my journal

This is a discussion on my journal within the Trading Journals forums, part of the Reception category; My sixth red week. A lot of reasoning has to be done, but it will be simple. The question is: ...

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Old Dec 19, 2009, 11:05am   #1636
 
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Weekly update on automated systems

Yamato started this thread snap1.jpg

My sixth red week. A lot of reasoning has to be done, but it will be simple. The question is: are the bad results being produced by the systems I added a couple of months ago or are the bad results coming from all systems in general?

Because in the first case, I am all right, but in the second case I am screwed and my systems are not looking good.

[...checking... studying...]



Ok, studied and checked quite a bit and here's the deal. It wasn't just the recently added systems that caused the massive losses in the past few weeks. It was the Intraday systems that have lost because maybe the markets didn't go up and such systems mostly only go LONG, and of course if the markets mostly fall, it's not going to be easy for them to catch the LONG opportunity.

q.jpg

If I were to differentiate between each individual system, I might get rid of those that don't work, but I might be overoptimising. Instead, by looking at categories of systems, by common concepts, I should manage to avoid overoptimization (I mean: one system could have gotten lucky, but all of them put together is more unlikely).

So, as a category, the weekly bias systems seem to have failed so far. But they only go LONG and since in the past few weeks we've fallen, then that might be the only reason. These systems may start performing very well in the future, but am I prepared to take such a drawdown, whereby I go to 50k and then come back down to zero pretty much? Mind you, getting to zero doesn't mean my equity is wiped out, because the chart does not represent my capital but only the profits of the systems.



Let's go over the categories of these groups of systems just in case anyone cares:
1st hour bounce: a lot of screwing around in the first hour (trades 15.15 to 16 CET), but there's a tendency to bounce within the daily high and low. Well, I call it "first hour" because it's the first hour of "open outcry" trading, but of course the futures trade 24 hours a day.
ON bounce: after the close (22 CET), tendency to go in the opposite direction of where we've gone during the day.



opening gap: no explanation needed.
overstretched: self-explanatory title.



volatility breakout: no explanation needed.
weekday bias: on some days of the week markets go up.
with id trend: during the day (from 10 to 22 CET), whatever the trend, it tends to continue.



There's groups of systems that produce consistent results and others that have bad periods. I need to identify what doesn't work with the latter group. The weekly profit by groups table identifies the WeekDay Bias and the WITH ID trend systems as the unstable ones.

I wish I knew what went on in the markets in the past 6 weeks that might have interfered with my systems. But I am too busy posting guitar videos to be able to do any testing on this. The truth is that I am tired of testing, backtesting, automating systems.

When I sum up all the losses by those two groups in those 6 weeks, I get a total of 40 thousand dollars. If I had a way to avoid those 40k of losses, my systems would be ok. As I said, since those weeks are all packed together... I mean this is not bad at all: even considering the 42 systems all together, the red weeks all come in a straight series of losses. I could simply stop trading whenever I get a red week. How about it?

But this will become an issue only when I'll be trading all the systems. Right now I am only trading the best system of all and so it is not an issue.

One day I should start trading all of the systems at once, and that day, I should use this method of not trading after a red week.

One may wonder at this point, after how I mentioned posting guitar videos instead of working hard on the systems, one may wonder why I am not busy working and am here relaxed, wasting time. I am not wasting time. The quantity is all there, and it would be negative to focus on quantity any further on quantity, because I'd be missing out on quality and the much bigger benefits that I can get from it. I have built 42 systems, and there's enough good stuff in there to keep going for years. Now I need to focus on making a few good moves in the right direction and I am all set. Both for automated and discretionary, where making one good trade (sniper approach) per day is better than 10 pretty good trades. The real objective now, after all this hard work, is to slow down (in discretionary, simply to trade less) and focus on making a few good and simple moves, like these ones I've been talking about, such as not trading for the week following a red week.

