus, basically. I also have a similar list with all the people to avoid, and it works. I won't always manage to avoid them at all times, but much better than if I didn't have a list. The list has a bunch of names and says for each name: avoid this guy because he does this and that, which bothers you.
Today first weekday (so far) above 90% of self-control. Haven't traded for days. Still have an ongoing short trade on the CAD, which will probably end in a few minutes with a margin call. If that happens, that was (hopefully) my last discretionary trade ever. The next margin (from the loan) will all be used for the automated systems.
episteme
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Surely auto trades give far more scope to fix things and develop new ideas. Discretionary trading is boring, boring, boring. (or should be anyway)
One book that may be of interest is:
http://www.amazon.co.uk/Psychology-...1?ie=UTF8&s=books&qid=1268763126&sr=8-1-spell
One book that may be of interest is:
http://www.amazon.co.uk/Psychology-...1?ie=UTF8&s=books&qid=1268763126&sr=8-1-spell
Yamato
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Yeah, Steenbarger is the most interesting writer on trading psychology I ever came across (better than Elder in my opinion). I read some of his blog entries. However, if I do quit discretionary trading, all trading psychology becomes useless. Luckily so, because I cannot conquer the needed psychology to trade profitable as a discretionary trader. I just quit. I quit. I quit. I quit. It's ok to quit after trying in vain for 12 years. Especially if in the meanwhile I built a valid alternative.
Yes, discretionary trading is boring, if done the right way. For me instead it was like being on drugs. Not the drugs I know: alcohol and marijuana, which put me to sleep. I am talking about the drugs you see in movies, that make you excited. Each day as a discretionary trader was for me like this: feeling hyper, feeling guilty, extremely excited... restless. It sucked big time. I don't enjoy feeling like that. I thought i was doing it for trading's sake, to make money. But, seriously, I am not a gambler at heart. I was turned into a gambler by my efforts to become a profitable discretionary trader. I deviated from the right path immediately. I guess it happens to a lot of traders who are also not typical gamblers. I never played any games such as you find at the casino, nor poker... I don't like betting on anything, nor lotteries. Trading got me to become a compulsive gambler. I wasn't predisposed to it at all.
Related journal here:
http://www.trade2win.com/boards/tra...toss-experiment-vs-discretionary-trading.html
Yes, discretionary trading is boring, if done the right way. For me instead it was like being on drugs. Not the drugs I know: alcohol and marijuana, which put me to sleep. I am talking about the drugs you see in movies, that make you excited. Each day as a discretionary trader was for me like this: feeling hyper, feeling guilty, extremely excited... restless. It sucked big time. I don't enjoy feeling like that. I thought i was doing it for trading's sake, to make money. But, seriously, I am not a gambler at heart. I was turned into a gambler by my efforts to become a profitable discretionary trader. I deviated from the right path immediately. I guess it happens to a lot of traders who are also not typical gamblers. I never played any games such as you find at the casino, nor poker... I don't like betting on anything, nor lotteries. Trading got me to become a compulsive gambler. I wasn't predisposed to it at all.
Related journal here:
http://www.trade2win.com/boards/tra...toss-experiment-vs-discretionary-trading.html
episteme
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Trading pyschology may be useless in helping you trade - but it is a good mirror to look in to. If you understand why you took the actions you did - then you may be able to work on the problem and benefit in other ways.
It may make sure you stick to how you want to trade or even help other parts of your life. Trading isn't just about the money - it exposes your personality. How you deal with that is what matters.
It may make sure you stick to how you want to trade or even help other parts of your life. Trading isn't just about the money - it exposes your personality. How you deal with that is what matters.
Yamato
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Six different versions of Love of My Life
Absolutely... as you see I have developed a lot of self-control monitoring skills thanks to my problems in trading.
