my journal

travis · Oct 25, 2009, 2:15pm

GBL is working well. It works best if I let it run the other way for the first 15 to 30 minutes of trading and then bet on the closing of the gap.

Surprisingly (since, unlike the others, the GBL doesn't have an upward bias), it doesn't work if I let it go short. So, so far, all opening gap systems work only if I go long.

The ZN will be next.

So far, by testing the 4 profitable systems (GC didn't work) in the past 8 years (considering data missing, it's about 8 years on average), with the best settings, I've gathered a total of 94 trades and a combined profit of 7500+5000+3000+3000=18500. This means already 1 trade per month (94/8=12), and I have another 4 futures to go. It also means 18500/8/12=200 extra dollars a month, at practically no extra cost (capital isn't used very much in those hours). I am confident that eventually I'll have a "multi-system" (applied on different futures, which actually means 8 different systems) that'll trade twice a month, making about 400 dollars a month every 4000 dollars of capital, which means about 10% a month, which is totally acceptable. If I renounced to these 10% a month systems, I would have nothing right now. I used to try and build just one 100% a month system, but none of them worked: they were all over-optimized. So I've shifted the focus to building many 10% a month systems.

Many's the times I've been mistaken
And many times confused.
Yes, and I've often felt forsaken
And certainly misused.
Oh, but I'm all right, I'm alright,
I'm just weary to my bones,
Still you don't expect to be bright and bon vivant
So far away from home,
So far away from home.

I don't know a soul who's not been battered,
I don't have a friend who feels at ease,
I don't know a dream that's not been shattered
Or driven to its knees.
Oh, but it's alright, it's alright,
For we lived so well so long,
Still, when I think of the road we're trav'ling on,
I wonder what's gone wrong,
I can't help it, I wonder what's gone wrong.

And I dreamed I was dying.
I dreamed that my soul rose unexpectedly
And looking back down at me,
Smiled reassuringly.
And I dreamed I was flying,
And high up above my eyes could clearly see
The Statue of Liberty,
Sailing away to sea,
And I dreamed I was flying.

We come on the ship they call the Mayflower,
We come on the ship that sailed the moon.
We come in the age's most uncertain hours
And sing an American Tune.
Oh, and it's alright, it's alright, it's alright.
You can't be forever blessed.
Still tomorrow's goin' to be another working day,
And I'm trying to get some rest,
That's all I'm trying, to get some rest.

travis · Oct 25, 2009, 3:17pm

travis · Oct 25, 2009, 3:26pm

http://en.wikipedia.org/wiki/Hoagy_Carmichael
http://en.wikipedia.org/wiki/Ned_Washington
http://en.wikipedia.org/wiki/Norah_Jones
http://www.youtube.com/user/shadavmim
http://en.wikipedia.org/wiki/The_Nearness_of_You

travis · Oct 25, 2009, 3:41pm

http://en.wikipedia.org/wiki/Ennio_Morricone
http://en.wikipedia.org/wiki/Sergio_Leone
http://en.wikipedia.org/wiki/Once_Up...ime_in_America

travis · Oct 25, 2009, 5:01pm

Ok, done on the ZN. I'll test the forex futures next weekend.

The ZN works as well, but with slightly different settings. For one thing, the optimal gap required is larger, almost twice as much as the GBL's. That's fine, because I would have expected the ZN to have a wider range than the GBL. The other thing is that whereas the GBL and all other gap opening systems close their positions very quickly, after a little over an hour. The ZN instead likes to keep its position open all day long. Which I am skeptical about, but tests prove that it makes a lot more money, and increasingly so (as the hours increase, the profit gets better: a sign of non-randomness, I think), so it seems reasonable to let it do it. Besides, it's good to vary among systems, so they can't all be wrong at once. Capital-wise, the fact that the ZN stays open for so long is the least of problems because it is the future requiring the lowest margin.

The last thing I need to mention (mostly to myself) is that the "closed(1)" function issue may be very relevant for this system, because the ZN does move quite a bit in those 8 hours that the closed(1) function gets wrong (it polls the close at 23.45 EST, instead of 4 PM EST).

Other than this, this ZN guy only goes LONG, like everyone else in the opening gap business, and makes about 4500 dollars in 9 years and just 34 trades, so I can't really throw it away.

The other systems made 18500 in 94 trades, so if I add everything, I get 23000 in 94+34=128 trades. And I am already trading more than once a month. ****ing closed(1) problem... damn it... screw it... the idea of not dealing with it keeps bugging me. I'll ask someone on elitetrader or google it.

