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Yamato
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Yamato
Legendary member
- Messages
- 9,840
- Likes
- 246
New version with small but major changes
ABOLISHING THE CONCEPT OF ONE TRADE PER DAY DUE TO DECREASED DISCRETIONALITY
The system is no longer a sniper system and it sucks because the concept was a very good one, because it reminds to not overtrade. But at this point the system clearly works and it can be traded in all its signals, because it doesn't make sense to think that the first signal executed will be more probably profitable than the second one. No sense at all. So it doesn't make sense to discard any signals, because they come after a successful or unsuccessful signal. It made sense when the system was discretionary and I would be destabilized by the first trade (whether good or bad), but now I'll show you how the system has improved.
WHAT PIVOTS ADD
My system without pivots performs about 6 wins out of 10 trades. I couldn't test pivots but I am confident they're giving me some edge, bringing my wins to 2 out of 3 at least. That means that for every 3 trades, I have one win.
WHAT "CORRELATED" ADD
If I add to the above system the fact that I'll now pick the exact timing thanks to the very useful correlations, I could bring my accuracy to 3 out of 4 trades. I am not hoping for more than this.
The way correlations will help me is that if I see a crossover happening after 4 minutes, and see that all markets are shooting up, then I'll wait for another few minutes, at the risk of missing the signal. But that means a whole lot. It could reduce my bad trades by half.
SUMMARY OF NEW CONCEPTS
1) No worrying about overbought/oversold conditions
2) Use of correlations for the exact timing (they'll make me postpone taking a signal from seconds to minutes)
SUMMARY OF SYSTEM
Essentially the whole concept of my system is to perceive correctly where the trend is going, and betting it will go there for another 20 ticks. It also tries to perceive the exact wave down (the 20-minutes 20-ticks waves), so that if price has come down say to x value, it will rise 10 ticks, and it will actually only have to continue for just another 10 ticks. Unfortunately the system does bet that the trend will continue which is a very hard concept to accept to me. It's not easy for me to understand that the most frequent even is that if it's raining it will keep on raining. For rain it seems normal to me. But for the trend, I always feel that if it's been rising, it's risen too much and now it will stop rising. Yes, it will momentarily stop, but it will then continue. Maybe that is why the concept is so hard to grasp: because rain doesn't seem to stop or decrease, whereas price does go up and down all the time, so you feel that its reversal will continue. Instead, it's usually only temporary. The 1 minute reversal is temporary on the 5 minute timeframe. What goes on in the 5 minute timeframe is only temporary if you look at the 15 minutes timeframe. What goes on in the 15 minutes timeframe is only temporary if you look at the hourly timeframe. What goes on at the hourly timeframe is only temporary if you look at the daily timeframe. What goes on at the daily timeframe is only temporary if you look at the weekly timeframe. What goes on at the weekly timeframe is only temporary if you look at the monthly timeframe. What goes on... and so on.
NEW CONFIDENCE
Today I've seen how good it is. Yes, there was trend. But if there will be range, I'll only trade one bad signal at the worst, because 20 ticks are a lot. No matter what the condition will be I am confident I can at least count on 2 wins every 3 trades. With about 3 trades every day, I should at least break even, on a weekly basis. I would expect a maximum drawdown for this system of 5 straight bad trades, and a bit more in terms of money-ticks down, 200 ticks down and therefore 2500 dollars down, with one contract.
LIMITS OF THE SYSTEM
As I said, I do not have the skills/tools to backtest neither pivots efficacy nor correlations. I don't have enough skills to perform any tests other than worthless and misleading ones.
ADVANTAGES OF THE SYSTEM: IT GIVES YOU CONFIDENCE
Today I found out one more time how it's better to have confidence in an ok system, rather than not having confidence in some great discretionary trades you're initiating. You'll stick to the trades started by the system (or by the automated systems). But you won't stick to the trades you came up with.
BAD SYSTEM PREDICTIONS COST ME 250 AND GOOD DISCRETIONARY PREDICTIONS COST ME 2000
The typical thing that will happen to me, even if the system was wrong and I was right on my gambling-discretionary trades (which is unlikely), will be that I will lose 250 dollars because of the system, because you're sticking by the rules, whether your trade is profitable or unprofitable. I will lose 2000 dollars because of my correct predictions on the market: I will correctly predict a huge rise for today, but I will anticipate it by a few hours. The market will go against me for just 4 extra hours, during which I will see myself in the red, and I will double up. By the time it reaches bottom, I will have my usual margin calls because I am down 2000, and then one contract will be closed. Then the overnight schedule will resume, and my other contract will be closed. I will be totally screwed, just as the market starts to rise and continues to do so for the next 12 hours. Let alone the fact that if I am so lucky to be part of any of that rise, as soon as I recover from half of my 2000 dollars loss, I will exit for having being so scared a while earlier.
Here's the new version of the system:
PRO-TREND DISCRETIONARY SYSTEM
HOTKEYS
"B" for "buy 1 at market" with 20 ticks bracket order,
"S" for "sell 1 at market" with 20 ticks bracket order,
"C" for "close position".
----------------------
CHARTS
SET UP THESE CHARTS ON IB'S TWS:
15 MINUTES OF ES, CL, GBP, ZN "line" mode
2 DAYS OF EUR.USD@IDEALPRO 15-minutes CANDLES WITH PIVOTS
4 HOURS OF EUR.USD@IDEALPRO 1-MINUTE CANDLES WITH 15-periods and 210-periods moving averages
----------------------
RULES
ENTRIES can be made if:
1) time is 15.00 to 20.00 CET
2) your entry and your take profit are > 10 ticks away from any pivot lines
3) you're checking "correlated" chart for exact timing of entry
4) the 225-period ma is in favor by > 10 ticks
5) the 15-period ma gets crossed by price (in favor) after being on the other side >= 4 minutes
EXITS
Bracket order of 20 ticks.
