my journal 2

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bbmac said:
Yeh, Thanks to poster Wprins for the correction re SWOT (it was late Lol !) an analysis re Strengths Weaknesses, Opportunities, and Threats to any given business plan/venture.

What we can probably agree on and what I should more accurately have said in my recent posts is that the 'extra edge' from your portfolio of 120 automated profitable trading systems comes in choosing the optimum mix of them to trade at any given time ...ie this is what enhances the return over and above just letting them all trade (which presumably is the central trading edge you have developed)...to this extent - getting this decision wrong could result in a worse return/drawdown than simply just letting them all trade (if they have all proven profitable over the back [and some over the forward test] period ?)

In terms of the 'most important thing' - you are living in the past, ie the systems have been created, your most important thing has been done - now the most important thing going forward is that which we have been discussing, and the central question remains to be resolved; Even with the intelligence and thought/methodology you have brought to bear on the rationale for picking which systems to trade at any one time - are you confident you can continue to replicate this successfully over the longer term?

BBmac.
Click to expand...

Oh, come on, I can't accept hearing that I am discussing useless details and "living in the past" from someone who said something as wrong as:
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-284.html#post1657256
the edge isn't the trading systems, it is when to employ them
Click to expand...

Let alone the other things you wrote in that post, which are even more wrong:
The question is, and this is really where it is at, have you thus far been lucky with your choice of systems traded from those available or do you have a longer term edge?
Click to expand...
There can be no luck, after making hundreds of trades, and there can be no luck in choosing systems that work well because they all work well (those that did not, I have already discarded - why would I bother automating systems that are not profitable?), and there can be no bad luck in choosing the wrong systems (because there are no wrong systems). There can just be a situation of no capital, where a normal drawdown wipes you out, which doesn't prove in any way that the systems were bad. And there can be better or worse combinations, but you cannot twist things so far as saying that I might not even have an edge and maybe I was just lucky in choosing the right systems.

The edge instead is totally in the trading systems, and, as I explained in several ways, it almost doesn't make a difference how you employ them. So we still totally disagree on this, given that you regard my point as "living in the past". Given that you don't instead say "I just said something that doesn't make any sense" or at least take my point quietly, for how much I proved you wrong, instead of trying to prove me wrong by saying that I live in the past.

Anyway let's drop this subject, because I can't keep on discussing this subject if we're reasoning so differently.

And besides, let's not forget that yesterday you went as far as saying that I am a "discretionary" trader or that I am trading "discretionary" because I choose what systems to enable, which is another big way of twisting the truth.

It would be equivalent to saying that a discretionary trader is actually an "automated trader" because he inserts LIMIT orders, which will be triggered automatically once the price will be right.

That's how far you've been twisting things lately.

What's the matter with you? I think your brain is going soft with all that comedy you are playing with that young girl...
 
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bbmac said:
Yeh, Thanks to poster Wprins for the correction re SWOT (it was late Lol !) an analysis re Strengths Weaknesses, Opportunities, and Threats to any given business plan/venture.

What we can probably agree on and what I should more accurately have said in my recent posts is that the 'extra edge' from your portfolio of 120 automated profitable trading systems comes in choosing the optimum mix of them to trade at any given time ...ie this is what enhances the return over and above just letting them all trade (which presumably is the central trading edge you have developed)...to this extent - getting this decision wrong could result in a worse return/drawdown than simply just letting them all trade (if they have all proven profitable over the back [and some over the forward test] period ?)

In terms of the 'most important thing' - you are living in the past, ie the systems have been created, your most important thing has been done - now the most important thing going forward is that which we have been discussing, and the central question remains to be resolved; Even with the intelligence and thought/methodology you have brought to bear on the rationale for picking which systems to trade at any one time - are you confident you can continue to replicate this successfully over the longer term?

BBmac.
Click to expand...

Absolutely. The systems will just keep on making money. They cannot all fail at once. The large majority will stay profitable. Yes, the drawdown will increase, for sure. Selected systems always do worse in the future, just as you cannot predict with 100% confidence the world cup winner by looking at previous winners. You will know that Brazil and Germany and Italy will do pretty well, but you will not predict how well they will do based on how well they did. The same applies to the systems.

