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Yamato
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Thanks for appreciating my research. Who would have ever dreamed as a child to get something like that for 99 cents? That would have been like a Christmas gift, and a pretty big one. I remember the usual remote-controlled gifts to children around me were those attached to the control with a cable, and when i saw that I always thought "damn, that sucks - i wouldn't want one of those". But now I bought a submarine, without chord, and for 99 cents. The world has changed.
Last famous words before getting electrocuted in the bathtub by the defective submarine.
Last famous words before getting electrocuted in the bathtub by the defective submarine.
Yamato
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pretty good song
Pretty lame song, too.
http://www.youtube.com/watch?v=04Cq9Lz_BtM
I have to describe this mood.
I went to meet my two friends, and there were some spanish chicks, tourists, playing with the child of one of my two girl friends.
So I noticed that I didn't even bother to look at these hot chicks. My friend told me "look at how hot these girl are... " and how the child was picking up chicks... stuff like that.
Well, I didn't even look at the girls. There's no hope, so I am not even going to try. If you show me some prostitutes, and there's an agreed price, I'll go for it, if I am interested. I am not going to risk getting rejected or similar by women much younger than I am and who show no interest in me.
So the feeling I wanted to describe, introduced by this song, is a feeling of lost youth. A youth I never really experienced, because, due to my father, I was an adult ever since i was six years old. There was never any games allowed for me. I was supposed to work hard ever since I was in elementary school. I could never even celebrate anything, such as my birthday. No big gifts. Just symbolic ones. Mostly books and more stuff to work on, like strategy games... things to develop my intelligence. And in summer, there were never any real vacations nor long ones. There were summer schools, sailing courses, language courses... just learning and learning. Never any celebration.
I never felt close to those my age. I didn't feel close then and I don't feel close now. I was always different. I was forced to be different. And I was encouraged to despise them, being told that I was better and that I had to be much better, and that otherwise I would have been worthless. I was told also some contradictory things. I was told that I had to excel but that those who didn't excel and work hard were just as good as me. Maybe he was trying to teach me to outsmart people by being better while pretending I didn't despise them. I was taught to despise myself for being like them, but not to despise them for being how they were. Impossible request to fulfill, so I ended up trying to be the best, yet totally despising everyone around me who seemed superficial, disorganized and so on.
Lost youth and lost life, too. A life of hard work, without ever getting any reward. That's why I rejected this idea and I failed many classes since i was 14. This project for me was impossible to follow. I was never supposed to rest, never allowed to celebrate any achievements or successes -- I was just supposed to keep on working harder and harder, never stopping, and I couldn't even despise those who were being careless, having fun, being superficial... what kind of a life is this that my dad had and has in mind?
Many others had my same experience, but often they rebelled, and did what they wanted. For me... I gave up. I gave up on being happy. Like they say in the Catcher in the Rye, "I gave up looking, before I ever really even got started". I just thought I could not be happy. My favorite book:
I gave up on being happy, since i was a teenager. And now I am just falling and falling, life is expiring, and I never had any fun. And my dad is still riding me, trying to keep me working, racing for him, like a remote controlled racing car.
Like, if I told him if it's ok to quit my job given that I make enough money from trading, he will definitely say that it's ok but only at the regular retirement age, which means that I am trading just as a pastime, and not in order to quit my job. Nothing will make him change his mind I think. As I said in other ways in other posts, my mother's plan for me is to see me die on the cross, like Jesus, and my dad's plan for me is to see me die for my country, or die at my desk, while working my ass off, just for the sake of it -- not for the salary or any type of reward. That's how they lived their lives: sacrifice, sacrifice, sacrifice -- even if in the meanwhile there's no longer any need for any sacrifice. One should feel guilty about wasting money, about enjoying it, about celebrating anything. No birthdays were ever celebrated in my family. No big christmas gifts. We were never a family in many ways. We were a bunch of co-workers.
So I ended up at the bank. I wanted to do psychology, but he said no. I wanted to philosophy but he said no. I wanted to do movies, but he said no. None of these was a job. That's what he said. So I said "is political science ok?". He said yes, if that's what I wanted... after having rejected all my other choices. He was paying so I went for political science. I didn't feel entitled to choose something he didn't approve.
So I ended up at the bank. All the jobs I held he got them for me. I've been radiocontrolled by him until now. And I still won't dare to do otherwise. But there's financial issues, too. If I want to go live by the beach, that's his house. Can I pay for another house? Not at all. I can't even pay for a house in rome. I can't pay for anything. I don't have any money saved.
It would be contradictory to do things my own way if I depend financially on him. So it's only coherent that I am still being radiocontrolled by him. On top of it he qualifies as a control freak, so certainly he didn't encourage me to make my own choices at all. He later blamed me though. Yeah, he said "if you were positive about those ideas, you should have rebelled". Pretty depressing. So if I failed by following his advice, it's my fault because I didn't rebel. If I fail because I did not follow his advice, it's my fault because I rebelled. No wonder he also spent all his life criticizing all those around him. Me, my mom, his co-workers, relatives... anyone.
No wonder I prefer to be alone than with people. Or with children. I prefer being with people not fully developed, who can't really talk or think that much. Dumb/childish chicks, too. That's my favorite type of girl.
There's much more to say and to think about, but i wasn't writing an essay -- just venting out my daily dose of frustrations.