----------------------
TRADES:
Here's my trades as of today and the time (CET) they took place:
20091130 17.20sh to 17.30sh: takeprofit
20091130 21.50sh to 01.00sh: takeprofit
20091201 17.50sh to 18.50sh: early exit +1
20091202 18.40sh to 00.15sh: stoploss
20091203 08.10sh to 08.30sh: takeprofit
20091204 10.40sh to 13.00sh: early exit -5
20091207 16.10sh to 16.30sh: takeprofit
20091208 17.30sh to 19.00sh: takeprofit
20091209 18.40sh to 19.00sh: takeprofit
20091210 19.00sh to 20.20sh: stoploss
----------------------
BRACKET ORDER:
Pictures of my weapon and some shots I made.
Some shots I missed.
ABOLISHING THE CONCEPT OF ONE TRADE PER DAY DUE TO DECREASED DISCRETIONALITY
The system is no longer a sniper system and it sucks because the concept was a very good one, because it reminds to not overtrade. But at this point the system clearly works and it can be traded in all its signals, because it doesn't make sense to think that the first signal executed will be more probably profitable than the second one. No sense at all. So it doesn't make sense to discard any signals, because they come after a successful or unsuccessful signal. It made sense when the system was discretionary and I would be destabilized by the first trade (whether good or bad), but now I'll show you how the system has improved.
WHAT PIVOTS ADD
My system without pivots performs about 6 wins out of 10 trades. I couldn't test pivots but I am confident they're giving me some edge, bringing my wins to 2 out of 3 at least. That means that for every 3 trades, I have one win.
WHAT "CORRELATED" ADD
If I add to the above system the fact that I'll now pick the exact timing thanks to the very useful correlations, I could bring my accuracy to 3 out of 4 trades. I am not hoping for more than this.
The way correlations will help me is that if I see a crossover happening after 4 minutes, and see that all markets are shooting up, then I'll wait for another few minutes, at the risk of missing the signal. But that means a whole lot. It could reduce my bad trades by half.
SUMMARY OF NEW CONCEPTS
1) No worrying about overbought/oversold conditions
2) Use of correlations for the exact timing (they'll make me postpone taking a signal from seconds to minutes)
SUMMARY OF SYSTEM
Essentially the whole concept of my system is to perceive correctly where the trend is going, and betting it will go there for another 20 ticks. It also tries to perceive the exact wave down (the 20-minutes 20-ticks waves), so that if price has come down say to x value, it will rise 10 ticks, and it will actually only have to continue for just another 10 ticks. Unfortunately the system does bet that the trend will continue which is a very hard concept to accept to me. It's not easy for me to understand that the most frequent even is that if it's raining it will keep on raining. For rain it seems normal to me. But for the trend, I always feel that if it's been rising, it's risen too much and now it will stop rising. Yes, it will momentarily stop, but it will then continue. Maybe that is why the concept is so hard to grasp: because rain doesn't seem to stop or decrease, whereas price does go up and down all the time, so you feel that its reversal will continue. Instead, it's usually only temporary. The 1 minute reversal is temporary on the 5 minute timeframe. What goes on in the 5 minute timeframe is only temporary if you look at the 15 minutes timeframe. What goes on in the 15 minutes timeframe is only temporary if you look at the hourly timeframe. What goes on at the hourly timeframe is only temporary if you look at the daily timeframe. What goes on at the daily timeframe is only temporary if you look at the weekly timeframe. What goes on at the weekly timeframe is only temporary if you look at the monthly timeframe. What goes on... and so on.
NEW CONFIDENCE
Today I've seen how good it is. Yes, there was trend. But if there will be range, I'll only trade one bad signal at the worst, because 20 ticks are a lot. No matter what the condition will be I am confident I can at least count on 2 wins every 3 trades. With about 3 trades every day, I should at least break even, on a weekly basis. I would expect a maximum drawdown for this system of 5 straight bad trades, and a bit more in terms of money-ticks down, 200 ticks down and therefore 2500 dollars down, with one contract.
LIMITS OF THE SYSTEM
As I said, I do not have the skills/tools to backtest neither pivots efficacy nor correlations. I don't have enough skills to perform any tests other than worthless and misleading ones.
ADVANTAGES OF THE SYSTEM: IT GIVES YOU CONFIDENCE
Today I found out one more time how it's better to have confidence in an ok system, rather than not having confidence in some great discretionary trades you're initiating. You'll stick to the trades started by the system (or by the automated systems). But you won't stick to the trades you came up with.
BAD SYSTEM PREDICTIONS COST ME 250 AND GOOD DISCRETIONARY PREDICTIONS COST ME 2000
The typical thing that will happen to me, even if the system was wrong and I was right on my gambling-discretionary trades (which is unlikely), will be that I will lose 250 dollars because of the system, because you're sticking by the rules, whether your trade is profitable or unprofitable. I will lose 2000 dollars because of my correct predictions on the market: I will correctly predict a huge rise for today, but I will anticipate it by a few hours. The market will go against me for just 4 extra hours, during which I will see myself in the red, and I will double up. By the time it reaches bottom, I will have my usual margin calls because I am down 2000, and then one contract will be closed. Then the overnight schedule will resume, and my other contract will be closed. I will be totally screwed, just as the market starts to rise and continues to do so for the next 12 hours. Let alone the fact that if I am so lucky to be part of any of that rise, as soon as I recover from half of my 2000 dollars loss, I will exit for having being so scared a while earlier.
Here's the new version of the system:
PRO-TREND DISCRETIONARY SYSTEM
HOTKEYS
"B" for "buy 1 at market" with 20 ticks bracket order,
"S" for "sell 1 at market" with 20 ticks bracket order,
"C" for "close position".
