my journal

[Yamato]

I trade CME futures mostly (forex, equity indexes, bonds, gold, oil), so it is not related to anything in Italy. I think Wednesdays are trend days, regular days. It follows all possible cycles. On the other days things are less certain. There are many patterns in the markets and I built my systems on them: all the patterns work out on Wednesdays. Overall almost no patterns work out on Tuesdays. Or maybe it's because my futures mostly are LONG only strategies. And on Wednesdays markets rise and on Tuesdays they fall. When I say "rise", I refer to stock indexes and EUR, and OIL, and GOLD and related things, because they are all correlated.

---

Actually, one more thing. I had thought of a different way to implement this filter. Implement a filter not based on the results of all systems put together, but on each single system. However I discarded this for two reasons:
1) Because I've already implemented such a filter on each single system: if I ever found out through back-testing that a given day doesn't make any money or even worse loses money, then I excluded that day from trading, and that obviously is reflected in my forward-testing. And I am figuring that if, after implementing this filter on each single system, some days are still so much better than others (for the basket of all systems), this must mean not that this is coming from some specific systems (because those systems are already disabled on those days) but that it must be a general tendency.
2) Because, by analyzing the trades of every single system, I'd also have to use a sample of fewer trades (on average, 1/37th as big as the collective sample), and, as you pointed out, that makes my hypotheses less reliable. After all, my collective hypotheses are now based on 500 trades, which is quite a lot. If I try to verify the same questions ("which of the 10 time zones don't work?") on each of those 37 systems, then I won't get anywhere. I won't even have trades on all weekdays.

So for these reasons, it makes sense to reason on all systems taken together.

 

[Weighbridge]

Hmm... looks like I've got a project for tomorrow. Thanks.

 

[Yamato]

Just woke up. Today I am home because my back hurts. I shouldn't be doing any testing though, to preserve my back. I should lie down in bed and watch more movies. Swimming would have saved my back but I postponed forever, for too long. I always felt that I had to quit my job and live by the sea and only then resume swimming, and that it wasn't worth to swim at a swimming pool. And now I've hurt my back. If I ever get to 15k again, then I'll resume swimming. Yeah, because it is quite costly. I will ride cabs to and from the swimming pool, and then I'll have to pay some ticket at the facility. It's going to be like 30 dollars each time, and maybe around 300 dollars a month. Since I must live on just my salary, I can't afford that. I would need to be withdrawing from my trading account. And I shouldn't be doing that until I get to a point where what I withdraw is less than half of what I make. In the meanwhile, I'll just try to keep my back straight when I sit down, which I've rarely done lately.

 

[Yamato]

I've just watched two of them:
Watch Juno movie on LetMeWatchThis.com Free Online Movie and TV Downloads
way overrated, but not to throw away: certainly not a masterpiece: I'd rate it a 3 out of 10 (1 being a movie with tom cruise, and 10 being taxi driver)

Watch Billy Madison movie on LetMeWatchThis.com Free Online Movie and TV Downloads
this is so so, overall actually it seemed better than the other one, because it's less pretentious: promises less and delivers more, so it leaves you satisfied, but there's less work and quality than in the previous one, so I'd rate this a 2.5 out of ten

Actually I just thought of a good one I had watched, and it's this (and here we're talking about a quality movie: I rate this a 6):
Watch Billy Elliot movie on LetMeWatchThis.com Free Online Movie and TV Downloads

 

[Yamato]

Now I'll finish watching this one:
Watch Wayne's World movie on LetMeWatchThis.com Free Online Movie and TV Downloads

I suspect I won't rate it any higher than 3.5 at the most. Barely worth watching I'd say. Movies below 2 in my scale are not worth watching. Almost all movies with tom cruise and nicoke kidman are below 2. Where there's one of those two guys you can rest assured that the movie is worthless. Particularly Nicole Kidman. It's like the opposite of robert de niro, in that almost all movies with him are worth watching ("heat" was not worth watching for example). Another actor who's mostly in good movies is Matt Dillon. Another one is Johnny Depp. Also Leonardo Di Caprio, but less. Steve Buscemi is another one. Another one is Jim Carrey. Another one is Drew Barrymore. Oh, by the way, here's a good 60 minutes on her:
Drew Barrymore - 60 Minutes - CBS News

 

[mb325]

Dude, Top Gun, come on...

