my journal 2

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Hello to all,,,,I agree this comment,,,,,Capital is still as low as before, at about 3500, but thanks to a little secret blog I started with a few selected non trolling and motivated individuals, I am now focusing more than ever on what I should be doing: as Douglas says, thinking in terms of risk/reward and probabilities. Not in terms of pride, and "I've got to be right on this trade". But in terms of: this is more likely to be right than wrong, so I'll make this trade, but if I'll be wrong I will not be wiped out. Enough for today..........:devilish::devilish:

Yes, you've been reading my journal of about a year ago. I remember writing this post but I could not find it any more, neither on "my journal" nor on "my journal 2". Thanks for the feedback.
 
one more system from the grid

Let's study another one.

Got it, after long scrutiny of the (apparently) good 30 futures systems that they have.

This seems to be a good one, VT26:
http://www.collective2.com/cgi-perl/c2systems.mpl?systemid=31431635

A long track record. Not so good performance, but it trades very frequently.

It has good reviews and great analyst notes.

Here's my excellent work:
View attachment VT26.zip

There's plenty of data to delve into.

Some quick comments, while going from one pivot table to the other:

Action Count of Action Sum of Trade P/L
BUY 1709 33,854
SELL 1438 105,017

Same amount of long and short trades, but much more profit from short trades. No wonder: the markets have been going down more than up in the last two years. Statistically it gave an edge to short trades.

Check it out:

Descrip Count of Open Time ET Sum of Trade P/L
BRITISH POUND 173 -3,073
CRUDE OIL 261 31,904
EUROFX 327 19,335
Gold 100 oz 175 5,314
JAPANESE YEN 192 -4,936
MINY CRUDE OIL 1 -88
DAX INDEX 444 21,111
Mini Midcap 400 364 858
Emini Russell 247 -6,872
EUREX BUND 398 26,351
US T-NOTE 10 YR 230 4,637
Gold 100 oz NYSE Liffe 210 44,910
MINI RUSSELL 2000 124 -570
Mini Gold NYSE Liffe 1 -10
Grand Total 3147 138,871

Just losses by the JPY. The rest is all quite balanced in terms of trades and profit.


days duration Count of Open Time ET Sum of Trade P/L
0 3146 137,708
1 1 1,163

Just one trade that lasted almost one day.

All trades last a few hours, but there's some trades that last longer (7, 8, 9 hours) and they're particularly focused on specific futures:

Descrip Total
BRITISH POUND 4
EUROFX 18
Gold 100 oz NYSE Liffe 10
JAPANESE YEN 3
Grand Total 35

Forex futures, essentially.

Entries by weekday:
entry weekday Total
1 590
2 750
3 630
4 596
5 581


Entries by entry hour:

entry hour Count of Open Time ET
2 1
3 36
4 146
5 140
6 88
7 125
8 290
9 485
10 772
11 490
12 237
13 139
14 73
15 63
16 62

Peaks at one hour after European and US opening times.
 
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Trend and Sideways

I am on a roll:
Trend and Sideways
http://www.collective2.com/cgi-perl/c2systems.mpl?systemid=47477620

View attachment Trend and Sideways.zip

This is different. It doesn't lose in the first hour of trading like most others, meaning that they are not using stoplosses immediately. Maybe it doesn't have such stoplosses.

This trading method is designed to survive both trending and sideways periods. It trades the e-mini contracts ES (emini S&P) NQ (emini Nasdaq 100) TF (emini Russell 2000) and YM (emini Dow).

and:

This method does only 1 or 2 trades per day thus limiting risk. Most trades are entered in the morning and they may last a few minutes up to the end of the trading day. No OVERNIGHT positions are held to avoid overnight risk. There will be counter-trend trades or trend following trades. Every trade has a stop loss and profit target in place. Some days there might be no trades at all. Risk management is key to the overall profitability of the system. This method is best traded on Auto-Trade so you don't miss a signal or trades that are entered with a market order with the attached exit stop/limit orders.

I execute all the trades in my own account.

Update 10/27/2010: I will also trade the YM (emini Dow) instead of the ES occasionally. The max number of trades per day will be 4 even though on the majority of days it will still be 1 or 2.

"I will also trade the YM (emini Dow) instead of the ES occasionally" sounds like it is a discretionary system.

