my journal 2

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Re: more on prospective systems

travis said:
Resuming discussion from here:
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-148.html#post1263644

We can't add contracts to Opening Gap systems and that's understood.
We cannot add contracts to CL systems, because they have huge leverage and that's understood.
We cannot add contracts to 2 WITH IT TREND GBP systems because they are too similar among each other.
We cannot add contracts to GOLD because it has a big leverage.
We should not add contracts to YM and ES but trade both contracts in all cases: same system traded on two different futures is a good thing (regardless of which future trades it better, because there's a slight random difference).

The only contracts to be increased to 2 contracts are on 2 GBL, 1 ZN (one other system is not good enough), 1 GBP, 1 EUR systems. And 3 contracts for the best system I have, the ZN_ON_2. Let's see what happens to the equity curve. 20 systems will be traded and 6 of them will be allocated more than 1 contract.

Here's the final combination of contracts and systems:

system e.xls could trade: Total
GBL_ID_2 1 -435
YM_ID_2 1 -435
ES_ID_3 1 -41
ES_ON 1 9
CL_ID_3 1 755
ZN_ID 1 942
GBP_ID_3 1 2,003
YM_ON_2 1 2,221
ZN_ID_2 2 2,733
YM_ON 1 3,444
ES_ON_2 1 3,713
GC_ON 1 4,256
GBP_ID_2 1 4,665
EUR_ID_5 2 5,863
CL_ON_3 1 6,218
CL_ON_2 1 7,971
GBP_ID_5 2 9,995
ZN_ON_2 3 12,772
GBL_ON 2 13,566
GBL_ID 2 17,172
Grand Total 97,386


View attachment 92132

The maximum drawdown will be 3 months long and will go 13k deep.

If instead we do not allow more than 1 contract, here's what happens:

View attachment 92134


The drawdown is just 10k and it lasts 3 months, too. I would much prefer to add contracts the way I said.

Let's consider that some of these systems started trading more recently so the one year of forward-testing only means 6 months or one week in some cases (CL_ID_3). On the other hand, I can't expect all these systems to keep on performing as well in the future. Given this combination of systems and contracts, I could expect about 10k per month, given a needed capital of 30k, which could realistically guarantee that all signals are traded (it's impossible for all signals to happen at the same moment), even when that 13k drawdown should occur (which represents a 40% of the account, and that's hard to take).

Realistically I have systems that could make about 30% a month, which is awesome, but since I've blown out my accounts endlessly for the past 13 years I will have to rely on outside investors now - whose advantages, other than capital, I already mentioned. But the disadvantage is that I can't quit my job yet. The advantage maybe is that if it were all my money I would blow out my account again by second-guessing the systems. I've never been so disciplined as I have in the past 3 months, being monitored by outside investors. A disadvantage is having to let other people know about your strategies, which I would have preferred to keep secret. There are advantages and disadvantages in working as a team: certainly I am part of the best team I could ever have hoped for. People who don't get into arguments and people who appreciate my work and are polite. I'm being monitored and coached and this is also good.

I could also take out another loan or ask others and do it all on my own. But I don't have the courage to go it alone, because of all my past failures in managing any sums of money: large or small. I blew out small 3k accounts and I blew out 30k accounts. And it was all my money. With the investors, I've gotten upset, I've written polemic emails, but not once in the last 3 months have I not followed the systems. And the results were rewarding such behaviour and such partnership. The most we were down was 2k and now we're up again. In the meanwhile I've lost thousands on my own account. The investors protect me from myself.

On the other hand, of course, I would much prefer if my dad told me "here's 200k, do whatever you want". But he never said anything like that. If he did that, i think I would quit my job and I would trade my own capital using the money management and rigor i was taught by the investors once again. I still don't know if I've fully learned it though. I don't if - met with a 10k drawdown - I'd be able to not tamper with the systems.
Click to expand...

I agree with you about increasing your leverage on that system to improve your equity curve. I dont know if you've tried this before but in periods of drawdown, say you start losing 10% for example or a percentage then you could reduce all your position sizes by 50% and if you lose another 5% reduce it to 0, and once your system makes 10% back at your original leverage then you up your stake back up to its original level.

