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Old Oct 19, 2009, 5:52pm   #316
 
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Yamato started this thread Well, gladiator, you've learned to code your systems and tested them over many markets: congratulations. It took me months to do what you did in half a day. As usual you reveal your uncommon intelligence and energy. If you want me to test your systems, go ahead, but remember that I'll use your systems for my own purposes. If it works I'll certainly keep a copy of it. Your idea about the opening gap will take me a month to test and implement properly. I don't know how you can do things so fast. Certainly you're not using tradestation 2000i.

And now I'll have to get off my chair, or it's pointless to skip work tomorrow. It'd be pointless to develop trading systems as well, if you then still spend your whole day in front of the computer anyway.

Last edited by Yamato; Oct 19, 2009 at 5:57pm.
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Old Oct 19, 2009, 6:09pm   #317
 
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Originally Posted by travis View Post
Well, gladiator, you've learned to code your systems and tested them over many markets: congratulations. It took me months to do what you did in half a day. As usual you reveal your uncommon intelligence and energy. If you want me to test your systems, go ahead, but remember that I'll use your systems for my own purposes. If it works I'll certainly keep a copy of it. Your idea about the opening gap will take me a month to test and implement properly. I don't know how you can do things so fast. Certainly you're not using tradestation 2000i.

And now I'll have to get off my chair, or it's pointless to skip work tomorrow. It'd be pointless to develop trading systems as well, if you then still spend your whole day in front of the computer anyway.
Yeah but you've built like an empire of systems and all that stuff on excel so its a lot more impressive than my little codes. Anyway, stop putting yourself down - Your much, much, much, much better than i'll ever be at system design and implementation and as i've said; Your empire of systems was really amazing, i've never seen anything like it! So you should just be proud of all the work you've done in creating that and in the profits it'll bring you, rather than beating yourself up for what you've done so far that maybe you haven't liked so much.

Ofcourse you can use my systems for your purpose; really wouldn't bother me, i'd prefer you put it against the E-mini S&P500 and use it, than not.

I watched one flew; Top stuff
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Old Oct 19, 2009, 7:08pm   #318
 
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Yamato started this thread Great movie, right? Thanks for watching it. I have a list with my top 200 favorite movies. I'll send it to you.

Well, thank you for saying that I'm a semi-god: I always like compliments. By the way you're really a genius for having done all you've done by 18. It's rare enough to find a profitable trader. To find one who's just 18 is almost unique. If you'll become an automated trader at 18, then you're probably going to be one of ten people in the whole world.

As far me, I guess my father taught me to beat myself up, to make sure that I'd always keep working and do even better. Maybe your father is like that, too. Maybe my father's method worked. If my father had told me "good job" more often (like... once), I might have never come this far. But how far did I come?

I have lived an unhappy life, just like him. Was it necessary? Was it convenient? Do people really appreciate me for what I can do? Do I have a girlfriend? Did I ever get a promotion at work? I don't think it was a good deal. It will have been a good deal only if I can retire within a few months and never work again and catch up with all the fun I did not have until now. I am not sure it will happen. Probably it won't happen and it didn't happen because I want it so bad, which makes me rush things, do things like discretionary trading, and then fail again and again.

I've often wondered "What the hell is he waiting for to tell me I've done something well? How well do I have to do this?". Often I just quit, like with studying. Because even when I got awesome grades he didn't tell me "good job", so the next semester I just failed all classes, because I saw no point in studying anymore. I remember my second semester of freshman year in college: I took 6 classes instead of just 4 like everyone else. I got all As. Then I even took a summer school, for another 2 and a half credits, and had to take a physical education class, as half a credit, to fulfill some requirement, and I took it as pass/fail. I passed it. When I came back home, after gathering 8 and a half credits instead of the regular 4, with the highest grades, he complained about the fact that I took that physical education class as pass/fail and didn't get an A in it.

This is what I'd call a sick mother ****er. Now you can see how a guy like this can ruin your life. Especially if you are only child and you happen to still look for some praise after you've known him for decades. At this point I just avoid him, because meeting him is so unpleasant. And he spends more time with his secretary, he talks more to his colleagues and secretary than to me. That's what happens when you're a sick mother ****er. Your secretary is your best friend. If your secretary is your best friend it always means you're a sick *******.
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Old Oct 19, 2009, 7:21pm   #319
 
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Originally Posted by Weighbridge View Post
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.
I've done your tests. They made me change my mind a little bit, so thanks for making me think about it more. To examine the 10 time zones properly, we should separate them into 10, and not calling them monday and tuesday any more. Because those trades being made on Monday ID (intraday) are completely different in all aspects from the trades being made on Monday ON (overnight, which carry into Tuesday).