Yet, since the trading (read "compulsive gambling") urges are too strong to resist (stronger than eating, smoking, drinking, scratching, complaining, staying up put together), and each time they overwhelm me they wipe out one month's savings, (I don't just gain a few pounds, or lose some health, or hours of sleep) and the alternative is making money via automated trading, it really doesn't make any sense to want to try to be successful at discretionary trading at all costs. It would be like saying "i am afraid of crossing the street when there's oncoming trucks, and I have to beat this fear, and to do so I have to risk getting run over by a truck"...
I wish everyone (many did) told me, when i started this diary with 15k more than now, "just stick to what you do best". That's not the case. Some mother ****ers (in good faith) told me "you can do it". LOL. No offense intended. Those mother ****ers... I told them: guys, don't encourage me down this road, because I want to stay away from this dangerous activity, I want to stick to automated trading. But hell no: they told me "you can do it, I will help you, I want to make you profitable". They helped me a little, but not enough. I lost everything, and where are they? None of them is still on this journal.
This is ridiculous of course. I am not blaming them like I blame my father for everything wrong in my life, yet they certainly did not help me out, objectively. I knew that was the risk when I came here. To lose focus. But I got more out of it than I lost. The fact itself that I had been losing for 12 years before starting this journal is a guarantee that this journal didn't do much damage.
Instead, it made me aware once and for all of all my limits, and today I am not ashamed of saying: I can't do it. Go to hell, all of you who are encouraging me to try one more time. I just cannot do it. **** it all, **** all discretionary trading, since, as I said months ago:
1) ever since I've done discretionary trading, I've never had a profitable month.
2) ever since I've done automated trading, I've never had an unprofitable month.
I've lost with one what I've made with the other, and more of my savings, since I started discretionary trading in 1997, and automated trading only in 2008 (studied it since 2005).
Absolutely... as you see I have developed a lot of self-control monitoring skills thanks to my problems in trading.
Yet, since the trading (read "compulsive gambling") urges are too strong to resist (stronger than eating, smoking, drinking, scratching, complaining, staying up put together), and each time they overwhelm me they wipe out one month's savings, (I don't just gain a few pounds, or lose some health, or hours of sleep) and the alternative is making money via automated trading, it really doesn't make any sense to want to try to be successful at discretionary trading at all costs. It would be like saying "i am afraid of crossing the street when there's oncoming trucks, and I have to beat this fear, and to do so I have to risk getting run over by a truck"...
I wish everyone (many did) told me, when i started this diary with 15k more than now, "just stick to what you do best". That's not the case. Some mother ****ers (in good faith) told me "you can do it". LOL. No offense intended. Those mother ****ers... I told them: guys, don't encourage me down this road, because I want to stay away from this dangerous activity, I want to stick to automated trading. But hell no: they told me "you can do it, I will help you, I want to make you profitable". They helped me a little, but not enough. I lost everything, and where are they? None of them is still on this journal.
This is ridiculous of course. I am not blaming them like I blame my father for everything wrong in my life, yet they certainly did not help me out, objectively. I knew that was the risk when I came here. To lose focus. But I got more out of it than I lost. The fact itself that I had been losing for 12 years before starting this journal is a guarantee that this journal didn't do much damage.
Instead, it made me aware once and for all of all my limits, and today I am not ashamed of saying: I can't do it. Go to hell, all of you who are encouraging me to try one more time. I just cannot do it. **** it all, **** all discretionary trading, since, as I said months ago:
1) ever since I've done discretionary trading, I've never had a profitable month.
2) ever since I've done automated trading, I've never had an unprofitable month.
I've lost with one what I've made with the other, and more of my savings, since I started discretionary trading in 1997, and automated trading only in 2008 (studied it since 2005).
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Yamato
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I can't believe it. My father was away for work for a whole week. He just came home and said "Hi, travis" (he said my real name). Then 5 seconds later I started scratching my head. I didn't touch my scalp for a whole week, then he came home, and immediately I started scratching. That's him, the mother ****er who causes me stress and worries and scratching and compulsive urges to eat, drink, smoke, gamble... that mother ****er. It's him the cause of everything. No, not him. It's rude people all over the world, people who talk loudly, aggressive people, overbearing, arrogant... these people stress me out and cause me to give in to my compulsive urges. If only I could kill all these people. People slamming doors... *******s, I want to avoid these people, since I can't kill them.
