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This is a discussion on my journal within the Trading Journals forums, part of the Reception category; OK, back. Thanks to someone helping me, I've discovered that it does work on the ES. You need to tweak ...

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Old Oct 18, 2009, 8:22pm   #301
 
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Yamato started this thread OK, back. Thanks to someone helping me, I've discovered that it does work on the ES. You need to tweak the settings and be very careful what you tell the code to do, and making sure it does what it's supposed to do. It won't work otherwise. But it definitely has an edge. Only it is a very subtle one. It's not going to strike you by how big an edge it is. Now weeks of work await me. Not just for testing perfectly this system, which will take another two weeks. I will then want to test on every market. And then I will want to automate it. Basically my weekends are all filled up again for another month. But this time it's going to be fun, because with already 37 of them cooking, I don't feel any rush to build another 9. I'll just do it when I am bored, which has been happening a lot lately. I won't feel any anxiety to work on these last 10 systems.

Last edited by Yamato; Oct 18, 2009 at 8:58pm.
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Old Oct 18, 2009, 8:58pm   #302
 
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Yamato started this thread As usual I was thinking today of how small a capital I have (it sounds as if I am talking about my dick). Well, deal with it. It's your fault if it's small. There's no reason I should worry now about the little capital I have, when in the past I blew it so many times, because of my recklessness. Many times in the past I've rushed things, trying to increase my capital with discretionary trading and blown out my accounts, accounts that could have grown to hundreds of thousands by now - but I wasn't ready to handle them and so I blew it. Or for some other reasons I can't quite pin down. I need to be in control enough not to trade discretionary. Until I learn to practice the patience needed for automated trading (the only thing I can do profitably), I do not deserve any more capital than I have. And when I'll deserve it, it will grow naturally, so it's all taken care of: no more worrying about my small capital.

Ok, having taken care of this worry as well, by passing it on to the readers, now I'll go to watch this movie by Mel Gibson: Apocalypto
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Old Oct 18, 2009, 10:32pm   #303
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Thanks for showing us some of your process for creating a new system. It's interesting to see how you approach the analysis, regardless of whether or not the gap fill system proves viable.

Also, it's great that you're sticking to your plan and avoiding those discretionary trades, especially as it's been a difficult week for your robot army.
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Old Oct 18, 2009, 11:15pm   #304
 
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Yamato started this thread Thanks for appreciating. I like thinking out loud on this journal. The opening gap system does work, like all other known "famous" systems (trend-following, oversold/overbought, volatility breakout, etc.). They all need testing and tweaking. I would say at this point that the easiest part is finding a system with an edge: most renowned systems have an edge, because simply by being so famous they are like self-fulfilling prophecies.

The very tiring but not complicated part is instead testing them, finding the exact settings, and then implementing them (that's 50% of all work). Once you implement a few ones properly and keep everything orderly, then every extra system is the repetition of the previous ones, in terms of settings and procedures to follow. Still, I think it will take me about a month to implement 9 slightly different versions of this new system I just found today.

Then the other big problem is making money with them: that's the part I suck at. I've had decent ones since March 2008, and I am still stuck with the same capital of 9000 dollars more or less (I've spent some, and I started with even less, but still I consider this a real failure). As I wrote earlier, I don't deserve any more than that capital. I think we should all start small. And if you're doing everything right, that amount will rise. If you're not doing everything right, you will lose it, so it's best that you don't add to it. I can definitely say this after blowing out my account several times a year for 12 years in a row.

Never give your money to someone like me who has blown out his account several times in the past 12 months. I would simply call myself "irresponsible". I still do not know the value of money. If I lose 1000 I don't cry but I can laugh about it. I guess that's also an advantage because others might be so scared that they won't ever start trading. On the other hand, I also want to do things right, enough to be able to quit my job sooner or later. This has become like a joke at my bank. Every time they ask me how's my trading, I reply "great, in 3 months I'll be out of here". And I've been saying that for a few years already. It helps me get or rather pull through the day.

Last edited by Yamato; Oct 18, 2009 at 11:24pm.
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Old Oct 19, 2009, 7:16am   #305
 
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Yamato started this thread Ok, up again. That movie wasn't that good. But not something to just throw away either. No real trading today, nor tomorrow, because I implemented a very safe trading, that excludes days during which the systems statistically didn't make much money. On mondays and tuesdays they made a combined 2000 in the past 3 months of forward testing. On the other days they made 27000. That would mean that on monday and tuesday they made 1000 per day, and on the other days 9000 per day. No point in risking my little money for these results.

Now I'll go to work, even though I am quite tired. The reason is that I have that new roommate, that polite lady, and going to work with a roommate like her is like being on vacation. It's like being in the room by myself.
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Old Oct 19, 2009, 8:26am   #306
 
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Yamato started this thread Back at work. Now, seriously, if all combined systems make no money (1000 on each day in 3 months) on Mondays and Tuesdays there must be a reason: unpredictability and irregularity of the markets in those two days. It definitely makes sense to not let my systems trade real money on those two days.