I like talking to myself, by myself. People... most of them it's better if they don't talk at all. They have little to say. They could just stay quiet. Can you believe there's people who spend half of the day talking about soccer? Are these people worth hearing? No. It's terrible. At the bank, if there's a new guy in the room next door, I try to get acquainted as late and as little possible, so to avoid having any conversations. I try not to look at people, so I avoid being asked stupid questions such as "how are you?" by people who don't care about the answer. I am so prejudiced against humans that i feel the fewer I meet the better. I don't want to meet new people basically, because I am pretty confident that it will be a bad experience.
Pretty lame song, too.
http://www.youtube.com/watch?v=04Cq9Lz_BtM
I have to describe this mood.
I went to meet my two friends, and there were some spanish chicks, tourists, playing with the child of one of my two girl friends.
So I noticed that I didn't even bother to look at these hot chicks. My friend told me "look at how hot these girl are... " and how the child was picking up chicks... stuff like that.
Well, I didn't even look at the girls. There's no hope, so I am not even going to try. If you show me some prostitutes, and there's an agreed price, I'll go for it, if I am interested. I am not going to risk getting rejected or similar by women much younger than I am and who show no interest in me.
So the feeling I wanted to describe, introduced by this song, is a feeling of lost youth. A youth I never really experienced, because, due to my father, I was an adult ever since i was six years old. There was never any games allowed for me. I was supposed to work hard ever since I was in elementary school. I could never even celebrate anything, such as my birthday. No big gifts. Just symbolic ones. Mostly books and more stuff to work on, like strategy games... things to develop my intelligence. And in summer, there were never any real vacations nor long ones. There were summer schools, sailing courses, language courses... just learning and learning. Never any celebration.
I never felt close to those my age. I didn't feel close then and I don't feel close now. I was always different. I was forced to be different. And I was encouraged to despise them, being told that I was better and that I had to be much better, and that otherwise I would have been worthless. I was told also some contradictory things. I was told that I had to excel but that those who didn't excel and work hard were just as good as me. Maybe he was trying to teach me to outsmart people by being better while pretending I didn't despise them. I was taught to despise myself for being like them, but not to despise them for being how they were. Impossible request to fulfill, so I ended up trying to be the best, yet totally despising everyone around me who seemed superficial, disorganized and so on.
Lost youth and lost life, too. A life of hard work, without ever getting any reward. That's why I rejected this idea and I failed many classes since i was 14. This project for me was impossible to follow. I was never supposed to rest, never allowed to celebrate any achievements or successes -- I was just supposed to keep on working harder and harder, never stopping, and I couldn't even despise those who were being careless, having fun, being superficial... what kind of a life is this that my dad had and has in mind?
Many others had my same experience, but often they rebelled, and did what they wanted. For me... I gave up. I gave up on being happy. Like they say in the Catcher in the Rye, "I gave up looking, before I ever really even got started". I just thought I could not be happy. My favorite book:
I gave up on being happy, since i was a teenager. And now I am just falling and falling, life is expiring, and I never had any fun. And my dad is still riding me, trying to keep me working, racing for him, like a remote controlled racing car.
Like, if I told him if it's ok to quit my job given that I make enough money from trading, he will definitely say that it's ok but only at the regular retirement age, which means that I am trading just as a pastime, and not in order to quit my job. Nothing will make him change his mind I think. As I said in other ways in other posts, my mother's plan for me is to see me die on the cross, like Jesus, and my dad's plan for me is to see me die for my country, or die at my desk, while working my ass off, just for the sake of it -- not for the salary or any type of reward. That's how they lived their lives: sacrifice, sacrifice, sacrifice -- even if in the meanwhile there's no longer any need for any sacrifice. One should feel guilty about wasting money, about enjoying it, about celebrating anything. No birthdays were ever celebrated in my family. No big christmas gifts. We were never a family in many ways. We were a bunch of co-workers.
Well, I didn't have any plans. My only plan was to not go along with his plans.
So I ended up at the bank. I wanted to do psychology, but he said no. I wanted to philosophy but he said no. I wanted to do movies, but he said no. None of these was a job. That's what he said. So I said "is political science ok?". He said yes, if that's what I wanted... after having rejected all my other choices. He was paying so I went for political science. I didn't feel entitled to choose something he didn't approve.
So I ended up at the bank. All the jobs I held he got them for me. I've been radiocontrolled by him until now. And I still won't dare to do otherwise. But there's financial issues, too. If I want to go live by the beach, that's his house. Can I pay for another house? Not at all. I can't even pay for a house in rome. I can't pay for anything. I don't have any money saved.
It would be contradictory to do things my own way if I depend financially on him. So it's only coherent that I am still being radiocontrolled by him. On top of it he qualifies as a control freak, so certainly he didn't encourage me to make my own choices at all. He later blamed me though. Yeah, he said "if you were positive about those ideas, you should have rebelled". Pretty depressing. So if I failed by following his advice, it's my fault because I didn't rebel. If I fail because I did not follow his advice, it's my fault because I rebelled. No wonder he also spent all his life criticizing all those around him. Me, my mom, his co-workers, relatives... anyone.
No wonder I prefer to be alone than with people. Or with children. I prefer being with people not fully developed, who can't really talk or think that much. Dumb/childish chicks, too. That's my favorite type of girl.
There's much more to say and to think about, but i wasn't writing an essay -- just venting out my daily dose of frustrations.