Actually that's why I started this journal. Because I realized that the quantity was all there, and that I needed to slow down, sit back, and look at things from a different perspective, get a different approach, and add whatever quality was missing. Now I'll go and implement the weekly filter, whereby the systems don't trade at all after an overall bad week. Can't hurt me much. At the most I'll miss a good week. But since I haven't been getting one good and one bad week but a bunch of red weeks all stuck together, right now this seems the best solution.



Well well... check this out... was I saying six bad weeks? Look at this weekly chart of the EUR, which pretty much represents all my systems, since 7 systems are on the EUR alone, and most other futures I trade move the same way the EUR does:

fsspon.png

Ok... now I've added the red and green weeks of my system to the chart and the picture is pretty clear and self-explanatory.

ttt.jpg

Now I see that maybe instead of waiting for the red week to happen I could prevent my systems from trading when the EUR is not going up. Well, a lot of thinking needs to be done outside of this post. Probably I will wake up one morning with the idea in my mind, or while in the bath tub. What I need to do is remove the worries I am having about my job, because right now what I am dreaming of is the suspicious transaction reports, and that mother ****er, the boss.

Link from where I took the weekly chart.

Ok, this is it, but I don't know yet if that's it. I set up a chart with the 10 period moving average ona weekly timeframe, and that seems to get rid of part of the red weeks:
http://futuresource.quote.com/charts...C10%2C10%29%3B

But you know what? The best method still seems to be not to worry about what the EUR does, and just to stop trading the systems whenever the previous week was a red. I will implement this at once.

Last edited by Yamato; Dec 19, 2009 at 2:03pm.
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Old Dec 19, 2009, 2:01pm   #1637
 
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Re: my journal

"Well well... check this out... was I saying six bad weeks? Look at this weekly chart of the EUR"

That's only part of the story. Look at the Dollar index, which has been going up for that period, as I said it would elsewhere on this site.
The dollar index compares the dollar to a basket of other currencies.
www.fxstreet.com/rates-charts/usdollar-index/
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Old Dec 19, 2009, 2:08pm   #1638
 
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Re: my journal

Yamato started this thread Yeah, my friend from March 2003, but you didn't comment on the main point of my post: the guitar videos. Thanks for the link and the feedback.

As I said, I'm going to implement a filter based on the performance of my systems rather than where the EUR is going. Simpler, more reliable. At the worst, I'll miss a few profitable weeks, but the way it looks right now, I might be able to avoid some of that 40k loss that went on in the past 6 weeks.

I've done some calculations and with "take week off if past week unprofitable" rule, the deal would have been:

1,462
5,913
1,092
-834
4,282 MISSED
1,951
516
1,406
4,661
6,044
547
4,888
-2,878
6,702 MISSED
12,116
2,926
-960
-7,395 MISSED
-2,692 MISSED
-10,357 MISSED
-8,393 MISSED
-6,898 MISSED

For a total of 11k missed profits, and 36k missed losses. Thereby gaining 25k. With the "don't trade if EUR below 10 period weekly timeframe moving average" rule, I would have gained 15k by sparing myself 15k of losses. So I will forget about EUR and dollar index, too, and implement the rule based on systems' performance.

The problem with this whole deal is that the systems that have been added along the way, are not counted from the start, because they weren't being forward-tested since July. That's why I should stop adding systems for a while. Enough quantity, let's focus on quality.

But this weekly rule will only be enabled when all systems, after a year of forward testing, will have turned profitable. Right now a part of the systems are not trading because the drawdown they encountered from the start of their forward-testing has made them unprofitable altogether. This will not be the case for probably any systems as time will go by. That's when I'll have to use this rule, to prevent systems that are overall profitable from trading in unfavorable periods, even if their overall profitability is not at stake. Of course, this all works until the red weeks stick together, because otherwise it doesn't work.

One important remark that has to be made is this: I didn't know the systems were so correlated among one another as they are turning out to be. They are all losing and making money together and this I didn't expect. I expected them to compensate one another. I will have to come up with something. Backtesting on multiple timeframes is not... damn, I'll do that as well some day, but not now. Don't make me go back to tradestation, and retest 42 mother ****ing systems on multiple timeframes, and have to save all the reports again, and get all their drawdowns again... don't make me do that now.