I am cold. There you have it, another complaint. The heating doesn't work. Why is this? Are they saving? It's reasonable that they do, since most of the bank does nothing all day long. Why should we have the heating on? We might as well freeze. This way some will quit and they don't even need to be fired. What a ****ty place. Nothing works here. We don't even have UPS for when the power goes out. Hundreds of computers just get turned off about once a month without any warning. People lose all their ongoing work like this. Right, but then again few were working on anything. My own stuff at home is more organized than this ****ty bank.

I am freezing. I can't work properly if I am freezing.

It feels weird that today and tomorrow my systems will only be paper trading, but it's the way I should have done it from the start. Why do I feel the need to be trading all the time? If I had acted from the start with the purpose of making money, instead of getting entertained by the markets, now I'd have those 50k I lost in the past 12 years, plus all the winnings I blew.

Last edited by Yamato; Oct 19, 2009 at 8:41am.
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Old Oct 19, 2009, 11:11am   #307
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It might be worth looking into the underperformance of Mondays and Tuesdays to see how the returns are distributed.

If it's because the systems don't make many entries on those days, but those entries are still profitable, then that doesn't seem especially risky to me.

However, if there's plenty of entries, but mixed results then yeah, why bother with those days.

Also, if it's because losses tend to happen on Monday/Tuesday then it's possible that there might be some sort of pattern to it, and you might even gain an idea for a whole new Mondays & Tuesdays system. If you even have time for any more systems

The other possibility is that the Monday/Tuesday thing could just be a quirk in the data that doesn't continue. 3 months isn't a very big sample (13 Mondays and 13 Tuesdays). It's clear that you already get that of course, and that's why you're continuing to forward test them.
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Old Oct 19, 2009, 12:09pm   #308
 
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Yamato started this thread Good call. However, the systems do trade on those days (I'll find out exactly how much when I get home) almost as much as on the other days. There's not that many requirements prohibiting them from trading on those days. On Tuesday's overnight trading actually I have a 2000 dollars loss. So by all standards one should not use them with real money on Tuesday night (unless you disagree that it's a cyclical thing and believe that it's only chance). On Thursday night they lose money as well. But, more importantly, over one third of all the money made by my systems in these past three months was made on Wednesday intraday: 13000. I divide my systems and trades triggered by them into 10 time zones: the five days of the week subdivided into intraday trading and overnight trading.

Good call on the "Weekday bias" systems: I've already built 6 of them. I believe they work, and it's not just chance, but I have only one week of forward testing on them.

Yes, I will continue to forward test them forever.

By the way, I was moved out of the previous room today. The people next door complained they were in 3 in a smaller room (same length, but 30 centimeters less wide). So I was in my new room this morning. The lady didn't show up so I am all alone. I cleaned up a little. The cleaning ladies here go from one room to the other, spending about 10 seconds in each room: they empty the trash, and they move our mouse, to pretend they cleaned the table. But they don't clean anything at all. They just move our mouse. The neatest ones move the keyboard as well. Occasionally they'll break something, because they are not even capable of moving things correctly. Well, they stopped stealing at least. That sucked. I got about 5 or 6 brand new mouth wash bottles stolen. We were planning to poison these ladies, or to place a bomb to be detonated by removing the cap. Others got computers stolen, apples, toothbrushes, meal vouchers. And we work in the Compliance department, which is like the Police of the bank...

Anyway, I basically I to clean my room by myself, because no one will do it otherwise. I got some toilet paper and some glasses of water and kneeled on the floor, and cleaned the dust and other dirt from the previous pigs inhabiting the room. But I hurt my back from kneeling too much or the wrong way. Now my back hurts. Just like Taxi Driver himself. But let's look on the bright side: I am alone in my own room. Isn't that nice? Let's try to be happy. Yeah, I am reasonably happy. The guy with the radio is burning in hell, in a room with five other people, and the boss whipping them. And no radio. Good.

Last edited by Yamato; Oct 19, 2009 at 12:26pm.
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Old Oct 19, 2009, 12:51pm   #309
 
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Yamato started this thread Anyway, I just went to the bathroom and I am slightly laughing by myself, giggling not too heavily, every few minutes. When it happens, I pretend I am coughing. It's because I went to the bathroom and I took a leak in the sink, as usual. I do it even when my back doesn't hurt, but today I was thinking that if they ever catch me, which is close to impossible, I will argue that it's for medical reasons, because since my back hurts, I can't lean forward and therefore I have to **** in the sink. It makes me laugh when I think of it. I work with these pigs, I behave like a gentleman, but then when I go to the bathroom, I take my little revenge and **** in the sink.
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Old Oct 19, 2009, 1:36pm   #310
 
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Yamato started this thread http://www.trade2win.com/boards/trad...tml#post916608

Quote:
A whole two weeks of successful interfering... got cockier and cockier... more and more reckless... and finally today they got all the money back plus a lot of extra money (overall, as usual, twice as much as I had made with all my interfering). Now I'll try to get it back (I shouldn't but I will, most likely). It'll work for a while, till they'll get it all back plus more of it. On and on... It's been this way ever since I started automated trading. I just can't find a way to stay off of it, and find other things to do. Unbelievable. Un****ing believable.
September 24th was my last relapse. 25 days ago. By history, another relapse should be coming any time soon. If it doesn't happen within the next two weeks, I might be healed from the addiction. Right now, to judge by history, I am really at risk of relapsing.