----------------------
CHARTS
SET UP THESE CHARTS ON IB'S TWS:
15 MINUTES OF ES, CL, GBP, ZN "line" mode
2 DAYS OF EUR.USD@IDEALPRO 15-minutes CANDLES WITH PIVOTS
4 HOURS OF EUR.USD@IDEALPRO 1-MINUTE CANDLES WITH 15-periods and 210-periods moving averages
----------------------
RULES
ENTRIES can be made if:
1) time is 15.00 to 20.00 CET
2) your entry and your take profit are > 10 ticks away from any pivot lines
3) you're checking "correlated" chart for exact timing of entry
4) the 225-period ma is in favor by > 10 ticks
5) the 15-period ma gets crossed by price (in favor) after being on the other side >= 4 minutes
EXITS
Bracket order of 20 ticks.
----------------------
TRADES:
Here's my trades as of today and the time (CET) they took place:
20091130 17.20sh to 17.30sh: takeprofit
20091130 21.50sh to 01.00sh: takeprofit
20091201 17.50sh to 18.50sh: early exit +1
20091202 18.40sh to 00.15sh: stoploss
20091203 08.10sh to 08.30sh: takeprofit
20091204 10.40sh to 13.00sh: early exit -5
20091207 16.10sh to 16.30sh: takeprofit
20091208 17.30sh to 19.00sh: takeprofit
20091209 18.40sh to 19.00sh: takeprofit
20091210 19.00sh to 20.20sh: stoploss
----------------------
BRACKET ORDER:
Pictures of my weapon and some shots I made.
Some shots I missed.
Last edited:
With respect: Sorry but I don't agree, you gambled because *you* decided to gamble. Even if other people are rude, *you* control your actions. You may not like this but it's true. It's far too easy to blame one's own faults and weaknesses on others. The problem with doing so is it leaves one deceived and powerless to do something about the problem...
Re: New version with small but major changes
Excellent observations. Higher timeframe action trumps lower timeframe. Using multiple timeframes is part of the edge that Brian Shannon describes/uses in his trading style.
For what it's worth, well done with your profitable week. It is thanks to your improved system and increased trader skills and discipline. Keep at it and make sure next week is just as good or better.
Some other thoughts and observations:
1.) You really should move into your own place. (It doesn't sound like living with your dad is doing you any good.)
2.) Regarding your workplace situation, I offer a quote by Martin Fowler I remember well: He once gave the following advice to software developers/programmers who find themselves in difficult/impossible work situations, saying "You have 2 choices: 1) Change your organisation, or 2) Change your organisation." So, if your boss won't listen and improve matters in yoru department, then finally you'll have no other option but to go work for another organisation. Complaining and getting upset about it won't help.
Excellent observations. Higher timeframe action trumps lower timeframe. Using multiple timeframes is part of the edge that Brian Shannon describes/uses in his trading style.
For what it's worth, well done with your profitable week. It is thanks to your improved system and increased trader skills and discipline. Keep at it and make sure next week is just as good or better.
Some other thoughts and observations:
1.) You really should move into your own place. (It doesn't sound like living with your dad is doing you any good.)
2.) Regarding your workplace situation, I offer a quote by Martin Fowler I remember well: He once gave the following advice to software developers/programmers who find themselves in difficult/impossible work situations, saying "You have 2 choices: 1) Change your organisation, or 2) Change your organisation." So, if your boss won't listen and improve matters in yoru department, then finally you'll have no other option but to go work for another organisation. Complaining and getting upset about it won't help.
Yamato
Legendary member
- Messages
- 9,840
- Likes
- 246
I could agree and lie or we could argue forever. Let's argue forever.
If I am the way I am, prone to blaming others, because others do bother me more than they bother you. I am sensitive, maybe more than you are, and therefore you can't understand: unless everything is perfect, I will indeed blame others, because others will indeed bother me enough to make me screw up. So the others are indeed a cause. I am blaming them because they are a cause.
Maybe you could tell me to stop thinking this way, to be less sensitive, to take responsibility, but until I think this way, the others are indeed a cause. But this is why I have systems, so I can disable the cause. This is why we have locks, so I can lock myself in when my dad comes on. And this is why we have guns... and so on. Every problem can be fixed.
Maybe you didn't have a dad who busted your balls for every step you made. I will introduce him to you some day. And see if you can focus. This is the type of guy whom you wouldn't want to be watching you as you are shooting some pool. Because he will make you miss. He will make you trip as you're walking.
But please try to make me change my mind, because this time it will be easier than for trading books.
If I am the way I am, prone to blaming others, because others do bother me more than they bother you. I am sensitive, maybe more than you are, and therefore you can't understand: unless everything is perfect, I will indeed blame others, because others will indeed bother me enough to make me screw up. So the others are indeed a cause. I am blaming them because they are a cause.
Maybe you could tell me to stop thinking this way, to be less sensitive, to take responsibility, but until I think this way, the others are indeed a cause. But this is why I have systems, so I can disable the cause. This is why we have locks, so I can lock myself in when my dad comes on. And this is why we have guns... and so on. Every problem can be fixed.
Maybe you didn't have a dad who busted your balls for every step you made. I will introduce him to you some day. And see if you can focus. This is the type of guy whom you wouldn't want to be watching you as you are shooting some pool. Because he will make you miss. He will make you trip as you're walking.
But please try to make me change my mind, because this time it will be easier than for trading books.
Yamato
Legendary member
- Messages
- 9,840
- Likes
- 246
Re: New version with small but major changes
What's really important that could go unnoticed is that I didn't lose another 2000 dollars. I look at my small gains, and I think "wow, pretty disappointing", but I am forgetting how I got to 5000. I got to 5000 in less than a week, thanks to just 3 trades, each making me lose more than 1000 dollars. Another thing that could go unnoticed is that today and yesterday I made those reckless trades again and again: only I didn't get as unlucky, and they either made gain money or not lose 1000s. I still don't deserve any congratulations because I am still very close to relapsing completely into gambling mode, which essentially means "trading without a stoploss".
