my journal

[Yamato]

OK, back. Thanks to someone helping me, I've discovered that it does work on the ES. You need to tweak the settings and be very careful what you tell the code to do, and making sure it does what it's supposed to do. It won't work otherwise. But it definitely has an edge. Only it is a very subtle one. It's not going to strike you by how big an edge it is. Now weeks of work await me. Not just for testing perfectly this system, which will take another two weeks. I will then want to test on every market. And then I will want to automate it. Basically my weekends are all filled up again for another month. But this time it's going to be fun, because with already 37 of them cooking, I don't feel any rush to build another 9. I'll just do it when I am bored, which has been happening a lot lately. I won't feel any anxiety to work on these last 10 systems.

 

[Yamato]

As usual I was thinking today of how small a capital I have (it sounds as if I am talking about my dick). Well, deal with it. It's your fault if it's small. There's no reason I should worry now about the little capital I have, when in the past I blew it so many times, because of my recklessness. Many times in the past I've rushed things, trying to increase my capital with discretionary trading and blown out my accounts, accounts that could have grown to hundreds of thousands by now - but I wasn't ready to handle them and so I blew it. Or for some other reasons I can't quite pin down. I need to be in control enough not to trade discretionary. Until I learn to practice the patience needed for automated trading (the only thing I can do profitably), I do not deserve any more capital than I have. And when I'll deserve it, it will grow naturally, so it's all taken care of: no more worrying about my small capital.

Ok, having taken care of this worry as well, by passing it on to the readers, now I'll go to watch this movie by Mel Gibson: Apocalypto

 

[Weighbridge]

Thanks for showing us some of your process for creating a new system. It's interesting to see how you approach the analysis, regardless of whether or not the gap fill system proves viable.

Also, it's great that you're sticking to your plan and avoiding those discretionary trades, especially as it's been a difficult week for your robot army.

 

[Yamato]

Thanks for appreciating. I like thinking out loud on this journal. The opening gap system does work, like all other known "famous" systems (trend-following, oversold/overbought, volatility breakout, etc.). They all need testing and tweaking. I would say at this point that the easiest part is finding a system with an edge: most renowned systems have an edge, because simply by being so famous they are like self-fulfilling prophecies.

The very tiring but not complicated part is instead testing them, finding the exact settings, and then implementing them (that's 50% of all work). Once you implement a few ones properly and keep everything orderly, then every extra system is the repetition of the previous ones, in terms of settings and procedures to follow. Still, I think it will take me about a month to implement 9 slightly different versions of this new system I just found today.

Then the other big problem is making money with them: that's the part I suck at. I've had decent ones since March 2008, and I am still stuck with the same capital of 9000 dollars more or less (I've spent some, and I started with even less, but still I consider this a real failure). As I wrote earlier, I don't deserve any more than that capital. I think we should all start small. And if you're doing everything right, that amount will rise. If you're not doing everything right, you will lose it, so it's best that you don't add to it. I can definitely say this after blowing out my account several times a year for 12 years in a row.

Never give your money to someone like me who has blown out his account several times in the past 12 months. I would simply call myself "irresponsible". I still do not know the value of money. If I lose 1000 I don't cry but I can laugh about it. I guess that's also an advantage because others might be so scared that they won't ever start trading. On the other hand, I also want to do things right, enough to be able to quit my job sooner or later. This has become like a joke at my bank. Every time they ask me how's my trading, I reply "great, in 3 months I'll be out of here". And I've been saying that for a few years already. It helps me get or rather pull through the day.

 

[Yamato]

Ok, up again. That movie wasn't that good. But not something to just throw away either. No real trading today, nor tomorrow, because I implemented a very safe trading, that excludes days during which the systems statistically didn't make much money. On mondays and tuesdays they made a combined 2000 in the past 3 months of forward testing. On the other days they made 27000. That would mean that on monday and tuesday they made 1000 per day, and on the other days 9000 per day. No point in risking my little money for these results.

Now I'll go to work, even though I am quite tired. The reason is that I have that new roommate, that polite lady, and going to work with a roommate like her is like being on vacation. It's like being in the room by myself.

