my journal 2

[Yamato]

copying, transforming, improving

Continuing from here:
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-188.html#post1352318

Let's look at the worst system, provided it has a few hundreds trades.

Nope. This post won't go very far, but just because I am tired.

I will do one analysis: better than nothing.

No, wait: it won't go very far because when you have a trading system that sucks everything else sucks as well:
http://www.collective2.com/cgi-perl/c2systems.mpl?systemid=44571981

No comments from anyone. No Overview from the system's creator. Yet he's paying the fees to collective2. Hmm.

Here's my analysis:
View attachment es_profile.zip

There doesn't seem to be any good lessons to be learned. But maybe because I am tired (slept very little).

No more of this crap. I must do things well, or not at all. This is not serious work.

 

[Adamus]

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.

Is this better, with regard to the quote: if you can't place a limit order, can you monitor the market yourself and when it reaches your entry level, place a market order?

 

[Chartsy]

travis i have a london breakout system for EURUSD which has no indicators, a scalp based system PM if you want details, don't mind if you couldn't be ****ed cos i'm busy with exams now anyway.

 

[Yamato]

Is this better, with regard to the quote: if you can't place a limit order, can you monitor the market yourself and when it reaches your entry level, place a market order?

Of course I could. But I have banned discretionary and even manual trading from my life.

 

[Yamato]

travis i have a london breakout system for EURUSD which has no indicators, a scalp based system PM if you want details, don't mind if you couldn't be ****ed cos i'm busy with exams now anyway.

Yes, I will ask you about it as soon as I will see you online on skype. Thanks for the opportunity. I hope we can work out a deal that will benefit you as well.

 

[Yamato]

need some fuel

I need some fuel urgently to face the approaching vito, and another week of work. The weekend was awful, because my parents were both here. A lot of past issues resurfaced in my mind. Things I blame them for. Mean things they said to me. And nice things they did not say.

As mentioned previously, my trading is not providing that fuel: profit would have given me the right balance and self-confidence to face my daily frustrations. But if even the one thing I am working on the most is not rewarding me, it's hard to be confident and serene. Yes, things are steadily improving, as always with automated trading (once you teach your software something, and it's for good).

It's funny how two years ago I was making 100% a month, and recklessly so, whereas now I am doing so many things correctly and yet the profit is not there.

I'll have to hang in there a few more weeks, running on empty as they say. I know... I sense that i am lacking the energy, self-confidence, serenity to keep facing what's ahead: another week of vito, more months of vito.

It's not just vito. Vito is only making my daily life worse. The office has always been unpleasant. Now that I have in my room a person I despise it has become twice as unpleasant.

A fake person, a superficial person, an opportunistic person, a zelig, a person who tries to fool you by kissing up to you, to conquer you and include you in his long list of friends. But if you don't let him fool you, he'll engage in his childish spiteful behaviours like messing with my property.

An idiot. A vito-chimp.

It is a humiliation I cannot bear, I cannot accept, to be given such a roommate and to have to put up with this guy all day long.

I don't want to be in the same room as someone i despise. It is unbearable.

It is the most unbearable thing I am having to face right now.

If there was profit from trading, knowing that the end of my office life is approaching, I could take Vito a little better. But if profit doesn't come from the systems, or rather if some systems keep taking away the profit produced by others, then the end seems like a mirage in the desert, like an oasis which you never reach. And I am very thirsty.

That's right. I am not going to give up. Like Lawrence, I will make it through the desert.

 

[Yamato]

The Big Chill

I am watching this other movie by Kasdan:
http://stagevu.com/video/bqsejisbksiq

Not bad at all. Only problem I keep doing my goddamn searches all the time. Songs, actors... everything I see in the movie, as I watch it.

Not bad, not boring, but it's disturbing. Something about this movie bothers me. I guess it's because it's about a funeral. I don't know if anyone could make an enjoyable movie about a funeral.

Not just that. I would like a movie to take me to a place where I want to be. Here you see a funeral and then you stay in a house with a bunch of people, who do nothing but talk. That's not a place where I'd like to be, so regardless of how realistic and well acted is the movie, I don't particularly like it.

Or maybe it's other reasons that I am missing right now.

Oh, I've got it. Here's a great web site: www.allmovie.com

Let's look at the movie Cast Away:
http://www.allmovie.com/work/cast-away-229030

I have to watch movies that share Keywords, Themes, Tones, Moods with this movie, which represents the typical movie I'd want to watch.

