my journal

This is a discussion on my journal within the Trading Journals forums, part of the Reception category; Short break from answering the posts above, in order to test my famous PRO-TREND intraday system. Well, pretty good so ...

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Old Nov 28, 2009, 2:31pm   #889
 
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back-testing pro-trend discretionary pivot system

Yamato started this thread Short break from answering the posts above, in order to test my famous PRO-TREND intraday system. Well, pretty good so far.

I've managed to set up "data2" on tradestation, after fighting with it for an hour. So now that mentioned system of mine is testable, except for pivots, which are not going to be easy to be back-tested also because I don't trust the data I have to be the same IDEALPRO data I have on IB's TWS.

In simple English it read like this:
Quote:
ENTRIES if:
1) the 15-period 15-minute ma is in favor
2) the 15-period 1-minute ma gets crossed by price (in favor)
3) your entry and your take profit are both 1/5th away from any pivot lines
EXITS
Bracket order of 20 ticks. You can exit early if you wish, but not increase the distance of the stoploss.
In easylanguage, after getting rid of pivots and having a non-discretionary exit but just a bracket order (which should be worse than what I can do), it looks like this:
Code:
If marketposition = 0 and c crosses above AverageFC(c, 15) and c of data2 > AverageFC(c of data2, 15) Then Buy("Long") This Bar;
If marketposition = 0 and c crosses below AverageFC(c, 15) and c of data2 < AverageFC(c of data2, 15) Then Sell("Short") This Bar;

If Openpositionprofit > 0.0020 or Openpositionprofit < -0.0020 then ExitLong("X Long") This Bar;
If Openpositionprofit > 0.0020 or Openpositionprofit < -0.0020 then ExitShort("X Short") This Bar;
The system quoted above backtests pretty well for 2007. Despite tradestation's limits that certainly do not allow to test anything a discretionary trader could add with his better timing and intuition, the system is slightly profitable.

intraday_pro-trend_2007.XLS

This tells us (various tests I made) that the slow average is good because it gets rid of unprofitable trades, so going with the trend does work better in general.

The system trades on average a bit more than twice a day, which is more or less what I'd like to do.

If you add that I'll be able to help my trading with pivots, then you can see how I'll be able to make money pretty much every day from now on: because you can make money even executing the system as it is and without pivots helping me. As long as I remember this, that a systems like this one makes money without efforts, I shouldn't be tempted to go against the trend and will add my intuition only where it helps.

As long as I stay within the rules
Quote:
1) the 15-period 15-minute ma is in favor
2) the 15-period 1-minute ma gets crossed by price (in favor)
I can't lose money. If I add to it my intuition, I can make money every day.

WHY I ALWAYS LOST: BECAUSE I AM ANTICONFORMIST
Until now I lost because I felt the desire to fight the system, just like I fight everyone who posts here. Just like I am being disputatious all the time with people, I did the same with markets. And trust me in the markets it's just like in my regular life: it's not a pleasure being this way, going against the current on general principle. You get failed by teachers, you're considered heavy and unpleasant by your friends, you spend your whole time arguing (look at my replies to wprins). Nonetheless, I have a tendency to do this, regardless of why this happens. Well, when you do this with trading, you lose money for 12 straight years. There's my answer to my problem, right there, plain and simple.

Why am I like this? I don't know, I think it's my father's fault again. He taught me in many ways to never take shortcuts, to always do things the hardest possible way, to always challenge myself and others. He's the same. Whenever you talk to him and say something to him, his first word will be "no", then he might even agree with you, but he starts every sentence with a "no". Same with me: the market is going up? No, it's gonna start going down soon. You tell me to read a book or watch a movie? No, books suck, and movies recommended are never good. No, no, no. Always the hardest life, always working hard, inventing work when there's no work available. When work is not needed, destroying things to build them all over again.

Last edited by Yamato; Nov 28, 2009 at 3:09pm.
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Old Nov 28, 2009, 4:02pm   #890
 
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Re: my journal

Yamato started this thread Oh wow, ok... ok... there's a universe out there that I ignored. I was reading Indiana's new journal and read his profile and it says about this... fx500club. Then I went on their web site and browsed a little, watched two videos, and it seems like actually these people are selling stuff but know what they are talking about and are not charlatans, so apologies to wprins: there's exceptions, or it could even be half and half out there (half honest and half charlatans). Then I kept on browsing, dns searches, and so on, and I ended up finding out that the head of the web site is a fellow journal writer on this very forum, danarm. No wonder he was getting all those views. Number 1 most viewed journal. Ok, next time before talking I'll think twice.

