Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Does this one actually count? I have no time stops on this system. Although this one turned into a winner, ...

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Old Apr 20, 2011, 9:03am   #856
 
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Re: TurningPoints Improvements Needed

Adamus started this thread Does this one actually count?

I have no time stops on this system. Although this one turned into a winner, logic dictates that it's pure 50:50 after the original turning point is superceded by another. In that time theoretically the system should be able to trade again with smaller targets for some profits.
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Old Apr 21, 2011, 2:44pm   #857
 
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Quote:
Brian: I'm not the Messiah! Will you please listen? I am not the Messiah, do you understand? Honestly!
Girl: Only the true Messiah denies His divinity.
Brian: What? Well, what sort of chance does that give me? All right! I am the Messiah!
Followers: He is! He is the Messiah!
Brian: Now, **** off!
[silence]
Arthur: How shall we **** off, O Lord?
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Old Apr 21, 2011, 4:20pm   #858
 
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Re: TurningPoints Improvements Needed

Adamus started this thread Glutton for whipsaw punishment. I took 70 points of whipsaw this morning and it looks like I'm just going in for second helpings.

This looks like some kind of expanding mega-choppy flag.

Still, my system knows best.

Also of concern is that the target is only 35 pips away, in an area with no clear significance at all, while the stop is 85 pips away.

I think this is just rubbish - a clear oversight on my part in system building. On re-programming this system, I'm going to forgo any trades that don't let me get in with a decent risk:reward ratio according to the rules of the system. There's no point in taking this trade, from a system trading point of view.

In case you the reader are not familiar with NT7, the last pink triangle on the chart is my last entry and the position is still open.
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Old Apr 27, 2011, 7:14pm   #859
 
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Re: TurningPoints Improvements Needed

Adamus started this thread Would have been good - not that the system knew that.

I exited early anyway because I went on holiday and was off-line.

I enabled drive-sharing in Win7 on this machine and it's turned it into a snail. I hope it turns back when I disable it.
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Old May 1, 2011, 6:37pm   #860
 
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keeping a journal, being busy, getting ahead, pushing still

Adamus started this thread This post is way overdue, mainly thanks to my inability to prioritise and my blind optimism that I can do all the **** I think I have to do - still - despite learning the lesson over and over. Just to round up the stuff I've been doing, not that it's interesting, just for the record really, I'll note some stuff down here.

I got a laptop to replace my aging WinXP machine so I can have more RAM and run NinjaTrader 64-bit for doing big analyses of the whole basket of currencies over 10 years. It took Mesh Computers 30 days to deliver it which drove me crazy, but I've got it now. I'm putting all my stuff onto it which is currently spread across 3 machines - my email and browser from my linux machine, my Java development projects, and of course NT7 with the 22 gigs of tick data I managed to accumulate, plus I'm using it to RDP into my hosted server running my systems.

A hosted server is new too - I am moving my trading across from my desktop PC to a hosted server based in the US. The connectivity is a big step-up from my soho BT business broadband - only 9 hops in the traceroute compared to over 20 from my PC here @home. Typically the first thing I came across after setting up NinjaTrader to run all night was a foobar between Interactive Brokers and NinjaTrader again, at about 19:00 IB disconnected and then reconnected seconds later, but NinjaTrader missed the reconnect somehow and stayed disconnected for 5 hours until after midnight when for reasons beyond my understanding, it just decided to pick up the data feed again. So, more faff to contend with on the NinjaTrader support forum. Since then it's been alright but I can't run the systems live if NinjaTrader is going to do that overnight.

Following on from previous posts here where I've discussed whether I can keep my trading going in the long term without greater income from it, I decided the solution is to trade more - sounds logical and simultaneously I know I'm going to get the conservative readers out there thinking I'm taking risks beyond my abilities. That's as maybe but it's the most rational approach that I can agree with myself on.

Obviously I just threw that out there in a flippant way - it almost sounds like I'm talking about ramping up my leverage on the systems I'm currently trading. Although I do have to look in more depth at the leverage I'm using on my two live systems, I'm not going to be increasing their leverage for that reason.

What I mean by more trading is that I'm putting myself through training for discretionary trading. As is the way that I've learnt most things I know anything about, I'm teaching myself. I'm using the Al Brooks Price Action bar by bar book, and Lance Beggs / yourtradingcoach.com resources. I'm splitting my day between work on system trading - developing and trading mechanical systems - and working on price action trading, following the EUR/USD on a 5 min timeframe and learning how to trade that. My price action trading goal is to get profitable at that, with a higher degree of consistency and reliability than I've got from my mechanical trading. I'm not going to be documenting that here though, I'm keeping this journal focused on the mechanical trading.