I would not get distracted by anything unnecessary and ultimately look just at average gain per trade in each of the ten time zones, as you suggested. Let's look at it together.

Values range from -48 to 272. I would say, since trades are numerous on all 10 zones (from 35 to 68), that I can just go ahead and skip all days below average (55). I should only skip negative values days, but I am low on capital and I don't want to risk it. That leaves me with just all Wednesday and Friday night. But that would be too little trading. It'd take forever to increase my capital. So I'm going to choose an arbitrary value of 50. I will therefore trade on the whole day of Wednesday and Friday, plus Tuesday ID. No, let's say 40 and trade on Monday ID as well.

Ok so, unlike what I said earlier today, and thanks to your input, I will not forbid trading on mondays, tuesdays and thursday ON. I will get rid of Mon and Tue yes but just as far as ON. And I'll get rid of the whole Thursday. Great. Now I'll work on implementing this whole thing. It will take me ten minutes.

Ok, done. So basically the rule is that I am trading the most performing 5 time zones by average gain per trade (provided that at least 5 are positive).
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Old Oct 19, 2009, 8:15pm   #320
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Ok so, unlike what I said earlier today, and thanks to your input, I will not forbid trading on mondays, tuesdays and thursday ON. I will get rid of Mon and Tue yes but just as far as ON. And I'll get rid of the whole Thursday. Great. Now I'll work on implementing this whole thing. It will take me ten minutes.
Sounds like a good way forward. You've given me something to think about too, as I've got a couple of (manual) systems that might benefit from optimising for the day of week.

There's still a chance that this is just a fluke caused by analysing a small sample, so I think it would be worth you reviewing the distribution every couple of weeks, at least until you've got lots of trade history.

I see what you meant about the Wednesdays! They're actually the real outlier here aren't they. I wonder if it's anything to do with equities going ex-dividend? That generally happens on Wednesdays in the UK, but I don't know about Italy. Or maybe Wednesday is just a high volume day and your systems like that.
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Old Oct 19, 2009, 9:14pm   #321
 
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Yamato started this thread I trade CME futures mostly (forex, equity indexes, bonds, gold, oil), so it is not related to anything in Italy. I think Wednesdays are trend days, regular days. It follows all possible cycles. On the other days things are less certain. There are many patterns in the markets and I built my systems on them: all the patterns work out on Wednesdays. Overall almost no patterns work out on Tuesdays. Or maybe it's because my futures mostly are LONG only strategies. And on Wednesdays markets rise and on Tuesdays they fall. When I say "rise", I refer to stock indexes and EUR, and OIL, and GOLD and related things, because they are all correlated.

---

Actually, one more thing. I had thought of a different way to implement this filter. Implement a filter not based on the results of all systems put together, but on each single system. However I discarded this for two reasons:
1) Because I've already implemented such a filter on each single system: if I ever found out through back-testing that a given day doesn't make any money or even worse loses money, then I excluded that day from trading, and that obviously is reflected in my forward-testing. And I am figuring that if, after implementing this filter on each single system, some days are still so much better than others (for the basket of all systems), this must mean not that this is coming from some specific systems (because those systems are already disabled on those days) but that it must be a general tendency.
2) Because, by analyzing the trades of every single system, I'd also have to use a sample of fewer trades (on average, 1/37th as big as the collective sample), and, as you pointed out, that makes my hypotheses less reliable. After all, my collective hypotheses are now based on 500 trades, which is quite a lot. If I try to verify the same questions ("which of the 10 time zones don't work?") on each of those 37 systems, then I won't get anywhere. I won't even have trades on all weekdays.

So for these reasons, it makes sense to reason on all systems taken together.