Anyway, other than that problem, everything is good, and I will test this thing on the other forex futures next weekend as I said.

travis · Oct 25, 2009, 7:43pm

http://www.elitetrader.com/vb/showth...hreadid=180385

CloseD(1) problem entirely solved. However I will now have to re-optimize all my systems. I will postpone doing it on all 37 because half of those don't even use CloseD, and the others are not that sensitive to differences. But I definitely will have to re-optimize all 5 finished opening gap systems in light of this new method to solve the CloseD(1) problem (by setting a different schedule for the symbols you test). All this will take place next weekend.

wprins · Oct 26, 2009, 12:56am

Quote:

Originally Posted by travis

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;

That's perfect thanks - I can read that and it's unambiguous.

Have a good week.

travis · Oct 26, 2009, 1:33am

Well, I am glad it was useful, because I understood almost nothing of it.

travis · Oct 26, 2009, 2:24pm

Ok, back at work. Too much slouching at the movie theater has given me a backache, so I am trying to sit straight up today. My chair sucks though.

However, right now I am in a good mood overall. The boss has been asking me for easy tasks on excel that I can take care of in 5 minutes. Then another guy, also with a high-ranking position, asked me for pivots on his excel database, which I've built but that he has to fill with data (the most tiring part of the job). Everything I did today was on excel.

It seems like everyone coming to me for help has a higher ranking position than me, gets paid 4 times as much as me, but they do the manual labor, and I am asked to do the intelligent and quick part. They do quantity and I do quality. Also because they've got to do something, and since they can't do the hard stuff (which is easy for me, and takes me little time), they're stuck with the easy and tiring and repetitive stuff. Everything is reversed. This is not the way things should be. I either should not have a low ranking position, or they shouldn't a high ranking position. Also, I am unhappy that I don't get to have a single, like some of them.

Instead I am stuck with annoying and noisy co-workers that keep me from focusing, and that's why eventually I will flip and quit my job. If I ever reach what... 200 thousand, I will quit immediately.

Overall good mood though. Also because yesterday, unexpectedly, I solved the CloseD(1) problem. You just limit the future contract schedule, to get rid of the non RTH trading - especially since I don't need it for the opening gap systems. I think the gap size requirement will need to be increased. Indeed, if I use the close at 4 PM EST rather than midnight, gaps will tend to be bigger (prices will have twice as much time to move away from the close), and those 30 awesome trades that my filter was allowing will turn into 60 so so trades. So I need to increase that value, most likely.

Now imagine if I hadn't fixed this CloseD(1) tradestation problem: I would have had back-testing with 30 very good trades, and real trading with twice as many trades and not nearly as good. Pretty poor testing, isn't it? Pretty poor programmer, too. And yet, amazingly, notwithstanding my limited quality and precision (despite the fact that I'm doing my best), I've been getting profitable months ever since I started automated trading two years ago. This tells you how much of an edge automated trading has over discretionary trading. A crappy automated trader will make money from the start (like in my case), whereas a discretionary trader who's been trading for 12 years may still be unprofitable (like in my case).

travis · Oct 26, 2009, 5:29pm

Home finally. Got some good news as well. I don't feel like trading discretionary, despite my relapse on friday. Also because I am making some money today on an automated trade.

Why can I hold my peeing for so long, without even noticing I have to urinate, and then suddenly once I get home I feel the irresistible urge to pee immediately, or even in my pants by how bad I need to pee? It must be because I stop holding it, since I know the toilet is so close. In the same way, when I feel I'll soon quit my job, the days become unbearable, whereas I didn't seem to mind work until the day I decided that I would quit. I think the same applies to every activity you don't like: if you decide you'll put up with it, you can. If you decide you won't put up with it, it becomes unbearable. The only thing changing is your mind, and sometimes you don't even realize it and actually think that the heat became unbearable because it got really hot. Instead it often becomes unbearable just because you notice it.

Anyway, today and for this whole week no testing. Too tired from work. I used to be able to stare at my computer 16 hours a day, but lately my eyes have started to hurt. And now it's definitely easy to choose to stay away from my computer, despite many things leading me to it. Now I'll go rest my eyes in front of the television screen. I am serious. It is not as bad. Until the day I'll quit my job and live by the sea.