As always I would like to hear from anyone reading this - I'm writing a journal partly to keep tabs on my own progress and to have something to go back over and review that I hope will help my trading in the future, but also partly because it's always great to interact with other people on the same path. There are a couple of us mechanical traders in London even, so there's nothing restricting it to ephemeral, half-real internet chat either.
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Old May 1, 2011, 8:50pm   #861
 
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More historical data complexities

Adamus started this thread Another reason why my progress with the mechanical trading slowed right down is that I discovered how NinjaTrader's historical data manager which collects tick, minute and daily data from Interactive Brokers, FXCM and DTC (well, I import that manually).

The ticks from Interactive Brokers arrive on my machine without a timestamp. NinjaTrader timestamps it with the current computer time and saves it to the database.

The ticks from FXCM arrive ready-timestamped with the time on the FXCM data server, i.e. the current New York time. NinjaTrader just changes the time on the tick to the timezone on my computer - i.e. London time.

That's all well and great but on my computer something is going wrong. During March due to the onset of Daylight Saving Time in both the US and UK but at different times, I realised that NinjaTrader wasn't applying the DST to the time change it applied to the FXCM data - for reasons unknown, NinjaTrader continued to adjust the NY timestamp by -5 hours regardless of the fact that it was being transmitted an hour earlier.

So that screwed up the FXCM data by an hour from March 13th. Maybe I could have lived with that, if everything had gone back to normal on March 28th when Daylight Saving kicked in in the UK. It would have been 2 weeks worth of data out by an hour - tolerable. But in a bizarre mangling of its timezone calculations, NinjaTrader decided that NY is now running 6 hours behind us and so the data continues to be out by an hour.

I posted a few charts of the FXCM data vs the IB data on the NinjaTrader forum to get their attention, and one of their support staff had a long close look at it, but was unable to get the same problem to occur on his computer and that was that. I have to re-import all my data. And of course the tick data from FXCM is gone from their servers after 30 days so if I want to save it, I have to export it and adjust it all manually and then re-import it.

This is the NinjaTrader support forum thread.

Hopefully NinjaTrader running on my new machine will be able to handle the DST transition properly. I think I don't have time to export, adjust and re-import the tick data so I can kiss it goodbye. I guess I'll archive it - I have it from June 2010 - what a shame, almost a year's worth for the 21 highest volume currency crosses.

I haven't even looked at the DTC data to see how NinjaTrader handled the manual import. Let's just hope it was OK since it would have been done all in one day every quarter, rather than each weekend.

It took me ages staring at the chart and writing down the times in NY, London and GMT during the days of March to work out which ticks should have what timestamp. Considering my academic qualifications in school maths were all graded A, I find it insane that I have such issues with what is simple arithmetic - should I subtract 1 or not. It seems someone at NinjaTrader has got the same issue.

Rant over.
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Old May 2, 2011, 1:08pm   #862
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Re: Deadline June

Hi Adamus,

So what's your situation right now? You have one or more automated trading systems running now, right? Are they proving to be profitable? What kind of % profit are you making on a monthly basis?

You're now talking about starting discretionary trading on top of the automated systems to cover day-to-day living expenses, right? Sounds very risky to me. What you probably need is a stable source of income, and trading is anything but stable.

What's wrong with taking a job, something not too stressful that'll get you out and take your mind off trading. Surely you don't want to be looking at charts and waiting in front of your computer on a day like today!

In short - I don't think discretionary trading is the right thing to do, unless you think your automated trading is going nowhere.
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Old May 2, 2011, 4:30pm   #863
 
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Get a job!

Adamus started this thread h grimes,

good to see you're still around.

Realistically my "job" will be discretionary trading. It might not be something that is generally accepted by family, friends and acquaintances as a "stable job", but it is a job, especially judging from the amount of work involved.

As for risk and stability, you have a totally valid view point - it would be good to have a stable income and not to undertake anything too risky.

However there are several factors that I am taking into account, some of which are minor personal details I didn't think necessary or right to post here, and some of which I'll point out now since it seems a good place and time to justify myself further.

I tried to get the type of work I used to do, freelance Java programming, through January to March. I had some interest and I realised I could get that sort of work again if I wanted, but I have some more work to do to prepare my hosted server to run the systems, and to prepare my laptop which Ill now use as a trading development workstation. This work is almost done.

I thought about the situation though and put together my plans and my budget and my forecasts - I uploaded an excel spreadsheet of the forecasting mechanism I used for predicting the income from my mechanical trading.

Even with conservative estimates of my possible income from mechanical trading and discretionary trading and using funds that I will have access to at various stages over the next 2 years, it's clear that I can manage this situation without taking on a paid job.