However, after considering for a few minutes even subscribing to this fx500club, I said to myself... First of all, this stuff, drawing lines all over the chart, listening to those chats... it looks like a whole lot of work, plus I'd have to pay the fee, plus.. no way, man. On top of everything if they told me all the secrets at once, first of all I would be overwhelmed and second of all they'd spoil the game for me. I don't like to be taught, I like to learn on my own and have people answer my questions when I ask them. I enjoy the learning process. So, point taken: there's people selling stuff that works, and courses that work. Because I can tell these people are honest (college degrees, etcetera... people who follow the chat making money... keeping a journal here in front of everyone... etc). But still, I have to say: screw all this. I want to do things by myself. Some tips, I wouldn't mind, but in small quantity, here and there. Like someone from this journal who told me to look at pivots, and he was right.

In general, a chat, a place where I have to be a student, is not for me. I am not a follower. I am either leading or I'd rather be on my own. I don't like to be told what to do.

Last edited by Yamato; Nov 28, 2009 at 4:08pm.
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Old Nov 28, 2009, 10:56pm   #891
 
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third red week for automated systems...

Yamato started this thread Third red week for my automated systems and first red month: November. Since I began the forward testing on July 20th. These are the weeks I've had, rounded by the hundreds, to preserve some privacy. In red the red weeks. Last week was short due to thanksgiving, but I still count it as a week obviously.

1,500
5,900
1,100
-800
4,300
2,000
500
1,400
4,700
6,000
500
4,900
-2,900
6,700
12,100
2,900
-1,000
-7,400
-2,700


Now you see why I say that I can't run my systems with a capital of 10k. In the past 3 weeks they've lost 11k. Now imagine what that means in terms of drawdown. It means you still need a capital as big to still allow you all margin necessary even with that drawdown of 10k. If the drawdown (the biggest so far) is 10k, it means at its worst it might have been 14k or so. It means in the future the drawdown could be 20k at its worst. With a foreseeable drawdown like that, I need at least 40k before starting to trade all systems. Because were they to fall to 20k I'd still be able to trade them all. Of course my money management formulas are much more complicated than that.

Overall, knowing there's dozens of systems producing these results, one can tell this stuff is pretty good. But still, I do need that capital, and that capital is very far away unless my discretionary protrend system will produce something good, week after week. I think I am ready for it. I have the will and the ability to make it happen, starting next week. Also, because I clearly see the need for it to happen. There's no other way out of my job, and I really want to get out of that job.

These weeks of "minus 8 thousand" tell you that my system cannot use all the leverage available, because the drawdown could blow out my account. If I used all leverage available with a capital of 40k, that 8k could turn into a -20k. So I basically need a lot of money to trade all the system but at the same time I cannot use it, because I always have to be ready for a semi-disaster to happen. I don't know much about formulas, but I can tell that things would have been better if I had had no red weeks, and much lower returns, because then I could have invested twice as much, and returns would have doubled, without incurring any extra risk. With a rough estimate, half of the profit with no drawdown would have been better than what I am having, 40k profit, with 11k drawdown.

Suddenly I don't have that I have much in life and this might be what i needed to get serious and start making money. Trading cannot be just entertainment to me, let alone compulsive gambling. My situation is serious. I cannot stay much longer at the bank. I can't keep saying "next summer I won't be here" year after year. I need to knock off the bull**** now, and grow my capital to that 40k I need.

The least I am going to make is 100k per day. The most I can count on is 500k per day. But once I'll get to 20k my systems will start helping me as well, the ones with smaller drawdowns will all be trading.

But 20k is very far from 6k. How do i reach it?

Realistically, I can count on an average of 200 per day, at least while I am trading a contract, which I will be doing for the first month, to be safe.

Those 1000s I was making on my lucky days, quite rare, too, only happened because of daring reckless counter-trend trades, which condemned me to losing everything a few days later. Those big wins will not take place anymore. I'll have more secure wins now.

I am not going to go from 6k to 8k in a week, even less to 10k, as I said a few hours ago.

I can definitely get to 7k. Either that or I am going to lose, because with futures, you can't make less than that if you're doing something right. And if your system is wrong you're not going to lose a few dollars either.

We'll see anyway. I finally got tired of imagining huge returns and calculating my way to a million.