Oct 25, 2009, 2:15pm	#411
travis 9,702 Posts Joined Mar 2003	GBL is working well. It works best if I let it run the other way for the first 15 to 30 minutes of trading and then bet on the closing of the gap. Surprisingly (since, unlike the others, the GBL doesn't have an upward bias), it doesn't work if I let it go short. So, so far, all opening gap systems work only if I go long. The ZN will be next. So far, by testing the 4 profitable systems (GC didn't work) in the past 8 years (considering data missing, it's about 8 years on average), with the best settings, I've gathered a total of 94 trades and a combined profit of 7500+5000+3000+3000=18500. This means already 1 trade per month (94/8=12), and I have another 4 futures to go. It also means 18500/8/12=200 extra dollars a month, at practically no extra cost (capital isn't used very much in those hours). I am confident that eventually I'll have a "multi-system" (applied on different futures, which actually means 8 different systems) that'll trade twice a month, making about 400 dollars a month every 4000 dollars of capital, which means about 10% a month, which is totally acceptable. If I renounced to these 10% a month systems, I would have nothing right now. I used to try and build just one 100% a month system, but none of them worked: they were all over-optimized. So I've shifted the focus to building many 10% a month systems. Many's the times I've been mistaken And many times confused. Yes, and I've often felt forsaken And certainly misused. Oh, but I'm all right, I'm alright, I'm just weary to my bones, Still you don't expect to be bright and bon vivant So far away from home, So far away from home. I don't know a soul who's not been battered, I don't have a friend who feels at ease, I don't know a dream that's not been shattered Or driven to its knees. Oh, but it's alright, it's alright, For we lived so well so long, Still, when I think of the road we're trav'ling on, I wonder what's gone wrong, I can't help it, I wonder what's gone wrong. And I dreamed I was dying. I dreamed that my soul rose unexpectedly And looking back down at me, Smiled reassuringly. And I dreamed I was flying, And high up above my eyes could clearly see The Statue of Liberty, Sailing away to sea, And I dreamed I was flying. We come on the ship they call the Mayflower, We come on the ship that sailed the moon. We come in the age's most uncertain hours And sing an American Tune. Oh, and it's alright, it's alright, it's alright. You can't be forever blessed. Still tomorrow's goin' to be another working day, And I'm trying to get some rest, That's all I'm trying, to get some rest. Last edited by travis; Oct 25, 2009 at 3:08pm.

Oct 25, 2009, 5:01pm	#415
travis 9,702 Posts Joined Mar 2003	Ok, done on the ZN. I'll test the forex futures next weekend. The ZN works as well, but with slightly different settings. For one thing, the optimal gap required is larger, almost twice as much as the GBL's. That's fine, because I would have expected the ZN to have a wider range than the GBL. The other thing is that whereas the GBL and all other gap opening systems close their positions very quickly, after a little over an hour. The ZN instead likes to keep its position open all day long. Which I am skeptical about, but tests prove that it makes a lot more money, and increasingly so (as the hours increase, the profit gets better: a sign of non-randomness, I think), so it seems reasonable to let it do it. Besides, it's good to vary among systems, so they can't all be wrong at once. Capital-wise, the fact that the ZN stays open for so long is the least of problems because it is the future requiring the lowest margin. The last thing I need to mention (mostly to myself) is that the "closed(1)" function issue may be very relevant for this system, because the ZN does move quite a bit in those 8 hours that the closed(1) function gets wrong (it polls the close at 23.45 EST, instead of 4 PM EST). Other than this, this ZN guy only goes LONG, like everyone else in the opening gap business, and makes about 4500 dollars in 9 years and just 34 trades, so I can't really throw it away. The other systems made 18500 in 94 trades, so if I add everything, I get 23000 in 94+34=128 trades. And I am already trading more than once a month. ***ing closed(1) problem... damn it... screw it... the idea of not dealing with it keeps bugging me. I'll ask someone on elitetrader or google it. Anyway, other than that problem, everything is good, and I will test this thing on the other forex futures next weekend as I said. Last edited by travis; Oct 25, 2009 at 5:30pm.*