At least the next 3 to 6 months will be very interesting and some of the work I am now able to undertake with NinjaTrader on my new laptop (I presume) will allow me to be more confident about the system I make and in fact to make systems quicker.

The discretionary trading despite being challenging should be something I can handle, given 3 to 4 months to learn and it will also pay dividends because the two types of trading should complement each other and give me advantages I'd otherwise never realise.

I think the bench mark 10,000 hours of screen time required to turn profitable in discretionary trading apply to me as well - but reduced in total by my trading experience gained already on the mechanical side. Reduced by how much though? Good question. I'm being optimistic and hoping that I'll get on top of it within 4 - perhaps maybe 6 months. We'll see.

To answer your question directly, I am running two systems live. One is undoubtedly profitable, the other is just profitable. If you had asked me a month back, I would have said it was unprofitable. I actually want to get my systems up to a level where I can compare live results to backtest results and also put them through the money management analysis I'm planning. That still requires work to be done - lots of work - and meanwhile theyre both running at a leverage level I estimated as best back when I created them.

Actually they're running at half that original leverage - I turned down my bet size in January.
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Old May 3, 2011, 10:25am   #864
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Re: Deadline June

Yes I'm still around.

Like you I have two systems running at the moment and they are both profitable. Its just a matter of monitoring them and resetting every month. I also have a discretionary account that I use for hedging against my automated trades, if they are obviously on the wrong side of the market. I tried discretionary trading before switching to automated trading cos I was just no good at it (not because of the strategy but because of me). Maybe you'll succeed where I failed.
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Old May 3, 2011, 1:38pm   #865
 
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Thanks

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Originally Posted by grimesd View Post
Yes I'm still around.

Like you I have two systems running at the moment and they are both profitable. Its just a matter of monitoring them and resetting every month. I also have a discretionary account that I use for hedging against my automated trades, if they are obviously on the wrong side of the market. I tried discretionary trading before switching to automated trading cos I was just no good at it (not because of the strategy but because of me). Maybe you'll succeed where I failed.
Bad luck, maybe you just didn't want to do it enough - I used to think discretionary trading was inferior to mechanical trading, but as I've been learning, I decided I was wrong. I don't mean inferior as in how much you can make - I think that's impossible to compare - but I mean I thought it was just plain not such a good idea.

Since I changed my mind about it and for the reasons I talked about here to do with income, I now really really want to succeed at discretionary trading.

I believe that the human brain wll never be bettered by a computer when it comes to trading one market. It's not like chess where IBM eventually beat Kasparov or Karpov or was it someone else...
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Old May 3, 2011, 1:40pm   #866
 
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Those who crashed and burned in style.....

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Rogues Gallery
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Old May 3, 2011, 2:02pm   #867
 
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IB handed me 12 points slippage on the EUR.GBP

Adamus started this thread Still haven't found out what moved the markets, but it put EUR.GBP through my stop @8937 so forcefully that IB gave me most of the fill at 8949.

That spoils the zero slippage fills on 25 previous executions.

What was the news then? Did they discover that it was actually David Cameron who the US had killed and buried at sea off the coast of Pakistan? I'd have thought that would have the opposite effect.
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Old May 4, 2011, 10:56am   #868
 
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your semi-automated strategy

Adamus started this thread
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Originally Posted by grimesd View Post
Yes I'm still around.

Like you I have two systems running at the moment and they are both profitable. Its just a matter of monitoring them and resetting every month. I also have a discretionary account that I use for hedging against my automated trades, if they are obviously on the wrong side of the market. I tried discretionary trading before switching to automated trading cos I was just no good at it (not because of the strategy but because of me). Maybe you'll succeed where I failed.

Just realised who you are (I always get everyone's online names cofused) - didn't you used to have a journal where you talked about your semi-automted stuff? Is that the one system - and you created another?
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Old May 4, 2011, 11:00am   #869
 
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Trading holidays

Adamus started this thread Just because it was really difficult to trade last week between Easter and the Royal Wedding, since I was stuck in a holiday cottage in darkest Wales where there is no broadband (although I found out there is massive broadboand for the military) I decided it's definitely worth checking whether a system is worth trading on a bank holiday or even over the holiday periods, e.g. Christmas / NY or Easter.

It was good not to trade last week - my systems had a signifcant down week. And my memories of Christmas and New Year are of wishing I wasn't trading.
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Old May 4, 2011, 11:10am   #870
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Re: Deadline June

Yes that's me. I have a journal, but haven't bothered posting to it recently - nothing has changed and it would be a bit boring to continue it. Since adding a second strategy based loosely on the first, it's just been a matter of monitoring and doing the monthly resets. I have a full-time job so I can leave all my profits in my trading accounts. It's only tax planning that's going to cause concern soon
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