my journal 3

[Fintrader]

You guys are sharing some interesting info on this thread.

I noticed that my trading is very similar what pecas described - I use H4 charts to look out for S & R levels, round numbers etc and then M5 to identify the best entry point. I trade spot forex, though, so I don't use volume data. The compensating benefit of spot is its granularity - you can trade fractions of 1 lot. So when you are in a trade and you get to a certain profit level you can take 1/2 off and move your SL on the rest to breakeven. Of course you reduce your profit on the ones that go all the way to the original target, but it's also nice to have a string of smaller profits. LF posts a lot of good examples on the live trading thread.

As pecas says, this doesn't produce very many trades per week. At the moment I'm trying to develop a shorter term system to fill in the time while I'm waiting for the H4 chart to reach the interesting levels.

I also have the problem of taking sub-optimal entries - missing the optimum entry because I'm not in front of the screen, then taking a later (= higher risk) entry... I guess that's where the similarity between us ends, though. My main problem is that I'm really risk-averse, and I find it hard to pull the trigger. I've lost money trading, but so far I've never had a spectacular blow up. Basically I seem to have the opposite problem to you guys - I need to learn to take more risks when the best set-ups come along. By the way, I'm fully discretionary - I tried experimenting with forex EAs and I was even thinking about learning to program them, but I was really uncomfortable leaving my computer to trade - especially during the night.

Ok, enough about me. Sorry about hijacking Travis's thread.

 

[D70]

Anyone here have experience of running systems in TradeStation?

I'm wondering how best to organise the setup.
Multiple desktops or multiple workspaces?
Radarscreen or quote screen.
Portfolio maestro.
Managing positions and margin between strategies.

All that boring kind of stuff. Any advice would be much appreciated.

Maybe you guys missed the above post because you both seem experienced with TradeStation. Any comments would be appreciated.

 

[jazeonli]

I see D70 reading, so if he wants to join us in the discussion on GBL or other trades, let us know.

If a girl doesn't poke you, you miss it Travis. D70 please poke Travis if you are a girl

 

[pecas]

Maybe you guys missed the above post because you both seem experienced with TradeStation. Any comments would be appreciated.

I didn't miss your post but... one of my problems is that my brain tends to forget, and now it's months that I don't open an easylanguage window.
I'm certainly capable of doing what you ask for, but I would have to get into Tradestation again, while in the latest months I used NinjaTrader. I switched to Ninja only because some programmers, friends of mine, are expert in C# (which is Ninja language) and they helped me (so far with no success) in coding single parts of my strategy. At the same time, my old PC died, and I didn't even install Tradestation on my new one.
I suggest you post your request in the appropriate forum here at T2W, they helped me in the past with simple Easylanguage stuff like this.

 

[D70]

I didn't miss your post but... one of my problems is that my brain tends to forget, and now it's months that I don't open an easylanguage window.
I'm certainly capable of doing what you ask for, but I would have to get into Tradestation again, while in the latest months I used NinjaTrader. I switched to Ninja only because some programmers, friends of mine, are expert in C# (which is Ninja language) and they helped me (so far with no success) in coding single parts of my strategy. At the same time, my old PC died, and I didn't even install Tradestation on my new one.
I suggest you post your request in the appropriate forum here at T2W, they helped me in the past with simple Easylanguage stuff like this.

Thanks. I'll search elsewhere.

 

[Yamato]

You guys are sharing some interesting info on this thread.

I noticed that my trading is very similar what pecas described - I use H4 charts to look out for S & R levels, round numbers etc and then M5 to identify the best entry point. I trade spot forex, though, so I don't use volume data. The compensating benefit of spot is its granularity - you can trade fractions of 1 lot. So when you are in a trade and you get to a certain profit level you can take 1/2 off and move your SL on the rest to breakeven. Of course you reduce your profit on the ones that go all the way to the original target, but it's also nice to have a string of smaller profits. LF posts a lot of good examples on the live trading thread.

As pecas says, this doesn't produce very many trades per week. At the moment I'm trying to develop a shorter term system to fill in the time while I'm waiting for the H4 chart to reach the interesting levels.