Look, the losses are evenly distributed:

HTML:
hours duration	Count of Open Time ET	Sum of Trade P/L
0	135	3,701
1	25	3,051
2	16	-594
3	14	-1,760
4	8	105
5	14	1,359
6	10	-249
7	1	1,163

Unlike other systems the losses are not all in the first hour.

Look short trades are unprofitable:

HTML:
Action	Count of Action	Sum of Trade P/L
BUY	114	10,771
SELL	109	-3,995
 
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situations with the systems

My life is dedicated to the systems right now. I am a dedicated person, with a dedicated server, with dedicated systems running on it.

http://dictionary.reference.com/browse/dedicated
1. wholly committed to something, as to an ideal, political cause, or personal goal: a dedicated artist.

That's right, I am wholly committed to my goal of making money.

So, all I can do today, as always, is talk about their state of health.

Here's their situations, and yes they're not one system but the sum of a bunch of different systems, so it does make sense to list them separately, and I will make more points about this issue.

HTML:
GC_ON	2,629.18
GBL_ID	2,068.55
CL_ON_2	1,947.54
YM_ON	868.00
ZN_ON_2	73.87
EUR_ID_5	-126.06
GBP_ID_3	-233.51
CL_ID_3	-612.34
YM_ID_2	-808.00
ES_ID_3	-983.00
ZN_ID	-1,103.69
GBP_ID_5	-1,337.10
ZN_ID_2	-2,247.15

Next Monday we'll have been trading them for 6 months. And their overall profit is zero right now.

Pretty bad.

But things are better than they look from the overall profit.

You see: I was too optimistic in choosing them. Yeah, because I am hopeful and despite being a negative person regarding the present I am actually a dreamer regarding the future.

So I got screwed because, just like in discretionary trading, I was not realistic, and I picked the systems based on confidence/hope.

Mistakes:
1) I picked YM_ID_2 and ES_ID_3 because their back-tests were great, even though they show zero profit in forward-testing. The problem was that back-tests did not include an out-of-sample: the only out-of-sample was forward-testing and it showed no profit. It later turned out that these systems have done nothing but lose in their out-of-sample. So basically these guys cost us 2000 dollars. Without them, we would have hit 5000 of profit (at the peak of 3200, which would have been 5200). At a profit of 5000 we would have scaled up and included more and better systems, which we did not include because we didn't reach 5000 yet.

2) I picked ZN_ID which showed little profit (about 1000) in forward-testing and once again had not used an out-of-sample back-testing methodology (I have started using it only 6 months ago). So, once again, we have a situation where the forward-testing showed no profit, and yet, hopeful as I was, I implemented it. Also I used it because it made the past combined equity curve look really good and decreased its drawdown - or kept it the same while increasing profit. The problem is that in real trading it cost us 1100 dollars of losses.

The rest were not mistakes, but are just in a regular drawdown period. They did not fail yet at least by not exceeding their maximum historical drawdown.

Now you see how a bunch of systems that look non-profitable or break-even are actually the combination of some good systems and other bad systems.

Now we disabled those 3 systems, but they cost us 3000 dollars, and without that loss, we would have scaled up and now we would be trading more systems.

I finally remember and agree with the quote in someone's signature... it was wprins or maybe it was someone else, that said:
You need to trade solid methods that you absolutely will take a bullet for. Or you will regret it.
The author seems to be Joel Rensink, in his pdf file entitled "THE HOLY GRAIL!- Learning to Handle Variance in Returns":
http://infiniteyieldforex.blogspot.com/2008_05_01_archive.html
http://www.4shared.com/file/4845229...-_Learning_to_Handle_Variance_in_Returns.html
http://www.forexfactory.com/showpost.php?p=2828818&postcount=40
(on this last link there's pdf files by Rensink with valuable strategies).

Now I know what it really means. It means if a system has not done extremely well in the out-of-sample and in the forward-testing period, you must not include it in your trading.

I must add something important. Earlier I said that a system must not have exceeded its maximum historical drawdown:
...The rest were not mistakes, but are just in a regular drawdown period. They did not fail yet at least by not exceeding their maximum historical drawdown.
This is not entirely true and wise to say. We all agree that the systems perform in the future worse than they do in the past (partly because we choose the best ones, so, among the other reasons, this is also a consequence of that choice). So what follows is that their past drawdown will be exceeded even if they are good.