 

[Yamato]

Back at work. Now, seriously, if all combined systems make no money (1000 on each day in 3 months) on Mondays and Tuesdays there must be a reason: unpredictability and irregularity of the markets in those two days. It definitely makes sense to not let my systems trade real money on those two days.

I am cold. There you have it, another complaint. The heating doesn't work. Why is this? Are they saving? It's reasonable that they do, since most of the bank does nothing all day long. Why should we have the heating on? We might as well freeze. This way some will quit and they don't even need to be fired. What a ****ty place. Nothing works here. We don't even have UPS for when the power goes out. Hundreds of computers just get turned off about once a month without any warning. People lose all their ongoing work like this. Right, but then again few were working on anything. My own stuff at home is more organized than this ****ty bank.

I am freezing. I can't work properly if I am freezing.

It feels weird that today and tomorrow my systems will only be paper trading, but it's the way I should have done it from the start. Why do I feel the need to be trading all the time? If I had acted from the start with the purpose of making money, instead of getting entertained by the markets, now I'd have those 50k I lost in the past 12 years, plus all the winnings I blew.

 

[Weighbridge]

It might be worth looking into the underperformance of Mondays and Tuesdays to see how the returns are distributed.

If it's because the systems don't make many entries on those days, but those entries are still profitable, then that doesn't seem especially risky to me.

However, if there's plenty of entries, but mixed results then yeah, why bother with those days.

Also, if it's because losses tend to happen on Monday/Tuesday then it's possible that there might be some sort of pattern to it, and you might even gain an idea for a whole new Mondays & Tuesdays system. If you even have time for any more systems

The other possibility is that the Monday/Tuesday thing could just be a quirk in the data that doesn't continue. 3 months isn't a very big sample (13 Mondays and 13 Tuesdays). It's clear that you already get that of course, and that's why you're continuing to forward test them.

 

[Yamato]

Good call. However, the systems do trade on those days (I'll find out exactly how much when I get home) almost as much as on the other days. There's not that many requirements prohibiting them from trading on those days. On Tuesday's overnight trading actually I have a 2000 dollars loss. So by all standards one should not use them with real money on Tuesday night (unless you disagree that it's a cyclical thing and believe that it's only chance). On Thursday night they lose money as well. But, more importantly, over one third of all the money made by my systems in these past three months was made on Wednesday intraday: 13000. I divide my systems and trades triggered by them into 10 time zones: the five days of the week subdivided into intraday trading and overnight trading.

Good call on the "Weekday bias" systems: I've already built 6 of them. I believe they work, and it's not just chance, but I have only one week of forward testing on them.

Yes, I will continue to forward test them forever.

By the way, I was moved out of the previous room today. The people next door complained they were in 3 in a smaller room (same length, but 30 centimeters less wide). So I was in my new room this morning. The lady didn't show up so I am all alone. I cleaned up a little. The cleaning ladies here go from one room to the other, spending about 10 seconds in each room: they empty the trash, and they move our mouse, to pretend they cleaned the table. But they don't clean anything at all. They just move our mouse. The neatest ones move the keyboard as well. Occasionally they'll break something, because they are not even capable of moving things correctly. Well, they stopped stealing at least. That sucked. I got about 5 or 6 brand new mouth wash bottles stolen. We were planning to poison these ladies, or to place a bomb to be detonated by removing the cap. Others got computers stolen, apples, toothbrushes, meal vouchers. And we work in the Compliance department, which is like the Police of the bank...

Anyway, I basically I to clean my room by myself, because no one will do it otherwise. I got some toilet paper and some glasses of water and kneeled on the floor, and cleaned the dust and other dirt from the previous pigs inhabiting the room. But I hurt my back from kneeling too much or the wrong way. Now my back hurts. Just like Taxi Driver himself. But let's look on the bright side: I am alone in my own room. Isn't that nice? Let's try to be happy. Yeah, I am reasonably happy. The guy with the radio is burning in hell, in a room with five other people, and the boss whipping them. And no radio. Good.