I like talking to myself, by myself. People... most of them it's better if they don't talk at all. They have little to say. They could just stay quiet. Can you believe there's people who spend half of the day talking about soccer? Are these people worth hearing? No. It's terrible. At the bank, if there's a new guy in the room next door, I try to get acquainted as late and as little possible, so to avoid having any conversations. I try not to look at people, so I avoid being asked stupid questions such as "how are you?" by people who don't care about the answer. I am so prejudiced against humans that i feel the fewer I meet the better. I don't want to meet new people basically, because I am pretty confident that it will be a bad experience.
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Yamato
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uneasy, restless, frustrated
It happens every two weeks. Everything might be going better than ever, but every two weeks I feel the need to skip work for one day or at least go late. It's like a protest. I wrote about this in the post above.
Ever since my dad tried, as a child, to force down my throat extra homework, to try and make his race horse, at about 14 I rebelled, and starting skipping class and failing school. I skipped regular classes, private English lessons, piano lessons, Greek lessons (because I needed a repeat lesson, since I was failing in school), anything there that could be skipped I skipped it.
But since then, the problem spread wider, and I have fought all authority figures. Teachers, professors, police, government, employer/bosses... by any legal means, I fought them, mostly just with my attitude and words and thoughts. I have resented not just my father, but all figures that resembled him.
So tomorrow I feel the need to skip work. How do I know? I am restless and can't fall asleep. My body is telling me that it doesn't want to go to work.
Now I'll go to sleep. Maybe I'll go late. Depends how I'm feeling.
No, I'll have to post one more song here, before going to sleep.
It happens every two weeks. Everything might be going better than ever, but every two weeks I feel the need to skip work for one day or at least go late. It's like a protest. I wrote about this in the post above.
Ever since my dad tried, as a child, to force down my throat extra homework, to try and make his race horse, at about 14 I rebelled, and starting skipping class and failing school. I skipped regular classes, private English lessons, piano lessons, Greek lessons (because I needed a repeat lesson, since I was failing in school), anything there that could be skipped I skipped it.
But since then, the problem spread wider, and I have fought all authority figures. Teachers, professors, police, government, employer/bosses... by any legal means, I fought them, mostly just with my attitude and words and thoughts. I have resented not just my father, but all figures that resembled him.
So tomorrow I feel the need to skip work. How do I know? I am restless and can't fall asleep. My body is telling me that it doesn't want to go to work.
Now I'll go to sleep. Maybe I'll go late. Depends how I'm feeling.
No, I'll have to post one more song here, before going to sleep.
Yamato
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major achievement today
Things are changing with myself and my systems.
I have improved automation to such a point that I can simply go to sleep, like I did yesterday, at 9.30 pm. And wake up and turn them on again the next day.
It was years since I was able to go to sleep so early, and rise so early, and sleep 8 hours, too. I am going to be healthy and wise now.
Things are changing with myself and my systems.
I have improved automation to such a point that I can simply go to sleep, like I did yesterday, at 9.30 pm. And wake up and turn them on again the next day.
It was years since I was able to go to sleep so early, and rise so early, and sleep 8 hours, too. I am going to be healthy and wise now.
Yamato
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Role Models - Love Take Me Down (To the Streets)
http://www.youtube.com/watch?v=a2RItLuDPY8
http://en.wikipedia.org/wiki/Role_Models#Production
http://www.youtube.com/watch?v=a2RItLuDPY8
http://en.wikipedia.org/wiki/Role_Models#Production
meanreversion
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Re: uneasy, restless, frustrated
What kind of (daily) Sharpe ratio are you achieving on your account, for all systems, if I may ask? And how does it compare with the Sharpe you saw in backtesting?
(I apologise in advance if you detailed this a few pages back, I've not been to this journal recently.)
What kind of (daily) Sharpe ratio are you achieving on your account, for all systems, if I may ask? And how does it compare with the Sharpe you saw in backtesting?
(I apologise in advance if you detailed this a few pages back, I've not been to this journal recently.)
Yamato
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Amazing timing in your question. I've got the perfect answer for you, because of some work I did yesterday. If you had asked me at any other time in the past 14 years, I would not have been able to answer.
I almost can't believe you're asking me this question today. It took me 14 years to be able to answer it, that day was yesterday, and you're asking me the question one day later. Unbelievable coincidence.
Ok, here you will see a table of back-tested performance, and later the chart comparing back-tested with real trading performance.
The daily sharpe ratio of real trading so far, since the start in June 2010, is 1.89.
Here's the table, representing the real trading data only in the first two columns: the rest is all back-tested performance measurements.
Here instead you will see the chart comparing the real money results (the lower line) with the results I would have had if everything went according to the average performance of back-testing:
Now, someone could argue that I should exclude the comparison with the expected performance for the period until xmas 2010, because I didn't really know what I was doing until then. First of all, it is not true, because I was doing my best. Second of all, i'd rather keep it, because that way the formulae and the chart are coherent and third, because I don't feel like I am doing ANY wishful thinking at all, which is something I tend to do.
Let's summarize the situation by saying that if I do things superficially and lightly I can expect a performance of about 50% of the backtested one. Mind you, it's happened in the past because of ignorance, which is no longer the case. However, it could happen again in the future because of carelessness. Not likely, because I am not careless, but let's not rule it out.
On the other hand, if I will do things very meticulously, I can hope to see a 66% of past profits.
However, in no case I can expect 100% of the back-tested profits.