I can't move into my own place: the apartments in rome cost (rent or whatever method of paying for it) more than twice my salary. No way. No way.
Unless of course you or other readers are offering to pay the rent. Then I might consider it. Maybe I could rent the apartment above this one. Or below. But you need to come up with 3000 dollars each month, or maybe more. You could help me with some fund raising maybe. We could sell some of our quotes.
In this country, you gotta make the money first. Then when you get the money, you get the power. Then when you get the power, then you get the apartment. That's why you gotta make your own moves.
Yes, complaining helps. Everyone complains. I bet you do it, too. It helps because if you cannot change either thing, you gotta stay there. And in order to avoid my usual killing spree, I complain. Venting out your anger here or at work every day, saves the lives of many colleagues. Especially now that I got into sniping.
The moron with the radio never heard me say anything against him, and instead I wanted to kill him. Now he's in the other room. The slut always on the phone talking to his family is in the other room. One needs patience, and patience you get by complaining. Let's hear what quote you'll reply with. I am quoting myself, because I don't like reading, only like writing.
Problems will get fixed by themselves. Hopefully I'll make money and I won't have to bear with any of these guys in the future. That's the solution one or two, depending. I will change my organisation, because I will quit my job. That's happening soon, chico. I want what's coming to me. I am not gonna be happy with what I got.
You quote books and I quote movies.
What's really important that could go unnoticed is that I didn't lose another 2000 dollars. I look at my small gains, and I think "wow, pretty disappointing", but I am forgetting how I got to 5000. I got to 5000 in less than a week, thanks to just 3 trades, each making me lose more than 1000 dollars. Another thing that could go unnoticed is that today and yesterday I made those reckless trades again and again: only I didn't get as unlucky, and they either made gain money or not lose 1000s. I still don't deserve any congratulations because I am still very close to relapsing completely into gambling mode, which essentially means "trading without a stoploss".
I can't move into my own place: the apartments in rome cost (rent or whatever method of paying for it) more than twice my salary. No way. No way.
Unless of course you or other readers are offering to pay the rent. Then I might consider it. Maybe I could rent the apartment above this one. Or below. But you need to come up with 3000 dollars each month, or maybe more. You could help me with some fund raising maybe. We could sell some of our quotes.
In this country, you gotta make the money first. Then when you get the money, you get the power. Then when you get the power, then you get the apartment. That's why you gotta make your own moves.
Yes, complaining helps. Everyone complains. I bet you do it, too. It helps because if you cannot change either thing, you gotta stay there. And in order to avoid my usual killing spree, I complain. Venting out your anger here or at work every day, saves the lives of many colleagues. Especially now that I got into sniping.
The moron with the radio never heard me say anything against him, and instead I wanted to kill him. Now he's in the other room. The slut always on the phone talking to his family is in the other room. One needs patience, and patience you get by complaining. Let's hear what quote you'll reply with. I am quoting myself, because I don't like reading, only like writing.
Problems will get fixed by themselves. Hopefully I'll make money and I won't have to bear with any of these guys in the future. That's the solution one or two, depending. I will change my organisation, because I will quit my job. That's happening soon, chico. I want what's coming to me. I am not gonna be happy with what I got.
You quote books and I quote movies.
Last edited:
Re: New version with small but major changes
Both very true. You do deserve praise (really!) for not losing another $2000. And for taking a small loss earlier.
You are also right that very nearly relapsing into your old habbits is a worrying event. Still, you realised this yourself and set about correcting it so I didn't think it appropriate to be too harsh about that too etc. Even just by having written the above, you are showing that in fact you know that was not a good thing and will hopefully attempt to prevent that from happening again in future. So it's all good.
I'm sorry to hear Rome is so expensive, that's really harsh.
I don't suppose it would be remotely possible to move to a cheaper place to live? (As in, not in Rome?)
Both very true. You do deserve praise (really!) for not losing another $2000. And for taking a small loss earlier.
You are also right that very nearly relapsing into your old habbits is a worrying event. Still, you realised this yourself and set about correcting it so I didn't think it appropriate to be too harsh about that too etc. Even just by having written the above, you are showing that in fact you know that was not a good thing and will hopefully attempt to prevent that from happening again in future. So it's all good.
I'm sorry to hear Rome is so expensive, that's really harsh.
I don't suppose it would be remotely possible to move to a cheaper place to live? (As in, not in Rome?)
Last edited:
Yamato
Legendary member
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Yeah, thanks. After all, I agree, too, on congratulating myself, but I had to follow my anticonformist nature and disagree somehow.
But I disagree on moving away from Rome, because I work here, and I don't want to have to take a train to commute. Time is money. Who said this? Just kidding. Feel free to start quoting me as well. I consider myself one of the wise guys as well. Up there with Confucius. A journal of a thousand posts begins with a single post.
But I disagree on moving away from Rome, because I work here, and I don't want to have to take a train to commute. Time is money. Who said this? Just kidding. Feel free to start quoting me as well. I consider myself one of the wise guys as well. Up there with Confucius. A journal of a thousand posts begins with a single post.
Yamato
Legendary member
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- 246
Coming up next: bad news from the systems
I almost feel happy that they are not that good. I don't know. On the other hand it's always the same ones that are failing so I could just get rid of them all. But I won't, because back-testing speaks so highly of them.
[...thinking ...]
The losing took place between weeks 46 to 50. Before then everything seemed to be totally healthy. And this time, don't worry, wprins: I won't blame this on the cab driver.
[...thinking ...]
Getting rid of 46 that almost lost nothing. Less than 1000.
So I am left with 4 straight red weeks, when I don't know what went wrong. Now looking at the markets to see where they went in the last 4 weeks.