 

[Yamato]

Anyway, I just went to the bathroom and I am slightly laughing by myself, giggling not too heavily, every few minutes. When it happens, I pretend I am coughing. It's because I went to the bathroom and I took a leak in the sink, as usual. I do it even when my back doesn't hurt, but today I was thinking that if they ever catch me, which is close to impossible, I will argue that it's for medical reasons, because since my back hurts, I can't lean forward and therefore I have to **** in the sink. It makes me laugh when I think of it. I work with these pigs, I behave like a gentleman, but then when I go to the bathroom, I take my little revenge and **** in the sink.

 

[Yamato]

http://www.trade2win.com/boards/trading-journals/72598-my-journal-3.html#post916608

A whole two weeks of successful interfering... got cockier and cockier... more and more reckless... and finally today they got all the money back plus a lot of extra money (overall, as usual, twice as much as I had made with all my interfering). Now I'll try to get it back (I shouldn't but I will, most likely). It'll work for a while, till they'll get it all back plus more of it. On and on... It's been this way ever since I started automated trading. I just can't find a way to stay off of it, and find other things to do. Unbelievable. Un****ing believable.

September 24th was my last relapse. 25 days ago. By history, another relapse should be coming any time soon. If it doesn't happen within the next two weeks, I might be healed from the addiction. Right now, to judge by history, I am really at risk of relapsing.

It's like smokers and how often they feel the urge to smoke. It's easy to say "I quit" after smoking 20 cigarettes in a row: try saying it after not smoking for a few days and it will feel different. The same for me: it's easy to say "I will quit compulsive gambling" right after it made you lose half of your capital. Another thing is to do it once you forgot what it felt like.

25 days is great. If I can get through another week, I will be largely healed. Really healed I would say after one year. I am saying this to those who are offering to help me and want to teach me to be profitable with discretionary trading: thanks, but please don't tempt me. I am trying to quit. Don't make me relapse. Last time I relapsed because I watched Wall Street Warriors or something like that, and they made discretionary trading look easy (especially that prop firm on WSW season 2). I don't want to relapse because someone encouraged me to try again with their good advice. Any discretionary trading is bad for me. I want to quit period.

I'll go home in an hour and I better find something really good and tiring to do, because today I am frustrated already, my back hurts, my system is not trading, my capital is low, the memory of losing via automated trading is very fresh and the memory of losing because of discretionary trading is not fresh... all the reasons to relapse are there. DANGER. I hope I won't disappoint any of the readers nor myself.

 

[Yamato]

I am getting off work in a few minutes. I stayed longer because I told the manager that tomorrow I am not coming due to hurting my back, due to cleaning, due to the cleaning ladies never cleaning. So I did some important stuff, in order to not let it fall behind schedule. Now I will go for a leak, in the sink, as usual. And then the pigs will hear me giggling and won't know why.

 

[Yamato]

I came home. Opened the platform and saw the GBP highly overbought, and thought: **** it, I am going to go short on it, make a lot of money, never even tell anyone on my journal that I broke my rule... and it will be just this one trade, double my capital and never break the rule again...

Then I remembered how in the summer of 2008 I was losing because of a long position and the GBP was falling and falling, and I thought it couldn't fall anymore and I doubled up and I blew out my account, by keeping the doubled up losing position open for a month (from august to september). This made me realize that the price has never risen or fallen enough to be able to say "I am 100% confident that it will reverse and I will invest everything I have on it".

Then the question was only if I wanted to have a thrill or to make money, and since I didn't do it, maybe it means I have started to care less about thrills and more about money, and about not spending my whole life at the bank. Anyway, my back hurts so tomorrow I won't go to work. Today and tomorrow no testing. Just movies and lying down.

 

[Weighbridge]

...due to the cleaning ladies never cleaning...

