my journal 2

[Yamato]

leave sortino, take sharpe

Leave the gun, take the cannoli. Sortino is the gun. And Sharpe is the cannoli.

http://www.youtube.com/watch?v=yHzh0PvMWTI

Why Sharpe is better than Sortino



Some of us will say that Sortino is better in that it helps us focus on just losses, because we should not care how irregular profit is, but only how irregular losses are. This is not true and this example shows it clearly.

For Sortino these 3 systems are the same. We know very well that instead they are not the same: #2 is better than #1 and #3 is better than #2. We would rather make money day after day, and rely on it, like at a regular job, than all at once, maybe at the end of 2 years of unprofitable trading.

It's not like we have to be afraid of sharpe ever saying that system #1 sucks merely because it achieves all profit in one trade. It still says it's good (because it's got profit on its mind as well as on its numerator). But, unlike Sortino, what Sharpe is going to add, correctly, is that the other two systems are better, because standard deviation also matters in wins, as well as losses. I don't see why we should not keep Sharpe Ratio, which gives us more detailed information over Sortino.

Just because Sortino came later, saying he would improve Sharpe's work, it doesn't mean that he's right, and that his formula is better. Excel 2007 came after Excel 2003, claiming to be better, but it is much worse in most aspects.

What Sortino is doing is just hiding precious information from us. And what Sharpe does not run the risk of doing is saying that systems that make irregular wins are lame: it is still capable of appraising them correctly. But systems that make the same profit across a larger number of trades are simply better, and sharpe tells it how it is.

Formulas can be found in the attached workbook:

 

[Yamato]

new way of measuring drawdown

Just thinking out loud for a bit. Until my colleague comes back from lunch.

I am working on developing a new way of measuring drawdown. Instead of taking the absolute losses of my systems, I will take their losses divided by the underlying price (or the underlying price multiplied by their multiplier).

By multiplier I mean these guys here (where they say "Contract Size"):
http://www.cmegroup.com/trading/fx/g10/australian-dollar_contract_specifications.html

and, even explained more clearly, here:
http://www.commodity-trading-solutions.com/futures-tick-size.html

I am going to try to come up with the values I need and what they are called exactly, future by future.

No no... screw this. "Contract Size" and "Tick Value" are sometimes the same and sometimes different, but in all cases this is needlessly confusing. What instead unequivocal is simply dividing profits and losses by the price.

As explained, to avoid unnecessary passages and thus potential errors, I divide profits and losses by price itself rather than by price multiplied by contract size or tick value. It simplifies my work by a lot, it reduces the chance of errors, and the result is coherent and constant across time and across futures. Or is there something missing versus using "contract size" or "tick value"?

Maybe it's not good, because using contract size might be able to give me a dollar value that allows a comparison across several futures...

This is quickly becoming an intricate mess and I'd like to solve it before I do the actual work so I won't have to do things all over again.

So I clearly need:

1) databases with price
2) databases with trades

I can get those easily.

Let's not forget that I have a problem with the GBL futures, which trade in euros. For those everything is calculated with a fixed exchange rate of 1.5 dollars to the euro.

So we're measuring all in dollars. If we wanted to measure the drawdown according to trades divided by anything, we could come up with a value that tells us that, by today's price, a loss of 6 years ago, is equivalent to so much money....

Getting there...

But then isn't it simpler to simply measure wins and losses in ticks?

No, that's not enough, because the capability of the future of losing ticks is not the same today with CL at 100 than it was yesterday with CL at 30. So ticks is not a good term of comparison. We also have to know where we are with price. Besides, ticks is just the same the dollars we're using now.

But then we could compare ticks made/lost with where the price was at the time. Then we come up with a % value... that is simple to find out... no wait: it's not simple at all, because I would have to do all 120 futures all over again, given that until today I've done the reports by dollars and not by ticks.

So forget using the ticks...

I can only use the dollars because I won't do the thing all over again with the 120 systems and get the ticks.

So I have the dollars and I have the prices, and I have...

(...to be continued)

 

[Yamato]

When I am king you will be first against the wall
With your opinion which is of no consequence at all
What's that, what's that?

http://www.youtube.com/watch?v=NngahorDkf8

I spent my life
thinking about you and i
and i i want to spend my time
in your arms
but time has no meaning
if you're not around
all i have to give is for you
... close

refrain
This Is a Love Song a love song...

http://www.youtube.com/watch?v=zRYdyyQSFdU

These songs are quite similar in that they're repetitive, so repetitive to the point of almost being annoying, but then the point gets through to you, the melody gets into your head, so it sounds good. It's like my work. Over and over again on the same spot, until perfection is achieved, and you squeeze profit out of it. Unlike what the large majority of superficial people do, which is wander from one thing to the next without ever getting deeply into it. This is what I do in everything: I get into things deeply or I don't do them. What do most people do? They start a journal here and write an average of 10 posts, then quit it. I started it, and I am still writing here, after 2 years and over 4000 posts. So here's the repetitive song one more time.

http://www.youtube.com/watch?v=CumPBHO-v0E

 

[Yamato]

online purchases are arriving finally...

By the way, yesterday I got my first spycam in the mail:

http://www.youtube.com/watch?v=7zya80vPeP8


and today I got my submarine:

http://www.youtube.com/watch?v=3c4_XHBiM98

It swims pretty well for costing 99 cents. I like it. I took my bath with it, and it made it more entertaining than usual. Too bad its battery only lasts 5 minutes of swimming.

Now I am still waiting for my little helicopter and two more spycams. I already gave my first spycam to my roommate at work, who told me yesterday that he likes to film documentaries. I asked him to film one in the subway so we can edit it at work. Today I made a quick one while riding the cab around the colosseum. I already threw it away though.

Needless to say, all this was a dream come true for me and it was made possible by my profitable trading. So this post is very related to trading actually. When you will become a profitable trader, too, these things will be possible for you as well.

...and i thank myself... what a wonderful world I've created.

 

[Yamato]

burned out

Having been entrusted with more capital, I've felt the obligation to step up the efforts, but I've gone too far and now i am burned out to the point that if someone asked me for help, or asked me to do anything, I'd easily say "i can't - i am burned out". I usually cannot easily say "no" to people asking me to do something. But now I am suddenly free towards anyone. I have a very low tolerance threshold. My conscience is totally clean and it will enable me to say "no" without hesitation.