EUR range and then fell, but not very different from months before. But yes: most of my systems just go long so this could be one of the causes. If markets fall, my systems should definitely be performing worse. But they didn't fall that much.
What i am also noticing is that for the past 4 weeks all the intradays lost money, whereas only half of the overnight systems lost money.
So the EUR went a little down more than usual, and the systems lost money. But not the EUR overnight.
JPY didn't fall, but system lost money. Not the overnight version.
GBP didn't fall more than usual but lost money.
So far the fall doesn't seem to matter much. Because it didn't really fall by that much. Maybe we could check daily range next.
I see no falling on the ES, yet it lost. Big falling on the CL and it lost. I can't draw any conclusions why all systems stopped working at once, despite being different, but maybe they're not different.
Maybe this is telling me that despite thinking I diversified, the systems are similar.
Let's hope my other, semi-discretionary, trading will provide some money in the future, as I hope, because otherwise I am screwed.
Well, after all, what do we most of my systems have in common? They go long.
So if they all fail at once what could be wrong if not this?
Let's say that they don't always fail when the markets fall, but every time they fail it's because the markets are falling. I think we can agree on this.
POSSIBLE SOLUTIONS
NOT TRADING ON WEEKS FOLLOWING A RED WEEK
I could stop trading after a red week, for the next week: this would be great if the weeks always come in groups. And for the isolated weeks, I just miss one week of profit (but I can't avoid the first week of losses). We don't know if this works, but so far it does seem to work. We cannot solve the problem at the root, because we'd be messing with the systems in unorthodox ways, and whose implications we cannot control. But we may be able to stop trading when the bad stuff happens, and hopefully the bad stuff happens all at once. If it doesn't work, we do lose some profit.
GETTING RID OF SYSTEMS THAT CONSTANTLY LOSE (ALREADY IMPLEMENTED)
Obviously, we can eliminate all the systems that have never worked. I'll check that right now, to see what happens. Of course this only makes sense if the system loses constantly, because otherwise we might get rid of a systems that will make money later and keep a system that will lose money later.
Now, look, the equity line without the unprofitable systems is just beautiful but the question is: did I know this a month ago, or did the systems just turn unprofitable in this month? Because if they've been unprofitable for 4 months, then I'm ok because I could have just excluded them. If they just turned unprofitable now, then it's not useful to me.
GOOD NEWS
This is good: the equity line of the profitable systems looks good. The profitable systems have almost all been profitable from the start and throughout the months. If we had 2 red months and 2 green months, we could not rely on them, because the same could happen on the others. But if the profitable stay profitable, and we trade them, then we can rely on our equity line to be pretty stable. Now let's look at the unprofitable with this question: did they always show losses from the start and throughout?
NOT EASY TO GIVE ESTIMATES BUT I CAN DRAW SOME REASSURING CONCLUSIONS
Not easy to do this without formulas. I might get deceived by my hopes. The results are mixed. All bad systems today did not have all red weeks in the past, and viceversa. However I can conclude that systems that overall are profitable after 4 months are more likely to be profitable than systems that overall are not profitable after 4 months. And the more time will go by, the more my forward-testing will be accurate. And so I will invest based on this assumption. This assumption is what we do in daily life for everything. We count on people who were reliable until today, and so on.
Another good thing seems to be this: if I only use the profitable ones based on what I said above, the bad red weeks are just 2. If the cause is the markets falling, that won't last too long. Whatever the cause is, since they've made money for 3 months and lost it for one month at the most, I can count on the future to repeat itself, in these proportions. This means this thing takes care of the whole problem, and so I can avoid that idea of skipping trading on weeks that follow bad weeks. I want to do as little as possible that is not proven to work.
So I am left very reassured, as I am already doing what I found out I should be doing: only trade the systems that have been profitable in forward testing. For sure some of them will have bad weeks in the future, and maybe some of them will even turn overall unprofitable in forward tests. But they are less likely to do so than the systems that already are unprofitable in forward tests.
I almost feel happy that they are not that good. I don't know. On the other hand it's always the same ones that are failing so I could just get rid of them all. But I won't, because back-testing speaks so highly of them.
[...thinking ...]
The losing took place between weeks 46 to 50. Before then everything seemed to be totally healthy. And this time, don't worry, wprins: I won't blame this on the cab driver.
[...thinking ...]
Getting rid of 46 that almost lost nothing. Less than 1000.
So I am left with 4 straight red weeks, when I don't know what went wrong. Now looking at the markets to see where they went in the last 4 weeks.
EUR range and then fell, but not very different from months before. But yes: most of my systems just go long so this could be one of the causes. If markets fall, my systems should definitely be performing worse. But they didn't fall that much.
What i am also noticing is that for the past 4 weeks all the intradays lost money, whereas only half of the overnight systems lost money.
So the EUR went a little down more than usual, and the systems lost money. But not the EUR overnight.
JPY didn't fall, but system lost money. Not the overnight version.
GBP didn't fall more than usual but lost money.
So far the fall doesn't seem to matter much. Because it didn't really fall by that much. Maybe we could check daily range next.
I see no falling on the ES, yet it lost. Big falling on the CL and it lost. I can't draw any conclusions why all systems stopped working at once, despite being different, but maybe they're not different.
Maybe this is telling me that despite thinking I diversified, the systems are similar.
Let's hope my other, semi-discretionary, trading will provide some money in the future, as I hope, because otherwise I am screwed.
Well, after all, what do we most of my systems have in common? They go long.
So if they all fail at once what could be wrong if not this?
Let's say that they don't always fail when the markets fall, but every time they fail it's because the markets are falling. I think we can agree on this.