They're too busy scrubbing the sinks mate

 

[GladiatorX]

Hey Travis;
I've been learning to code backtests for my ideas;
Made 5 systems and backtested them across 200+ markets;
Got some good results, so we can talk about that next weekend or maybe after finished the gap idea;
One of the systems results is absolutely brilliant; so it would be great to check them on the E-mini S&P500 (which i don't have on Esignal atm because i'm trading SPY atm) but yeah; Stayed up till' 2am learning how to write the codes and then backtesting them all. Tried to keep it simple too but also did a more complicated one

Holla Boy x

 

[TAjammy]

I came home. Opened the platform and saw the GBP highly overbought, and thought: **** it, I am going to go short on it, make a lot of money, never even tell anyone on my journal that I broke my rule... and it will be just this one trade, double my capital and never break the rule again...

Then I remembered how in the summer of 2008 I was losing because of a long position and the GBP was falling and falling, and I thought it couldn't fall anymore and I doubled up and I blew out my account, by keeping the doubled up losing position open for a month (from august to september). This made me realize that the price has never risen or fallen enough to be able to say "I am 100% confident that it will reverse and I will invest everything I have on it".

Then the question was only if I wanted to have a thrill or to make money, and since I didn't do it, maybe it means I have started to care less about thrills and more about money, and about not spending my whole life at the bank. Anyway, my back hurts so tomorrow I won't go to work. Today and tomorrow no testing. Just movies and lying down.

im short cable

 

[Yamato]

Well, gladiator, you've learned to code your systems and tested them over many markets: congratulations. It took me months to do what you did in half a day. As usual you reveal your uncommon intelligence and energy. If you want me to test your systems, go ahead, but remember that I'll use your systems for my own purposes. If it works I'll certainly keep a copy of it. Your idea about the opening gap will take me a month to test and implement properly. I don't know how you can do things so fast. Certainly you're not using tradestation 2000i.

And now I'll have to get off my chair, or it's pointless to skip work tomorrow. It'd be pointless to develop trading systems as well, if you then still spend your whole day in front of the computer anyway.

 

[GladiatorX]

Well, gladiator, you've learned to code your systems and tested them over many markets: congratulations. It took me months to do what you did in half a day. As usual you reveal your uncommon intelligence and energy. If you want me to test your systems, go ahead, but remember that I'll use your systems for my own purposes. If it works I'll certainly keep a copy of it. Your idea about the opening gap will take me a month to test and implement properly. I don't know how you can do things so fast. Certainly you're not using tradestation 2000i.

And now I'll have to get off my chair, or it's pointless to skip work tomorrow. It'd be pointless to develop trading systems as well, if you then still spend your whole day in front of the computer anyway.

Yeah but you've built like an empire of systems and all that stuff on excel so its a lot more impressive than my little codes. Anyway, stop putting yourself down - Your much, much, much, much better than i'll ever be at system design and implementation and as i've said; Your empire of systems was really amazing, i've never seen anything like it! So you should just be proud of all the work you've done in creating that and in the profits it'll bring you, rather than beating yourself up for what you've done so far that maybe you haven't liked so much.

Ofcourse you can use my systems for your purpose; really wouldn't bother me, i'd prefer you put it against the E-mini S&P500 and use it, than not.

I watched one flew; Top stuff

 

[Yamato]

Great movie, right? Thanks for watching it. I have a list with my top 200 favorite movies. I'll send it to you.

Well, thank you for saying that I'm a semi-god: I always like compliments. By the way you're really a genius for having done all you've done by 18. It's rare enough to find a profitable trader. To find one who's just 18 is almost unique. If you'll become an automated trader at 18, then you're probably going to be one of ten people in the whole world.

As far me, I guess my father taught me to beat myself up, to make sure that I'd always keep working and do even better. Maybe your father is like that, too. Maybe my father's method worked. If my father had told me "good job" more often (like... once), I might have never come this far. But how far did I come?

I have lived an unhappy life, just like him. Was it necessary? Was it convenient? Do people really appreciate me for what I can do? Do I have a girlfriend? Did I ever get a promotion at work? I don't think it was a good deal. It will have been a good deal only if I can retire within a few months and never work again and catch up with all the fun I did not have until now. I am not sure it will happen. Probably it won't happen and it didn't happen because I want it so bad, which makes me rush things, do things like discretionary trading, and then fail again and again.