I also have the problem of taking sub-optimal entries - missing the optimum entry because I'm not in front of the screen, then taking a later (= higher risk) entry... I guess that's where the similarity between us ends, though. My main problem is that I'm really risk-averse, and I find it hard to pull the trigger. I've lost money trading, but so far I've never had a spectacular blow up. Basically I seem to have the opposite problem to you guys - I need to learn to take more risks when the best set-ups come along. By the way, I'm fully discretionary - I tried experimenting with forex EAs and I was even thinking about learning to program them, but I was really uncomfortable leaving my computer to trade - especially during the night.

Ok, enough about me. Sorry about hijacking Travis's thread.

No problem. Great to hear from you and thanks for taking the time to share your experience in one of your extremely rare posts.

Maybe you guys missed the above post because you both seem experienced with TradeStation. Any comments would be appreciated.

Yes, I do use tradestation but I am not familiar with any of the (tradestation) tools you mentioned in your question (that's why I didn't reply to it. I suggest this section of elitetrader.com, which I've always used with great efficacy:
Forums - Automated Trading

If a girl doesn't poke you, you miss it Travis. D70 please poke Travis if you are a girl

Yes, I always assume every trader is a male (95% the case or more). Sorry for this mistake.

I didn't miss your post but... one of my problems is that my brain tends to forget, and now it's months that I don't open an easylanguage window.
I'm certainly capable of doing what you ask for, but I would have to get into Tradestation again, while in the latest months I used NinjaTrader. I switched to Ninja only because some programmers, friends of mine, are expert in C# (which is Ninja language) and they helped me (so far with no success) in coding single parts of my strategy. At the same time, my old PC died, and I didn't even install Tradestation on my new one.
I suggest you post your request in the appropriate forum here at T2W, they helped me in the past with simple Easylanguage stuff like this.

I am sticking with tradestation and excel so far. I am quite satisfied with this choice, because I don't have to rely on any programmers, having become a self-taught VBA programmer myself.

Thanks. I'll search elsewhere.

Yes, once again, this is the best place:
Forums - Automated Trading

 

[Yamato]

Ok, back home. I've enjoyed an amazing afternoon.

After finding out this morning that I had made 7k in one day (the biggest profit I ever made)... I had to do something to recover from this overwhelming feeling.

Usually, until recently, I went to a restaurant. The Japanese restaurant. But as i told you in a post, if I remember correctly, I decided a better way to show off / blow my money in celebration. I've always despised those showing off their wealth.

So I devised this thing, that I want to teach others to do.

1) You don't go to the restaurant, and you save 10 to 20 euros in taxi, plus 50 euros at the restaurant.
2) Of the saved 70 euros, you give a 25 euros or less to people asking for money in the street, and you have saved yourself 50 euros, your health is better, your conscience is better, and you have bragged even more than by going to the restaurant.

What better way to show off than to give your money away?

What better way to invest your money than giving it to those who need it the most?

idea2develop

So, that's exactly what I did. The first lady 5 euros, and she wasn't even asking for it (but she was sitting in front of a church). She blessed me, so that will further help my trades.

The second guy, he asked for it, and the smallest bill I could find was 20 euros, so I gave it to him, that easily, knowing that I was still saving 50 euros by not going to the restaurant. And, how could I refuse him 20 euros, when I had made 7000 dollars.

Furthermore, now that I invest part of my profit like this, big wins do not destabilize me at all.

Indeed I have become increasingly conscious and aware of the fact that seeing a profit of thousands on my TWS screen scares me and makes me almost as uncomfortable as seeing a loss of thousands. In fact I am more used to losing than winning, and this might be partly the cause of having repeatedly gotten to 30k and then back to zero. That might be precisely that my conscience allows me to bear, after which the guilt is so much that I end up getting rid of it, by trading with an extremely uncomfortable conscience and mind.

Most likely part of the destabilization was a feeling of guilt for having it so easy while others were having so many financial problems. Well, the more I'll feel destabilized, the more I'll donate in the street. And it is not crazy at all, because in the end we are always talking about less than 1% of what I made.