POSSIBLE SOLUTIONS
NOT TRADING ON WEEKS FOLLOWING A RED WEEK
I could stop trading after a red week, for the next week: this would be great if the weeks always come in groups. And for the isolated weeks, I just miss one week of profit (but I can't avoid the first week of losses). We don't know if this works, but so far it does seem to work. We cannot solve the problem at the root, because we'd be messing with the systems in unorthodox ways, and whose implications we cannot control. But we may be able to stop trading when the bad stuff happens, and hopefully the bad stuff happens all at once. If it doesn't work, we do lose some profit.
GETTING RID OF SYSTEMS THAT CONSTANTLY LOSE (ALREADY IMPLEMENTED)
Obviously, we can eliminate all the systems that have never worked. I'll check that right now, to see what happens. Of course this only makes sense if the system loses constantly, because otherwise we might get rid of a systems that will make money later and keep a system that will lose money later.
Now, look, the equity line without the unprofitable systems is just beautiful but the question is: did I know this a month ago, or did the systems just turn unprofitable in this month? Because if they've been unprofitable for 4 months, then I'm ok because I could have just excluded them. If they just turned unprofitable now, then it's not useful to me.
GOOD NEWS
This is good: the equity line of the profitable systems looks good. The profitable systems have almost all been profitable from the start and throughout the months. If we had 2 red months and 2 green months, we could not rely on them, because the same could happen on the others. But if the profitable stay profitable, and we trade them, then we can rely on our equity line to be pretty stable. Now let's look at the unprofitable with this question: did they always show losses from the start and throughout?
NOT EASY TO GIVE ESTIMATES BUT I CAN DRAW SOME REASSURING CONCLUSIONS
Not easy to do this without formulas. I might get deceived by my hopes. The results are mixed. All bad systems today did not have all red weeks in the past, and viceversa. However I can conclude that systems that overall are profitable after 4 months are more likely to be profitable than systems that overall are not profitable after 4 months. And the more time will go by, the more my forward-testing will be accurate. And so I will invest based on this assumption. This assumption is what we do in daily life for everything. We count on people who were reliable until today, and so on.
Another good thing seems to be this: if I only use the profitable ones based on what I said above, the bad red weeks are just 2. If the cause is the markets falling, that won't last too long. Whatever the cause is, since they've made money for 3 months and lost it for one month at the most, I can count on the future to repeat itself, in these proportions. This means this thing takes care of the whole problem, and so I can avoid that idea of skipping trading on weeks that follow bad weeks. I want to do as little as possible that is not proven to work.
So I am left very reassured, as I am already doing what I found out I should be doing: only trade the systems that have been profitable in forward testing. For sure some of them will have bad weeks in the future, and maybe some of them will even turn overall unprofitable in forward tests. But they are less likely to do so than the systems that already are unprofitable in forward tests.
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Travis
I've followed your journal off and on for a few weeks - you are far and away the most prolific poster on this site at the moment. You are very open about what you are thinking. I'm not sure I cogitate as much in a week as you actually post on here!
If I may, I'd like to make an observation (and I realise that maybe others have made it). I think you've described both automatic and discretionary trading systems. My observation is that you don't appear to stick with any strategy/tactic for any reasonable length of time. You appear to change strategy intraday, and sometimes more than once.
Memory is vague, but I think you said that you have written 40 or so automated systems. I think you have claimed here that some of them work. If so, why are they not at work now? I realise, of course, that almost any auto-strategy might work over some timeframe/given set of circumstances and not others, but if you think they have longer term viability, why not use them?
I don't think there is any one definitive way to approach trading - some people like TA, some like drawing lines, some FA, some candlesticks, some like stat arb rules coded in a machine or a combination of these and other things, all with a variety of degrees of success but I really do think this, and someone else said the same on this site earlier this week: if you can make one unit a week, fairly consistently, and you can maintain that then you are in a great position because you can scale up. I think Sharpe ratio (crude, but informational) is useful, and intuitive.
But, if your methodology changes on a daily basis, it must be very difficult to determine what works and what doesn't, because you don't have a coherent, consistent methodology to compare against the market.
Don't be offended if I don't post here again for a long while, or if never. It's because I am not prolific and I am very busy, or, I may just not have much to say.
Out of interest, are you currently trading from Italy? The side banner here carries the stars & stripes.
I wish you the best of luck
I've followed your journal off and on for a few weeks - you are far and away the most prolific poster on this site at the moment. You are very open about what you are thinking. I'm not sure I cogitate as much in a week as you actually post on here!
If I may, I'd like to make an observation (and I realise that maybe others have made it). I think you've described both automatic and discretionary trading systems. My observation is that you don't appear to stick with any strategy/tactic for any reasonable length of time. You appear to change strategy intraday, and sometimes more than once.
Memory is vague, but I think you said that you have written 40 or so automated systems. I think you have claimed here that some of them work. If so, why are they not at work now? I realise, of course, that almost any auto-strategy might work over some timeframe/given set of circumstances and not others, but if you think they have longer term viability, why not use them?
I don't think there is any one definitive way to approach trading - some people like TA, some like drawing lines, some FA, some candlesticks, some like stat arb rules coded in a machine or a combination of these and other things, all with a variety of degrees of success but I really do think this, and someone else said the same on this site earlier this week: if you can make one unit a week, fairly consistently, and you can maintain that then you are in a great position because you can scale up. I think Sharpe ratio (crude, but informational) is useful, and intuitive.
But, if your methodology changes on a daily basis, it must be very difficult to determine what works and what doesn't, because you don't have a coherent, consistent methodology to compare against the market.
Don't be offended if I don't post here again for a long while, or if never. It's because I am not prolific and I am very busy, or, I may just not have much to say.
Out of interest, are you currently trading from Italy? The side banner here carries the stars & stripes.
I wish you the best of luck
Yamato
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Thanks for reading my journal and taking the time to write me some feedback.
YOUR OBJECTION #1
You say that I "don't appear to stick with any strategy/tactic for any reasonable length of time". True only for one of the 3 modes of my trading, the "compulsive gambling" mode, which is my worst mode and something I've been trying to get rid of for months - probably since I started this diary.
