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This is a discussion on my journal within the Trading Journals forums, part of the Reception category; Ok, so we've established that I won't fix "closed". The other important information is the open, and that at least ...

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Old Oct 24, 2009, 1:46pm   #401
 
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travis started this thread Ok, so we've established that I won't fix "closed". The other important information is the open, and that at least is reliable. Now I'll work on the rest, given that the system already works. But we want to really make sure that, besides "closed", it's not making other mistakes.
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Old Oct 24, 2009, 4:58pm   #402
 
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travis started this thread Ok. I am done with the opening gap system on the ES. It trades rarely, only when the gaps are big. It only goes long. It makes a lot of money but it trades rarely. Very rarely. Like once a month, and on some years it doesn't even trade. I will have to remember to trade this system no matter what forward test profit I get, because it almost always makes money but it trades rarely, so I can't afford to miss any of its trades and I can afford to trust him even without forward testing.

Wow, it trades only once a month and some years it doesn't even trade... it's going to be pretty boring to look at. However: it's one of 50 systems. Besides, if I apply this system to all the futures I follow, this is going to trade like twice a week, which is not bad at all. All right, I am pretty satisfied.



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Old Oct 25, 2009, 12:02am   #403
 
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travis started this thread I am going to bed. More work on the system, all day long. I managed to simplify it so much that now it consists of just two lines of code. This way, it definitely cannot be overoptimized, and definitely has an edge if it works with so little code. Trades only about 60 times in 8 years. And for 3 years it doesn't even trade. 60/5 = 12. It trades about once a month, on the years it trades. Now I will apply it to a bunch of other futures, which will further tell me if it works and if then makes even more sense. That way I will have about 2 trades per week. Which would still be boring to use, but then I get 10 trades per day from the other systems. This will bring my trades from 50 to 52, adding a 4% of trades, and even more profit, maybe like 10%, because it has more of an edge than the other systems.
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Old Oct 25, 2009, 1:05am   #404
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Hi again Travis. Been reading your latest posts. A few comments as they occur to me, for what they're worth:

1.) About typing as fast as you can think -- I assume you're approving of being able to type fast/touch typing, in which case I'll simply say I concur. Touch typing is something I taught myself years ago because I decided that it's as basic as reading and writing, and a computer programmer that can't type properly is about as good as a writer that can't read. (OK, I exagerate, but you get the point.) And there's sadly many programmers in our industry who are woefully bad typists.

2.) About Excel -- I've read several times now about you using Excel. I'll simply mention/suggest that you have a look at something called "Resolver One". It's a spreadsheet integrated with the Python programming language. If you don't know Python, you *reeaaaalllly* need to give it some serious attention. It's incredibly powerful in a lot of contexts. Anyway, resolver one is here and here's a stock trading thing that someone built for a Resolver one competition. Anyway...

3.) About Tradestation: Maybe you can help me with a small question I've got, if you don't mind and it's not trouble. I'm looking at converting some Tradestation indicator logic to other platforms, but I'm a little stuck at nailing down the exact formula used to calculate "smoothedaverage()" which appears to be a tradestation builtin. I've tried to google this but not found anything conclusive. If you could specify the meaning of that function in fundamental mathematical terms then I'd be most appreciative.

4.) About breaking your rule and tampering/interfering: Don't sweat it. Just decide to re-stop interfering again from this day forward. And stick to it.

5.) About the new system, good going. You've almost convinced me to build my own implementation to experiment... however I'm currently at a far more rudimentary basis than you, and want to firstly get my current system which mostly works automated so I can test it on more markets etc. Having a day job doesn't help with this of course.

Have a good weekend/week.
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"Most people don't lose because of what the market does but because of how they respond to the markets ... and how they handle losing trades." - From a review of "What I learned losing a Million Dollars" by Jim Paul and Brendan Moynihan.
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Old Oct 25, 2009, 8:23am   #405
 
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travis started this thread I will comment on your comments as I read them. Thanks for taking the time to read me and commenting.

1) Yes, me too. I taught it myself when I was 8 and using a the typewriter (there weren't many computers around back then). I think my father encouraged me to do it. He probably bought me that manual. Thanks, father. I put stickers on the keyboard, one color for each different finger that was supposed to be used. It was great to learn this in a few weeks, and then use it for the rest of my life, being able eventually to type without looking at the keyboard, while seeing my colleagues and classmates who were using 2 fingers all across the keyboard and had to look at the keys while typing. In a way I am like a pianist now (which I studied as well, but I quit after just 3 years).

