my journal 3

This is a discussion on my journal 3 within the Trading Journals forums, part of the Reception category; Originally Posted by travis Damn. I have to admit it's really getting to me. The other day I said I ...

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Old Dec 11, 2011, 2:58pm   #41
Joined Aug 2011
Re: my journal 3

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Originally Posted by travis View Post
Damn. I have to admit it's really getting to me. The other day I said I wouldn't care about the ratings but now there's an ongoing war between me and the mastermind of evil. Every day I come online and see that someone has given me a few more one-stars. Obviously this is not just the consequence of regular readers, but someone doing this on purpose. I know the stats of this from my previous journals.

So, it was ok as long as I had just all one-stars and a perfect score of 1. Then some good guy (or maybe it was the evil guy again) rated me a few five-stars, and so I got into this sick mania of wanting a good score again. That's when I rated myself five-stars, not just with my main user id, but also with my other nicks, of which two have now been banned.

But then the evil asshole kept on rating me down, so I've been registering again and again, trying to give myself a higher rating. But this maniac is more of a maniac than I am, so he keeps on dropping by, probably with new nicks (or he has a lot of hyenas-friends), and lowering my rating.

So I don't know what I'll do. Also because t2w got smarter and now I don't know if it's by ip or by computer id, but they basically ban you from the start. You don't even have the time to log in the first time and you're already banned.

I'll probably stop caring or if I still care and cannot manage to achieve a higher rating, I might get discouraged altogether and stop posting, and this asshole will be happy because he won in the end and made me stop posting here.

I wish this guy just died, whoever it is. Even if it's a child.
..

Last edited by G.O.A.T; Dec 12, 2011 at 9:17am.
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Old Dec 16, 2011, 12:44am   #42
 
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Re: my journal 3

travis started this thread Back from being banned.

I've done a few math exercises in the meanwhile:
snap1.jpg

92% of work done. 20 exercises to go.

Great web application on this exercise:
Derivative intuition | Khan Academy

Great links on solving systems of equations:
System Solver
Advanced Solve Equations :: QuickMath.com - Automatic Math Solutions

These last two links above can solve these problems:
Rate problems 1 | Khan Academy

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Last edited by travis; Dec 16, 2011 at 12:57am.
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Old Dec 16, 2011, 6:07pm   #43
 
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Re: my journal 3

travis started this thread I will probably stop here for today. I have a guest for once, and also I have to do the weekly update tonight, on the systems.

snap1.jpg

92.5% of work done. 19 exercises to go.

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Last edited by travis; Dec 16, 2011 at 7:58pm.
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Old Dec 16, 2011, 6:21pm   #44
 
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Re: my journal 3

I rated you one star for teh lulz.

You really shouldn't get hung up on such utter and meaningless sh*t. You know how many 5 star threads filled with poison and tripe are on this site?

Good luck with your trading
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Looks like Scose be trollin' 'aaaaard tho... as far as some are concerned!
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Old Dec 16, 2011, 6:40pm   #45
 
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Re: my journal 3

travis started this thread Yeah. Good luck to you, too.
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Old Dec 16, 2011, 10:49pm   #46
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Re: my journal 3

Welcome back. No other words needed....

Last edited by JRP2891; Dec 16, 2011 at 11:58pm.
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Old Dec 17, 2011, 12:37am   #47
 
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weekly update (forward-testing)

travis started this thread Thanks for the welcome back.

Finally the big surprise I was hoping for:
snap1.jpg

We stopped trading on September 26th, and that, so far, was the lowest point ever reached. Damn, doesn't it suck for me.

After that, the selection of systems traded went nowhere for two and a half months, and now it resumed its rise (or so it seems at this time).

As I have always thought, the systems were not unprofitable. We simply made big mistakes in the assessment of the drawdown, which is why I am studying math right now, so to be able to tackle portfolio theory one day.

I've been monitoring that equity line because i want to know how it would have ended had we kept going, and not because it's the best combination of systems, because it's not. It simply is the one combination that worked best in the past in terms of maximum historical drawdown vs. historical return and i chose it by testing hundreds of different combinations in terms of return/drawdown. Choosing what worked best is curve-fitting. That's where we made a mistake.

I must instead find a way to appraise what is most likely to work best, and only then find out how it worked in the past (and base on it my calculation of capital required). Going the other way around is like abusing the data, cheating, and ignoring the out-of-sample methodology, which I've been applying for creating the individual systems.

If anything, rather than curve-fitting the portfolio combination as we did, it would be better to simply trade all the good systems with 1 contract, after making sure there's enough capital to withstand their historical relativized drawdown times two:

snap2.jpg

Once I will have saved a few more hundreds dollars, maybe in two months, I will resume my trading by applying this simple methodology with the three or four systems that have emerged in the chart above and that I can afford (I need systems with high sharpe ratio, low margin requirements, and low drawdown), and they'll be chosen based on their individual performance, rather than by testing hundreds of combinations of systems and choosing the ones producing the best combined performance.

It won't be much capital nor much profit, but at least i will feel the pleasure of doing something right, and making money with it. Regularly, and without worries, for the first time. It will pay for the server and it will build up capital. And if it won't work, it's better if it fails with little money. If it works, before the capital will grow, I will have the time to learn the portfolio theory I will need for combinations of more than four systems. One system doesn't need portfolio theory. Two systems with futures of equal size don't need it either. As the number of systems/futures grows portfolio theory is needed more and more. But even if I never figured out a portfolio theory which is good enough, I now know that no portfolio theory and trading 1 contract per good system (those with the highest sharpe ratio) is better than a wrong portfolio theory.
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Last edited by travis; Dec 17, 2011 at 8:35pm.
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Old Dec 17, 2011, 2:47am   #48
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Re: my journal 3

Travis, I don't judge you. I just try to look at the facts and you get no recommendation from me, because:

On the positive side, YOU

- killed that fat Boss Hogg wannabe in Godfather II, and introduced olive oil to the US
- saved an innocent girl in Taxi Driver
- scared the sh*t out of Billy Crystal in those 'analyze whatever' movies
- scared the sh*t out of Ben Stiller in those 'meet whoever' movies
- did all you could for your pals in 'Nam

BUT, on the negative side, YOU

- were an out and out unrepentant, uncontrollable as**ole in Mean Streets
- raped a woman in Once Upon a Time in America
- let wee Joe Pesci do wtf he wanted in NY
- let wee Joe Pesci do wtf he wanted in Vegas
- killed Bambi, or at least you got tooled up and tried your best

So, it's in the balance, but you weren't in The Sopranos, and you let wee Joe Pesci push you around in Rocky, so, it's a no, capisci?

Merry Christmas
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Old Dec 17, 2011, 2:52am   #49
 
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Re: my journal 3

travis started this thread Yes, and good job watching all those good movies. Merry Christmas.

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Read: E.P. Chan, Cogneau - Hubner, Sewell, Tverberg. Search: expected shortfall, Monte Carlo VaR, extreme value theory. Trade.

Last edited by travis; Dec 18, 2011 at 2:15am.
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Old Dec 17, 2011, 8:21pm   #50
 
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Re: my journal 3

travis started this thread Done for today:

snap1.jpg

94% of work done. 16 exercises to go.

Excellent web application on this exercise:
Unit circle | Khan Academy

Many of Khan Academy's exercises have applications that are better than the equivalent Wolfram Demonstrations:
Wolfram Demonstrations Project

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Read: E.P. Chan, Cogneau - Hubner, Sewell, Tverberg. Search: expected shortfall, Monte Carlo VaR, extreme value theory. Trade.

Last edited by travis; Dec 18, 2011 at 12:40am.
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