For example, Keywords: "island-deserted". Themes: "Survival in the Wilderness". Tones: "Meditative". Moods: "Triumph of the Spirit".

This is much better at finding good movies than to find movies by the genres "adventure", "drama" and "comedy", which is the usual categorization. Another good way to find good movies is to go to rottentomatoes.com and find the ones with a good rating:
http://www.rottentomatoes.com/movie/browser.php?genre=&tomatometer=90&mpaa=

For example, now i'll go find a movie that shares Keywords: "island-deserted":
http://www.allmovie.com/keyword/island-deserted-2238

I found this movie to watch:
http://www.allmovie.com/work/sorok-pervy-163165

But also "shipwrecked":
http://www.allmovie.com/keyword/shipwreck-3910

I have to watch this:
http://www.allmovie.com/work/shipwrecked-44382

Anyway, that movie, Big Chill, was awful.

I already found the movie Shipwrecked. I can't believe I am watching a walt disney movie:

Yeah, it's almost as simple as a cartoon. But hey, at least I get to see the sea.

 

[Adamus]

Is this better, with regard to the quote: if you can't place a limit order, can you monitor the market yourself and when it reaches your entry level, place a market order?

Of course I could. But I have banned discretionary and even manual trading from my life.

I meant mechanically. I wouldn't recommend any discretionary trading unless you're father's George Soros.

 

[Yamato]

How was I supposed to understand your sentence below meant monitor the market mechanically?

...can you monitor the market yourself and when it reaches your entry level, place a market order?

You said "monitor the market yourself". Anyway - now I will answer your question as you meant it.

Yes, I can do what you recommend mechanically as far as entries, but the exits wouldn't work. The whole problem is with the exit, because you need a conditional order for the exit.

You could then ask "can't you monitor the market and exit with a market order when the condition is met?", but I would reply that I cannot monitor the market once we're in a position. I didn't implement all that on excel. I had before, but now it is no longer in place and for various reasons I need to keep things this simple. Mainly because I will soon have one excel workbook with 66 systems, and I need to keep things that simple.

 

[sneha123]

Re: The King's Singers

http://en.wikipedia.org/wiki/King's_Singers
http://www.youtube.com/user/thekingssingers

Hello friends ,,,,I think its very nice video.....I see it,,,,,,,,,,Thanks for share with us,,,,,,,

 

[Adamus]

How was I supposed to understand your sentence below meant monitor the market mechanically?

You said "monitor the market yourself". Anyway - now I will answer your question as you meant it.

Yes, I can do what you recommend mechanically as far as entries, but the exits wouldn't work. The whole problem is with the exit, because you need a conditional order for the exit.

You could then ask "can't you monitor the market and exit with a market order when the condition is met?", but I would reply that I cannot monitor the market once we're in a position. I didn't implement all that on excel. I had before, but now it is no longer in place and for various reasons I need to keep things this simple. Mainly because I will soon have one excel workbook with 66 systems, and I need to keep things that simple.

The context of my sentence related to a limit order, where a broker monitors the market and executes the order for you once the price reaches your limit. I said "yourself" in contrast to "the broker" when discussing who monitors the market. I assumed it would be understood that I meant mechanically since we are both mechanical traders at this time. So essentially your excel trading application does not monitor market price, that's what you're saying? I had forgotten how minimalist you are.

 

[Yamato]

Out of the 66 systems, most of them look at price (and its position relative to a moving average, or yesterday's close, etc.) in order to trigger entries, but do not monitor price once they have opened a trade, and the exit is always a time exit and it always uses a market order.

That's how simple they are. Maybe that's also why they don't have much of an edge. Maybe that's why I am having to work at the office and sitting in the same room as vito. But I've taken this direction and... it's too late to stop now.

 

[Adamus]

At least you know what to expect with your chosen trading platform, given the small set of uncertainties generated by IB TWS. Using NinjaTrader like I do lets me do pretty much anything, but the cost is that I have to spend hours sometimes the whole day nursing the application through work-arounds to cope with the bugs. So your frustration with your semi-evolved simian colleague is probably equal or less than mine with NinjaTrader. I feel like the monkey who is trapped by the narrow-necked vase with a big handful of nuts in his hand. He can't get his hand out of the vase because of the nuts in his hand, but he won't let them go either. So we all have a monkey on our backs.