2) Very interesting, thanks. I will use it only when I need it (to speed up my excel sheet, which right now is still acceptable in terms of speed), because that'd taking time away from creating maybe 30 more systems. It's not just something I install in 5 minutes and forget about it. So for now I will apply the saying "If it ain't broke, don't fix it".

3) Prepare yourself to be disappointed by this answer. Also, keep in mind that I decided not to work on a very important function that screwed up all my systems MERELY because I didn't have the mental energy/capability to do it. Still, I will now at least take a look at this function that you wish to work on. Here it is, the "smoothedaverage" function:

Code:
Inputs: Price(NumericSeries), Length(NumericSimple);
Variables: Sum(0);

If Length > 0 Then Begin
	If CurrentBar = 1 Then Begin
		Sum = Summation(Price, Length);
		SmoothedAverage = Sum / Length;
	End
	Else Begin
		SmoothedAverage = (Sum[1] - SmoothedAverage[1] + Price) / Length;
		Sum = Summation(Price, Length);
	End;
End;
Remember, once again, that I am not good at math nor formulas but I will try to translate into English for you a code that looks like Greek to me (and I am not that good at Greek). Let me know if I can (try to) do more, or better. Here it goes, as I read it, with my comment in red. Please don't laugh at me if my explanation will turn out to be useless (as I predict it will). Don't forget that I am just a political science major who taught himself some vba. By the way, I don't believe complex averages or indicators are any good. I believe in keeping everything simple (also because I couldn't do otherwise even if I wanted).

Code:
Inputs: Price(NumericSeries)this should be the close of the bar, which depends on the timeframe you're using, Length(NumericSimple)how many bars back you want to go in computing the average;
Variables: Sum(0);this is needed here when you're using a variable that you will later define with a formula

If Length > 0 Then Beginthe formula is processed only if the bars available are > 0
	If CurrentBar = 1 Then Beginthis part I don't understand
		Sum = Summation(Price, Length);too complicated
		SmoothedAverage = Sum / Length;my brain is melting
	End
	Else Begin
		SmoothedAverage = (Sum[1] - SmoothedAverage[1] + Price) / Length;I've given up
		Sum = Summation(Price, Length);bleah...
	End;
End;
I thought I would be able to explain more of it, but I got lost half way into the code. That's how bad I am, believe it or not. However maybe it's been a blessing because it forced me to create very simple systems. In a sense I am "stupid" as far as formulas, in that I don't understand... partly ignorant as well. I am stupid but orderly. Being orderly will take you very far even if you are stupid. I think if I had been taking engineering classes back in college, everyone would have definitely perceived me as "stupid". But I took political science classes, so now I actually feel like a genius because I can write some vba.

4) Yeah, that's exactly what I've done. But the temptation now will be to break the rule once a month. You see, a big part of the problem is my lack of capital and therefore lack of trades by the systems. If I had so much capital as to use all my systems at once, I would be seeing 10 trades per day, and I wouldn't bother to add anything to it. It'd be growing very fast by itself. But I see it sitting there, unused, and not growing. You see, I could very well place plenty of trades every day, but say I place a trade on one of the many CL systems: those trades could bring me 2000 or lose me 2000. If I incur into a loss, my account will be wiped out in one week. That is why I cannot trade systems that I could actually financially trade: it wouldn't be safe. So I actually have the capital to trade all systems, but it's not safe to do so because it's too small. It's a new concept for me, still difficult to grasp. It's as if I was in front of Mike Tyson: I have the power to punch him, but it's not safe to do so, because I may incur a drawdown and be punched back, and I am not strong enough to withstand a mike tyson drawdown.

This is not said with the purpose of asking capital to anyone, because as I said repeatedly, I am still not responsible for my own actions, so I can't even handle my small capital (which I've lost over and over again even in the past year).

5) I understand. I also have a day job. My brain is melting, my eyes are hurting. They squeeze me like an orange at work, trying to get the most out of me, since everyone else just refuses to work. Yesterday I told my boss "Oh, good, finally I am done and I can relax a little", and he reacted by saying "Don't worry, there's plenty of work for you", as if he was upset that I had worked so hard that I could finally take a break. On the other hand he treats me very well otherwise. It's as if he wanted me to pretend I am busy, which I never do. If I am taking a break I let him know. If I am not busy, I let him know. The others are always pretending they are busy. So I end up doing 50% of all work, and the other 4 people do 10% each. I am exaggerating. I do 75% and they do 25% all together.