I think I've found a way to do charity as a rational atheist. I don't do it in order to go to heaven, but I do it in order to make even more money, by clearing my conscience. I am serious. This is totally rational and it works, in that it prevents me from going home and blowing whatever money is making me feel uncomfortable.

Once Upon a Time in America Soundtrack Theme - YouTube

I don't think I'll ever treat any lady to the restaurant ever again. What we'll do is this. I hand her 3 5-euro bills, and we go distribute them. Then we buy a sandwich. Then she keeps the change, like the 20 euros that we're still saving by not going to the restaurant. I'll also keep my change. We'll both be 20 euros richer, with a cleaner conscience. I will not take her to the restaurant. I will force her instead to do charity. The hell with this sick habit of wasting money at restaurants when there's people begging for money in the street. **** it, seriously.

The rest of the day was like this. I went into a pastry shop, and I ate about 7 pastries. And 3 cups of hot chocolate. And i still saved 35 euros compared to going to the Japanese restaurant.

I am a living saint, I am the son of god, and I trade like a god. And I perform miracles on the yen.

I am the greatest trader that ever lived. I am the Italian Jesse Livermore. God has a plan of immortality for me. And I will own the world within the 3 months.

Within a few weeks, I'll have the power to pay hit men to kill all my enemies from pre-school. We will start with those. Then, when I reach a million, we'll proceed to sacrificing the neighbors to the gods of trading. Then, back to school, to kidnapping and slaughtering all the assholes from highschool. And then back to Rome, to planning a simulated car accident for my roommate at work. He will only be hospitalized for the next two years.

I just closed my GBP trade (845 takeprofit wasn't taken by 3 ticks, damn!), too, as prescribed by pecas:



Now I am going to re-enable all my systems. I am god... I am god... I am god... I perform miracles.

One Flew Over the Cuckoo's Nest: Chief Bromden leaves - YouTube

 

[Yamato]

Ok, good news. I've calmed down a bit.

Giu La Testa-Ennio Morricone - YouTube

 

[Yamato]

Celebration aside, I have to admit that today's win came thanks to a very bad methodology (martingale). Now I am calming down, and I have to make sure this never happens again.

It's gonna be very hard to learn a lesson from this one, given that I've been rewarded so much by the wrong methodology.

But that's the whole problem with martingale vs stoplosses. With stoploss you lose very often, and in the long run you make money. With martingale you win very often, and in the long run you blow out your account. Very counter-intuitive thing to learn.

 

[Yamato]

Still extremely excited.

NINO ROTA - La Passerella Di Addio (Hommage à FELLINI) - YouTube

 

[Yamato]

weekly systems update

These are the 25 systems that I'll be trading from Monday. They're close but not identical to those I've been trading, on and off, for the past 5 months. Of course what I've made with those is closer to 5k than to the 10k showing here, because I had others enabled, which caused me losses, and that's why I now disabled them.



Still too excited. Tomorrow some major charity works awaits me. Like another 20 euros given away, in 5 euros bills.

I am very happy. I hope I can sleep. I have problems sleeping whether I am happy or sad.

I am confident these systems can make 2k per month. Not much, but more than I make at my job at the bank.

OK, goodnight everyone and thanks for the support, and sorry for proclaiming myself all those things, but it was a moment of extreme excitement. I've never made this much money in one day.

 

[Yamato]

Ok, this is it, the fruit of my gambling:



Now I need to work on a plan, for the precise money management that will decide how I will enable/disable my systems in the future months. I am under great pressure to keep this equity line going.

The Sing Off "Under Pressure" Full Cast Performance Season 1 Episode 1 - YouTube

...

This is how I'll work on the schedule for enabling/disabling systems.

For a necessary simplification of the task we assume that:

1) all systems selected for trading are equally good
2) all systems selected for trading are uncorrelated
3) all systems selected for trading trade as frequently
4) all systems selected for trading lose as frequently
5) the average loss recorded in forward-tested history is our measure for the exposure of the account to the specific system

We set as the objective to:

1) diversify as much as possible
2) allocate capital to extra contracts according to their average loss (e.g.: if ZN_ON_2 produces an average loss of 2k and GC_ID_3 produces a max loss of 4k, then we'll need 2 ZN_ON_2 contracts for every GC_ID_3 contract).
3) almost obvious that in our enabling we go from smallest systems/max loss to biggest one, and viceversa.