 

[Yamato]

Thanks for the enjoyable feedback.

 

[Yamato]

zn_id_2

I wish to dedicate one post to this mother ****ing system I mistakenly selected for trading, which, every time it trades, makes us lose from 500 to 1000 dollars, ever since we've started trading it.

Here's the amazing sequence of losses it has caused us so far:

-315
-49
559
-268
153
-440
403
-315
-940
-1,034
-517 (ongoing loss)

I am the one who selected it, but I could not get the investors to drop it because they said "you can't drop every system just because it is momentarily losing money".

So we negotiated and instead of dropping two mother ****ing ZN systems (ZN_ID and ZN_ID_2: yes, both chosen by me), I only got to drop one of them.

Now... the biggest historical drawdown for ZN_ID_2 was -3700 and right now we are at -3000. So just 1000 dollars more in losses and I'll be able to finally drop this thing, too, because by then the profit from it in forward-testing will be -2500 and the drawdown exceeded, so we can finally declare its failure. You see, this mother ****er was one of those systems I built without using the out-of-sample, so the only out-of-sample is the forward-tested period, during which it failed badly (even though at the start it did ok, and this is why I had selected it).

It will serve me as a lesson and make me think twice next time I pick a system to be traded.

From now on I can only select systems that I would take a bullet for. And it's clear that I only have one third of such systems among my 66 systems.

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

Roughly, the systems that I used to create were 33% good and 66% trash, and that is mainly because for most of them I didn't use the out-of-sample. 66% of the ones I've been creating using the out-of-sample are good, and this is because, when i run the out-of-sample tests, half of them fail and I get rid of them right away, without even automating them.

You see, roughly, out of every 100 systems I create, 33 are good, 33 are trash... i am not good with formulas, damn!

What i mean to say is that the out-of-sample method will get rid of most of the curve-fitted systems but not all of them: in some cases you will get lucky even with the out-of-sample. Furthermore, some systems will be good but they will simply stop working for one reason or another.

So, bottom line is that thanks to this great innovation of the out-of-sample I am now automating a 66% of profitable systems, rather than just a 33%. This is one more reason to be very careful when selecting for trading systems that didn't use such method.

The method goes like this: first two thirds of my available data is the in-sample, on which I can do anything i want. Once I am done with everything and i think i've come up with a system, and its version is final (no more changes afterwards, whatever the out-of-sample says), then i can run that system on the one third of data which was not seen before, the "out-of-sample" period.

Initially I didn't see a reason for doing this: I used to say to myself "why should i waste good data to optimize my system on?". But now I've opened my eyes and realize that maybe it was just a subconscious lie, to avoid seeing the truth, that i was afraid of: the fact that my systems might not be good.

But now what I say to myself is this: if your system is good, is there any reason that it should fail in the out-of-sample period? And the answer is no, there is no reason. This realization, along with the realization that i can indeed create profitable systems*, made me face the truth and embrace the out-of-sample testing approach, which is equivalent to passing an exam, to accepting to take an exam with an impartial judge, one that does not allow hindsight.

*This realization comes from the knowledge that I've created them before, which in turn comes from running forward-testing for one and a half year, which revealed that 33% of my systems created without using the out-of-sample was successful.

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

Anyway, in the meanwhile, the mother ****er ZN_ID_2 is losing 1100 dollars. So, I just need another one of these losses, and I will be entitled to dropping it for good. And I will finally only have good systems in my portfolio. Just give me one more loss, ZN_ID_2. Just do it. I'm the idiot who selected it for trading: I can't blame anyone else for the 3000 dollars it made us lose.

I am telling you: it's not that all my systems suck. We're at a profit of zero after 6 months, because I made the mistake of selecting, along with good systems, a few systems that really suck and which I could have easily avoided, had I been less of a wishful thinker.

Some systems had done great. Some systems had done so so (some profit, but not much). Why did I include both in my portfolio? Because I had a good feeling about them, and now I've come back from the bathroom with just with my dick in my hands.

http://www.youtube.com/watch?v=1kTQFyMRSXk

01:26:09 What I want...
01:26:12 What's most important to me...
01:26:17 ...is that I have a guarantee. No more attempts on my investors' capital.

http://www.subzin.com/quotes/The Godfather/23

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

Keep going you mother ****er!!!! Keep going. Make me lose another 200 and I can finally drop you altogether!!!