Other than working at the office, while breaking my back at home with the systems, there's a problem of synthesis. I kept doing the work I was asked to do, and we've now reached a point where I cannot add one more cell without being unable to do maintenance and updating to all I've done.

It's becoming an intricate and incomprehensible mess. We've come to a point where quantity totally interferes with quality. There's now dozens of workbooks, with hundreds of sheets in them. We've reached a point where I'll say "make up your mind on what I will remove in order to add what you are asking me to add" and otherwise I won't be able to add anything more.

I've pushed myself so hard that I've come to a point where no more can be achieved and added. Synthesis and simplicity is the most important quality I have, and it's been demolished one step at a time. At this point I will have no choice but reject any further assignments.

 

[brettus]

Re: burned out

Having been entrusted with more capital, I've felt the obligation to step up the efforts, but I've gone too far and now i am burned out to the point that if someone asked me for help, or asked me to do anything, I'd easily say "i can't - i am burned out". I usually cannot easily say "no" to people asking me to do something. But now I am suddenly free towards anyone. I have a very low tolerance threshold. My conscience is totally clean and it will enable me to say "no" without hesitation.

Other than working at the office, while breaking my back at home with the systems, there's a problem of synthesis. I kept doing the work I was asked to do, and we've now reached a point where I cannot add one more cell without being unable to do maintenance and updating to all I've done.

It's becoming an intricate and incomprehensible mess. We've come to a point where quantity totally interferes with quality. There's now dozens of workbooks, with hundreds of sheets in them. We've reached a point where I'll say "make up your mind on what I will remove in order to add what you are asking me to add" and otherwise I won't be able to add anything more.

I've pushed myself so hard that I've come to a point where no more can be achieved and added. Synthesis and simplicity is the most important quality I have, and it's been demolished one step at a time. At this point I will have no choice but reject any further assignments.

The law of diminishing returns. I think this is where you're at.

http://en.wikipedia.org/wiki/Diminishing_returns

 

[Yamato]

Correct link, and here's the precise situation: as we add more information our ability to benefit from it decreases by how much less we can process it. For example, we added the sortino ratio (which sucks), and yes, one could say "they're both useful", but when you have cram dozens of workbooks with both ratios, you get to a point where both ratios are useless. Especially for the guy who has to keep them both updates, correct, reliable. It's better to have 1 ratio and working perfectly, than 2 ratios and both unreliable for a variety of reasons.

Here's the quote that applies to me from the link you listed:

For example, the use of fertilizer improves crop production on farms and in gardens; but at some point, adding more and more fertilizer improves the yield less and less, and excessive quantities can even reduce the yield. A common sort of example is adding more workers to a job, such as assembling a car on a factory floor. At some point, adding more workers causes problems such as getting in each other's way, or workers frequently find themselves waiting for access to a part. In all of these processes, producing one more unit of output per unit of time will eventually cost increasingly more, due to inputs being used less and less effectively.

I would say it's not even "diminishing returns" but "negative returns". We've come to a point where I can't help but say "no, dude". Or "No, dude - I won't take it any further from here: our infrastructure has grown out of control, and it's the guy who's supposed to control it, who's saying it". I don't feel any remorse to say "no" to someone who's rewarding me, because it is so evident to me that we are going to screw ourselves -- actually we already have. The situation, precisely because i felt an obligation to produce more work (tables, charts, ratios, rows, columns), has already hurt my work. Sortino and Sharpe ratio are not useful if used together and applied to 120 systems: they are garbage. They might be good if taken individually. If you put them together, you have garbage in your workbooks. On top of multiplying my work by two.

There comes a point where, just like I did at work, you have to say to your employer: you're out of control and you're hurting yourself, myself, and your productivity. I said it at work, but they didn't understand it, and moved me to another office. Let's if I get luckier with doing it in another field.

In my quest to demonstrate that I am hard worker, I have already gone too far. But now that I'm certain of it, I will very serenely say "enough is enough". This is a messy and overflowing infrastructure and we're screwing ourselves. On top of it, I'm totally burned out due to spending too much time producing work, which is also useless work, since anything you start and that you do not end is useless.

 

[Yamato]

ok, burned out but still alive

I am still here. Reasoning.

The latest concept I've worked on is on developing a relativized drawdown, but I am still reasoning on it and trying to figure out if it makes sense or not. So I'll do my usual thinking out loud here.

I went crazy on this thing for months, and rejected the concept suggested by my advisors, because I knew it would implicate an even more intricate mess for my workbooks. But then one day we had a drawdown of 12k (during the early morning of last Tuesday, if I remember correctly), so this gave me some momentary energies to do it, because i didn't want to spare any energies and run the risk of blowing out the account.

That's how I got burned out, because I pushed myself too hard and did everything I was asked to do.

Anyway, the rationale of this thing goes along these lines:

1) the back-tested absolute $ drawdown of the combined systems cannot be trusted because if the biggest drawdown was say in 2005, and if the same thing happened today, with much higher prices, the absolute losses would be higher. So you cannot trust absolute drawdowns.

2) this is solved by relativizing past profit by finding out where the underlying price was when that profit or loss took place. Each price gets adjusted by today's prices by using the following formula:

"profit" times "underlying price now" divided by "price at time of trade".

So let's say we lost 50 dollars when YM was at 5,000 and now it's at 10,000.

By today's price that would be equivalent to 50 dollars times 10,000 / 5,000, which is 50 times 2, which is a 100 dollars loss.

Then you get a new list of trades by system that is adjusted by today's prices.

But before I entirely automate this thing and replace the old "absolute dollars drawdown" with "today's dollars drawdown", I have many doubts to solve:

1) are we really sure that "relativized drawdown" is more reliable than "absolute drawdown"?
2) what I mean is: are we sure that CL at 130 moves as much as it moves when it is at 30?
3)...

Let's say that CL goes from 30 to 33 and our system causes us a loss of 3000 dollars (because we went short at 30), which then also becomes the maximum drawdown. Then let's say that today CL is at 90. Can we say that such a CL system does not have a 3000 dollars max drawdown but a 9000 dollars max drawdown, since it would now lose 3 times as much?