What I am doing is known as "fixed fractional".

...

Here's my 29 "selectable" systems (not all selected yet):



What's next? It's not going to be easy.

These losses are divided by 100 and rounded to the nearest unit, for simplicity.

If I sum the average losses for the 25 systems I am trading, I get 110, and I have a capital of 27k.

So what is next?

Given that the present traded systems to capital ratio seems reasonable, I will decide a rule that all systems traded must not have losses that exceed... 11k/37k=40%, make that a 50%, because I cannot disable a system tomorrow just because I go down 100 dollars.

So i can trade these 25 until my capital gets as low as 22k.

Then, for a fixed fractional approach, I'd need to start disabling them, one by one, starting from the ones with the biggest average loss.



The simplicity and clarity of this is awesome, but I noticed one problem. I am not... I don't have the balls to enable let's say 20 NQ contracts per every Silver system I enable. In other words, I'd prefer to favor diversification over equality. If NQ is already trading, why should I push things to make it as risky as the silver contracts?

Another problem I am realizing is that performance does matter and I cannot assume that it's the same for every system, because it isn't.

I will stop here for now, in order not to sacrifice the clarity for the sake of completeness. Better incomplete and clear, than complete and incomprehensible.

I learned one thing for sure. Before enabling the awesome silver systems, I am going to need to wait until I get to 100k, and I have first enabled 10 to 20 contracts for the systems with the smaller losses.

I'll proceed by approximation, for now, without a totally automated scaling up methodology.

 

[Yamato]

The Yen managed to close a 13th straight negative week:



If it falls for another whole week, I'll definitely look into going long again. This time with a tight stoploss.

I mean, dude, this market needs to be monitored, because it's got extreme potential for exploding to the upside. There's no way I am going to "follow the trend" on this market.

...

I've updated my discretionary analysis on all 13 markets I am monitoring:
View attachment index.html

...

Pecas, this is for you specifically. In case you're interested in what I am doing exactly, given that I said I wouldn't trade without consulting you first.

For next week, I have placed these LMT orders with 1 contract each.

GBL short at 143.95
JPY long at 0.010666
ZW long at 741
NG long at 3.15

 

[Yamato]

Continuing from post #2872:
http://www.trade2win.com/boards/trading-journals/140032-my-journal-3-a-post2071406.html

I have almost finished my automation of fixed fractional money management for my automated systems.

Here's, from my excel workbook, the table with all the 29 systems, and the note I wrote myself next to the table:

The objective is to add contracts to the systems that have smaller average losses first, so that eventually the exposure becomes the same for all 29 systems, which is 100% / 29 = 3.5%

Therefore, when you have capital in excess of twice the average losses incurred by the enabled systems (divide capital by the sum of all average losses of the enabled systems * contracts enabled), after having accounted for some drawdown, you should enable more contracts but starting by those systems that have a weight of less than 3.5% on the table to the left.

Viceversa for when you are incurring a larger than expected drawdown and you have to disable systems. Start by those that have more than 3.5% weight.

Always allow as much extra capital as the drawdown typically incurred every 2 months.

The only way I will discriminate between systems is that I'll choose manually which ones to get rid first and which ones to enable first, based on the slight differences between performances (although they're all excellent) and frequency of trading.

...

Here's my last version:



Just as I mentioned the "frequency of trading", I have realized that it could be automated in a rational and balanced way.

Indeed if a system causes big losses but trades once a year, it is not a serious liability, because between one trade and the next the other systems will compensate with profit.

So now I come up with exposure per system by multiplying its average loss by the frequency by the number of contracts.

I've also separated the totals with a blank line, so I can order them by % exposure and I'll know which ones to enable/disable first.

By the way, this has partly revolutionized my allocation of contracts and margin, because I changed CL to QM, so it doesn't have all that exposure, and I have allocated 2 contracts to a series of systems, that trade rarely and have small losses. CL_ID_05 otherwise had an exposure of 30% and without being an exceptionally good system either!

I think I am done.