Here's an outline of my present trading modes, from worst to best:
1) compulsive gambling: all bad and out of control (trying to eliminate it by keeping myself busy with #2)
2) pro-trend semi-discretionary system: all good and under control
3) automated systems: all good and under control
I've been doing #1 from 1997 till now, #2 since a few weeks ago, #3 full time since early 2008 and only backtesting since 2003. I'm trying to get #2 to replace #1, by eliminating the urges that make me do it (probably urges to make money fast so I can solve my problems).
As far as #1, as I said, your remark is correct, and, in all these 12 years I've been trading, I've kept changing strategy aimlessly as I was into "full gambling mode".
YOUR OBJECTION #2
You ask why i am not using my automated systems. Well, first of all it's not true because I've actually been using them for years and I am still using them even now that I have so little capital (once again, I've written it several times, maybe more than once a day). The question you might then ask is "why aren't they making money?". And again, I've said all this several times (just thinking out loud, without the need for anyone to ask me): lack of capital, which in turn was caused mostly by gambling.
I can still afford to trade some of them, as I said: the few whose drawdown I can afford with just 5k of capital, and they did produce amazing results in the past, but I've blown away the winnings mostly with my gambling (e.g.: I've gone from 20k to 10k just in two weeks of gambling, in July) and partly with faulty money management (trading futures whose drawdown I couldn't afford). I've written all these things before but of course I can't expect you to read over 1000 posts before writing. Not using my profitable systems is not a mistake I am making any more: I've made it before, when I still didn't trust them. The one and only problem I still have is compulsive gambling. A much smaller problem was my automated systems money management, as I mentioned, but that's solved. And finally my problem right now is having a small capital, but if I don't gamble, that won't be a problem for long, because capital should increase thanks to #2 and #3.
I must add this: when capital is low my automated get screwed, even I don't do any gambling. The systems work all right beyond 20k, but perform very poorly under that capital. I can't explain in detail for lack of time and understanding, but due to their drawdown, and to the fact that they help one another by trading all at once, with just 10k you're not going to get very far very fast.
Another thing: paradoxically my systems have performed better with reckless money management than with proper money management. When I didn't know what i was doing, I used them all simultaneously and more than once I got as lucky as getting from 5k to 25k in a few months. Then partly I gambled the winnings away (in my effort to make even more), partly I spent them (because I felt they would go on forever), and, partly, because of the same reckless money management, the systems themselves lost money. Now I know how delicate this money management balance is, thanks to forward testing results especially, and I realize how lucky I've been when I got from 5k to 25k in a few months, and so now I trade the systems much more carefully, because I know they could get from 5k to 2k in two days. But the consequence is that they don't double in one month, nor in two months, nor ever. For example, had I used in November the same money management that I used in all of 2008 and most of 2009 (until I started with my forward testing in July), I would have lost my 5k in just a few days.
YOUR OBJECTION #3
You ask whether I am in Italy or in the States. Yeah, I am trading from Italy and I have written other posts explaining what the american flag is doing on my profile. Travis is from the States. And Taxi Driver is my favorite movie.
YOUR OBJECTION #1
You say that I "don't appear to stick with any strategy/tactic for any reasonable length of time". True only for one of the 3 modes of my trading, the "compulsive gambling" mode, which is my worst mode and something I've been trying to get rid of for months - probably since I started this diary.
Here's an outline of my present trading modes, from worst to best:
1) compulsive gambling: all bad and out of control (trying to eliminate it by keeping myself busy with #2)
2) pro-trend semi-discretionary system: all good and under control
3) automated systems: all good and under control
I've been doing #1 from 1997 till now, #2 since a few weeks ago, #3 full time since early 2008 and only backtesting since 2003. I'm trying to get #2 to replace #1, by eliminating the urges that make me do it (probably urges to make money fast so I can solve my problems).
As far as #1, as I said, your remark is correct, and, in all these 12 years I've been trading, I've kept changing strategy aimlessly as I was into "full gambling mode".
I know, and I've recently made your same remark in several of my last 500 posts: if you keep changing gun, you'll never become a good shot.
YOUR OBJECTION #2
You ask why i am not using my automated systems. Well, first of all it's not true because I've actually been using them for years and I am still using them even now that I have so little capital (once again, I've written it several times, maybe more than once a day). The question you might then ask is "why aren't they making money?". And again, I've said all this several times (just thinking out loud, without the need for anyone to ask me): lack of capital, which in turn was caused mostly by gambling.
I can still afford to trade some of them, as I said: the few whose drawdown I can afford with just 5k of capital, and they did produce amazing results in the past, but I've blown away the winnings mostly with my gambling (e.g.: I've gone from 20k to 10k just in two weeks of gambling, in July) and partly with faulty money management (trading futures whose drawdown I couldn't afford). I've written all these things before but of course I can't expect you to read over 1000 posts before writing. Not using my profitable systems is not a mistake I am making any more: I've made it before, when I still didn't trust them. The one and only problem I still have is compulsive gambling. A much smaller problem was my automated systems money management, as I mentioned, but that's solved. And finally my problem right now is having a small capital, but if I don't gamble, that won't be a problem for long, because capital should increase thanks to #2 and #3.
I must add this: when capital is low my automated get screwed, even I don't do any gambling. The systems work all right beyond 20k, but perform very poorly under that capital. I can't explain in detail for lack of time and understanding, but due to their drawdown, and to the fact that they help one another by trading all at once, with just 10k you're not going to get very far very fast.