What if today's high prices made CL more prone to fall than rise and yesterday's low prices made CL more inclined to rising than falling? I think that is the case, and this would make any relativization of drawdown a flawed process.

Indeed, today's CL with a price at 90 would not be as likely to rise to 99 as it was likely to rise yesterday from 30 to 33.

This is the biggest if not the only doubt I have about this methodology.

But if we clear this doubt or forget about it, then it seems to be better than the previous methodology.

Another problem would potentially arise from messing with data and formulas: the more you mess with formulas and data and the more your data risks being unreliable. You should only do as much as you can benefit from without risking... what we called the "law of diminishing returns". If cramming formulas into your workbook makes it unreliable, you should content yourself with "absolute drawdown" and forgo "relative drawdown".

It's just like I said about sortino and sharpe. You could say "sharpe is useful but sortino is useful, too". But then if you also say "let's keep them both", you end up with trash, because your workbook is useless and too many good things make it impossible for you to appreciate even just one of them. This is when I came to the conclusion that I will get rid of a lot of stuff that i've had to add to my workbooks in the last few months. And most definitely I will not add any more new stuff without first removing some of the previous stuff.

This relativization of drawdown was my last feat and I will not move on until i have fully digested it. I must stop allowing everyone around me to push me beyond the limits of burning out. Regarding the workbooks, I will be open to: removing things, improving things, replacing things, but not simply "adding" things.

 

[Yamato]

Thanks (I supposed you liked the video with rod stewart).

Today I got my fourth items bought online a few weeks ago so the count is increasing:

1) internet stick from Italy: got it two weeks ago and it works
2) D001 Mini DV MD80: got it four days ago from Hong Kong and gave it to colleague and it works
3) Mini ‪exPloreR RC Submarine: got it three days ago from Hong Kong and it works
4) Mini DVR: got it today from California and I hope it works

Here's what it looks like:
http://www.xheli.com/sm18gmihew2g.html

http://www.youtube.com/watch?v=RhrQ87xfx6A

I think I will keep this one.

It's charging now. I now need to find some manuals online or youtube videos on it.

The other in theory was better because it had better quality and it was smaller, and had more features. But sound activation did not work.

I like this better in that it's simpler and clearer. It does less, but it also promises less. So it delivers what it promises better than the other one, and it's simpler which is a quality in itself. There's no cables (well, there's just one USB cable of course), no dvds, no fancy cases... it's as simple as it can get. Good.

The other one also took several hours to charge. I wonder if this will be as bad.

The one problem with this is that it's much less popular so it will be hard to find youtube videos and manuals on it, unlike for the other one.

[...]

No luck finding cameras nor manuals.

Now I will close this post. I might come back with a video of rome as soon as it works (I will post it on youtube maybe).

There's 2 more items that still have to get here:

1) 2.4G Wireless USB DVR Receiver+Wireless Pinhole Camera
2) Syma S107G RC helicopter

Now what's great is that I ordered both on ebay, so even if I don't get them I will still get a refund.

 

[Yamato]

first video with spycam

I admit the other one might have been better but I didn't want two of the same, and don't like to have too many electrical appliances in the house.

So here's my first video:

http://www.youtube.com/watch?v=kydyofd_GLc

 

[Yamato]

quest for a light bulb and a new video

Watch it... I will now get out of the house in my quest for a light bulb (the one in my room got burned out, like me).

I will bring my secret spycam with me, and make a long film, which I will upload on youtube, once I find the right music for it.

[...]

It was hard, but I made it. Actually I didn't find the right bulbs (bought two but neither worked) and instead the light bulb was already at home, but also I went out to make the movie, so my trip was not useless. I also bought cigarettes and juices (several liters of juices).

It sucked to wander around all by myself, seeing all the tourist 20-year-old chicks (I'll **** anything that moves), and there I was, making my own little movie. Pathetic old me.

At a point I felt bad for filming people without their knowledge so I stuck it into my back-pocket. So that will be interesting, too.

Now I'll edit the film of course, to skip the boring parts, and add some music, which I am already playing.

[...]

Holy cow. It's over 1 gigabyte. So this means it went on for about... 50 megabyes per minute... about 20 minutes.

No, wait. It says "30 minutes" long, and 1.2 gigabytes. So that means... precisely 40 megabytes per minute. This is good. Bad quality videos, but it is compact and easy to use. We'll go a long way together, me and my Mini DVR.

Now it's downloading from the USB drive. Still 19 minutes to go.

Yes, what a pathetic life. But I am ok like this. I'd rather be alone and pathetic than be harassed by "friends". Just let me die in peace. And bring me some toilet paper to the hospital because here they don't got it. That's all relatives are for. Bringing you toilet paper when you're in an Italian hospital. Yeah, cause "friends" are not going to do it -- they are only friends when they need to ask you for favours or have fun with you.

Drank a half 1.5 liter bottle of ice tea.

Smoked a cigarette and about to smoke another one.

Still 12 minutes of download from the spycam to the laptop.

Being burned out from doing 10 hours of maintenance every saturday from all the infrastructure i was told to and accepted to create, having lost my eyesight, my reasoning abilities, my will to work... entitles me to at least some sort of license to show off. So I am just going to do it and post it, and show off, that's right, knowingly showing off... here it is:



While the world blows up, my equity line keeps going and going. So here it is: **** you all, all of you who didn't believe in me (not the readers of course).

[...editing the film...]

This is a masterpiece. Prepare because it's gonna blow you away.

Here it is:

 

[Yamato]

fascinating

 

[Yamato]

utterly bored but can't work on my systems

It's crazy. I've been pushed so hard, with questions and tips, do this do that, check here and check there, that if I do any more work on my systems, add any more rows, columns, even just one more cell, I am going to puke.

I have the strength to work on editing a film for 5 hours, so my strength is not missing. The problem is that what's missing is the stomach to digest so many workbooks and tables and charts and rows and columns, those I've been working on for the past few months. What's missing is the will to do things in an inefficient and redundant way, and lose my best asset: keeping things simple.

I've been producing, against my own will, an ever-increasing number of workbooks and sheets and columns and rows, which have been causing an ever-increasing amount of hours I have had to spend on weekends to maintain them and double check everything is correct. Now if I'll ever create another system, I will have to make changes in 200 places.