The reason I can accept this limit of my systems and limits of my work and myself is simple. It's like for soccer. Which teams would you bet on for the next championship? Let's say you know nothing and you bet on the top 10 of the previous championship probably. Well, it would be reasonable if you were right on five of them, but it would be unlikely that the top 10 of this year turn out to be the same top ten of next year. It works the same way in choosing your systems to trade. Unless you're talking about physics, math and similar sciences, the past doesn't repeat itself 100%. Or better: by knowing the past, you can't predict the future with 100% of accuracy.
I almost can't believe you're asking me this question today. It took me 14 years to be able to answer it, that day was yesterday, and you're asking me the question one day later. Unbelievable coincidence.
Ok, here you will see a table of back-tested performance, and later the chart comparing back-tested with real trading performance.
The daily sharpe ratio of real trading so far, since the start in June 2010, is 1.89.
Here's the table, representing the real trading data only in the first two columns: the rest is all back-tested performance measurements.
Here instead you will see the chart comparing the real money results (the lower line) with the results I would have had if everything went according to the average performance of back-testing:
Now, someone could argue that I should exclude the comparison with the expected performance for the period until xmas 2010, because I didn't really know what I was doing until then. First of all, it is not true, because I was doing my best. Second of all, i'd rather keep it, because that way the formulae and the chart are coherent and third, because I don't feel like I am doing ANY wishful thinking at all, which is something I tend to do.
Let's summarize the situation by saying that if I do things superficially and lightly I can expect a performance of about 50% of the backtested one. Mind you, it's happened in the past because of ignorance, which is no longer the case. However, it could happen again in the future because of carelessness. Not likely, because I am not careless, but let's not rule it out.
On the other hand, if I will do things very meticulously, I can hope to see a 66% of past profits.
However, in no case I can expect 100% of the back-tested profits.
The reason I can accept this limit of my systems and limits of my work and myself is simple. It's like for soccer. Which teams would you bet on for the next championship? Let's say you know nothing and you bet on the top 10 of the previous championship probably. Well, it would be reasonable if you were right on five of them, but it would be unlikely that the top 10 of this year turn out to be the same top ten of next year. It works the same way in choosing your systems to trade. Unless you're talking about physics, math and similar sciences, the past doesn't repeat itself 100%. Or better: by knowing the past, you can't predict the future with 100% of accuracy.
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Yamato
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Conviction (2010)
http://www.putlocker.com/file/C5D1FA2CD0821233
Good one. Biographical, so good, because this type of movie rarely fails.
Beautiful story:
http://en.wikipedia.org/wiki/Conviction_(film)
http://www.innocenceproject.org/know/
You know? The movie is not that good. But these powerful stories are always worth being told, so any movie telling them is good simply because it's telling a story worth being told -- no matter how bad it tells it.
Powerful subject... here's another good video:
http://www.putlocker.com/file/C5D1FA2CD0821233
Good one. Biographical, so good, because this type of movie rarely fails.
Beautiful story:
http://en.wikipedia.org/wiki/Conviction_(film)
http://www.innocenceproject.org/know/
You know? The movie is not that good. But these powerful stories are always worth being told, so any movie telling them is good simply because it's telling a story worth being told -- no matter how bad it tells it.
Powerful subject... here's another good video:
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Yamato
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two nice things to think about
The first thing is the 99 cents submarine, which is being shipped to me. It will take another 2 weeks or so. I can't wait:
http://www.youtube.com/watch?v=3c4_XHBiM98
The submarine, provided it works and I don't get electrocuted, will allow me to stay in the bath for hours, just playing with it, and sparing my eyesight from too much computer.
The second pleasant idea, is this chart:
This, as explained in recent posts, is the comparison between the week by week equity line and the expectations according to 8 years of backtested results, for the same combination of systems/contracts we're trading.
You could wonder why looking at such a poor delivery of such great promises is a pleasant sight. Simple: once you accept the idea that you can count on my systems delivering at least 50% of the back-tested profit, then your mind is in peace, but also reassured. You suddenly know that you can be confident that precisely that 50% of profit will be delivered. Only 50%, but a 50% which is pretty much assured. On top of it, my skills in selecting the right combinations have improved so I know it will be more than 50%, but what counts is that I can count on that 50%, and that's a lot.
I would rather be confident that it will deliver 50% than engaging in wishful thinking and hoping it will deliver 66% of back-tested profit. It probably will, but I don't want to have to rely on that. I'd rather feel confident about less, than feel insecure about more.
Soon more capital will be invested, and the promise from my systems is now 2000 dollars per week. Soon it will be 6000 dollars per week. "Soon" I mean in one month. So this means I can count on half of that actually being delivered, which is 3000 dollars per week, which is 12000 dollars per month.
The first thing is the 99 cents submarine, which is being shipped to me. It will take another 2 weeks or so. I can't wait:
http://www.youtube.com/watch?v=3c4_XHBiM98
The submarine, provided it works and I don't get electrocuted, will allow me to stay in the bath for hours, just playing with it, and sparing my eyesight from too much computer.
The second pleasant idea, is this chart:
This, as explained in recent posts, is the comparison between the week by week equity line and the expectations according to 8 years of backtested results, for the same combination of systems/contracts we're trading.
You could wonder why looking at such a poor delivery of such great promises is a pleasant sight. Simple: once you accept the idea that you can count on my systems delivering at least 50% of the back-tested profit, then your mind is in peace, but also reassured. You suddenly know that you can be confident that precisely that 50% of profit will be delivered. Only 50%, but a 50% which is pretty much assured. On top of it, my skills in selecting the right combinations have improved so I know it will be more than 50%, but what counts is that I can count on that 50%, and that's a lot.