I've often wondered "What the hell is he waiting for to tell me I've done something well? How well do I have to do this?". Often I just quit, like with studying. Because even when I got awesome grades he didn't tell me "good job", so the next semester I just failed all classes, because I saw no point in studying anymore. I remember my second semester of freshman year in college: I took 6 classes instead of just 4 like everyone else. I got all As. Then I even took a summer school, for another 2 and a half credits, and had to take a physical education class, as half a credit, to fulfill some requirement, and I took it as pass/fail. I passed it. When I came back home, after gathering 8 and a half credits instead of the regular 4, with the highest grades, he complained about the fact that I took that physical education class as pass/fail and didn't get an A in it.

This is what I'd call a sick mother ****er. Now you can see how a guy like this can ruin your life. Especially if you are only child and you happen to still look for some praise after you've known him for decades. At this point I just avoid him, because meeting him is so unpleasant. And he spends more time with his secretary, he talks more to his colleagues and secretary than to me. That's what happens when you're a sick mother ****er. Your secretary is your best friend. If your secretary is your best friend it always means you're a sick *******.

 

[Yamato]

It might be worth looking into the underperformance of Mondays and Tuesdays to see how the returns are distributed.

If it's because the systems don't make many entries on those days, but those entries are still profitable, then that doesn't seem especially risky to me.

However, if there's plenty of entries, but mixed results then yeah, why bother with those days.

Also, if it's because losses tend to happen on Monday/Tuesday then it's possible that there might be some sort of pattern to it, and you might even gain an idea for a whole new Mondays & Tuesdays system. If you even have time for any more systems

The other possibility is that the Monday/Tuesday thing could just be a quirk in the data that doesn't continue. 3 months isn't a very big sample (13 Mondays and 13 Tuesdays). It's clear that you already get that of course, and that's why you're continuing to forward test them.

I've done your tests. They made me change my mind a little bit, so thanks for making me think about it more. To examine the 10 time zones properly, we should separate them into 10, and not calling them monday and tuesday any more. Because those trades being made on Monday ID (intraday) are completely different in all aspects from the trades being made on Monday ON (overnight, which carry into Tuesday).

I would not get distracted by anything unnecessary and ultimately look just at average gain per trade in each of the ten time zones, as you suggested. Let's look at it together.

Values range from -48 to 272. I would say, since trades are numerous on all 10 zones (from 35 to 68), that I can just go ahead and skip all days below average (55). I should only skip negative values days, but I am low on capital and I don't want to risk it. That leaves me with just all Wednesday and Friday night. But that would be too little trading. It'd take forever to increase my capital. So I'm going to choose an arbitrary value of 50. I will therefore trade on the whole day of Wednesday and Friday, plus Tuesday ID. No, let's say 40 and trade on Monday ID as well.

Ok so, unlike what I said earlier today, and thanks to your input, I will not forbid trading on mondays, tuesdays and thursday ON. I will get rid of Mon and Tue yes but just as far as ON. And I'll get rid of the whole Thursday. Great. Now I'll work on implementing this whole thing. It will take me ten minutes.

Ok, done. So basically the rule is that I am trading the most performing 5 time zones by average gain per trade (provided that at least 5 are positive).

 

[Weighbridge]

Ok so, unlike what I said earlier today, and thanks to your input, I will not forbid trading on mondays, tuesdays and thursday ON. I will get rid of Mon and Tue yes but just as far as ON. And I'll get rid of the whole Thursday. Great. Now I'll work on implementing this whole thing. It will take me ten minutes.

Sounds like a good way forward. You've given me something to think about too, as I've got a couple of (manual) systems that might benefit from optimising for the day of week.

There's still a chance that this is just a fluke caused by analysing a small sample, so I think it would be worth you reviewing the distribution every couple of weeks, at least until you've got lots of trade history.

I see what you meant about the Wednesdays! They're actually the real outlier here aren't they. I wonder if it's anything to do with equities going ex-dividend? That generally happens on Wednesdays in the UK, but I don't know about Italy. Or maybe Wednesday is just a high volume day and your systems like that.