Last edited by Yamato; Dec 19, 2009 at 2:32pm.
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Old Dec 19, 2009, 2:35pm   #1639
 
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Re: my journal

You can lead a horse to water ...........

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Old Dec 19, 2009, 2:47pm   #1640
 
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Re: my journal

Yamato started this thread I am more like a mule. I want to lead myself to water. Besides, it's true that I am stubborn, but your explanation on what I should do reminds me of the clues in crosswords.

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Old Dec 19, 2009, 4:27pm   #1641
 
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ok, done with the "past week" filter

Yamato started this thread I implemented the "past week must be positive" filter for all systems except those that don't have a reason to behave like the EUR: ZN and GBL systems, SHORT-only JPY systems, and "1st hour bounce" systems, since they go both LONG and SHORT and their trades have nothing to do with where the markets are heading.

The final excel function for my filter is this one:
=VLOOKUP(WEEKNUM(TODAY())-1,pw,2,FALSE)>0

Ok, from now on just movies for the rest of the weekend or monday it will be shooting rampage.

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Old Dec 19, 2009, 7:51pm   #1642
 
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Re: my journal

Yamato started this thread This coming week.

Capital 7500. Hoping to bring it to 8500.

AUTOMATED SYSTEMS
1) Automated systems are all taken care of, and trading will now be extra safe, with the newly implemented "past week" filter. I could let them run for a whole week without checking on them.
2) Other than the "past week" filter, they are safe because the max loss per system is 5% of capital, which means the systems allowed to trade 1 contract must not have incurred a max loss higher than 7500/20=375.
3) Also,I am only trading systems with very positive results in terms of return on account.

According to the rules mentioned, out of the 42 systems running (which are still all forward-tested of course), those allowed to trade are as follows, rule by rule:
1) the past week rule alone lets only 13 out of 42 systems trade.
2) the 5% max loss rule lets only 11 systems trade.
3) the ROA money management ratio allows 7 systems to trade.

The combination of all rules allows only 6 systems to trade next week, and they're totally safe. From automated systems next week I am expecting to make 1500 at the most, and to lose nothing at the worst, because they should balance each other. Realistically, I am expecting to make 500 dollars.

DISCRETIONARY SYSTEMS
There's going to be about 5 trades, and if I don't lose control (if I do, I could lose 2000), I should get about 4 wins out of 5 trades. My usual % wins with the system has been 80%. That means I am counting on about 750 dollars.

All in all, I am hoping to bring my capital to 9000, but I will be happy with bringing it to 8500. And satisfied with 8000.

GAMBLING DANGER
If I gamble, I could bring it to as low as 5000, a very familiar experience. But if I follow all rules I wrote down, I should be able to increase my capital in all safety.

Here are the latest discretionary rules (in red the rules to keep me from gambling):

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:
1 DAY OF 1-minute ES, CL, GBP "line" mode with their 225-period slow moving averages
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
----------------------
PRO-TREND DISCRETIONARY SYSTEM
RULES
ENTRIES (one contract) can be made if:
1) you haven't lost > 270 dollars for the day
2) you sense trend (high volume/range, no news wait, touched >= 2 pivot lines, correlated all above/below their mas)
3) time is 15.00 to 20.00 CET
4) your entry and your take profit are > 10 ticks away from any pivot lines or any 0.0100s levels if beyond S2 or R2
5) you're checking "correlated" chart for exact timing of entry
6) the 225-period ma is in favor by > 10 ticks
7) the 15-period ma gets crossed by price (in favor) after being on the other side >= 4 minutes
EXITS
Bracket order of 20 ticks.
Early exit if you feel your move has either failed or exhausted its momentum before reaching takeprofit.
----------------------
COUNTER-TREND DISCRETIONARY SYSTEM
RULES
ENTRIES (one contract) can be made if:
1) you haven't lost > 270 dollars for the day
2) time is > 17.30 CET
3) daily change > 200 ticks
4) Price is < S2 or > R2
5) Price crosses above/below fast ma above/below any 0.0100s level that hasn't been violated by more than 10 ticks.
EXITS
Bracket order of 20 ticks.
Early exit if you feel your move has either failed or exhausted its momentum before reaching takeprofit.