Last edited by Yamato; Nov 28, 2009 at 11:20pm.
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Old Nov 29, 2009, 5:39am   #892
 
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Re: my journal

Yamato started this thread Can't sleep.
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Old Nov 29, 2009, 5:43am   #893
 
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Yamato started this thread Maybe this laptop is causing the problem, because I don't have to get up and can use it from my bed, or maybe my resumed discretionary trading is making me nervous. Remember: if I'll follow the moving averages, I can't lose. If I can really start making money consistently most of my problems will be solved.
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Old Nov 29, 2009, 5:53am   #894
 
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Re: my journal

Yamato started this thread Maybe I need to read Elder or something, so I can distract myself from my own life, and that will make me relax. But I don't have a printer and reading on my desktop will not be a good idea. But maybe I'll relax enough to go back to sleep.

Usually my main interest is focusing on myself, but now I am feeling the need to turn the focus away from myself. So much so, that I clicked on the advertisement on top of this page, IG Forex Spread Betting, I never click on ads, much better to read a book. Better than clicking on ads to distract myself. From myself.

Investors Gold Index, that's what IG stands for.
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Old Nov 29, 2009, 5:59am   #895
 
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Alexander Elder

Yamato started this thread http://en.wikipedia.org/wiki/Alexander_Elder

Quote:
Alexander Elder, M.D., is a professional stock trader, living in New York. He is the author of Trading for a Living, Come Into My Trading Room and Entries & Exits, best-selling and well known among traders. First published in 1993, these books have been translated into Czech, Chinese, Dutch, French, German, Greek, Japanese, Korean, Polish, Portuguese, and Russian. He also wrote Rubles to Dollars — a book about the transformation of Russia.

Dr. Elder was born in Leningrad and grew up in Estonia, where he entered medical school at the age of 16. At 23, while working as a ship’s doctor, he jumped a Soviet Union ship in Africa and received political asylum in the United States. He worked as a psychiatrist in New York City and taught at Columbia University. His experience as a psychiatrist provided him with a unique insight into the psychology of trading. Dr. Elder’s books, articles, and software reviews have established him as one of today’s leading experts on trading.

...
official website
http://en.wikipedia.org/wiki/Special...lexander_Elder

Quote:
Swing trading (links)
Talk:Alexander Elder (transclusion) (links)
Force Index (links)
Wikipedia:Version 1.0 Editorial Team/Biography articles by quality/89 (links)
User talk:Jamvancan2424 (links)
Wikipedia:Version 1.0 Editorial Team/Biography (arts and entertainment) articles by quality/23 (links)
User:Kingbotk/Logs/160407 Writer stubs 1 (links)
User:Kingbotk/Logs/240407 People stubs 2 (links)
Wikipedia:WikiProject Military history/Assessment/Drive/31 (links)
Wikipedia:WikiProject Persondata/List of biographies/5 (links)
Elder (name) (links)
List of personalities associated with Wall Street (links)
User:Hut 8.5/Unreferenced BLPs/A (links)
User:Hut 8.5/Unreferenced BLPs/All (links)
List of Soviet and Eastern Bloc defectors (links)
User:TotoBaggins/Anagrams (links)
Wikipedia:WikiProject Spam/LinkReports/slkr.hostrator.com (links)
Quote:
Swing trading
Swing trading is commonly defined as a stock, index, or commodities trading practice whereby the instrument is bought or sold at or near the end of an up or down price swing caused by daily or weekly price volatility.[1][2] A swing trade position is typically open longer than a day, but shorter than trend following trades or buy and hold investment strategies.
Swing traders engage in prospecting changes in an instrument's price caused by oscillations between its price being bid up by optimism and alternatively being bid down by pessimism over a period of a few days, weeks, or months. Profits can be sought by engaging in either Long or Short trading.[3]

Swing trading strategies
A Predictive market trading algorithm or Trading System is defined as a calculable set of trading rules that uses either technical analysis and/or fundamental analysis and results in entry, exit and stop loss trade price points. Trading algorithms are not exclusive to swing trading and are also used for daytrading and long term trading. Investment in researching trading algorithms/systems has skyrocketed, particularly by investment banking firms like Goldman Sachs which spends tens of millions on trading algorithm research, and which staffs its trading algorithm team more heavily than even its trading desk.[4] The goal of trading algorithms is to remove the subjective decision making from swing trading and can be as esoteric as extrapolated biology theories like neural networks applied to derivatives trading by Rutgers University's Gang Nathan Dong[5]. Simple approaches include Alexander Elder's strategy which measures the behavior of an instrument's price trend using three different moving averages of closing prices. The instrument is only traded Long when the three averages are up, and only traded Short when the three averages are down.[6] Trading algorithms/systems may lose their profit potential when their strategies obtain enough of a mass following to curtail their effectiveness: "Now it's an arms race. Everyone is building more sophisticated algorithms, and the more competition exists, the smaller the profits," observes Andrew Lo, the Director of the Laboratory For Financial Engineering, for the Massachusetts Institute of Technology.[7]