Yamato
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This is funny, I am watching the first five minutes of it, "Strays", and it read "a vin diesel film" and then "introducing vin diesel", kind of funny.
http://stagevu.com/video/qzaprfxcldtp
http://stagevu.com/video/qzaprfxcldtp
Yamato
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got the loan
I've done it. I got the loan. I could have asked for up to 20k in euros, but only asked for 10k, just in case everything goes wrong. This is the third loan in about a year and a half. Each time I repaid the loans after a month, then encountered some problems with an automated trade, got pissed off, and proceeded to lose the rest of my capital. The previous loan got me to a capital above 30k in July 2009, and it lasted me until recently. I've slowly eroded with discretionary trading and also I must say that my systems weren't as good as now. Hopefully this is my last loan, thanks to a complete halt in discretionary trading and to better automated systems (more forward-testing data, subsequent changes, better money management, and hopefully no interference from me).
I am now officially retired as a discretionary trader and therefore should not post any more live trades in here. Just music videos and talk about automated systems and my self-control updates, which, without discretionary trading, from now on, should be above 90%. I hope this is the end of a 12-year long nightmare.
This time of course I won't scale up my investments. No matter how far up I'll get, I'll keep my contracts at a minimum until I've totally repaid the loan. Needless to say, if things go as they did before, I'll be able to repay the loan within one month, but I won't do it, because then any drawdown would screw me and I'd need to take out a loan again. Yes, as one could have guessed, should I come across the worst drawdown right at the start, I'd lose everything. That's how futures work: you can't scale down beyond a minimum of 1 contract. Otherwise I wouldn't have needed to take out the loan, and could have just invested on a fraction of a contract. That's the same reason why I won't scale up until I reach 50k, because one bad mother ****ing loss on the CL will cost me 2k, which, right after the loan, will be 15% of my capital.
Do I feel like a goddamn idiot, considering I am taking my third loan, and yet I was at 30k in the summer of 2008, and blew it. At 30k in December 2008 and blew it. At 30k in July 2009 and blew it again. And mostly thanks to discretionary trading. Yes, my systems would have caused me to lose everything I had made, without that recent change I made. This is one point I have forgotten to stress out sufficiently: I've lost because of discretionary trading, but my systems weren't good enough and would have lost everything anyway. On the other hand, I probably would have stopped using them until I fixed the problem. So ultimately I lost because of discretionary trading.
Without the "reverse signals if past week was negative" recently added rule, my equity line would be the pink one rather than the blue one:
That's what you get if you stick to LONG-only currency systems (EUR-GBP-JPY) when the Dollar reverses and starts rising. There was no way for me to back-test these systems correctly because my data sample was 10 years and in the past 10 years the dollar has been falling, so the systems worked.
See this chart for reference (the part where it goes down is the last ten years, my data sample):
http://futuresource.quote.com/charts/charts.jsp?s=DX&o=&a=M&z=800x550&d=MEDIUM&b=CANDLE&st=
I've already talked about it here:
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-18.html#post1050056
I've done it. I got the loan. I could have asked for up to 20k in euros, but only asked for 10k, just in case everything goes wrong. This is the third loan in about a year and a half. Each time I repaid the loans after a month, then encountered some problems with an automated trade, got pissed off, and proceeded to lose the rest of my capital. The previous loan got me to a capital above 30k in July 2009, and it lasted me until recently. I've slowly eroded with discretionary trading and also I must say that my systems weren't as good as now. Hopefully this is my last loan, thanks to a complete halt in discretionary trading and to better automated systems (more forward-testing data, subsequent changes, better money management, and hopefully no interference from me).