Just think of this example: the zn_on_02 had 10 wrong trades on its back-tested sample (created by working on previous redundant tasks). Bam! All of a sudden I find myself spending two days having to fix things on 6 workbooks: sharpe, sortino, average trade, total trades, max loss, total profit, and then the same for all combined statistics on all 7 workbooks. This is the law of diminishing returns at its best. The law of negative returns.

The next time someone asks me for some work/help (everyone at work, everyone at home, with trading, and in both cases it's on excel), I will simply say "no way", whoever it is.

It's the first time i feel repelled by my systems. I have developed a phobia for these workbooks of mine, which I have progressively turned into redundant and useless crap.

I can't even open those workbooks anymore. I am pretty much disgusted by them, by all the crap I've had to add to them and make them redundant with sortino ratio and all sort of useless stuff.

I don't know if and when I'll get any energies/creativity back, but I certainly will keep my resolve to say "no" to any more requests for redundancy to be added to my workbooks.

 

[bbmac]

I think you get to a stage with any trading edge where there any further work generally represents diminishing returns.

I also think you get to a stage re third party capital/investors where you havge to recognise that actually - you are the dominant partner now and hold all the aces - For a long time I would allow myself to be bullied by clients - no more, I take the attitude that there is only one of me - but loads of them. I went through a lot of pain in starting trading OPM and the onus of responsibility got to me, which manifested itself not so much in lossess as slow upward progress and deviations from my trading plan/discipline as a reaction to the growing pressure. This was a vicious cycle because the more it happened the more pressure I was put under and so the worse it got until in the end I had a clear out. I now only operate at a certain minimum level or above (I figured if I was gonna go thru that pain - I had to make it worthwhile) and have a completely altered relationship with remaining client (s) which reflects the altered thinking....the change very positively impacted my trading and enjoyment of it. (the latter is important.)

Listen to your investors - sure (some of them might even have a good ide.) be straight with them (good news and bad) Be timely and expeditious with agreed tasks and reporting maintain a distance and structure that works for both parties not just for one. where they are being intrusive tell them to back off, set ground rules, don't let your own lack of confidence result in them bullying you (sortino -vs- sharpe for eg...) Have confidence in yourself and your edge...They need you more than you need them.

You're hanging on too tight - let go a bit !

Delighted re the DD period ending and new a/c hi...continued G/L

BBmac.

 

[Yamato]

Thanks for your advice and for sharing your personal experience. Good luck to you, too. I need a vacation for sure. I haven't been on vacation since May 2010 and since then I've had two jobs. At the bank from 9 till 15. And on my workbooks from 15 till 23, and all weekends.

 

[Yamato]

More videos. Still can't sleep. I've gotten back on my workbooks with the few last energies.

Now I need to take a long break. I'll take pictures, or even make another video. This time a peaceful one.

There:



I ended up taking a picture of my two balls. They're hanging low.

http://en.wikipedia.org/wiki/Isn%27t_it_Romantic

Getting better and better...

But my favorite song sung by Ella Fitzgerald is Easy to Love:

http://en.wikipedia.org/wiki/Easy_to_Love

 

[brettus]

Re: quest for a light bulb and a new video

Where did you buy the pinhole camera from? How long does the battery last for? Garage door keeps opening randomly and i want to find out when it's doing it or why if i can.

 

[Yamato]

If the memory card is 4 gigabytes (it doesn't take more), the video can last 2-3 hours (they say). Here it is:
http://www.xheli.com/sm18gmihew2g.html

But the price is so low that for a bit more you can get others that last longer, on ebay:
http://shop.ebay.com/i.html?_from=R40&_trksid=m570.l2736&_nkw=wireless+spycam

In the list there's also cameras that transmit to a receiver, so that could last even longer in terms of memory. I don't know in terms of battery.

Then I bought this other one, too:
http://www.rc-fever.com/d001-mini-dv-camera-without-micro-sd-card-p-10651.html?cPath=110_593

This one (link above) might be better because it can connect to a pc and work as a webcam, so that should mean (I haven't tried it, because I gave it to my colleague) that you can record everything it sees, while it's attached to your computer (that part works -- I tried it).

So if you could place your computer so that it can be near the window and see the garage, I would definitely suggest the latter (which also allows a 16 GB memory card).

Price is just as low. The only problem about the latter is that the sound-activation feature, which would be perfect for you, did not work in my tests.

There's many videos on the web about it, so before buying it, you could watch them. Here's the first of 9 videos all made by the same user:

I would get the second one, which however is more complex and delivers a bit less than it promises (yet it promises much much more). That one I gave to my colleague, because it had too many things (cases, plugs, cables, dvd). I'd rather keep things simple.

 

[Yamato]

more on relativized drawdown

I keep thinking and having nightmares about that concept.

Does it make sense? Or is this concept flawed?


Now, gold, with silver, is one of the futures that have moved the most in the backtested period. How does this affect returns and the relativization of returns?

Let's look at a gold system. Let's take a list of trades by GC_ID_01, which we trade.

But first here's how gold has moved in the back-tested period:




Let's take a look at the trades:

proper date	Sum of profit WITH contracts	Sum of relativized profit by today's prices
03/19/1998	-165	-934
06/11/1998	-705	-4,068
07/28/1998	95	545
09/22/1998	-105	-599
10/06/1998	-55	-305
10/27/1998	25	143
11/02/1998	-305	-1,745
12/01/1998	25	143
12/30/1998	15	89
01/05/1999	-95	-548
01/06/1999	15	89
01/27/1999	-315	-1,837
03/01/1999	-65	-374
03/17/1999	-15	-86
03/31/1999	-15	-86
05/11/1999	-65	-386
12/07/1999	435	2,520
01/25/2000	-275	-1,596
02/28/2000	-145	-820
03/07/2000	345	1,957
03/27/2000	-425	-2,497
04/27/2000	15	92
06/14/2000	485	2,748
07/12/2000	-255	-1,506
07/13/2000	-135	-798
08/24/2000	95	572
09/21/2000	45	276
11/20/2000	25	158
11/29/2000	-335	-2,065
11/30/2000	265	1,617
12/06/2000	365	2,193
12/14/2000	-75	-457
01/02/2001	-505	-3,108
01/11/2001	-135	-847
01/29/2001	-55	-343
04/03/2001	-45	-288
04/11/2001	-5	-30
05/09/2001	465	2,867
07/11/2001	205	1,272
08/22/2001	-345	-2,072
01/23/2002	-305	-1,817
03/27/2002	475	2,608
05/01/2002	15	83
05/09/2002	55	297
05/28/2002	265	1,362
06/05/2002	-395	-2,041
06/11/2002	195	1,011
06/27/2002	-155	-809
07/15/2002	115	604
07/24/2002	-365	-1,955
08/07/2002	575	3,038
08/15/2002	175	923
08/20/2002	85	458
08/29/2002	175	926
09/03/2002	75	398
09/23/2002	-75	-384
09/26/2002	-295	-1,528
10/02/2002	205	1,054
10/09/2002	115	599
10/31/2002	115	604
11/20/2002	-165	-863
12/10/2002	-315	-1,616
01/15/2003	-175	-829
01/16/2003	655	3,054
02/10/2003	-905	-4,150
02/26/2003	195	916
03/10/2003	145	683
03/24/2003	-45	-225
03/26/2003	15	78
04/09/2003	235	1,197
04/23/2003	-305	-1,530
05/05/2003	65	318
06/04/2003	-465	-2,136
06/05/2003	495	2,233
06/11/2003	-15	-69
06/23/2003	-395	-1,863
06/24/2003	-755	-3,618
06/25/2003	-75	-357
07/07/2003	-335	-1,599
07/09/2003	-105	-505
07/16/2003	65	317
07/23/2003	585	2,712
07/31/2003	-155	-722
09/09/2003	355	1,541
09/16/2003	-175	-777
09/24/2003	335	1,431
10/02/2003	-335	-1,452
10/09/2003	-655	-2,935
10/29/2003	305	1,315
11/04/2003	155	680
11/18/2003	535	2,235
11/25/2003	-105	-444
12/17/2003	395	1,596
12/22/2003	-95	-384
01/05/2004	605	2,376
01/27/2004	565	2,295
02/17/2004	95	381
03/25/2004	-25	-98
03/30/2004	185	731
04/06/2004	165	654
04/22/2004	265	1,120
05/03/2004	-175	-750
05/11/2004	-45	-196
05/19/2004	135	590
06/01/2004	-155	-651
06/22/2004	85	359
06/30/2004	15	65
07/14/2004	125	515
07/20/2004	-605	-2,514
07/21/2004	-425	-1,777
07/26/2004	-215	-914
08/05/2004	-65	-272
08/12/2004	-215	-901
08/25/2004	75	307
09/08/2004	65	271
09/16/2004	-15	-60
09/21/2004	435	1,764
09/23/2004	185	750
09/27/2004	5	22
10/07/2004	-55	-217
11/09/2004	225	862
11/16/2004	165	626
12/01/2004	195	712
12/03/2004	635	2,314
12/07/2004	-275	-1,011
12/15/2004	275	1,037
12/17/2004	165	622
12/22/2004	-265	-1,000
01/07/2005	-475	-1,884
01/10/2005	-185	-732
01/21/2005	385	1,502
01/26/2005	285	1,114
02/02/2005	-55	-215
02/09/2005	-65	-259
02/17/2005	175	682
02/24/2005	-105	-400
03/15/2005	-155	-584
03/16/2005	185	695
03/24/2005	-85	-332
03/28/2005	55	216
03/30/2005	-25	-96
04/15/2005	55	216
04/22/2005	85	326
04/28/2005	-175	-672
04/29/2005	95	365
05/04/2005	5	21
05/17/2005	-165	-654
05/18/2005	155	614
05/24/2005	-75	-297
05/27/2005	135	533
06/02/2005	415	1,632
06/08/2005	-115	-449
06/09/2005	-25	-96
07/06/2005	-125	-489
07/11/2005	55	216
07/15/2005	115	456
07/20/2005	145	572
08/03/2005	395	1,489
08/09/2005	-65	-244
08/10/2005	125	472
08/22/2005	25	95
08/25/2005	-125	-469
08/29/2005	-295	-1,112
08/31/2005	155	589
09/07/2005	-15	-54
09/14/2005	275	1,009
10/04/2005	-165	-584
10/06/2005	725	2,536
10/17/2005	145	508
10/21/2005	395	1,405
10/25/2005	505	1,773
10/27/2005	-25	-86
11/02/2005	115	414
11/07/2005	185	670
11/15/2005	-25	-87
11/28/2005	65	218
12/01/2005	945	3,101
12/27/2005	75	246
01/13/2006	875	2,618
01/30/2006	745	2,168
02/24/2006	825	2,450
02/28/2006	685	2,026
03/06/2006	-1,345	-4,022
03/13/2006	265	808
03/22/2006	-225	-679
04/03/2006	325	913
04/28/2006	1,555	3,944
06/28/2006	-485	-1,385
07/11/2006	1,395	3,614
08/04/2006	25	64
08/11/2006	-975	-2,528
08/24/2006	-325	-858
08/25/2006	5	14
08/29/2006	-295	-787
09/29/2006	-345	-951
10/02/2006	-685	-1,897
11/07/2006	-35	-92
11/09/2006	1,625	4,259
11/15/2006	105	282
11/17/2006	295	791
11/29/2006	-215	-557
12/18/2006	-275	-739
12/21/2006	-365	-978
01/05/2007	-1,785	-4,878
01/08/2007	65	178
01/12/2007	1,285	3,415
01/19/2007	675	1,768
01/23/2007	1,035	2,669
01/30/2007	525	1,342
02/19/2007	-15	-36
02/21/2007	2,035	4,966
03/06/2007	305	784
03/26/2007	495	1,242
04/04/2007	855	2,097
04/10/2007	105	257
04/12/2007	-305	-746
04/13/2007	755	1,822
04/18/2007	-65	-155
04/20/2007	505	1,211
04/24/2007	-535	-1,296
05/02/2007	-95	-233
05/09/2007	-635	-1,548
05/11/2007	305	756
05/17/2007	-695	-1,757
05/25/2007	-25	-63
05/29/2007	-25	-62
06/05/2007	-175	-431
06/06/2007	-15	-36
06/11/2007	95	241
06/22/2007	145	368
06/27/2007	85	220
07/04/2007	95	242
07/12/2007	335	837
07/24/2007	-85	-207
07/26/2007	-1,315	-3,304
07/30/2007	275	678
08/03/2007	815	1,984
08/10/2007	835	2,034
08/22/2007	265	659
08/29/2007	365	899
08/31/2007	475	1,161
09/04/2007	885	2,134
09/17/2007	545	1,251
09/24/2007	-395	-891
09/27/2007	505	1,136
10/23/2007	185	404
10/31/2007	1,185	2,471
11/02/2007	1,755	3,609
11/19/2007	-725	-1,543
11/22/2007	235	488
12/10/2007	885	1,811
12/12/2007	895	1,821
12/21/2007	885	1,808
12/26/2007	1,265	2,544
01/30/2008	985	1,755
03/05/2008	2,255	3,788
04/18/2008	-2,645	-4,791
07/17/2008	-855	-1,486
07/18/2008	-675	-1,176
07/30/2008	-875	-1,591
07/31/2008	85	154
08/04/2008	-1,885	-3,477
12/24/2008	635	1,248
03/05/2009	2,305	4,114
03/30/2009	-805	-1,460
04/13/2009	565	1,052
04/15/2009	-45	-83
04/29/2009	335	621
05/04/2009	795	1,465
05/08/2009	155	282
05/19/2009	265	477
06/19/2009	205	366
07/09/2009	-215	-392
07/24/2009	55	97
07/30/2009	235	419
08/11/2009	-235	-412
08/18/2009	-125	-221
08/21/2009	1,215	2,118
08/25/2009	-265	-466
09/25/2009	-785	-1,317
10/12/2009	315	497
10/21/2009	-45	-70
10/27/2009	-185	-296
10/29/2009	1,275	2,031
12/22/2009	-1,415	-2,172
01/25/2010	-345	-523
02/01/2010	2,235	3,362
02/11/2010	1,545	2,354
03/05/2010	-445	-652
03/10/2010	-1,795	-2,696
03/11/2010	-5	-7
03/15/2010	75	113
03/18/2010	445	659
03/22/2010	-705	-1,064
03/23/2010	255	386
03/31/2010	315	471
04/05/2010	535	788
04/27/2010	1,665	2,373
06/11/2010	595	807
06/15/2010	1,455	1,961
06/17/2010	1,465	1,958
07/15/2010	-485	-668
07/19/2010	-975	-1,371
07/26/2010	-1,035	-1,458
07/27/2010	-2,435	-3,491
07/28/2010	15	22
08/12/2010	1,365	1,871
08/23/2010	-285	-386
09/02/2010	265	353
09/09/2010	-1,155	-1,544
09/10/2010	-275	-366
09/14/2010	1,445	1,895
Grand Total	27,049	60,275