And in fact, half of our systems, traded right now, have exceeded their maximum historical drawdown, but we're trading them because in the forward tested period they have produced a lot of profit. They can both be profitable and have exceeded their historical drawdown.

What I must not accept and let happen, especially given the dozens of systems I have, is to allow trading by systems that have both exceeded their historical drawdown and have not produced a lot of profit in the out-of-sample and forward-tested period.

And this is precisely what i did with ES_ID_3, YM_ID_2 and ZN_ID, which showed very little profit in the forward-tested period, had no out-of-sample testing and now have even exceeded their historical drawdown. Essentially my mistake is that I should not have picked the top 50% of my systems, but the top 25%, because systems don't follow my wishful thinking and do worse in the future. I should have been much more selective. Of all the systems I am forward-testing right now (I have built more but I have even stopped forward-testing them by how bad they were), only one third is really worth trading. I used to hope that all of them worked, and be positive that at least 50% of them were excellent. Now I am facing the facts.

All this time (six months) was useful in turning me from a dreamer to someone facing the facts. Not that I haven't worked hard for years, because I have. But if your hopes are always one step ahead of your actual work and performance, you will still lose money. The difference between profitable and unprofitable is not really in how good you are at predicting the markets, but in how good you are at appraising your prediction capabilities, which is called risk/money management. If you are only 60% good and you invest your money expecting to be 70% good, then you will lose money. Whereas the guy who is only 55% good and doesn't overestimate himself, because of wishful thinking, will make money.

I used to expect myself to make 100% a month. I did in some months, and in others I blew out my account.

Then I moved to trading systems, and transferred the same problem of wishful thinking to this field, in the selection of my systems.

Now I have learned at least which systems are good and which aren't and probably I have learned how to select them, too (only systems I'd take a bullet for).

Now the problem is how the investors are seeing this learning process, because I also have to remember that, from their point of view, they've wasted 6 months.

Well, for me it wasn't wasted time for sure. I have learned a lot of stuff, also thanks to their many lessons: using the out-of-sample is the most valuable one. They got me to do it. I had heard about it for years, but never resolved to use it.

Another lesson that they got me to understand is that the future is worse than the past. A fact to face. No more wishful thinking.

Another lesson is what it means to trade the systems without interfering and that I can be a disciplined automated trader, too. I have done no gambling on their account, ever. I have done no gambling on my account either for a while and now I am running systems on my account, thanks to a little trick of allowing the investors to have a share of my account - so that I feel i can't tamper at will.

Six months and no profit is a long long time, and so far they've waited. I would have been ok if they had quit after 3 months of this, but they are still trusting my systems.

Hopefully it's because they understand what I said above: that since it's not one system but many different ones, the whole unprofitability is just a consequence of having selected the wrong systems.

You see, this is the situation with the 3 mother ****ers:

Snap1.jpg


And here's the situation if I had never selected them:

Snap3.jpg

Let alone the fact that we would have started trading many more systems (due to scaling up), and so we would be even higher.

Having said this, if they're still patient as they have been until here, profit will come sooner or later, because we got rid of the bad systems, and now we are only trading the good ones (regardless of whether they've lost or made money so far, because some are in a drawdown period from the start).

---------

Damn. I am dreaming of the past...

I remember in July 2008 I had about 24k due to my gambling with the systems: i was trading all the contracts I could, with any signal that came through. It was reckless but I didn't know it back then. There was no forward-testing back then, no out-of-sample, no keeping track of the trades. And yet I doubled my money for three months in a row, bringing 3500 to 24000.

Then, due to discretionary mistakes mostly, I blew out my account.

I wish I could go back to that 24k of July 2008 with what I know now.

Similary in December 2008 I brought 8000 from a bank loan to 26000 in one month, mixing discretionary trading with trades from the systems.

Then I blew it out.

Similarly in the summer of 2009, I had brought my 10k to 31k.

Then I blew it out, each time after repaying my debt though.

Then the game didn't work any more, because I had run out of luck.

I took out a third loan from the bank about a year ago, just 10k, but this time things didn't go as well and I could not pay it back in one month as I had before. Yeah, because instead of tripling my account, I immediately lost it all, live on this journal (I think it was documented half on "my journal" and half on "my journal 2").