I am now officially retired as a discretionary trader and therefore should not post any more live trades in here. Just music videos and talk about automated systems and my self-control updates, which, without discretionary trading, from now on, should be above 90%. I hope this is the end of a 12-year long nightmare.
This time of course I won't scale up my investments. No matter how far up I'll get, I'll keep my contracts at a minimum until I've totally repaid the loan. Needless to say, if things go as they did before, I'll be able to repay the loan within one month, but I won't do it, because then any drawdown would screw me and I'd need to take out a loan again. Yes, as one could have guessed, should I come across the worst drawdown right at the start, I'd lose everything. That's how futures work: you can't scale down beyond a minimum of 1 contract. Otherwise I wouldn't have needed to take out the loan, and could have just invested on a fraction of a contract. That's the same reason why I won't scale up until I reach 50k, because one bad mother ****ing loss on the CL will cost me 2k, which, right after the loan, will be 15% of my capital.
Do I feel like a goddamn idiot, considering I am taking my third loan, and yet I was at 30k in the summer of 2008, and blew it. At 30k in December 2008 and blew it. At 30k in July 2009 and blew it again. And mostly thanks to discretionary trading. Yes, my systems would have caused me to lose everything I had made, without that recent change I made. This is one point I have forgotten to stress out sufficiently: I've lost because of discretionary trading, but my systems weren't good enough and would have lost everything anyway. On the other hand, I probably would have stopped using them until I fixed the problem. So ultimately I lost because of discretionary trading.
Without the "reverse signals if past week was negative" recently added rule, my equity line would be the pink one rather than the blue one:
That's what you get if you stick to LONG-only currency systems (EUR-GBP-JPY) when the Dollar reverses and starts rising. There was no way for me to back-test these systems correctly because my data sample was 10 years and in the past 10 years the dollar has been falling, so the systems worked.
See this chart for reference (the part where it goes down is the last ten years, my data sample):
http://futuresource.quote.com/charts/charts.jsp?s=DX&o=&a=M&z=800x550&d=MEDIUM&b=CANDLE&st=
I've already talked about it here:
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-18.html#post1050056
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Adamus
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Re: got the loan
:jester: Funny.
I prefer to isolate the two mechanisms into different systems rather than reverse signals like that. I'd just turn off trading.
Oh hold on, I see you would never turn back on unless your equity was down for the week again. Hmm, wouldn't work in seperate systems.
I am sceptical about using the account equity as an indicator. I would prefer to discover some sort of price action or indicator which was the real origin of the change in market behaviour behind the change in equity growth.
:jester: Funny.
I prefer to isolate the two mechanisms into different systems rather than reverse signals like that. I'd just turn off trading.
Oh hold on, I see you would never turn back on unless your equity was down for the week again. Hmm, wouldn't work in seperate systems.
I am sceptical about using the account equity as an indicator. I would prefer to discover some sort of price action or indicator which was the real origin of the change in market behaviour behind the change in equity growth.
Yamato
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I see your points. They are all valid ones. As I said, I strongly believe the cause is the Dollar and how it interacts with my LONG-only currencies systems. But the systems somehow sense ahead of time that the dollar is about to reverse, as they did three weeks ago (and the dollar only reversed a couple of days ago, at least as measured by the 40-day moving average).
In other words, if I base the reversing of signals on the Dollar Index (by how I measure it, with the 40-day moving average), then my systems make less money than if I base it on the fact that the previous week was negative. This has been the case for the past 8 months. I also would have preferred your approach... and now you're confirming that it was a good point, and you're making me wonder whether that approach may actually be the best one, and that the "reverse if past week negative" approach only worked better because it was lucky.
By the way, when I say Dollar Index, I really mean the EURO (which is what the Dollar Index is largely based on), because yes my systems are also on the JPY and GBP, but it just gets too complicated to reverse them all based on each own's index (that is, IF I used the Dollar/Euro reversal of signals approach, which at the moment I don't).