One of my very rich friends, which trades multiple currency pairs works this way. If for example GBPUSD loses 2% of his fund he will reduce the position size by half in GBPUSD and if it loses a further 1% then it will be 0 position size, until it starts performing again GBPUSD will still have a position size of 0. GBPUSD could potentially go into drawdown losing 10-15%, but he will only lose 3% of it. It's not entirely perfect, but it will smooth out your equity curve.
 
Yeah, I've thought of many things similar to what you suggest. Even plotting a moving average of the equity line and only trading the systems when their equity line is above its own moving average. But the problem I see is that we don't really know if the drawdown happens in a large size, as in a group, or if it's unpredictable and therefore such an approach would cause us to miss wins, or would just randomly reduce our trading without reducing our losses in any way (except a random way if we get lucky).

Besides, it's easy for someone without an excellent math background, like me, to get lost in these complex risk/money management strategies. So, when I am trading on my own, I'd rather keep the approach simple, which means almost as simple as trading 1 contract per system. Even allocating more than 1 contract starts having many unpredictable implications for me. Or rather, if I were trading on my own, I would do it like that. I would also maybe blow out my account with discretionary trading. But I am not on my own and these people are using Sharpe Ratio which is something that I am allergic to, because it's way too complex for me. I am not good with formulas. Anyway, I am only ok with their use of Sharpe Ratios because first of all it's their money and because it usually agrees with my own rough estimates, with my crappy self-made formulas. Yeah, because I build my own crappy formulas so I don't have to use Sharpe Ratio. My formula is a mix of Profit Factor and Return On Account, including not just the biggest forward-tested loss but also the largest back-tested (not just forward-tested) drawdown. So it's a formula that mixes Profit Factor with a customized version of Return On Account.

I see, your friend uses that method. I guess the fact that he's very rich should add to the value of his method, as long as he got rich/richer with trading.

But it's still too complex for me. The questions in my mind are: who says that if we lose x% we will keep on losing? What if we always lose x% right before a big win, and by reducing our trading, we're missing out on every single win following that x% loss? I cannot refute his theory, but it doesn't convince me. I am not saying it's wrong, but if it doesn't fully convince me I can't use it. Cfr. above reasoning about moving average, which is a very similar concept.
 
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Some Kind of Wonderful

Some_Kind_of_Wonderful

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

Hey, unexpectedly, this is good stuff. Light superficial comedy, but good stuff and philosophical in its own way. I mean: it's only good if you expect nothing of it. If you expect anything good, you're not going to like it.

It's amazing how this movie is the exact opposite of this other one, with Eric Stoltz in the role of Molly Ringwald:
http://en.wikipedia.org/wiki/Pretty_in_Pink

It's not a coincidence either, because for both movies the director and the writer are:
http://en.wikipedia.org/wiki/Howard_Deutch
http://en.wikipedia.org/wiki/John_Hughes_(filmmaker)

Of course neither of these movies makes my top 50 list, but I could recommend them as relaxing movies. Not masterpieces.
 
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travis said:
Yeah, I've thought of many things similar to what you suggest. Even plotting a moving average of the equity line and only trading the systems when their equity line is above its own moving average. But the problem I see is that we don't really know if the drawdown happens in a large size, as in a group, or if it's unpredictable and therefore such an approach would cause us to miss wins, or would just randomly reduce our trading without reducing our losses in any way (except a random way if we get lucky).

Besides, it's easy for someone without an excellent math background, like me, to get lost in these complex risk/money management strategies. So, when I am trading on my own, I'd rather keep the approach simple, which means almost as simple as trading 1 contract per system. Even allocating more than 1 contract starts having many unpredictable implications for me. Or rather, if I were trading on my own, I would do it like that. I would also maybe blow out my account with discretionary trading. But I am not on my own and these people are using Sharpe Ratio which is something that I am allergic to, because it's way too complex for me. I am not good with formulas. Anyway, I am only ok with their use of Sharpe Ratios because first of all it's their money and because it usually agrees with my own rough estimates, with my crappy self-made formulas. Yeah, because I build my own crappy formulas so I don't have to use Sharpe Ratio. My formula is a mix of Profit Factor and Return On Account, including not just the biggest forward-tested loss but also the largest back-tested (not just forward-tested) drawdown. So it's a formula that mixes Profit Factor with a customized version of Return On Account.