Now I am doing everything properly and yet am seeing no profit. Hey, but at least I am not blowing out accounts any more.

Damn. I wish I could go back to one of those months, with my 30k, all my money. And invest them with what I know now. I could quit my job tomorrow I think.

Yeah, here's my account equity line, from IB, march 2008 to april 2009:

march_2008_to_april_2009.jpg

And april 2009 to june 2010:

april_2009_to_june_2010.jpg


Oh, yeah. Those were the days, the days of wishful thinking and making things happen and disappear at will. Or rather, making things happen at will, and disappear against my will.


Yeah, that's right. I thought making money was easy, and I thought those days would never end.
 
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Re: situations with the systems

If you want to post tables from Excel the best way I found to do it is to save the spreadsheet as space-delimited text, .prn, and then cut and paste it into the forum message using the fixed-width font Courier New.

It still doesn't work all the time because columns get out of line so easily. But it's the only way I know. I never figured out how to get the forum messages to accept HTML <table> syntax.

PS great links!
 
Yes, thanks. But I found this to be the best method in terms of speed and quality:

HTML:
title 1	title 2	title 3
item 1	item 1	item 1
item 2	item 2	item 2
item 3	item 3	item 3
item 4	item 4	item 4

All you do is paste the goddamn table from excel, after having used, in advanced mode, the "
HTML:
" tag.

Which links did you find useful?
 
Yes, thanks. But I found this to be the best method in terms of speed and quality:

HTML:
title 1    title 2    title 3
item 1    item 1    item 1
item 2    item 2    item 2
item 3    item 3    item 3
item 4    item 4    item 4
All you do is paste the goddamn table from excel, after having used, in advanced mode, the "
HTML:
" tag.

Which links did you find useful?[/QUOTE]

I swear I tried to paste direct from Excel at one point but it went snafu. Maybe you have to have column widths in Excel already wider than the text in them. I'll try it next time. 

The link to Joel Rensink's pdfs. First Strike sound just like the kind of system you would write. But I guess it suffers too much drawdown for you?
 
Yes, good point - it is just like my systems. The two problems it has is not the drawdown but its limit orders (too hard to automate for me, believe it or not) and the fact that I can't keep track of what happens to the trade. I can only do market orders, that's how simple i need my strategies to be. Time entry and time exit with market order. Conditional orders, from an automated point of view, are beyond my reach. I could easily back-test it but no point doing that if i cannot automate it.

Regarding excel, here's what i do: I copy this on excel, and I paste it within the html tags.

Snap1.jpg

Here's what i get:

HTML:
1	1	1
2	2	2
3	3	3
 
TerrorStorm (Alex Jones)

This is good, top quality information and research:
http://www.moviewatch.in/watch-4761-TerrorStorm-A-History-of-Government-Sponsored-Terrorism
http://video.google.com/googleplayer.swf?docid=-5948263607579389947

It's almost too depressing/frustrating to watch by how true and bad it is. It's almost boring and depressing at once, but all true. At this point... not even shocking. I strongly recommend it.

More links on the subject:
http://en.wikipedia.org/wiki/Alex_Jones_(radio_host)
http://en.wikipedia.org/wiki/Michael_Meacher
http://en.wikipedia.org/wiki/David_Shayler
http://en.wikipedia.org/wiki/Annie_Machon
http://en.wikipedia.org/wiki/Brian_Haw
http://en.wikipedia.org/wiki/7_July_2005_London_bombings
http://en.wikipedia.org/wiki/Ray_mcgovern
http://en.wikipedia.org/wiki/Steven_E._Jones#WTC_destruction_controversy
http://en.wikipedia.org/wiki/Edward_Bernays

Government-sponsored terror as a pretext for political control (throughout history, including 9/11 of course).

The world leaders are all accomplices in screwing and manipulating the common people in order to control them better.

It's the same that happens in a bank. If you're willing to accept compromises you rise, if not, then you're stuck as a soldier, like me.

Except that if I speak out, I just stay low at the bank and get a smaller salary. If a politician at the top speaks out about what's going on, he gets killed.
 