Last edited by Yamato; Dec 20, 2009 at 12:02am.
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Old Dec 20, 2009, 2:02am   #1643
 
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Re: my journal

Yamato started this thread What's always screwed me is that I wanted to make a great return every day. If I could just ask of myself less than what I can get from the market, then things will be fine. I always tend to overdo everything.

The doubling mania is what screwed me, always expecting to double my capital, every month, and why not even every week, and if that's possible, why not every day, pushing my limits relentlessly, just like my father taught me - never being satisfied, Until I finally bring my risk too far and kill my account. (Just like my dad pushed me too much to study, and I went from being the top in my class to quitting studying and skipping classes).

Yeah, because if you're building a wall, you can be a workaholic and the wall will get built faster. The same with typing on a journal, the more you write the bigger it gets.

But with trading it's different, and quality is more required than quantity. It's not like the more you trade, the more you make money. Here beyond a given quantity you will start hurting quality to the point of being unprofitable. It's as if you were actually removing bricks from your wall. That's what losses are: your way of removing bricks from the wall of capital because you were rushing too much in building that wall.



So this shows that building up your capital with trading is not like building a wall with bricks. You can't just work harder and faster and count on raising your wall faster. Building your capital is closer to surgery than to building a wall. Every little move you make could cause damage.



So, I was about to get my notebook and start writing my doubling dreams again, like so many times in the past years. I was going to get my notebook and write:
7500, next week I'll have 9000. Then 11000... every week 20% more, and that will be doubling every month... in six months a million dollars...

Instead I came to journal to witness my madness. At least I share it with others, to get opinions or to warn them, or describe the same problem they have. Yeah, because I suppose many of the things I describe are common to others.

Last edited by Yamato; Dec 20, 2009 at 12:03pm.
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Old Dec 20, 2009, 2:52am   #1644
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Re: my journal

Quote:
Originally Posted by travis View Post
Hey, you haven't been reading the 1500 posts of the journal... Obviously what's wrong is, rather than something related to my money management, my compulsive gambling, that caused me losses of 2000 dollars or even more (10% of my capital or more) on a couple of days per month, in the past 6 months.

Now that it's history, you will see how my account will grow.
My point was that you dont seem to enjoy trading with proper money management because in your mind you do not make big enough returns...you seem to continuosly refer back to when you gambled and were able to make large gains....and probably this is the reason why you revert back to gambling - the memory of those large gains...but the point is that they were not really large gains because you ended up losing it again anyway....which is a typical gambling delusion..remembering the winners but forgetting the bigger losers.

Following on from that I was trying to say that good money management does not necessarily mean very small regular gains...and if this is all you are getting then maybe the problem is with your system....if you are getting better gains using good management then this may help you give up the gambling side of it...

Maybe you should read some of Elders books which equate gambling losses to alchoholism, and he even goes so far as to suggest that the AA ten point plan can work for gambling also......very good stuff from a psychological view point.
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Old Dec 20, 2009, 11:22am   #1645
 
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Re: my journal

Yamato started this thread Point taken. Thanks for taking the time to explain it again.

Yeah, I've read (and quoted here) that Elder's comparison of compulsive gambling to alcoholism, and his stress on the concept of "predetermined maximum loss", in chapter one. I even quote him in my profile.
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Old Dec 20, 2009, 11:58am   #1646
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Re: my journal

Quote:
Originally Posted by travis View Post
Point taken. Thanks for taking the time to explain it again.

Yeah, I've read (and quoted here) that Elder's comparison of compulsive gambling to alcoholism, and his stress on the concept of "predetermined maximum loss", in chapter one. I even quote him in my profile.
Are you quite sure that you've got the message? Because, after 200 odd pages I'm begining to think we're wasting our time.
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Old Dec 20, 2009, 12:06pm   #1647
 
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Re: my journal

Yamato started this thread That's why I am here. Maybe the pressure from you guys will force me to get the point. Maybe if everyone abandons the journal and I feel like an idiot, maybe then the point will get across to me. Repetita juvant.