The fact that the drawdown will increase means you cannot push your luck in terms of scaling up.

Then, if worse comes to worse, I can always be wrong about expecting this to happen and I can lose the entire capital, but here we're only focusing on the most likely events. We're not focusing on things such as the world coming to an end, the USA coming to an end, the banks all going bankrupt.

So, if things stay as they are and do not change abruptly, the systems will keep on making money. As long as one doesn't scale up too fast, we will be able to withstand the drawdown. Specifically, we're expecting the max drawdown to be twice as high as it's been in the past. That is the focus now.

Once again I must state that I still disagree with the concept of "the edge isn't the trading systems, it is when to employ them" and I still disagree with saying that, because 1% of my trading is discretionary, I am a "discretionary trader", just as we don't call "automated trader" a discretionary trader who uses LIMIT orders, and therefore has some automation in his discretionary trading.
 
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still in deep drawdown

Snap1.gif
 
Re posts above:

Facts:

1. Your primary edge is your portfolio of 120 automated trading systems that have proved profitable over a considerable backtest, some of which have also proved profitable in the forward/live trading period.

2. You attempt to gain a further edge by using a thus far evolving methodology/rationale for choosing which systems trade at any particular time. [ I assume that in the forward/live trading period this further edge has outperformed the primary edge of just letting all 120 systems alone to trade at once without manual intervention of which should and shouldn't by trading at any one time? ]


So, let's not get hung up on pedantics, I continue to reasonably assert that by implimenting this further edge you are effectively trading discretionarily and negating the pure automated nature of your primary edge. You on the other hand reasobaly disagree and assert that the primary edge is the most important factor. It would be interesting to hear other opinions in this respect, from other readers of this journal.

Whatever the case, the important thing is that the implimentation of the further edge should outperform the primary edge ?

Moving on to the current Drawdown period, whilst it looks like a bloodbath given the chart you post which shows the drawdown in gains made since the start of the live trading period, the current drawdown as a % of available equity (which has increased since last drawdown ended) shows a less dramatic picture. I think it is importnat to compare apples with apples and oranges with oranges not apples with oranges ?

BBmac.
 
On the subject of wether or not the 'non mechanised/manual' implimentation of the further edge (as described in post above) represents a potential threat/weakness to the ongoing success of the venture ? When I conduct a SWOT analysis of my own trading business (Sorry for the acronym SWOT - I know how you hate them, but we know what it means so safe to use ?) I find that I am always the greatest threat to it. Ie I am a discretionary trader and if my discipline/patience/professionalism levels dip it is reflected in the results. It follows therefore that we all represent a Threat (and conversely a Strength) to and of our trading business. You assert that because all 120 automated systems have proved profitable in the backtest period (s) that in a sense it doesn't matter which mix of systems are traded (ie the further edge) so in this respect your manual/non-mechanised implimentation of that further edge is less of a threat, and I would agree given the central assumption of having 120 profitable systems.

But, bad luck could play a part (and perhaps already has as uou intimated in a previous post,) ie all these 120 automated systems have proved profitable over an extended backtest but if for example you were to impliment the further edge and choose a mix of systems at a particular time that happened to go into deep drawdown, - this may destabilise your decision making process and result in further decisions re the next mix of systems/volumes traded thereof that can negatively impact on the ventur's success/progress and importnatly on investor (s) confidence. To this extent the manual/non-mechanical implimentation of the further edge remains a Threat/Weakness.

On that point about investor confidence, do not underestimate how fickle/flakey investors can be, let alone greedy. They do not see the minutie that you se and are detached from the processes, relying instead on pure performance metrics.

Also, we tend to overlook the part that Luck can play ?

BBmac.
 
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Replying as I read.

1) Gee, thanks for teaching me about my systems. I thought my computer was secure, but it seems you've been studying them in depth, even more than I was able to do in all these years. I take offense at "some of which have also proved profitable in the forward/live trading period". What do you know how many of them are good in forward-testing and how many of them are not? Let me be the one to say that. If anything, you could ask me, as usual, with your intelligent questions. But here you're teaching me about my systems and even downplaying their performance. This is offensive. If you want to say that I've been bragging, then say so, but don't pretend you're able to describe their performance objectively, when instead you're just trying to put them down, and put me down, too.