Let's now take a look at the running profit:

proper date	Sum of profit WITH contracts	Sum of relativized profit by today's prices
03/19/1998	-165	-934
06/11/1998	-869	-5,001
07/28/1998	-774	-4,457
09/22/1998	-878	-5,056
10/06/1998	-933	-5,361
10/27/1998	-908	-5,217
11/02/1998	-1,212	-6,962
12/01/1998	-1,187	-6,819
12/30/1998	-1,172	-6,730
01/05/1999	-1,266	-7,278
01/06/1999	-1,251	-7,189
01/27/1999	-1,565	-9,026
03/01/1999	-1,630	-9,400
03/17/1999	-1,645	-9,485
03/31/1999	-1,659	-9,572
05/11/1999	-1,724	-9,958
12/07/1999	-1,289	-7,437
01/25/2000	-1,563	-9,033
02/28/2000	-1,708	-9,853
03/07/2000	-1,362	-7,896
03/27/2000	-1,787	-10,393
04/27/2000	-1,772	-10,301
06/14/2000	-1,286	-7,554
07/12/2000	-1,541	-9,060
07/13/2000	-1,676	-9,858
08/24/2000	-1,580	-9,286
09/21/2000	-1,535	-9,010
11/20/2000	-1,509	-8,851
11/29/2000	-1,844	-10,916
11/30/2000	-1,579	-9,299
12/06/2000	-1,213	-7,106
12/14/2000	-1,288	-7,563
01/02/2001	-1,792	-10,671
01/11/2001	-1,927	-11,518
01/29/2001	-1,982	-11,861
04/03/2001	-2,026	-12,149
04/11/2001	-2,031	-12,178
05/09/2001	-1,566	-9,311
07/11/2001	-1,360	-8,039
08/22/2001	-1,705	-10,111
01/23/2002	-2,009	-11,928
03/27/2002	-1,534	-9,321
05/01/2002	-1,519	-9,238
05/09/2002	-1,463	-8,941
05/28/2002	-1,198	-7,579
06/05/2002	-1,593	-9,620
06/11/2002	-1,397	-8,609
06/27/2002	-1,552	-9,418
07/15/2002	-1,436	-8,814
07/24/2002	-1,801	-10,769
08/07/2002	-1,226	-7,731
08/15/2002	-1,050	-6,808
08/20/2002	-965	-6,351
08/29/2002	-789	-5,425
09/03/2002	-714	-5,027
09/23/2002	-789	-5,411
09/26/2002	-1,083	-6,938
10/02/2002	-878	-5,884
10/09/2002	-763	-5,285
10/31/2002	-647	-4,681
11/20/2002	-812	-5,544
12/10/2002	-1,126	-7,159
01/15/2003	-1,301	-7,988
01/16/2003	-646	-4,934
02/10/2003	-1,550	-9,084
02/26/2003	-1,355	-8,169
03/10/2003	-1,210	-7,486
03/24/2003	-1,254	-7,712
03/26/2003	-1,239	-7,634
04/09/2003	-1,003	-6,437
04/23/2003	-1,308	-7,967
05/05/2003	-1,243	-7,650
06/04/2003	-1,707	-9,786
06/05/2003	-1,212	-7,553
06/11/2003	-1,227	-7,621
06/23/2003	-1,621	-9,484
06/24/2003	-2,376	-13,102
06/25/2003	-2,450	-13,459
07/07/2003	-2,785	-15,058
07/09/2003	-2,890	-15,563
07/16/2003	-2,824	-15,246
07/23/2003	-2,239	-12,534
07/31/2003	-2,393	-13,256
09/09/2003	-2,038	-11,715
09/16/2003	-2,213	-12,491
09/24/2003	-1,877	-11,060
10/02/2003	-2,212	-12,512
10/09/2003	-2,867	-15,447
10/29/2003	-2,561	-14,132
11/04/2003	-2,406	-13,452
11/18/2003	-1,870	-11,217
11/25/2003	-1,975	-11,661
12/17/2003	-1,580	-10,065
12/22/2003	-1,674	-10,449
01/05/2004	-1,069	-8,073
01/27/2004	-504	-5,778
02/17/2004	-408	-5,396
03/25/2004	-433	-5,495
03/30/2004	-247	-4,764
04/06/2004	-82	-4,110
04/22/2004	183	-2,989
05/03/2004	9	-3,739
05/11/2004	-36	-3,936
05/19/2004	100	-3,346
06/01/2004	-55	-3,996
06/22/2004	30	-3,637
06/30/2004	46	-3,573
07/14/2004	171	-3,057
07/20/2004	-434	-5,571
07/21/2004	-858	-7,349
07/26/2004	-1,073	-8,263
08/05/2004	-1,137	-8,535
08/12/2004	-1,352	-9,436
08/25/2004	-1,277	-9,130
09/08/2004	-1,211	-8,859
09/16/2004	-1,226	-8,919
09/21/2004	-791	-7,154
09/23/2004	-605	-6,404
09/27/2004	-600	-6,382
10/07/2004	-654	-6,599
11/09/2004	-429	-5,738
11/16/2004	-264	-5,112
12/01/2004	-68	-4,399
12/03/2004	567	-2,085
12/07/2004	293	-3,096
12/15/2004	568	-2,059
12/17/2004	733	-1,438
12/22/2004	469	-2,437
01/07/2005	-6	-4,321
01/10/2005	-191	-5,052
01/21/2005	195	-3,550
01/26/2005	480	-2,436
02/02/2005	426	-2,651
02/09/2005	361	-2,910
02/17/2005	536	-2,228
02/24/2005	432	-2,629
03/15/2005	277	-3,212
03/16/2005	462	-2,517
03/24/2005	378	-2,849
03/28/2005	433	-2,632
03/30/2005	409	-2,728
04/15/2005	464	-2,512
04/22/2005	549	-2,185
04/28/2005	375	-2,858
04/29/2005	470	-2,493
05/04/2005	475	-2,472
05/17/2005	311	-3,126
05/18/2005	466	-2,513
05/24/2005	392	-2,810
05/27/2005	527	-2,277
06/02/2005	942	-645
06/08/2005	828	-1,094
06/09/2005	803	-1,190
07/06/2005	679	-1,679
07/11/2005	734	-1,463