Go ****ing *******. ZN_ID_2, you're out of my life. You're out of the portfolio. Just another 200 dollars of dradown and you're out.

 

[Yamato]

caught virus on usb flash drive... that spread...

... it spread to my pc, because I clicked one of those .exe files, without realizing it: it placed an exe file in every folder of my usb flash drive. I don't know exactly who was the bitch I was helping.

It was certainly a woman, because there's always some stupid bitch asking me for help, then I get my usb flash drive to install some utility program on her computer, but this time she gave me one of the many viruses she had on her computer, so here I am - reinstalling xp all over again on my pc, because of how helpful I was.

Damn!

It's already taken me 5 hours of work, because there's always something going wrong when you have to reinstall everything all over again.

It never is a perfectly smooth process.

And what am I going to do - tell my father about it? He was just now in the kitchen. Nope. I ran away from there, because he would have replied to my problems with silence. I can never go ask for comforting from my parents. My mom will say "poor fellow..." about whoever has caused me problems, trying to get me to show the other cheek like she does. And my father won't show any empathy because as long as it doesn't happen to him, he doesn't give a ****.

So. And besides this, the systems have lost money on everyone's account today. On the investors' account and on mine.

It could have gone all so well if I just hadn't clicked on that file and if I had been lucky about the ZN_ON_2 trade. But everything instead went wrong, just a series of unlucky events, that made me want to kill myself for a few seconds. For a second the thought crossed my mind.

There's some good news: I learned that even if you don't do anything wrong, don't click on anything, don't copy anything, a virus can still get transferred from some bitch's computer to your usb flash drive, just by itself.

This means it's the end of the season of my helping all the bitches (including my mom) who are having problems with their computers. If I can help them without using my usb flash drives, I will. But there will be no inserting of my usb drives into their computers nor viceversa.

Damn... and besides: why does the smart geek who broke his back all his life always have to help these bitches who don't use their brain? What the ****. It's not fair. And now I even caught a damn virus because of it.

Never again.

 

[Yamato]

lesson #2: do several acronis images

You know acronis images right? They're the new norton ghost thing. It works better than ghost nowadays. Norton ghost used to be good, but just like excel 2007, a new product can be worse than an old one.

So now Acronis is the good thing to do.

However, I found out yesterday that an acronis image, for one reason or another (hardware change, drive change or maybe the virus attacked my image) can fail, too.

So the lesson I have learned is that one image is not enough. The best is to do several images, and even better place the latest one on a dvd.

So the routine will now be:

1) install operating system
2) create partition
3) create acronis image of operating system and place on data partition
4) 3 months later: create acronis image of operating system and place on data partition
5) 3 months later: create acronis image of operating system and place on data partition

6) Don't help bitches with their computer problems, or use a condom when you insert your usb flash drive in their computers.

That's right. I am still busy installing and reinstalling operating system, updates, drives, applications... this is something that will take days.

 

[Yamato]

riders on the storm

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

Yes, success.

This is the song I play when, despite all difficulties, thanks to my perseverance, I keep on going, and make it through the storm.

That's right: I am writing this message from the computer where I had the virus. I am almost back to normal.

 

[Yamato]

great progress made

In the last 24 hours great progress. Among the other things:

1) I didn't gamble with my account despite huge loss by ZN_ON_2
2) I installed xp
3) partitioned
4) connected to internet and on LAN
5) downloaded SP 3
6) filled up second partition with all the software from laptop's E: drive

I will smoke a well-deserved herbs cigarette now. My dad asked what it was: I said it was a herbs cigarette, but not drugs (marijuana). Amazingly, he did not complain.

In fact I did buy them at the pharmacy, where they sell medicines:
http://www.arkopharma.it/it/prodott...d_besoin=15&id_gamme=7&mode=1&acces=index.php

Even though they do smell like pot.

For today I'll stop here. Damn bitch.

 

[Yamato]

crazy ****ers

The bank I work for, at least the Italian branch, are a bunch of crooks.

They have a menu both on the online banking and on the ATMs where if you mistakenly click it you'll donate big bucks to the Telethon bull****. And of course a small percentage of people, especially older and younger ones, will make the mistake of clicking it. And only a part of them will complain about it. So it's basically a dishonest rip-off. This bank totally sucks. A bank like this totally sucks.