2) Yes, this is correct. And yes, the combination did better (in sharpe ratio terms) than trading all of them with 1 contract.

"Let's not get hung on pedantics". That's funny that you say that, because saying that -- because of enabling only the best systems -- I am "trading discretionarily" is a way of twisting the truth, so you are being "pedantic", to say the least. As I said, it is equivalent to calling "automated trader" someone who uses all discretion and then inserts an "automated" limit order.

Yes, good summary of what I think. And yes, it would be interesting to hear the other two readers. Bring it on.

Yes, the further edge should outperform the primary edge and it has. Good synthesis.

That's right, it is indeed a less dramatic picture, but in grouping apples with apples, and drawing charts about them, you have to make some simplifying choices, and my choice is to represent absolute gains with my equity line. If you go down the path of "apples with apples and oranges with oranges" you could also split the green apples from the red apples, and we'd end up with 20 charts which are too much, and too much is useless. So i have to simplify and that's as far as I can get, given that I have already created 7 workbooks with 20 worksheets in each one of them (due to questions like yours, asked by other people, too). So I am comparing fruits with fruits because this is the only comparison I can afford.

What would your equity line chart require? I could do it on the spot, but I cannot add yet another sheet to my 7 workbooks.
 
The only information I have about your trading systems is that you have published here, and simply put it is that you have '120 profitable automated systems' and that this profitability was shown in an extensive back test (10 years if I remember correctly from your posts here ? )

You are being hyper sensitive and I am surprised by the comments in point 1 of your post above. No critisism or otherwise slur was intended, I was I thought simply engaging in intelligent discussion and argument, because it is an area that interests me . Given your sensitivity I will refrain from further postings to your journal.

Continued G/L
 
Well, you have to read the other points as well. I replied point by point. If one point offends me then I say so, if the other point is good then I say so, too. This shows that i am not against you but against some of the things you're saying, and I am in favor of other things you're saying.

You could simply separate what's personal from the reasoning, and maybe say "screw you" regarding point 1, and "that's an interesting point" regarding point 2.

What am I supposed to do: pretend that you're not downplaying my systems, which you've been doing for the past few posts? And what should I say of being called a "discretionary trader"? That doesn't make any sense either. Should I pretend it makes sense to me?
 
Replying (as I read) to your second post:
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-285.html#post1658430

The 'non mechanised/manual' implementation of the further edge (as described in post above) cannot be a potential threat/weakness to the ongoing success of the venture, because a manual choice is still better than if all systems were traded. So, there you have it. It is not a weakness. Furthermore, automating it wrongly, as I said before, would be worse than enabling systems after a manual analysis (by given metrics). And since, given my present skills, I can only automate it wrongly, then it's better that I do not do it.

The threat and the mistake would be if we scaled up before we have a profit cushion to cover the potential drawdown (twice as much profit cushion as the relativized max historical drawdown). There are no other threats.

Yes, as a discretionary trader, you definitely have threats all over the place, I suppose. I say so, because I traded for 13 years as a discretionary trader, and never managed to become profitable. So I can speak for myself at least.

Trading all 120 systems, which are all profitable in the past and are either profitable or close to break-even in the future is nonetheless worse than adding what we could call a tiny "discretionary" element, in choosing to trade the best ones. I know this for a fact/guesstimate. I don't have to win the Nobel Prize so I won't write an essay about it. But I know it's like this and I will act accordingly, and expect those performing the best in the back-tests and forward-tests to be, on average (as a group), the ones who will perform best in the future.

Yes, once again, regarding drawdown, to fight bad luck, we have the rule of needing a profit cushion to withstand twice the relativized max historical drawdown. To fight bad bad bad luck, then we have nothing, but as I said we're not protected from all risks anyway (such as the earth blowing up, and similar).