Last edited by Yamato; Oct 19, 2009 at 11:07pm.
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Old Oct 19, 2009, 10:57pm   #322
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Hmm... looks like I've got a project for tomorrow. Thanks.
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Old Oct 20, 2009, 7:15am   #323
 
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Yamato started this thread Just woke up. Today I am home because my back hurts. I shouldn't be doing any testing though, to preserve my back. I should lie down in bed and watch more movies. Swimming would have saved my back but I postponed forever, for too long. I always felt that I had to quit my job and live by the sea and only then resume swimming, and that it wasn't worth to swim at a swimming pool. And now I've hurt my back. If I ever get to 15k again, then I'll resume swimming. Yeah, because it is quite costly. I will ride cabs to and from the swimming pool, and then I'll have to pay some ticket at the facility. It's going to be like 30 dollars each time, and maybe around 300 dollars a month. Since I must live on just my salary, I can't afford that. I would need to be withdrawing from my trading account. And I shouldn't be doing that until I get to a point where what I withdraw is less than half of what I make. In the meanwhile, I'll just try to keep my back straight when I sit down, which I've rarely done lately.
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Old Oct 20, 2009, 9:56am   #324
 
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Yamato started this thread I've just watched two of them:
Watch Juno movie on LetMeWatchThis.com Free Online Movie and TV Downloads
way overrated, but not to throw away: certainly not a masterpiece: I'd rate it a 3 out of 10 (1 being a movie with tom cruise, and 10 being taxi driver)

Watch Billy Madison movie on LetMeWatchThis.com Free Online Movie and TV Downloads
this is so so, overall actually it seemed better than the other one, because it's less pretentious: promises less and delivers more, so it leaves you satisfied, but there's less work and quality than in the previous one, so I'd rate this a 2.5 out of ten

Actually I just thought of a good one I had watched, and it's this (and here we're talking about a quality movie: I rate this a 6):
Watch Billy Elliot movie on LetMeWatchThis.com Free Online Movie and TV Downloads
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Old Oct 20, 2009, 10:14am   #325
 
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Yamato started this thread Now I'll finish watching this one:
Watch Wayne's World movie on LetMeWatchThis.com Free Online Movie and TV Downloads

I suspect I won't rate it any higher than 3.5 at the most. Barely worth watching I'd say. Movies below 2 in my scale are not worth watching. Almost all movies with tom cruise and nicoke kidman are below 2. Where there's one of those two guys you can rest assured that the movie is worthless. Particularly Nicole Kidman. It's like the opposite of robert de niro, in that almost all movies with him are worth watching ("heat" was not worth watching for example). Another actor who's mostly in good movies is Matt Dillon. Another one is Johnny Depp. Also Leonardo Di Caprio, but less. Steve Buscemi is another one. Another one is Jim Carrey. Another one is Drew Barrymore. Oh, by the way, here's a good 60 minutes on her:
Drew Barrymore - 60 Minutes - CBS News
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Old Oct 20, 2009, 10:23am   #326
 
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Dude, Top Gun, come on...

Agree with you on Dillon and Depp.

Have you watched 'RocknRolla'? Not sure if it would appeal to a Yank as much but give it a go if you have the time.
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Old Oct 20, 2009, 10:29am   #327
 
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Yamato started this thread I am not a Yank, but... I'll watch it. I am from Italy. Travis (from Taxi Driver) is a Yank.

Watch RocknRolla movie on LetMeWatchThis.com Free Online Movie and TV Downloads
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Old Oct 20, 2009, 10:29am   #328
 
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Ah sorry I just assumed cos of ur flag! Apologies
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Old Oct 20, 2009, 12:39pm   #329
 
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Yamato started this thread Watching movies and automated trading, movies and life... the two things are so different. Money doesn't grow just because I am feeling good today. Maybe that works with discretionary trading. With automated trading systems can make money on a day you're depressed, and can lose money on a day you're feeling good. I've lived my whole life expecting to be in a movie, and yet it's different. Unless I am doing everything right profit doesn't come, and even if I am, I could still incur in a drawdown. Some discretionary traders make money every day. I guess for them it's different. It could lead them to think they were chosen by god to have a happy life. I think it's the case with some people: they have the right mind for discretionary trading: they don't need much training. And for others like me, there's no training or knowledge that will enable them to make money. I just have the tendency to do a series of wrong things, and I can't fix it, just like I can't become an extrovert if I am an introvert or viceversa.
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Old Oct 20, 2009, 1:25pm   #330
 
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Yamato started this thread Ok, finally some action. I've been watching another comedy "almost heroes", with Perry and Farley, which is not famous nor successful, nor extremely funny, but it's original and puts you in a good mood. And in the meanwhile my systems made two trades. LONG on the GBP and SHORT on the JPY. Let's hope to finally see some profit, after losing 5000 in my last three trading days. Today is a half trading day (only intraday), due to the modifications made after reviewing the time zones to restrict trading to.
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