Agree with you on Dillon and Depp.

Have you watched 'RocknRolla'? Not sure if it would appeal to a Yank as much but give it a go if you have the time.

 

[Yamato]

I am not a Yank, but... I'll watch it. I am from Italy. Travis (from Taxi Driver) is a Yank.

Watch RocknRolla movie on LetMeWatchThis.com Free Online Movie and TV Downloads

 

[mb325]

Ah sorry I just assumed cos of ur flag! Apologies

 

[Yamato]

Watching movies and automated trading, movies and life... the two things are so different. Money doesn't grow just because I am feeling good today. Maybe that works with discretionary trading. With automated trading systems can make money on a day you're depressed, and can lose money on a day you're feeling good. I've lived my whole life expecting to be in a movie, and yet it's different. Unless I am doing everything right profit doesn't come, and even if I am, I could still incur in a drawdown. Some discretionary traders make money every day. I guess for them it's different. It could lead them to think they were chosen by god to have a happy life. I think it's the case with some people: they have the right mind for discretionary trading: they don't need much training. And for others like me, there's no training or knowledge that will enable them to make money. I just have the tendency to do a series of wrong things, and I can't fix it, just like I can't become an extrovert if I am an introvert or viceversa.

 

[Yamato]

Ok, finally some action. I've been watching another comedy "almost heroes", with Perry and Farley, which is not famous nor successful, nor extremely funny, but it's original and puts you in a good mood. And in the meanwhile my systems made two trades. LONG on the GBP and SHORT on the JPY. Let's hope to finally see some profit, after losing 5000 in my last three trading days. Today is a half trading day (only intraday), due to the modifications made after reviewing the time zones to restrict trading to.

 

[Yamato]

Ok, after just a few minutes the situation is reversed, and the GBP is the profitable one. These two are positively correlated and yet their positions are reversed, so this should lead me to expect that I will break even, except the JPY has much more leverage, and except that despite the positive correlation they rarely behave symmetrically or as I expect them to. My predictions are usually wrong. So I can just let them run and watch as a spectator - which I should have understood a year and a half ago. Anyway, today is my 26th day without making a discretionary trade. Let's celebrate: good job, travis.

 

[Yamato]

Ok, they are going further into the direction of the previous snapshot. As I said leverage of the two futures is different, and they are positively correlated and have reversed positions, so the GBP should rise in profit and the JPY should fall in profit. It's happening, and what's also happening as expected is that the JPY position is losing more than what the GBP position is making.

So today is my fourth day of losses in a row, but I am ok, first, because I am used to losing a few hundreds, second, because it's not finished yet, and I've seen big changes. However, it's not looking too good, either. So I am not that happy of course. I have seen my capital go from 14k to 9k, and now it's dropping to 8k. Not too good. But I am following my system, entirely, so I know that's good in itself. And certainly I don't have that strong feeling of guilt that's associated with discretionary trading losses. I feel ok. I've lost 5300 so far in the past 4 days, but I feel ok.

That's the beauty of automated trading. With discretionary trading, I felt guilty when I lost money, because I felt it was entirely my fault. With automated trading, I feel guilty for making money because I don't feel I worked for it. This feeling of guilt would be dangerous, but since I don't have to trade, it will not be transformed into losses.

 

[Yamato]

Wanna know how I am doing now? Click on the thumbnail, as usual. Now I am losing on both... this shouldn't last. That I can definitely be positive about. Not 100%, but highly confident that I won't lose on both. We will see the end of these two trades in many hours anyway (time-based exit). Now I'll go back to watching "Almost Heroes", just in time before the dumb maid comes, so I can pretend I am sleeping and she doesn't get me involved into doing damage to my own house. Rule #1: stay as far as possible from dumb people.