I would rather be confident that it will deliver 50% than engaging in wishful thinking and hoping it will deliver 66% of back-tested profit. It probably will, but I don't want to have to rely on that. I'd rather feel confident about less, than feel insecure about more.
Soon more capital will be invested, and the promise from my systems is now 2000 dollars per week. Soon it will be 6000 dollars per week. "Soon" I mean in one month. So this means I can count on half of that actually being delivered, which is 3000 dollars per week, which is 12000 dollars per month.
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Yamato
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at work, bored
First time in several days that I am bored.
It's because yesterday i had to stay until 5 pm, because I had fallen behind, due to too many people asking me questions, and, for some mechanism I can't fully describe (work kept coming in, and I kept doing it), I also put myself ahead of things to do and the work for today was partly done yesterday.
The boss is leaving on vacation after today, for two weeks, and I still haven't been transferred to another office - not physically, I mean the things I have to do, because I will always stay here.
We were all transferred last monday to a new building here in rome, about 3 kilometers away from the previous building, still in the "center" of rome, but less central.
I have a new roommate, a good one finally. About 50% of the roommates I ever had suck. This one is good. He's about 56 and has a law degree and economics degree. He likes statistics just as much as me, and so we get alone very well. We're talking about excel all day long.
He said I am quite intelligent, and I agree with him, and told him he can call me "leonardo", because I feel like a renaissance man, and I also play the harp and paint, which I don't, but it's to get my point across.
The air conditioning works, finally I am at a place where it works.
We've got a room in the corner, always keep the door shut, which is very important for me. It's just awesome. The best office/room/situation I've ever worked at.
First time in several days that I am bored.
It's because yesterday i had to stay until 5 pm, because I had fallen behind, due to too many people asking me questions, and, for some mechanism I can't fully describe (work kept coming in, and I kept doing it), I also put myself ahead of things to do and the work for today was partly done yesterday.
The boss is leaving on vacation after today, for two weeks, and I still haven't been transferred to another office - not physically, I mean the things I have to do, because I will always stay here.
We were all transferred last monday to a new building here in rome, about 3 kilometers away from the previous building, still in the "center" of rome, but less central.
I have a new roommate, a good one finally. About 50% of the roommates I ever had suck. This one is good. He's about 56 and has a law degree and economics degree. He likes statistics just as much as me, and so we get alone very well. We're talking about excel all day long.
He said I am quite intelligent, and I agree with him, and told him he can call me "leonardo", because I feel like a renaissance man, and I also play the harp and paint, which I don't, but it's to get my point across.
The air conditioning works, finally I am at a place where it works.
We've got a room in the corner, always keep the door shut, which is very important for me. It's just awesome. The best office/room/situation I've ever worked at.
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Yamato
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buying a helicopter, too
I think I am planning to buy a small helicopter and mount a camera on it, like this guy:
http://www.youtube.com/watch?v=ypvw59fcbCs
Damn, is he a good movie director or what? With such cheap tools look at what he's done. What budget did he need to make this movie? Probably 50 dollars.
Except my helicopter will cost like the rc submarine, which is only 99 cents. I also need a wireless camera for 99 cents.
I am going to buy this one for sure:
http://rcmania.com/syma-s108g/
I'll get the wireless camera another time. It's here anyway:
http://cgi.ebay.com/MICRO-COLOR-CAM...pt=Radio_Control_Vehicles&hash=item2c5dfa8e8b
Nope!
I am getting this one:
Goddamn geniuses!
"Stability, precision and finesse". This guy really knows what he's talking about:
http://rcmania.com/syma-s107g/
http://www.youtube.com/user/RCManiaDotCom
I'll buy it from here:
http://cgi.ebay.com/Syma-S107G-RC-h...sGames_RadioControlled_JN&hash=item4aabaf1db0
I'll have the rc bathtub sub, and I'll have the syma helicopter for when I sit on the couch.
Either way, I'll buy some time away from this screen.
Ok, I found the mini-camera as well:
http://www.rc-fever.com/d005-mini-dv-camera-black-without-micro-sd-card-p-10924.html?cPath=259_261
Wait. Too big. I need MD80. Ok, the video above says it sucks. Good thing I watched it.
No wait, again: I'll get this one from here:
http://www.rc-fever.com/d001-mini-dv-camera-without-micro-sd-card-p-10651.html?cPath=110_593
I think I am planning to buy a small helicopter and mount a camera on it, like this guy:
http://www.youtube.com/watch?v=ypvw59fcbCs
Damn, is he a good movie director or what? With such cheap tools look at what he's done. What budget did he need to make this movie? Probably 50 dollars.
Except my helicopter will cost like the rc submarine, which is only 99 cents. I also need a wireless camera for 99 cents.
I am going to buy this one for sure:
http://rcmania.com/syma-s108g/
I'll get the wireless camera another time. It's here anyway:
http://cgi.ebay.com/MICRO-COLOR-CAM...pt=Radio_Control_Vehicles&hash=item2c5dfa8e8b
Nope!
I am getting this one:
Goddamn geniuses!