The rationale of all this is simple: my systems go long on the EUR and the others. So, if the EUR falls (as the dollar rises), it is quite reasonable to expect that they won't make as much money with their LONG-only strategies. Or rather: I find it reasonable now that I noticed it does happen, and I never thought about it, until when, a few months ago, my systems, unexpectedly, started losing everything they had made until then.
This will work until the EUR (the dollar and the others) moves in trends, because were it to start zigzagging aimlessly... then I'd probably be screwed, but this has never been the case in the past 10 years.
This is really tricky and unpredictable stuff. That is why I hope to repay my debt as soon as possible and at least not worry about that. Sure, I'd like to make money from arbitrage trades and be sure to produce money every day. But I've only got what I've got, and it's already a miracle.
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Tonight, as I'll get home, I'll come up with my 5 best systems, to be used with the new capital (coming from the loan). I want to select the best of the best, and precisely:
1) CL: one intraday and one overnight system
2) the best EUR intraday system I've got
3) the intraday GBL system to be traded with 2 contracts
4) one GBP system, for diversification's sake
5) 2 more intraday systems, the best ones
6) 2 more overnight systems, the best ones
For a total of about 10 systems.
In other words, if I base the reversing of signals on the Dollar Index (by how I measure it, with the 40-day moving average), then my systems make less money than if I base it on the fact that the previous week was negative. This has been the case for the past 8 months. I also would have preferred your approach... and now you're confirming that it was a good point, and you're making me wonder whether that approach may actually be the best one, and that the "reverse if past week negative" approach only worked better because it was lucky.
By the way, when I say Dollar Index, I really mean the EURO (which is what the Dollar Index is largely based on), because yes my systems are also on the JPY and GBP, but it just gets too complicated to reverse them all based on each own's index (that is, IF I used the Dollar/Euro reversal of signals approach, which at the moment I don't).
The rationale of all this is simple: my systems go long on the EUR and the others. So, if the EUR falls (as the dollar rises), it is quite reasonable to expect that they won't make as much money with their LONG-only strategies. Or rather: I find it reasonable now that I noticed it does happen, and I never thought about it, until when, a few months ago, my systems, unexpectedly, started losing everything they had made until then.
This will work until the EUR (the dollar and the others) moves in trends, because were it to start zigzagging aimlessly... then I'd probably be screwed, but this has never been the case in the past 10 years.
This is really tricky and unpredictable stuff. That is why I hope to repay my debt as soon as possible and at least not worry about that. Sure, I'd like to make money from arbitrage trades and be sure to produce money every day. But I've only got what I've got, and it's already a miracle.
-----
Tonight, as I'll get home, I'll come up with my 5 best systems, to be used with the new capital (coming from the loan). I want to select the best of the best, and precisely:
1) CL: one intraday and one overnight system
2) the best EUR intraday system I've got
3) the intraday GBL system to be traded with 2 contracts
4) one GBP system, for diversification's sake
5) 2 more intraday systems, the best ones
6) 2 more overnight systems, the best ones
For a total of about 10 systems.
Adamus
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Strange but your journal lacks the 'quick reply' formfield. I had to hit the reply button on your last entry to write this.
Anyway, I see where you're coming from. So in your terminology, each system is one algorithm with one instrument? Have you written them up yet as robo-traders / EAs (hate that term)?
Anyway, I see where you're coming from. So in your terminology, each system is one algorithm with one instrument? Have you written them up yet as robo-traders / EAs (hate that term)?
Yamato
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The reply button is different because I set it up (see my first post) so that the few people on my ignore list cannot post here, so no "quick reply" because not everyone can post.
Yes, I have a different algorithm per system, even though as I said before, some algorithms are similar and some are even identical (especially those on EUR and GBP).
Yes, they are all back-tested and entirely automated. All I have to do is turn my excel sheet on every day.
Yes, I have a different algorithm per system, even though as I said before, some algorithms are similar and some are even identical (especially those on EUR and GBP).