Identifying whether a market is currently trending higher or lower, or trading sideways and when this will change is a challenge for many swing trading and long-term trend following trading strategies. Swing traders do not need perfect timing - to buy at the bottom, and sell at the top of price oscillations. Small consistent earnings that involve strict money management rules can compound returns significantly. Most important is to understand that there is no foolproof mathematical model or algorithm that will always work so only use them as research tools not decision making engines.
I don't trust swing trading. It's gonna make me engage in top and bottom picking again. I'd rather focus on getting in and out during the swing, identified by the moving average.

Quote:
Force Index
The Force Index (FI) is an indicator used in technical analysis to illustrate how strong the actual buying or selling pressure is. High positive values mean there is a strong rising trend, and low values signify a strong downward trend.

The FI is calculated by multiplying the difference between the last and previous closing prices by the volume of the commodity, yielding a momentum scaled by the volume. The strength of the force is determined by a larger price change or by a larger volume.

The FI was created by Alexander Elder.
Don't care about this. Volume never made any sense to me. Could never figure out how to use it. So I am either stupid or volume is useless, and I'd rather think it's useless. But then again I thought that about pivots as well, and now I've changed my mind.

http://www.elder.com/

Click the image to open in full size.


Quote:
"... You can be free. You can live and work anywhere in the world. You can be independent from routine and not answer to anybody ..."
[Trading for a Living]

- Dr. Alexander Elder
Palm tree? Am I supposed to trust this guy? Where did he learn this marketing stuff? It doesn't look like a serious Columbia University professor to me, but like a scam. Let's keep on reading since he was recommended by wprins.

http://search.columbia.edu/search?cl...t=&btnG=Search

TRADING FOR A LIVING

Introduction

Quote:
You can be free. You can live and work anywhere in the world. You can be independent from routine and not answer to anybody..."
Click the image to open in full size.



I agree with everything he said, but he didn't impress me. Let's watch this other "related" video.



Yes, more interesting. I am more like the second example. I thought fundamental traders didn't make any money. It is about a formula however, it's like a precise recipe you need. Let's watch this other "related" video.



Liking it (of course none of these videos are changing my life).



I have a feeling that when people become successful, success ruins them, but also that, even if they didn't change at all, they'd still lose all appeal to me. It happens to me with everything: movies, songs, and trading authors. If I were the one to discover them, I'd like them. But if others tell me about them, if everyone is talking about a movie... I am not even going to watch it. That's because I've usually noticed how the worst things are the most popular. Or because I dislike people in general. Or for other reasons.

But, as I first said, also - not movies because they can't change, nor songs - but people, sognwriters, actors, and trading book authors do change, after reaching success. The actors, like Robert De Niro will start accepting poor scripts because they're being offered a lot of money, like De Niro did Heat and Ronin, crappy movies. Success will change songwriters as well. And success will turn Elder, who didn't lose his accent, into a marketing expert, who will gain schmucks because of the palm tree on his web site, but will lose people like me, who would have preferred a guy without a web site, or would have trusted better a web site written in russian.

All these people: Elder, Williams, Schwager became successful because their work was good, undoubtedly. They are not like Paris Hilton. Why else woud a Russian doctor become a famous trader, or Larry Williams? They all became famous because they did something good, and not because of marketing it well.

Click the image to open in full size.

I am liking it again. But this only applies to discretionary trading. But since I'll be doing it, it could be useful. Interesting for sure, I don't know how useful. But let's read a few more lines.

Click the image to open in full size.

Yes, this is exactly me.

Click the image to open in full size.

I am liking it a lot, but how is this going to help me?

Last edited by Yamato; Nov 29, 2009 at 8:10am.
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Old Nov 29, 2009, 8:27am   #896
 
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Re: my journal

Yamato started this thread I'm going to print the first 3 chapters, and see if they turn me into a profitable trader. The rest I already know... I'll read the fourth on indicators, maybe. No, just the first three. No more than that. I have all the tools to be profitable, and if the first three chapters of this book don't make me profitable, then I don't have to go any further. Because my only problem is a psychological one.

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