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Yes, good point - it is just like my systems. The two problems it has is not the drawdown but its limit orders (too hard to automate for me, believe it or not) and the fact that I can't keep track of what happens to the trade. I can only do market orders, that's how simple i need my strategies to be. Time entry and time exit with market order. Conditional orders, from an automated point of view, are beyond my reach. I could easily back-test it but no point doing that if i cannot automate it.

Regarding excel, here's what i do: I copy this on excel, and I paste it within the html tags.

View attachment 97686

Here's what i get:

HTML:
1    1    1
2    2    2
3    3    3

You know I'm not even sure what the HTML tags are for. Are they purely for displaying HTML code to stop it confusing the browser?

Regarding the limit orders, is there too much slippage if you simply enter at the market once the price reaches your theoretical limit?
 
I don't understand what you are saying about orders: please state it more explicitly.

Regarding html tags, you are right. It's not clear what they are there for. However, they work well for tables. They keep the distances between cells, so I'll use them for that.

HTML:
1		1
	1	
1		1
	1	
1		1
	1	
1		1
 
Françoise Hardy - Comment Te Dire Adieu


Françoise Hardy
"Comment te dire adieu?"
Length: 2'26"
Original title: "It Hurts to Say Goodbye"
Lyrics by: Arnold Goland
Music written by: Jack Gold
First performed by: Margaret Whiting, 1966
French adaptation and arrangement by: Serge Gainsbourg

http://en.wikipedia.org/wiki/Comment_te_dire_adieu%3F_(song)



This is like trading systems. You can take an unknown and unprofitable system, created by someone else, change it a bit, speed it up, change the timeframe, and turn it into a profitable one.

Maybe I should really, as i was doing a few days ago, get in touch with "newbies" and ask them for unprofitable strategies. A new unprofitable idea by them may be better than an old profitable idea by me. I've already used up all my ideas. I should really look into the collective2 grid, and not among the profitable systems, not just that, which I have done. I should also delve into the very unprofitable ones.

Why try so hard to create? Let's instead copy and transform and improve.
 
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Re: situations with the systems

...

Essentially my mistake is that I should not have picked the top 50% of my systems, but the top 25%, because systems don't follow my wishful thinking and do worse in the future. I should have been much more selective. Of all the systems I am forward-testing right now (I have built more but I have even stopped forward-testing them by how bad they were), only one third is really worth trading

....

Now I have learned at least which systems are good and which aren't and probably I have learned how to select them, too (only systems I'd take a bullet for).

I think you need to perhaps be careful in how you define systems. If you expect each one individually to be perfect you will have very few, and be able to invest limited capital.

I think the "portfolio of systems" is the most important thing to take a bullet for, not the individual system. 6 months of trading and flat is not all that bad... sure not great, but not blown out either.

My point is that the future differs from the past and systems that perform well in the future may not be the ones that did well last year, so do you throw them away despite 10 years of previously good backtesting? There is overfitting risk in the selection / combination process too (unless the selected systems perform well every year in-sample and out-of-sample).

For me, having a bulletproof backtesting/forward testing process together with a solid system combination process is the most important bit.
 
Thanks for the feedback.

I can't address every implication of what you wrote (there's many implications). I will address it quickly, with what comes to my mind.

You're basically saying that if a system has not exceeded the back-tested drawdown, it has to be trusted, despite a recent unprofitable past ("do you throw them away despite 10 years of previously good backtesting").

On this we somewhat dis-agree, because you say "let's pick the systems that did not fail (exceeding past max dd) in forward-testing, whereas I say "let's only pick the systems that did very well in forward-testing", because we can trust them even more, for two reasons:

1) the most recent past is more reliable than the remotest past (in my opinion and guesstimate).

2) the forward-testing is closer to reality than back-testing (due to some limits in my automation of systems I back-tested on tradestation).

What I am saying is that since I have so many systems, I can indeed afford to throw away those that didn't excel in the recent past (one year), and should do so.

Yes, granted: despite this type of selection, some will not produce profit, but in my opinion such a portfolio of "very profitable systems in forward-testing" will outperform a larger portfolio of "systems that haven't failed (exceeding past dd)".

However, even though we might disagree on the above, my other point is that we probably would both agree on what should have been done with the 3 erroneously included systems i mentioned.