Anyway, the opening gap system, which I've been working on during the past hour, while replying to your post, actually is best when it trades an average of 2 times a year, for 3 years out of 9. So that's like 6 trades in total. I know I can trust this system and that it's not overoptimized, but it feels unnatural to run a system that may not trade for a few years. Amazingly, though, if I let it trade 120 times instead of 6, it just makes the same amount of money (and I guarantee that it's not overoptimized). If I let it trade 600 times, it doubles the money, but that doesn't make sense either to use. I mean 6 trades make 5000 dollars. And 600 trades make 10 thousand dollars. Which one would you prefer? Obvious the first one. So I am puzzled about what I should do: implement a system that trades on average once a year or what?

Last edited by travis; Oct 25, 2009 at 9:28am.
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Old Oct 25, 2009, 10:23am   #406
 
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travis started this thread Ok. Now I've moved the rarely trading opening gap ES system to the YM. It does just as well but interestingly it doesn't exactly trade on the same dates. Strange because the two indexes pretty much move together. However, that's good and it doesn't mean there's anything wrong with my testing. It means also that now I will have not one but two trades per year to keep me entertained. Now I'll extend testing to all other futures. If I'll come up with something that overall trades once a month, I'll be ok with it and implement the whole thing.

Ok, done on the CL as well. It works almost as well, with similar settings (gaps need to be an even bigger fraction of price). Now this guy trades 15 times in 5 years (some data is missing). So that'd be about 30 times in the past 9 years. Also it trades, not just more often, but at different moments than the other two systems. So now we have a total of about 45 trades in the past 9 years or so. So that gives us already 5 trades per year at different times. Very good. And we're talking about high probability and high profitability trades. I am confident that I'll be able to add another 50 trades, bringing my total to 1 trade per month, which is good enough to be trading this system.

Gold's next.

Last edited by travis; Oct 25, 2009 at 11:43am.
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Old Oct 25, 2009, 11:15am   #407
 
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travis started this thread
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Old Oct 25, 2009, 12:09pm   #408
 
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travis started this thread Ok. Gold does not work whatsoever and I can't understand why, but that doesn't take away any reliability from the other three systems. Now GBL is next.

Last edited by travis; Oct 25, 2009 at 12:23pm.
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Old Oct 25, 2009, 12:17pm   #409
 
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travis started this thread Everybody's talking and no one says a word
Everybody's making love and no one really cares
There's Nazis in the bathroom just below the stairs
Always something happening and nothing going on
There's always something cooking and nothing in the pot
They're starving back in China so finish what you got

Nobody told me there'd be days like these
Nobody told me there'd be days like these
Nobody told me there'd be days like these
Strange days indeed -- strange days indeed

Everybody's runnin' and no one makes a move
Everyone's a winner and nothing left to lose
There's a little yellow idol to the north of Katmandu
Everybody's flying and no one leaves the ground
Everybody's crying and no one makes a sound
There's a place for us in the movies you just gotta lay around



Nobody told me there'd be days like these
Nobody told me there'd be days like these
Nobody told me there'd be days like these
Strange days indeed -- most peculiar, mama

Everybody's smoking and no one's getting high
Everybody's flying and never touch the sky
There's a UFO over New York and I ain't too surprised

Nobody told me there'd be days like these
Nobody told me there'd be days like these
Nobody told me there'd be days like these
Strange days indeed -- most peculiar, mama
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Old Oct 25, 2009, 12:48pm   #410
 
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travis started this thread J'avoue, j'en ai bavé, pas vous, mon amour
Avant d'avoir eu vent de vous, mon amour
Ne vous déplaise, en dansant la javanaise
Nous nous aimions, le temps d'une chanson

A votre avis, qu'avons-nous vu de l'amour
De vous à moi, vous m'avez eu, mon amour
Ne vous déplaise, en dansant la javanaise
Nous nous aimions, le temps d'une chanson



Hélas, Avril en vain me voue à l'amour
J'avais envie de voir en vous cet amour
Ne vous déplaise, en dansant la javanaise
Nous nous aimions, le temps d'une chanson

La vie ne vaut d'être vécue sans amour
Mais c'est vous qui l'avez voulu, mon amour
Ne vous déplaise, en dansant la javanaise
Nous nous aimions, le temps d'une chanson

http://en.wikipedia.org/wiki/Serge_Gainsbourg
http://en.wikipedia.org/wiki/Anggun

Last edited by travis; Oct 25, 2009 at 1:06pm.
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