 

[Yamato]

There you go, another update. Amazingly, as usual, it went where I'd never expect it to go. Now the JPY is losing less, and the GBP is making more. Given the settings, one would expect, with the GBP increasing profit, the JPY to lose even more, but it's not happening. There are forces at play that I ignore. But statistics know what's convenient, and my systems incorporate 10 years of statistics. I could never keep in my mind and weigh properly what statistics say, but systems can.

 

[Yamato]

Look, now I am actually making money again. Isn't that amazing? Half an hour ago, with these same two positions, reversed, I was losing 400 dollars, and now I am at breakeven. And yet they are inversely correlated (since one is long and one is short). So this means that even though the two futures consist of JPY and GBP against the dollar, they don't move exactly together, and that of course we knew, but we didn't know exactly how much. This knowledge should make me build more systems on JPY vs EUR, and EUR vs GBP, etc., but the problem of those futures is that they are not liquid enough. Explaining these things here may seem like a repetition, and useless, but it forces me to double check everything I do, repeating and reasoning out loud, explaining to myself and others what I do, and, as you saw yesterday, sometimes I find out I am doing something wrong. So it is useful. Even posting pictures of these ongoing trades is useful. I will be asked questions, and answering them will force me to reason more. Reasoning that I would not otherwise do.

 

[Yamato]

I wouldn't be surprised if at the end of the day, when these two positions get closed, I'll be making money on both. Statistically I have a lot on my side, as much as possible. Yes, with these statistics on my side I lost 5000 last week. But in the long run it should work out. All automated traders agree that the past repeats itself. And discretionary traders do, too, whether they admit it or not.

 

[Yamato]

Ok, here's one more update. Now the GBL is in it, too. It just got triggered. Now: the GBL and JPY point in one direction (JPY down, GBL up) for the next few hours, and the GBP points in the opposite direction. It's unlikely that I'll be making money on all of them. However I hope that the JPY and GBL positions are right, because I stand to lose much more if they are wrong, since there's 2 GBL and 1 JPY, which alone has twice the leverage of the GBP. It'd be as saying that I have 6 positions one way, and 1 position (the GBP) pointing the other way. I sure hope the 6 positions are right.

I'll know the answer in about 5 hours.

 

[Yamato]

Wow, of all possible outcomes, who would have ever expected this one, just a few hours later? I wouldn't have for sure. And that's why it's always good that I don't close positions early based on my discretion. Not anymore. But that's what I've been doing for the past 2 years.

Also, I wish to add: just imagine and, to myself, remember how the uncertainty deriving from my changing expectations and predictions, regarding these 3 positions alone, would have been enough to drive me crazy within a few hours. Hope, anxiety regarding the uncertainty... the money balance changing an infinite number of times. Think about it. I wouldn't have been able to bear with it for more than just a few minutes. I would rather have closed positions merely to escape the anxiety of having them open. Sometimes I even closed profitable positions because seeing profit increase so rapidly made me anxious, and closing them actually made me feel relieved. Think about that! Instead, with automated trading, I am being able to watch, as a spectator, these wise decisions concerning my own money. This and much more is the tremendous power of automated trading.

In the meanwhile, the dumb maid, is still there, ironing, and I am afraid to get out of my room, because she might get me involved into doing some damage to the house, or rather she might do some damage to me, despite the smile she always welcomes me with: burning something in the kitchen, breaking something in the bathroom. I am terrorized by being around stupid smiling people. I am not the one who let her into the house, I never would have. I sometimes wonder if she does it on purpose: doing damage while smiling so nicely. She's a nightmare, like all dumb people.

 

[Yamato]

Three hours to go and I am breaking even.

 

[Yamato]

It's getting worse. But things could change in the next few hours. If it ends negative, it will be my fourth negative day in a row. Now I'll go get a pizza and try to watch tv for a few hours because I am getting really unhealthy as usual. Just computer, not sitting straight and slouching... what a disaster. That's why I have to go live by the sea, as soon as possible.