Those 3 should not have been selected in my opinion because for none of them had I used the out-of-sample methodology, and the forward-tested sample was not long enough nor profitable enough. I merely based my choice of selecting them on their excellent performance of their in-sample testing. So I gather that we still would agree that i made a mistake, and that despite disagreeing on what I should select, we do not disagree on the fact that I should not have selected these three.

I am aware there's a risk of curve-fitting and wishful thinking even in selecting systems I'd take a bullet for, but what must be stressed out is that the systems that are performing the best right now are also the systems that performed the best in the past year of forward-testing. So I am not deceiving myself in just picking the winners, after the facts, and saying "I knew they were going to win". Even BEFORE seeing how well they did, I knew they were the best.

HTML:
GC_ON	2,629.18
GBL_ID	2,068.55
CL_ON_2	1,947.54
YM_ON	868.00
ZN_ON_2	73.87
EUR_ID_5	-126.06
GBP_ID_3	-233.51
CL_ID_3	-612.34
YM_ID_2	-808.00
ES_ID_3	-983.00
ZN_ID	-1,103.69
GBP_ID_5	-1,337.10
ZN_ID_2	-2,247.15

GC_ON was a surprise. A system I selected recently due to "wishful thinking" and it didn't disappoint me. But GBL_ID was a system I had identified as reliable a long time ago. And GBP_ID_5 and ZN_ID_2 were never the best systems. Never once in my forward-testing did I say "this is my favorite system".

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

My point is made. Now I will just go on with random thoughts in random order.

1) Systems I'd take a bullet for:

GBL_ID
GBL_ON
ZN_ON_2 (yes, despite its recent loss)
YM_ON

That's all.

2) Systems I'd take a beating (but not a bullet) for:

CL_ON_2
GC_ON
NG_ID_2


3) Systems I'd take a drawdown for and trade:

CL_ON_3
CL_ID_3
CL_ID_4
ES_ON_2
EUR_ID_5
GBL_ID_2

4) Systems I'd trade but not enthusiastically:

ZN_ID_2
GBP_ID_5
GBP_ID_2
GBP_ID_3

The total of these is less than 20 for sure. So I think what should be traded is even less than one third of all the systems I have. Of course, what happens is that the YM systems replicate on the ES, so this adds up to 19 instead of 17.

Diversification is important, but not so important as to include systems that didn't excel in the forward-testing period, which is an important indicator of future performance in my opinion.

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

Another one last remark is that recently I've been creating better systems, not just because I got better at understanding the markets, backtesting and automating systems, but particularly for the fact that I am always using the out-of-sample.

So the "one third of all my systems is worth trading" will go up in the future, to at least "50% of all the systems I created are tradable".

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

Last last point.

Yes, I can't expect to choose the best systems in forward-testing and see them perform as well in the future. Yes, I can't even expect them to all be profitable in the future.

But this approach in my opinion would still be much better than choosing a portfolio of systems that have not exceeded the historical max drawdown in forward-testing and that sometimes have produced no profit in forward-testing.

Not only this: as I mentioned in the my earlier post, some of the best performing systems in real trading and in the out-of-sample have actually exceeded the in-sample's drawdown, so, according to this method, I would not even have included them!

GBL_ID and GC_ON, the 2 systems that have produced the largest profit for me and the investors up to here, have actually exceeded their back-tested max drawdown. So according to your suggestion we would not be trading them right now.

This makes me disagree even more decisively and state this clearly: forward-tested profit should be more important in selecting systems to trade than the fact that a system did not exceed its historical drawdown, in that it is a better predictor of future profit.

It all boils down to this: you say one should choose systems that:
1) did not exceed max historical drawdown

I say that one should choose systems that:
1) excelled in forward-testing profit-wise
2) regardless of exceeding max historical drawdown
 
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peace, silence

This is how I envision my future:

http://www.youtube.com/watch?v=ZlawS2DOijw


I've been planning to relocate to this area of the mediterranean for a long long time:
http://maps.google.com/maps?f=q&sou...allura+Olbia-Tempio,+Sardinia,+Italy&t=h&z=13

I trust the fish and i trust the people of this area:



That's right.



I used to fantasize about this place, but I am not familiar with the fish:
http://maps.google.com/maps?f=q&sou...7,-125.332031&spn=20.062121,39.331055&t=h&z=5


...all around just ocean
 
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