It's like smokers and how often they feel the urge to smoke. It's easy to say "I quit" after smoking 20 cigarettes in a row: try saying it after not smoking for a few days and it will feel different. The same for me: it's easy to say "I will quit compulsive gambling" right after it made you lose half of your capital. Another thing is to do it once you forgot what it felt like.

25 days is great. If I can get through another week, I will be largely healed. Really healed I would say after one year. I am saying this to those who are offering to help me and want to teach me to be profitable with discretionary trading: thanks, but please don't tempt me. I am trying to quit. Don't make me relapse. Last time I relapsed because I watched Wall Street Warriors or something like that, and they made discretionary trading look easy (especially that prop firm on WSW season 2). I don't want to relapse because someone encouraged me to try again with their good advice. Any discretionary trading is bad for me. I want to quit period.

I'll go home in an hour and I better find something really good and tiring to do, because today I am frustrated already, my back hurts, my system is not trading, my capital is low, the memory of losing via automated trading is very fresh and the memory of losing because of discretionary trading is not fresh... all the reasons to relapse are there. DANGER. I hope I won't disappoint any of the readers nor myself.

Last edited by Yamato; Oct 19, 2009 at 1:46pm.
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Old Oct 19, 2009, 4:26pm   #311
 
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Yamato started this thread I am getting off work in a few minutes. I stayed longer because I told the manager that tomorrow I am not coming due to hurting my back, due to cleaning, due to the cleaning ladies never cleaning. So I did some important stuff, in order to not let it fall behind schedule. Now I will go for a leak, in the sink, as usual. And then the pigs will hear me giggling and won't know why.
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Old Oct 19, 2009, 5:05pm   #312
 
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Yamato started this thread I came home. Opened the platform and saw the GBP highly overbought, and thought: **** it, I am going to go short on it, make a lot of money, never even tell anyone on my journal that I broke my rule... and it will be just this one trade, double my capital and never break the rule again...

Then I remembered how in the summer of 2008 I was losing because of a long position and the GBP was falling and falling, and I thought it couldn't fall anymore and I doubled up and I blew out my account, by keeping the doubled up losing position open for a month (from august to september). This made me realize that the price has never risen or fallen enough to be able to say "I am 100% confident that it will reverse and I will invest everything I have on it".

Then the question was only if I wanted to have a thrill or to make money, and since I didn't do it, maybe it means I have started to care less about thrills and more about money, and about not spending my whole life at the bank. Anyway, my back hurts so tomorrow I won't go to work. Today and tomorrow no testing. Just movies and lying down.
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Old Oct 19, 2009, 5:19pm   #313
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Quote:
Originally Posted by travis View Post
...due to the cleaning ladies never cleaning...
They're too busy scrubbing the sinks mate
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Old Oct 19, 2009, 5:22pm   #314
 
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Hey Travis;
I've been learning to code backtests for my ideas;
Made 5 systems and backtested them across 200+ markets;
Got some good results, so we can talk about that next weekend or maybe after finished the gap idea;
One of the systems results is absolutely brilliant; so it would be great to check them on the E-mini S&P500 (which i don't have on Esignal atm because i'm trading SPY atm) but yeah; Stayed up till' 2am learning how to write the codes and then backtesting them all. Tried to keep it simple too but also did a more complicated one

Holla Boy x
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Old Oct 19, 2009, 5:33pm   #315
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Quote:
Originally Posted by travis View Post
I came home. Opened the platform and saw the GBP highly overbought, and thought: **** it, I am going to go short on it, make a lot of money, never even tell anyone on my journal that I broke my rule... and it will be just this one trade, double my capital and never break the rule again...

Then I remembered how in the summer of 2008 I was losing because of a long position and the GBP was falling and falling, and I thought it couldn't fall anymore and I doubled up and I blew out my account, by keeping the doubled up losing position open for a month (from august to september). This made me realize that the price has never risen or fallen enough to be able to say "I am 100% confident that it will reverse and I will invest everything I have on it".

Then the question was only if I wanted to have a thrill or to make money, and since I didn't do it, maybe it means I have started to care less about thrills and more about money, and about not spending my whole life at the bank. Anyway, my back hurts so tomorrow I won't go to work. Today and tomorrow no testing. Just movies and lying down.
im short cable
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