I see, your friend uses that method. I guess the fact that he's very rich should add to the value of his method, as long as he got rich/richer with trading.

But it's still too complex for me. The questions in my mind are: who says that if we lose x% we will keep on losing? What if we always lose x% right before a big win, and by reducing our trading, we're missing out on every single win following that x% loss? I cannot refute his theory, but it doesn't convince me. I am not saying it's wrong, but if it doesn't fully convince me I can't use it. Cfr. above reasoning about moving average, which is a very similar concept.
Click to expand...

I know what you mean, because if you keep having drawdowns of 15% and then you are profitable, then you could lose out on the way back up. I think the idea is that hopefully it will kill off 20+% drawdowns. I've noticed with one of my systems is that once it goes for it, it really goes for it. Just an idea, i'm not convinced but it might improve drawdown periods.
 
Yeah, I see. As I said, i'd rather not do anything about the drawdown. Personally I actually lose control even if I have just one unprofitable trade, but if I am trading other people's money I find it more reasonable - as we're doing right now - to trade during a drawdown as I trade in other periods. Otherwise by the same rationale it would also make sense to turn off individual and specific systems after they incur a couple of losses, rather than decrease contracts on the systems as a whole. I don't know enough to mess with that concept, and I'd rather do nothing instead.
 
spread

http://www.thatfilmsite.org/watch-11345-Spread

Excellent movie. If you watch it, don't read the summary/plot or anything else, or it will spoil it - just like for all other movies. But the advantage of this movie is that the title itself does not spoil it, whereas in most cases titles partly ruin the movie. Let alone when people tell you stuff about it or you see a goddamn trailer.

Already 31 minutes into it, and I still have to say it's made very very well.

Already over 1 hour into it and it keeps on holding the quality level. This is quite good. It's going to make my top 50 list.

No matter how it will end, this is the best movie I watched this week.
 
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new strategy with Vito the Hyperactive Chimp

I've decided to stop being negative, sarcastic and to stop focusing on all the things he does that annoy me. He is an animal and does not do it on purpose against me. Unless I talk to him directly, my negativity and stressing out will not bring me anything good.

I'll relax.

I'll stop joking with him. I will polite, answer his questions, help him if he needs me, but I will stop sarcasm and jokes because that brings him closer to me and makes him disrespect me even more. I'll treat him with respect - even though he doesn't deserve it - to get a little more respect than he usually gives to everyone.

I am going to pretend he is normal and I am going to pretend I am normal. No more negativity, criticism towards him.

I'll pretend it is normal that someone talks all the time, turns all the time to people, and treats everyone like classmates at junior highschool.

The hyperactive dick is normal. I am normal. I can get along with him and relax. Let's have a positive attitude. He is just a sick hyperactive ******* after all.
 
Damn, he keeps on turning and looking at me, but at least he agreed to close the door, after he got to say hi to everyone walking by the hallway.

Also, we're keeping the window shut. Great victory for me.

They asked me how I was today, and I said "pretty good, thanks. I slept at least seven and a half hours".

I guess I'm being treated nicely because they can't believe I am in a good mood. After all my sarcasm and negativity works at least when I refrain from it. When you're in a bad mood for two months and then you act nice, people appreciate it twice as much.

Of course I didn't manipulate them or anything, because if I was pissed it was because this hyperactive chimp kept on interrupting my work.
 
Ok: during the message above he looked at me like 3 times. As you look at the sky, finding inspiration to write a poem or something.

Damn ****. Now he left the room with a new colleague and they went to talk somewhere else, but he didn't shut the door when he left. Moron.