Another thing: paradoxically my systems have performed better with reckless money management than with proper money management. When I didn't know what i was doing, I used them all simultaneously and more than once I got as lucky as getting from 5k to 25k in a few months. Then partly I gambled the winnings away (in my effort to make even more), partly I spent them (because I felt they would go on forever), and, partly, because of the same reckless money management, the systems themselves lost money. Now I know how delicate this money management balance is, thanks to forward testing results especially, and I realize how lucky I've been when I got from 5k to 25k in a few months, and so now I trade the systems much more carefully, because I know they could get from 5k to 2k in two days. But the consequence is that they don't double in one month, nor in two months, nor ever. For example, had I used in November the same money management that I used in all of 2008 and most of 2009 (until I started with my forward testing in July), I would have lost my 5k in just a few days.
YOUR OBJECTION #3
You ask whether I am in Italy or in the States. Yeah, I am trading from Italy and I have written other posts explaining what the american flag is doing on my profile. Travis is from the States. And Taxi Driver is my favorite movie.
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Yamato
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inzider
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Hi Travis!
Nice journal here! I find yourself very honnest to show us how you "struggle" whit the market and how willing you are about getting consistant profitable.
I do, still, fight whit the market myself too everyday, and can understand your progression easily.
In short, all I have to say is about your gambling habits. #1. Some rules need to be follow when you don't have a clue about what you do, some other need to be follow even when you know what you do.
Exemple, I don't stick whit a fix entry rules.... I don't trade whit indicators and extra scam tools, so its preatty hard to pin point a rules like this for me, I do it by personnal judgement, experience and technic.
But what I never broke, is my SL rules. Max 30 for scalping, max 60 for swing trading. If you analyse chart and yourself, you could find a way to stop yourself making THE bad mistake, and then focus on what matter the most - making money. (this is an average game...).
You were talking about psychology in your first post and how you don't understand the focus people put on this. This is exacly why.... If the trader don't have the good psychologie, it will always broke his rules, he will place revenge trade, he will get confuse by changing system because of frustration and pain.
Also, you can test a strategy, and it will work for a time, then market behavior is going to change and the system is worthless. What matter the most for me - I said for me its to understand price action, witch is soooo simple that most of poeple don't know it. They like the complicate fancy system and colored indicators, not simple understandable boring thing that make money.... this is so boring. LOL
You take care!
Inz.
Nice journal here! I find yourself very honnest to show us how you "struggle" whit the market and how willing you are about getting consistant profitable.
I do, still, fight whit the market myself too everyday, and can understand your progression easily.
In short, all I have to say is about your gambling habits. #1. Some rules need to be follow when you don't have a clue about what you do, some other need to be follow even when you know what you do.
Exemple, I don't stick whit a fix entry rules.... I don't trade whit indicators and extra scam tools, so its preatty hard to pin point a rules like this for me, I do it by personnal judgement, experience and technic.
But what I never broke, is my SL rules. Max 30 for scalping, max 60 for swing trading. If you analyse chart and yourself, you could find a way to stop yourself making THE bad mistake, and then focus on what matter the most - making money. (this is an average game...).
You were talking about psychology in your first post and how you don't understand the focus people put on this. This is exacly why.... If the trader don't have the good psychologie, it will always broke his rules, he will place revenge trade, he will get confuse by changing system because of frustration and pain.
Also, you can test a strategy, and it will work for a time, then market behavior is going to change and the system is worthless. What matter the most for me - I said for me
its to understand price action, witch is soooo simple that most of poeple don't know it. They like the complicate fancy system and colored indicators, not simple understandable boring thing that make money.... this is so boring. LOL You take care!
Inz.
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Yamato
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inzider
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Yamato
Legendary member
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Hi Travis!
Nice journal here! I find yourself very honnest to show us how you "struggle" whit the market and how willing you are about getting consistant profitable.
I do, still, fight whit the market myself too everyday, and can understand your progression easily.
In short, all I have to say is about your gambling habits. #1. Some rules need to be follow when you don't have a clue about what you do, some other need to be follow even when you know what you do.
Exemple, I don't stick whit a fix entry rules.... I don't trade whit indicators and extra scam tools, so its preatty hard to pin point a rules like this for me, I do it by personnal judgement, experience and technic.
But what I never broke, is my SL rules. Max 30 for scalping, max 60 for swing trading. If you analyse chart and yourself, you could find a way to stop yourself making THE bad mistake, and then focus on what matter the most - making money. (this is an average game...).
You were talking about psychology in your first post and how you don't understand the focus people put on this. This is exacly why.... If the trader don't have the good psychologie, it will always broke his rules, he will place revenge trade, he will get confuse by changing system because of frustration and pain.
Also, you can test a strategy, and it will work for a time, then market behavior is going to change and the system is worthless. What matter the most for me - I said for me
You take care!
Inz.
Hey, thanks for the feedback. Anyone who can make money has something to show to me. This time I won't reply as long as the previous feedback because i am tired from testing and modifying the previous reply to earlier feedback about 100 times in a few hours.
What I can say is this: i trust my simple systems to keep working for the future years. I don't think the changes in the market will make them stop working
You make money? You can definitely teach me a lot. If you teach me your system, I'll try to automate it and it will be one of the dozens of my systems. If you tell me that it requires a lot of work, then I won't do it, because I am tired already. If it's simple, it will still take me months before I can get the energies to automate it.
As a discretionary trader, instead, I still have plenty of energies, maybe too much. I mean the energies to backtest & automate are a different type of energies than the ones that you need to trade discretionary, and that I immediately get by just staring at a chart for one minute (even too much). I get hyperactive when I stare at a chart. It fills me up with energy. Instead, when I look at tradestation or excel vba modules, I get lazy and feel like not doing it. I made myself do it all these years in hope of making money one day. And it was well placed effort indeed. Even though that money hasn't come in yet, mainly due to gambling and under-capitalization (which is partly a consequence of gambling).
Good luck to you. I'll check out your journal from time to time even though I found it hard to read, maybe because it requires the type of work that makes me become lazy. The charts you posted don't look easy to understand to me.
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