"Stability, precision and finesse". This guy really knows what he's talking about:
http://rcmania.com/syma-s107g/
http://www.youtube.com/user/RCManiaDotCom
I'll buy it from here:
http://cgi.ebay.com/Syma-S107G-RC-h...sGames_RadioControlled_JN&hash=item4aabaf1db0
I'll have the rc bathtub sub, and I'll have the syma helicopter for when I sit on the couch.
Either way, I'll buy some time away from this screen.
Ok, I found the mini-camera as well:
http://www.rc-fever.com/d005-mini-dv-camera-black-without-micro-sd-card-p-10924.html?cPath=259_261
Wait. Too big. I need MD80. Ok, the video above says it sucks. Good thing I watched it.
No wait, again: I'll get this one from here:
http://www.rc-fever.com/d001-mini-dv-camera-without-micro-sd-card-p-10651.html?cPath=110_593
Last edited:
Yamato
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Tonight is a dangerous night. I have to make sure I go to sleep early. I tend to go to bed very late on Friday night. Instead I'd like to go to bed by 21.30. If i stay up until later i get tempted to stay and watch the systems close and then I update all the weekly tables and then I end up staying up until past midnight.
Yamato
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weekly update
Last night luckily I managed to fall asleep at 23 (not as early as I hoped, but not too bad), and, sure enough, when the neighbour bitch slammed her door at 7 am, she woke me up, but I had slept 8 hours. Had I gone to bed later, she would have woken me up just the same at 7 am, but after fewer hours of sleep. I must remember to always keep the loud noises in the first half of my sleep, when it's heavier, so I'll have slept enough when the loud noises resume, and wake me up.
So I woke up early this morning, at 7 am as I said, and I got started doing the so-called "maintenance" on the systems, which means updating all the files that depend on the trades made during the week: there's a total of six files that I keep updated and that I work on every week. They keep growing, in terms of sheets and rows and columns. This time it took me 2 hours to do the weekly maintenance. It used to take me 5 minutes just a year ago.
Since the software infrastructure has recently increased and there's a lot more to show you, I will post another weekly update. Another reason I can do this is that we're still in a long-lasting drawdown, lasting longer than a month, so I don't feel bad because I am not showing off "easy money", but just my hard work.
So first of all, how much margin has this trading been requiring since the start in June 2010?
Here's the chart.
The margin used is the black line. The red line is the margin that in theory would have been needed, if all those systems enabled in those concurrent hours, had all been trading. It could happen, but has it happened once? Nope. Not once in a year. And the more systems you add, the less it's likely to happen. As you can see, with fewer systems enabled, in the first few months, there's a lower maximum theoretical margin, and the actually used margin got close to it, but never reached it. Now that max theoretical margin is at about 70k, we're usually needing less than one third of that, and at the most we have needed 35% of it.
This is important, because the performance of the systems is measured on the capital needed and the chart above represents the capital needed. So, according to this chart how much have the systems made in a year? 20k needed, 20k made... so they have made 100%. Yeah, it's good. I know I am good. Finally it's been proven. Finally I can say "my systems make 100% a year".
Now let's get to the equity line, trade by trade:
As you can see, there's a drawdown that's been lasting for over a month, since June 16.
Beware that when you look at this chart, the latest drawdown only seems to be the longest-lasting one, but it's because there's no time scale on the x-axis, but just a trade scale. Every increment on the x-axis is a trade made. As far as I am concerned this is the most efficient way to do it. The dates are marked on the green and red dots. So you can find out that the longest drawdown was from the 20th of October to... the day that peak was surpassed, which is January 5th. So that's the two and a half months of drawdown. Now we're only half of that length, and probably it will end next week.
The appearance of the latest drawdown being longer than the actually longer previous one shows that we've been increasing the frequency of trades, which is what we already know from the margin chart: the combination of systems/contracts traded has been (with a few exceptions) steadily increasing since June 2010.
There has been already 10 different combinations of systems/contracts being traded and, week by week, they are shown the following table, which includes a comparison with the back-tested results for those same combinations:
And here's the relative chart (which uses the columns with the yellow-shaded headings):
That's right. I am not always showing off. The table and more clearly the chart show that the back-tested profit is twice as high as the actually made profit. So I'll have to live with this reality: my systems only return half of what I'd have liked them to deliver, half of what I had expected them to deliver, based on my back-tests.
And you may wonder: how correlated are your systems to the markets? A friend told me my systems went up when the SP500 went up and viceversa. I got very offended and I did extensive work to prove it's not true. Somewhat he was right, but somewhat he was wrong. Look:
I still don't have a scientific way of appraising the correlation with the EUR and SP500, but I can only proceed by guesstimates on the chart. And I can say that my systems don't always lose when those markets lose. But it's also true that when EUR and SP both go up, my systems tend to be profitable, and when EUR and SP both go down my systems tend to be unprofitable. So there is definitely some correlation. And of course I also know why: there's many systems are long-only strategies, and most of the futures I trade are correlated with EUR and SP500. So obviously if there's a LONG bias in the strategies and the futures trades are mostly correlated with those two markets, then things are going to be better if those two markets go up.
Last night luckily I managed to fall asleep at 23 (not as early as I hoped, but not too bad), and, sure enough, when the neighbour bitch slammed her door at 7 am, she woke me up, but I had slept 8 hours. Had I gone to bed later, she would have woken me up just the same at 7 am, but after fewer hours of sleep. I must remember to always keep the loud noises in the first half of my sleep, when it's heavier, so I'll have slept enough when the loud noises resume, and wake me up.