For sure I will not stop writing the journal before I've turned profitable, and I mean it "long term", in a non-gambling way. Which is the only way possible, because when I gamble I lose everything again within the next two weeks.

So far my capital says it all: on september 5th, when I started the journal, I had about 7000 and now I have 7500. I will be able to say that I've turned profitable and stopped gambling when I'll be back at 20k. In July I was at 20k, which to me is a dream now, but back then I was frustrated because I wasn't at 30k yet. This continuous drive to make more is dangerous... I've talked about it plenty of times, quoting other blogs as well, while discussing my sniper analogy to cure overtrading.

I haven't cured my compulsive tendencies, not just in my trading but in my life in general, but this should not lead you to think that I've done nothing in the past three months, and it's all documented on the journal. My discretionary trading and my awareness of myself and my problems is better than ever, thanks to the journal and to the readers. And automated trading is better than ever as far as money management thanks mainly to forward-testing, and as far as automated systems, thanks to my hard work and help from the readers: in September I had 24 systems and now I have 42.

Turning profitable to me is indeed rocket science, and they didn't land man on the moon overnight.


Last edited by Yamato; Dec 20, 2009 at 12:37pm.
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Old Dec 20, 2009, 4:59pm   #1648
 
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My target for next week is... increasing capital

Yamato started this thread Instead of expecting to make 1000, I should have a target of... making money. That way I won't have any extra pressure to trade, but that presumes that I don't spend more money than I make from my job, or else it'll put pressure on me to make a weekly profit target big enough to cover those extra expenses. So, no restaurants from now on.

With a combination of automated and discretionary I should make at least 500 per week anyway, which is more than what I get paid at the bank.

Without a pressure to make a target, I'll make 2000 per month, whereas, with a pressure to make a given target, I will lose 2000 per month.

I will start reporting all my trades on the journal as before, because I found that I am less prone to gambling when I do so.

I will report even the gambling trades, should they happen.

New systems, with changes in red.

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:
1 DAY OF 1-minute ES, CL, GBP "line" mode with their 225-period slow moving averages
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
----------------------
PRO-TREND DISCRETIONARY SYSTEM with daily change < 200 ticks
RULES
ENTRIES (one contract) can be made if:
1) you haven't lost > 270 dollars for the day
2) time is 15.00 to 20.00 CET
3) daily change < 200 ticks
4) you sense trend (high volume/range, no news wait, touched >= 2 pivot lines, correlated all above/below their mas)
5) your entry and your take profit are > 10 ticks away from any pivot lines or any 0.0100s levels if beyond S2 or R2
6) you're checking "correlated" chart for exact timing of entry
7) the 225-period ma is in favor by > 10 ticks
8) the 15-period ma gets crossed by price (in favor) after being on the other side >= 4 minutes
EXITS
Bracket order of 20 ticks.
Early exit if you feel your move has either failed or exhausted its momentum before reaching takeprofit.
----------------------
COUNTER-TREND DISCRETIONARY SYSTEM with daily change > 200 ticks
RULES
ENTRIES (one contract) can be made if:
1) you haven't lost > 270 dollars for the day
2) time is > 17.30 CET
3) daily change > 200 ticks
4) Price is < S2 or > R2
5) Price crosses above/below fast ma above/below any 0.0100s level that hasn't been violated by more than 10 ticks.
EXITS
Bracket order of 20 ticks.
Early exit if you feel your move has either failed or exhausted its momentum before reaching takeprofit.
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Old Dec 20, 2009, 5:38pm   #1649
 
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Christmas truce

Yamato started this thread Christmas truce

Joyeux NoŽl
Watch "Joyeux NoŽl"




Pipes of Peace

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Old Dec 20, 2009, 5:57pm   #1650
 
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Re: my journal

Yamato started this thread Hey, this is very good, not the usual psycho-babble:


Got it from here:
http://www.trade2win.com/boards/vide...1&username=ek1
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