Yes, they are all back-tested and entirely automated. All I have to do is turn my excel sheet on every day.
Yamato
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Ok, let's start with this job, above-described. Here's all the systems, once again.
My objectives were to pick:
1) CL: one intraday and one overnight system
CL_ID and CL_ON_3 (no doubts here)
2) the best EUR intraday system I've got
EUR_ID_2, EUR_ID_3, EUR_ID_6 (they're all good)
3) the intraday GBL system to be traded with 2 contracts
GBL_ID
4) one GBP system, for diversification's sake
NO GBPs - they're not good enough (would just use up margin)
5) 2 more intraday systems, the best ones
Nope, there's none that are good enough.
6) 2 more overnight systems, the best ones
YM_ON and ZN_ON_2
Let's now see what we've come up with and if there's any margin being wasted:
Intraday
CL_ID, EUR_ID_2, EUR_ID_3, EUR_ID_6, GBL_ID
Overnight
CL_ON_3, YM_ON, ZN_ON_2
The overnight can use two more good systems, because otherwise those systems will trade twice a week.
I will add CL_ON_2 and JPY_ON. I'll also add one ZN_ID and one ZN_ID_2, because they have a low drawdown and do well.
Overall I'll then trade these futures:
Intraday
CL_ID, EUR_ID_2, EUR_ID_3, EUR_ID_6, GBL_ID, ZN_ID, ZN_ID_2
Overnight
CL_ON_2, CL_ON_3, JPY_ON, YM_ON, ZN_ON_2
These 12 systems (2 contracts for the GBL_ID) will bring me from 14k to 50k. Then I will look into changing things, after having repaid my debt. Until 50k I will use the same systems, without increasing contracts, because I might sooner or later encounter a big drawdown.
Here is how they look if I traded them for the past 8 months:
Maximum drawdown in these past 8 months of 5k, which is pretty much all I can handle if I am at 30k, but which would destroy me if it happened when I start at 14k, bringing me to 9k to a lot of sleepless nights.
Adamus, you got me thinking, and I tested again and I tried again (as in the past) the idea of trying to reverse signals based on the "cause" (the EUR going down) rather than the "consequence" (the past week being unprofitable), but it doesn't work at all. I can't seem to make it work properly no matter how many moving averages I try.
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Good luck Travis.
That's a nice equity curve by anybody's standards. If it trades a lot, the period is also pretty good.
When you select the models to include, try looking at a correlation matrix. It is not uncommon to find that adding an oddball system that is nothing special alone could add to the overall picture (if uncorrelated, or negatively correlated).
Yamato
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Thanks for the feedback and advice. I like what you say a lot. It makes me feel like I've really achieved something. And at a time when the money is not there to prove it yet / any more (because it did many times), encouragement and a pat on my back is what I need. Yesterday I felt like an idiot, going for my third loan in one year, after repaying the two previous loans, and each time thinking I wasn't going to have any money problems ever again in my life - the proof is that I had already started wasting thousands on restaurants, treating colleagues to everything, and so on.
As far as the "oddball system", unless I already have it/them (which I might), it will be almost impossible for me to include yet another system right now, because I am exhausted, since I've created 40 systems in 5 years, and pretty much most of them in the past 2 years, because I wasted 3 years on useless systems.
As far as your question about how often they trade: they made over 1300 trades in these 8 months, which is almost 10 trades per day, and an average of 32 trades per system. But some started trading only a few months later, so I'd say they make exactly (on average) 10 trades per day.
About their correlation and diversification I can say that there's about 6 groups of systems, which all trade according to different principles, which means that (you have to remember that I am trading 9 different futures), there's about 7 different systems based on the same principle on average. A given principle sometimes doesn't work on all futures, or doesn't work well enough to be worth using.
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Adamus
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Travis, I forgot to ask. What sort of forward testing did you do? Have you been running them in simulated trading?
With the automation, how did you do it in excel? Was it with the TWS API? Did you do it all yourself or are you using something from a code library?
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