07/15/2005	849	-1,007
07/20/2005	995	-435
08/03/2005	1,390	1,054
08/09/2005	1,325	810
08/10/2005	1,451	1,281
08/22/2005	1,476	1,377
08/25/2005	1,352	908
08/29/2005	1,057	-204
08/31/2005	1,212	385
09/07/2005	1,198	331
09/14/2005	1,473	1,340
10/04/2005	1,308	756
10/06/2005	2,034	3,292
10/17/2005	2,179	3,800
10/21/2005	2,575	5,205
10/25/2005	3,080	6,979
10/27/2005	3,055	6,893
11/02/2005	3,171	7,306
11/07/2005	3,356	7,976
11/15/2005	3,332	7,889
11/28/2005	3,397	8,107
12/01/2005	4,342	11,209
12/27/2005	4,418	11,455
01/13/2006	5,293	14,073
01/30/2006	6,038	16,241
02/24/2006	6,864	18,691
02/28/2006	7,549	20,717
03/06/2006	6,205	16,695
03/13/2006	6,470	17,503
03/22/2006	6,245	16,824
04/03/2006	6,571	17,737
04/28/2006	8,126	21,682
06/28/2006	7,641	20,296
07/11/2006	9,037	23,911
08/04/2006	9,062	23,975
08/11/2006	8,088	21,447
08/24/2006	7,763	20,589
08/25/2006	7,768	20,603
08/29/2006	7,474	19,816
09/29/2006	7,129	18,865
10/02/2006	6,444	16,968
11/07/2006	6,410	16,876
11/09/2006	8,035	21,135
11/15/2006	8,141	21,416
11/17/2006	8,436	22,207
11/29/2006	8,221	21,650
12/18/2006	7,947	20,911
12/21/2006	7,582	19,934
01/05/2007	5,798	15,056
01/08/2007	5,863	15,234
01/12/2007	7,148	18,649
01/19/2007	7,824	20,417
01/23/2007	8,859	23,086
01/30/2007	9,384	24,428
02/19/2007	9,370	24,392
02/21/2007	11,405	29,358
03/06/2007	11,711	30,142
03/26/2007	12,206	31,384
04/04/2007	13,061	33,481
04/10/2007	13,167	33,738
04/12/2007	12,862	32,992
04/13/2007	13,617	34,814
04/18/2007	13,553	34,659
04/20/2007	14,058	35,870
04/24/2007	13,524	34,574
05/02/2007	13,429	34,340
05/09/2007	12,794	32,792
05/11/2007	13,100	33,548
05/17/2007	12,405	31,791
05/25/2007	12,380	31,729
05/29/2007	12,356	31,666
06/05/2007	12,181	31,236
06/06/2007	12,167	31,200
06/11/2007	12,262	31,441
06/22/2007	12,407	31,809
06/27/2007	12,493	32,029
07/04/2007	12,588	32,271
07/12/2007	12,924	33,108
07/24/2007	12,839	32,901
07/26/2007	11,524	29,597
07/30/2007	11,800	30,274
08/03/2007	12,615	32,258
08/10/2007	13,450	34,292
08/22/2007	13,716	34,951
08/29/2007	14,081	35,851
08/31/2007	14,557	37,012
09/04/2007	15,442	39,146
09/17/2007	15,987	40,397
09/24/2007	15,593	39,506
09/27/2007	16,098	40,642
10/23/2007	16,283	41,046
10/31/2007	17,469	43,517
11/02/2007	19,224	47,126
11/19/2007	18,500	45,583
11/22/2007	18,735	46,071
12/10/2007	19,620	47,882
12/12/2007	20,516	49,703
12/21/2007	21,401	51,511
12/26/2007	22,667	54,055
01/30/2008	23,652	55,810
03/05/2008	25,907	59,598
04/18/2008	23,263	54,807
07/17/2008	22,408	53,321
07/18/2008	21,733	52,145
07/30/2008	20,859	50,554
07/31/2008	20,944	50,708
08/04/2008	19,060	47,231
12/24/2008	19,695	48,478
03/05/2009	22,000	52,593
03/30/2009	21,196	51,133
04/13/2009	21,761	52,185
04/15/2009	21,716	52,102
04/29/2009	22,052	52,722
05/04/2009	22,847	54,188
05/08/2009	23,003	54,470
05/19/2009	23,268	54,947
06/19/2009	23,473	55,313
07/09/2009	23,259	54,921
07/24/2009	23,314	55,018
07/30/2009	23,550	55,437
08/11/2009	23,315	55,024
08/18/2009	23,190	54,804
08/21/2009	24,406	56,922
08/25/2009	24,141	56,456
09/25/2009	23,356	55,139
10/12/2009	23,672	55,636
10/21/2009	23,627	55,566
10/27/2009	23,443	55,270
10/29/2009	24,718	57,301
12/22/2009	23,303	55,129
01/25/2010	22,959	54,607
02/01/2010	25,194	57,968
02/11/2010	26,739	60,322
03/05/2010	26,295	59,670
03/10/2010	24,500	56,974
03/11/2010	24,496	56,967
03/15/2010	24,571	57,081
03/18/2010	25,016	57,740
03/22/2010	24,312	56,675
03/23/2010	24,567	57,061
03/31/2010	24,882	57,532
04/05/2010	25,418	58,321
04/27/2010	27,083	60,693
06/11/2010	27,679	61,500
06/15/2010	29,134	63,461
06/17/2010	30,599	65,419
07/15/2010	30,115	64,751
07/19/2010	29,140	63,380
07/26/2010	28,106	61,921
07/27/2010	25,671	58,430
07/28/2010	25,686	58,452
08/12/2010	27,052	60,323
08/23/2010	26,767	59,937
09/02/2010	27,032	60,290
09/09/2010	25,878	58,746
09/10/2010	25,603	58,380
09/14/2010	27,049	60,275