Oct 26, 2009, 2:24pm	#419
travis 9,702 Posts Joined Mar 2003	Ok, back at work. Too much slouching at the movie theater has given me a backache, so I am trying to sit straight up today. My chair sucks though. However, right now I am in a good mood overall. The boss has been asking me for easy tasks on excel that I can take care of in 5 minutes. Then another guy, also with a high-ranking position, asked me for pivots on his excel database, which I've built but that he has to fill with data (the most tiring part of the job). Everything I did today was on excel. It seems like everyone coming to me for help has a higher ranking position than me, gets paid 4 times as much as me, but they do the manual labor, and I am asked to do the intelligent and quick part. They do quantity and I do quality. Also because they've got to do something, and since they can't do the hard stuff (which is easy for me, and takes me little time), they're stuck with the easy and tiring and repetitive stuff. Everything is reversed. This is not the way things should be. I either should not have a low ranking position, or they shouldn't a high ranking position. Also, I am unhappy that I don't get to have a single, like some of them. Instead I am stuck with annoying and noisy co-workers that keep me from focusing, and that's why eventually I will flip and quit my job. If I ever reach what... 200 thousand, I will quit immediately. Overall good mood though. Also because yesterday, unexpectedly, I solved the CloseD(1) problem. You just limit the future contract schedule, to get rid of the non RTH trading - especially since I don't need it for the opening gap systems. I think the gap size requirement will need to be increased. Indeed, if I use the close at 4 PM EST rather than midnight, gaps will tend to be bigger (prices will have twice as much time to move away from the close), and those 30 awesome trades that my filter was allowing will turn into 60 so so trades. So I need to increase that value, most likely. Now imagine if I hadn't fixed this CloseD(1) tradestation problem: I would have had back-testing with 30 very good trades, and real trading with twice as many trades and not nearly as good. Pretty poor testing, isn't it? Pretty poor programmer, too. And yet, amazingly, notwithstanding my limited quality and precision (despite the fact that I'm doing my best), I've been getting profitable months ever since I started automated trading two years ago. This tells you how much of an edge automated trading has over discretionary trading. A crappy automated trader will make money from the start (like in my case), whereas a discretionary trader who's been trading for 12 years may still be unprofitable (like in my case). Last edited by travis; Oct 26, 2009 at 2:46pm.

Oct 26, 2009, 5:29pm	#420
travis 9,702 Posts Joined Mar 2003	Home finally. Got some good news as well. I don't feel like trading discretionary, despite my relapse on friday. Also because I am making some money today on an automated trade. Why can I hold my peeing for so long, without even noticing I have to urinate, and then suddenly once I get home I feel the irresistible urge to pee immediately, or even in my pants by how bad I need to pee? It must be because I stop holding it, since I know the toilet is so close. In the same way, when I feel I'll soon quit my job, the days become unbearable, whereas I didn't seem to mind work until the day I decided that I would quit. I think the same applies to every activity you don't like: if you decide you'll put up with it, you can. If you decide you won't put up with it, it becomes unbearable. The only thing changing is your mind, and sometimes you don't even realize it and actually think that the heat became unbearable because it got really hot. Instead it often becomes unbearable just because you notice it. Anyway, today and for this whole week no testing. Too tired from work. I used to be able to stare at my computer 16 hours a day, but lately my eyes have started to hurt. And now it's definitely easy to choose to stay away from my computer, despite many things leading me to it. Now I'll go rest my eyes in front of the television screen. I am serious. It is not as bad. Until the day I'll quit my job and live by the sea. Attached Thumbnails Last edited by travis; Oct 26, 2009 at 5:42pm.

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Oct 25, 2009, 3:17pm	#412
travis 9,702 Posts Joined Mar 2003

Oct 25, 2009, 3:26pm	#413
travis 9,702 Posts Joined Mar 2003	http://en.wikipedia.org/wiki/Hoagy_Carmichael http://en.wikipedia.org/wiki/Ned_Washington http://en.wikipedia.org/wiki/Norah_Jones http://www.youtube.com/user/shadavmim http://en.wikipedia.org/wiki/The_Nearness_of_You

Oct 25, 2009, 3:41pm	#414
travis 9,702 Posts Joined Mar 2003	http://en.wikipedia.org/wiki/Ennio_Morricone http://en.wikipedia.org/wiki/Sergio_Leone http://en.wikipedia.org/wiki/Once_Up...ime_in_America

Oct 25, 2009, 7:43pm	#416
travis 9,702 Posts Joined Mar 2003	http://www.elitetrader.com/vb/showth...hreadid=180385 CloseD(1) problem entirely solved. However I will now have to re-optimize all my systems. I will postpone doing it on all 37 because half of those don't even use CloseD, and the others are not that sensitive to differences. But I definitely will have to re-optimize all 5 finished opening gap systems in light of this new method to solve the CloseD(1) problem (by setting a different schedule for the symbols you test). All this will take place next weekend.

Oct 26, 2009, 1:33am	#418
travis 9,702 Posts Joined Mar 2003	Well, I am glad it was useful, because I understood almost nothing of it.

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