So I woke up early this morning, at 7 am as I said, and I got started doing the so-called "maintenance" on the systems, which means updating all the files that depend on the trades made during the week: there's a total of six files that I keep updated and that I work on every week. They keep growing, in terms of sheets and rows and columns. This time it took me 2 hours to do the weekly maintenance. It used to take me 5 minutes just a year ago.
Since the software infrastructure has recently increased and there's a lot more to show you, I will post another weekly update. Another reason I can do this is that we're still in a long-lasting drawdown, lasting longer than a month, so I don't feel bad because I am not showing off "easy money", but just my hard work.
So first of all, how much margin has this trading been requiring since the start in June 2010?
Here's the chart.
The margin used is the black line. The red line is the margin that in theory would have been needed, if all those systems enabled in those concurrent hours, had all been trading. It could happen, but has it happened once? Nope. Not once in a year. And the more systems you add, the less it's likely to happen. As you can see, with fewer systems enabled, in the first few months, there's a lower maximum theoretical margin, and the actually used margin got close to it, but never reached it. Now that max theoretical margin is at about 70k, we're usually needing less than one third of that, and at the most we have needed 35% of it.
This is important, because the performance of the systems is measured on the capital needed and the chart above represents the capital needed. So, according to this chart how much have the systems made in a year? 20k needed, 20k made... so they have made 100%. Yeah, it's good. I know I am good. Finally it's been proven. Finally I can say "my systems make 100% a year".
Now let's get to the equity line, trade by trade:
As you can see, there's a drawdown that's been lasting for over a month, since June 16.
Beware that when you look at this chart, the latest drawdown only seems to be the longest-lasting one, but it's because there's no time scale on the x-axis, but just a trade scale. Every increment on the x-axis is a trade made. As far as I am concerned this is the most efficient way to do it. The dates are marked on the green and red dots. So you can find out that the longest drawdown was from the 20th of October to... the day that peak was surpassed, which is January 5th. So that's the two and a half months of drawdown. Now we're only half of that length, and probably it will end next week.
The appearance of the latest drawdown being longer than the actually longer previous one shows that we've been increasing the frequency of trades, which is what we already know from the margin chart: the combination of systems/contracts traded has been (with a few exceptions) steadily increasing since June 2010.
There has been already 10 different combinations of systems/contracts being traded and, week by week, they are shown the following table, which includes a comparison with the back-tested results for those same combinations:
And here's the relative chart (which uses the columns with the yellow-shaded headings):
That's right. I am not always showing off. The table and more clearly the chart show that the back-tested profit is twice as high as the actually made profit. So I'll have to live with this reality: my systems only return half of what I'd have liked them to deliver, half of what I had expected them to deliver, based on my back-tests.
And you may wonder: how correlated are your systems to the markets? A friend told me my systems went up when the SP500 went up and viceversa. I got very offended and I did extensive work to prove it's not true. Somewhat he was right, but somewhat he was wrong. Look:
I still don't have a scientific way of appraising the correlation with the EUR and SP500, but I can only proceed by guesstimates on the chart. And I can say that my systems don't always lose when those markets lose. But it's also true that when EUR and SP both go up, my systems tend to be profitable, and when EUR and SP both go down my systems tend to be unprofitable. So there is definitely some correlation. And of course I also know why: there's many systems are long-only strategies, and most of the futures I trade are correlated with EUR and SP500. So obviously if there's a LONG bias in the strategies and the futures trades are mostly correlated with those two markets, then things are going to be better if those two markets go up.
Last edited:
meanreversion
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Thanks for the response to my question.
A minor point perhaps, but you've shown weekly equity points; is your Sharpe calculated using these numbers or do you use daily close instead (not shown)?
In my experience, Sharpe > 1.5 is essential to be "interesting" to investors. A Sharpe of 1 is quite humdrum and can be achieved by fairly simple trend systems. Once you get above 2 it starts to look enticing, at which point the question then moves to the scalability of the system.
I like your point about being "at ease" with under-performance. Optimising parameters will almost by definition lead to under-performance once the system goes live.. I've usually figured on returning about half what the test results show (whether it's a lower return or a higher drawdown).
A minor point perhaps, but you've shown weekly equity points; is your Sharpe calculated using these numbers or do you use daily close instead (not shown)?
In my experience, Sharpe > 1.5 is essential to be "interesting" to investors. A Sharpe of 1 is quite humdrum and can be achieved by fairly simple trend systems. Once you get above 2 it starts to look enticing, at which point the question then moves to the scalability of the system.
I like your point about being "at ease" with under-performance. Optimising parameters will almost by definition lead to under-performance once the system goes live.. I've usually figured on returning about half what the test results show (whether it's a lower return or a higher drawdown).
meanreversion
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If this gives you any comfort, take a look at the returns for the large systematic funds :
http://www.automated-trading-system.com/trend-following-wizards-red-june/
I've never seen them all struggle at the same time like this. The two most highly regarded on that list, Winton and Bluetrend, are barely keeping their heads above water for the year so far.
It's possible that the increase in funds allocated to trend funds is in itself distorting the market, however only around 20% of hedge fund money is traded in a purely systematic fashion. Thus it could just be "one of those things".. after all, they all did quite well last year.
http://www.automated-trading-system.com/trend-following-wizards-red-june/
I've never seen them all struggle at the same time like this. The two most highly regarded on that list, Winton and Bluetrend, are barely keeping their heads above water for the year so far.