 

[Yamato]

Wow, after I wrote, yesterday, that I am a living saint and the Italian Jesse Livermore, the journal has been abandoned by almost all the readers. I guess I am not good at modesty. If I remember correctly the same had happened three weeks ago, after another equity line peak.

I hope I'll get used to this success and stop posting equity lines and various acts of bragging. I am also tired of this emotional roller-coaster.

Now I'll watch a movie.

 

[Yamato]

Survivor Caramoan - Jeff Probst Cast Assessment - YouTube

Survivor Caramoan Meet Shamar Participante Shamar Thomas - YouTube

I am trying to find this show online (no luck yet), because there's shamar thomas who's also a occupy wall street hero:

[Orignal full version] 1 Marine vs. 30 Cops (By. J. handy) - YouTube

 

[D70]

Little update from me.

I turned my system 'on' and it took it's first trade on Thursday. It is extremely basic but at least it executed the entry correctly. Now I'm waiting to see if it can exit correctly. Next step will be to sort out the correct sizing. At the moment it just buys/ sells 10,000 currency units (tradestation settings).

In the mean time. I've put it across other instruments and results are largely the same.

Need to work on how to implement my position sizing algorithm that I do in excel at the moment. Pretty sure it can be coded.

Well done Travis on a 'good' week. Personally, I dont define an up week as a good week. A good week for me is if I execute all my trades as planned and as per the respective strategy. The equity line resulting should take care of itself given the planning and testing that has gone into it.

 

[bbmac]

I think the readers of your journal (s) kinda know you by now - and understand the reaction/comments you posted given where you have come back from.

If you can keep your head when all about you
Are losing theirs and blaming it on you;
If you can trust yourself when all men doubt you,
But make allowance for their doubting too:
If you can wait and not be tired by waiting,
Or being lied about, don’t deal in lies,
Or being hated don’t give way to hating,
And yet don’t look too good, nor talk too wise;

If you can dream—and not make dreams your master;
If you can think—and not make thoughts your aim,
If you can meet with Triumph and Disaster
And treat those two impostors just the same:
If you can bear to hear the truth you’ve spoken
Twisted by knaves to make a trap for fools,
Or watch the things you gave your life to, broken,
And stoop and build ’em up with worn-out tools;

If you can make one heap of all your winnings
And risk it on one turn of pitch-and-toss,
And lose, and start again at your beginnings
And never breathe a word about your loss:
If you can force your heart and nerve and sinew
To serve your turn long after they are gone,
And so hold on when there is nothing in you
Except the Will which says to them: ‘Hold on!’

If you can talk with crowds and keep your virtue,
Or walk with Kings—nor lose the common touch,
If neither foes nor loving friends can hurt you,
If all men count with you, but none too much:
If you can fill the unforgiving minute
With sixty seconds’ worth of distance run,
Yours is the Earth and everything that’s in it,
And—which is more—you’ll be a man, my son!


Rudyard Kipling 1895.

Wow, after I wrote, yesterday, that I am a living saint and the Italian Jesse Livermore, the journal has been abandoned by almost all the readers. I guess I am not good at modesty. If I remember correctly the same had happened three weeks ago, after another equity line peak.

I hope I'll get used to this success and stop posting equity lines and various acts of bragging. I am also tired of this emotional roller-coaster.

Now I'll watch a movie.

 

[VielGeld]

It's also the weekend and time to unwind and relax a bit.

Cheers, and congrats on hitting a milestone.

 

[Yamato]

Thanks to all 3 for your feedback:

D70, you're right, I had a profitable week, but not a well-traded week, and if I plan to have more of these profitable weeks I can be positive that I'll blow out my account, given that I've achieved profit through an unprofitable martingale methodology.

bbmac, thanks for the poem, which speaks about a person that I have not yet learned to be. However, I know my quality is sincerity, so whatever I will be, I will make sure to witness it on the journal.

VielGeld, thanks for following the journal and being aware that this is indeed a milestone for me, given that I did reach it before, but never with such awareness of how I reached it and the risks involved. Now another milestone would be if I kept my present capital, since each time I came to about 30k, I lost everything within a month (probably, in one word, due to too much excitement).