Hey, I am being negative here but not with him yet.

These morons keep their tables full of paper, it's a mess. It takes them half an hour to find something. It takes them one hour to do what I do in 5 minutes - if they can do it at all. Yet they rise up the hierarchy and in their salary faster than me. Why? Because they spend their energies kissing up rather than working.

This is the place I work at: here kissing up is rewarded much more than working quietly. I am so focused on my work that when the boss comes in, I ignore him.

And if I write on a forum, I let him know. I don't have anything to hide and anything to show off. My work speaks for me.
 
This guy has got behavioural disorders. He keeps on turning not just to me but even to his boss, my colleague, who's in the room with us. Even if she just types one character, it's a good enough reason for him to turn and look at her. What the ****... he doesn't have the right to turn and stare at people just because they're typing or talking on the phone. It's totally rude - and hyperactive, which is what he is. This guy should have taken several extra beatings from his mom when he was a child. I don't see how you can grow up to be such an animal.

Now he got up and went for a walk, because the chimp can't just sit and work like I do. He has to get up and go for a walk every half an hour. Goddamn animal, goddamn managers placing him in my room.

It's not like he went to the bathroom. Where the hell did he go? He went to talk to one of the many friends he made by saying hi to everyone he meets, even if he doesn't know them.

Animal, animal, animal!

But I am staying nice and pretending everything is normal and that his continuous staring is not bothering me.
 
Two more hours to go and then I get to go home and relax.

I wouldn't mind being in a room with a bunch of well-mannered people who focused on their work. But the problem is that I am having to stay in a room with this guy who's screwing around all day long and distracting me.

With the previous colleague often I forgot she was in the room at all. With this restless and nervous compulsive ****-up I am reminded every minute he is here with me.

I don't like being looked at, especially while I am working and especially if there is no valid reason. Is that ok, you chimp?!
 
Do any of your other colleagues get annoyed with him looking at them? How do you know he's looking at you?
 
He turns to my direction. Maybe he's looking at the wall behind my head, but I would exclude that. Also, he often turns to me when I answer the phone or when I start typing, so he seems to be reacting to something I do, so I think he's looking at me.

No, my colleague does not complain about him. But she's more tolerant than me, and he treats her with more respect and keeps more distance than with me (due to age and ranking most likely).

Today overall it went ok. I am starting to get used to this guy. Initially he decreased my concentration and my performance by 50%. Now it's more like 20%. If I could make him disappear I would do it immediately, but it seems that I can only get used to him.

It helps me to write a few hate posts every day. That way I can be more peaceful when I interact with him, since I write all the bad stuff on the journal.

 
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So if you see him looking at you then you must be looking at him too ;) So stop looking at him Travis!!!! Lol. Only messing, but maybe there is an idea for you - could you move your desk around a bit or maybe angle your body a bit so you can't see him in the corner of your eye. Maybe stick a big cardboard cut out or some other divider in the way? Is there a clock or something behind you? Maybe he's looking at that? Check what is behind you and if there is something he could be looking at - move it. Failing that you could always just say "Stop f**king looking at me before I knock you out!". I can see how it could be annoying. I have a colleague that always says "Happy Christmas". All year. About 50 times a night. Now that's annoying :mad:
 
Mmh, you go from peaceful advice to getting into an argument advice. And I can't do either. I can't move the table nor my position when sitting.

There's nothing behind me and he's definitely looking at me and I know not because I necessarily look at him. When you stare at the screen you're still able to see what goes on around you. That also happen when you drive, you couldn't be driving. We all have a pretty wide vision. We don't just see things like peeking through a hole in the door.

I may take the law into my own hands and go on a shooting rampage one day. That's why I am trying to make money with trading so I will avoid any bloodshed by quitting my job.

In fact it should be illegal to look at people and maybe it is in some countries.



 
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Don't do the shooting rampage thing. Bad idea. I suggest at least telling him first that it bothers you. At the most, knock him out. But don't shoot him. Maybe he's a homo and your just sooo sexy ;)
 
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