It's possible that the increase in funds allocated to trend funds is in itself distorting the market, however only around 20% of hedge fund money is traded in a purely systematic fashion. Thus it could just be "one of those things".. after all, they all did quite well last year.
Yamato
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I will reply as I read your post.
You're welcome.
Good question. How do I calculate the sharpe ratio I have given you? Here it is:
HTML:
=SQRT(250)*AVERAGE(cells with daily profit)/STDEV(cells with daily profit)Thanks for the information on what it takes to have a good system, by the industry standards. I guess I can say I've got good stuff, as a whole. Each individual system may not be good enough, if taken by itself (too few trades, too little profit, too long drawdown: often a year), but if you put them all together then they're obviously excellent work.
Yeah, as I said, I can build good systems based on the past. But even if I were a soccer expert and I had to pick the best soccer teams of next season based on the past season, there's no way I could expect myself to be able to predict which one will end the year first, which second... and so on. So why should I expect myself to have supernatural powers when it comes to trading? I am glad you totally agree with me also on expecting a 50% performance. I don't want to overstretch my hopes, as I have done in the past (wishful thinking).
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Yamato
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Replying as i read.
Yes, it does give me comfort, but also it keeps pissing me off each time I see it, because I have seen it before, in other places, read it, heard it... I have what I have and am still working at my bank for a salary of about 1000 euros per month. These people have nothing and they run banks. And not only that: when I asked my bank if they'd let me work with the traders, they didn't let me, for a variety of reasons, but basically they didn't think I was good enough for it, despite having plenty of connections (that's the way it works here).
The way I see it is that the people who focus on substance are not good at selling themselves (because they got good by not focusing on bull****), and the people good at selling themselves are not good at delivering any substance (because they took the easy way). So at the top of society (political, social, etcetera) you've got a bunch of people who are only good at talking, and at the bottom of society you've got the people who are actually good at doing things.
So, when it came to having the interview with the head of investment banking, the bull****ter, deceptive and smooth-talking employee got the job, because he appeared brilliant -- and because the head of investment banking was an idiot who got there through smooth-talking as well. Instead I didn't get hired because I simply didn't do any smooth-talking and said how things were, and because an idiot cannot appreciate an intelligent hard-working person. A bit like in the movie idiocracy... the idiots reproduce themselves endlessly in large numbers and the few intelligent people have a hard time making it to the top. Indeed, if the top represents the bottom of them pyramid, 90% of the guys at the top should be idiots as well, to fairly represent the 90% of idiots in society. It's not exactly like that. A part of those 90% of idiots are actually geniuses at smoothtalking. Who's left to do the work? The "geeks" (as they are called by the carefree smooth-talking idiots), who generally are lucky if they can make a living.
But this goes even further. If you think about it, the guy who became rich because of his hard work and intelligence is going to have a beautiful and stupid wife, and he'll have idiot children with an easy life, because he'll make it easy for them, as a rule. Then they'll inherit his money, and there you have a a few idiots at the top, with a lot of money. Then if you add a few more idiots who are good at smooth-talking them out of their money... you get my point. I see a big trend leading society towards dishonesty, deception and stupidity. It's a wonder that there's still progress in the world, with people in power like bush, berlusconi, and stupid voters who put them in power. It's a wonder how a society so full of idiots, both at the top and at the bottom, actually moves forward.
Thanks for the information on the funds and that precious link, which I will save.
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Yamato
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Serge Gainsbourg - L'anamour (1972)
Aucun Boeing sur mon transit
Aucun bateau sur mon transat
Je cherche en vain la porte exacte
Je cherche en vain le mot exit
Je chante pour les transistors
Ce récit de l'étrange histoire
De tes anamours transitoires
De Belle au Bois Dormant qui dort
Je t'aime et je crains
De m'égarer
Et je sème des grains
De pavot sur les pavés
De l'anamour
Tu sais ces photos de de l'Asie
Que j'ai prises à deux cents Asa
Maintenant que tu n'es pas là
Leurs couleurs vives ont pâli
http://www.youtube.com/watch?v=NkyJ07TK2dQ
J'ai cru entendre les hélices
D'un quadrimoteur mais hélas
C'est un ventilateur qui passe
Au ciel du poste de police
Je t'aime et je crains
De m'égarer
Et je sème des grains
De pavot sur les pavés
De l'anamour
Je t'aime et je crains
De m'égarer
Et je sème des grains
De pavot sur les pavés
De l'anamour
Aucun Boeing sur mon transit
Aucun bateau sur mon transat
Je cherche en vain la porte exacte
Je cherche en vain le mot exit
Je chante pour les transistors
Ce récit de l'étrange histoire
De tes anamours transitoires
De Belle au Bois Dormant qui dort
Je t'aime et je crains
De m'égarer
Et je sème des grains
De pavot sur les pavés
De l'anamour
Tu sais ces photos de de l'Asie
Que j'ai prises à deux cents Asa
Maintenant que tu n'es pas là
Leurs couleurs vives ont pâli
http://www.youtube.com/watch?v=NkyJ07TK2dQ
J'ai cru entendre les hélices
D'un quadrimoteur mais hélas
C'est un ventilateur qui passe
Au ciel du poste de police
Je t'aime et je crains
De m'égarer
Et je sème des grains
De pavot sur les pavés
De l'anamour
Je t'aime et je crains
De m'égarer
Et je sème des grains
De pavot sur les pavés
De l'anamour
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