This is the running profit chart (blue line is real trades, purple is relativized):




How does it all work again?

Objective: know how a system would perform with today's prices.
Method: multiply each trade by the ratio of price today vs. price yesterday.

Take the first trade: roughly it lost 200 dollars, when price was at 200. So given that today price is 5 times bigger, we consider it as losing 5 times as much. Does this make sense?

My first objection to this method (it wasn't my idea) is that when price is at 200 it might feel like rising more than falling and viceversa. Good point, still unsolved. Yeah, because I am given homework but my papers aren't graded, cause the teacher is too busy. So I am just in the dark as to what the original assignment might have been about. So I am in the dark and talking to myself.

My second objection is this. Do we want to know what the system will make? Then this is flawed, because most likely if gold goes back down to 200, the returns will be closer to the original trades.

My third objection is this. Do we want to know what the drawdown will be like? Then this is flawed again, because we've already seen the system perform with similar prices (the last part of the chart is similar for both lines) and so we know what it's likely to lose. It's not like we're relativizing a system on gold that only has data up to the 1930s.

So what the hell did I do all this work for? I guess just to keep me busy and burn myself out.

I am not against "technology" as someone recently suggested to me. I am against redundancy and doing things that are either useless and therefore harmful (sortino ratio) or unreliable (this one).

At any rate. This made me wonder about a few useful things. Having said this I'd like to flush it down the toilet along with sortino.

The useful thing it made me wonder about... i mean this is all useful. But not if i have to create hundreds of sheets and take care of the maintenance of things I don't believe in. I did learn good lessons out of this and out of sortino. Only, I wish I could still have the power to say "this is not going on my workbook". But unfortunately that power is gone, because now there's too much at stake for me to dare to say "the hell with this useless/harmful idea". So I hav to work on things I do not believe in. And I have to keep them on my workbooks, too.

Anyway, back to GC_ID_01. I was wondering how well it did, relative to GOLD, because who knows if GC_ID_01 does well only because gold kept going up or because it would do well anyway?

Well well... what do we have here... this looks like a very dangerous system, and we're trading it:



Let's then review all the gold systems we're trading (this is much more useful than the relativized thing for example, but i was so busy taking care of that, and didn't have time to think about it).

GC_ID_03, also being traded, looks much healthier:



Let's look at the last one, GC_ON_01:



This last one is good as well, and it's trading 2 contracts.

Yet one might lose if gold goes down. But 3 contracts out of 4 are safe, whether it goes up or down.

This post taught me many things. Besides venting out some frustration, it clarified my doubts about relativized drawdown and why I would like to flush it down the toilet. Certainly it's the last workbook I create on something that I don't believe in. I also realized that the fact that a system makes money is not even a guarantee that the system is good at all. We don't know how good GC_ID_01 is, but presumably not that good, despite the fact that it has made money for 14 years. So why are we trading it? Because another 58 contracts of other things are being traded along with it. If gold falls and we lose money from GC_ID_01, we'll make money with other systems. Furthermore, if and when it will exceed its drawdown by 2 times as much, we will drop it.

This was not all bad. But we've gone beyond the limit. I can't spend another hour adding redundancy to my workbooks (or actual new workbooks). My resolve is now stronger than ever. I am usually a very headstrong, willful, and stubborn person, but lack of capital, losses for 14 years, and the fear of throwing it all away have made me a lot softer. But we're reaching a point where all that I achieved by keeping things simple is being destroyed by being soft, so this has to stop, because it's in nobody's interest.

I am the captain of this ship and I am not going to sink it against the rocks (by adding redundancy and non-profitable, incomprehensible concepts), just because the heiress Paris Hilton (owner of the ship) is telling me to go towards the rocks.

 

[Yamato]

Tabernas Desert

http://en.wikipedia.org/wiki/Tabernas_Desert

The Desert of Tabernas, because of its similarities with the North American deserts like the Far West of the American West, northern Africa, the Arabian deserts, and its lunar landscape, served from 1950s and is still used today for the shooting of many films and westerns.

http://www.youtube.com/watch?v=ZVATI7Jl31E