Once again, the further edge is not a weakness because the manual selection of the best performing systems definitely improves compared to trading all of them. And the automated selection is out of control, and would not be safe, efficient, given my present skills, so I cannot do it (I tried already).

Yeah, regarding the investors, they're more patient than I am, during drawdowns, and that is the reason I blew out my account so many times as an automated trader as well: I'd get upset at drawdowns and start tampering with the systems and with their trades (let alone the enabling/disabling of them).

You're right about luck, and how we tend to feel lucky, or at least that has always been the case with me. But the investors are good money managers, so they've cured me and would not allow me to scale up like a madman, which has always been the case with me.
 
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Re: my helicopter

Cool! I want one! Love that second song as well - Stan Getz if I'm not mistaken?
 
more rc fpv videos

I did this search on youtube:
http://www.youtube.com/results?search_query=fpv+rc+boat&aq=f


Definitely one of the most daring I've ever seen:

http://www.youtube.com/watch?v=AJYmN6sCq4k


This is beautiful, except with these boats you don't really know where you're going and could hit a tree-stick:


But with boats there's many advantages. No weight concerns regarding carrying an onboard camera. No concerns of crashing like with flying. No concerns of hurting people when you crash. And it's much easier to recover if you lose control of it, because it can only be on the water surface, not on a tree, not underwater, etcetera. A car of course would be even easier, but I don't like to drive cars.




 
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last week at the office

Today is my last week before my 3-weeks long vacation.

I wrote a manual for the girl who's supposed to substitute me. Nobody had asked me to write one, but I did, to do things properly. I sent it to her and to my boss. It has files, pictures and explanations. No one has replied. Especially she hasn't even thanked me for it. Bad bad bad.

But my conscience is clean. That's what matters. Who cares if i am not gratified for my work. It's never been the case for years. What matters is that my conscience is clean.

I do my work, I avoid people in general, because they disappoint me, and I keep going forward, my own way.

Then every once in a while there will be someone who will show appreciation for my work and who won't screw me. So much the better. Besides, I can only be like this, so I will do it because it's the easiest path.

That bitch.

Anyway. Today there's 2 potentially pretty big trades going on. One long on GBL and one short on CL. They're not going either way so far, and so far the day will end at breakeven. In the past few days, we've suffered 5k losses from this CL system. It owes us 10k, for what it's lost and for what it was supposed to make.

In one and a half hour I will go home, and the usual maid will be there. The russian one has finished, finally. She was a bitch, negative, complaining, didn't do much either, and came rarely and whenever she felt like. Yeah, she was a professor in russia, so I suppose it's ok for us to have to put up with her being a bitch to us. If you dare to ask her anything, she will bite you, pretty much.

No one has been bothering me lately.

The milk will be there again starting today. This maid is retarded, but she's the best we've had so far.

Only thing bothering me is my eyesight, which sucks lately.

Usually I take a break and it gets better, but it's not happening. Either because I haven't taken a break or because I really pushed it too far.

I've been exploited and now probably I will be thrown away, now that I gave everything I had, squeezing every resource out of me, in terms of creativity, reasoning, eyesight, energy. I'll be thrown away with the usual gentleman's good manners. It's been happening for over a year: a lot of good manners that accompany a lot of screwing. And if I complain, my complaints are ignored and I am told to moderate my language. People want to screw you, but they want to do it with your blessing. They don't want you to make them feel bad about it, so they ask you to moderate your language.

Just like it happened at the office. I gave everything I had for 4 years, then ACE-Kaizen-"continuous improvement" team came, destroyed my work, and I complained, loudly. The more you work for something, the louder you'll complain if someone destroys your work. So I called them "clowns", because that's what they are and I said that it was all a farce, where everyone was playing along, except me.

And so, as a reward for breaking my back for 4 years and warning people we were screwing everything up, I was removed from my post basically, by the diplomatic crooks, who actually wrote a report where they were boasting their results, which actually consisted entirely of my work (and everyone has noticed this). Now I am still here doing the same job, because I am needed, but I've already been moved from one office to the other, from one boss to another -- I am like being lent right now, temporarily, to my old office. I wasn't asked, I wasn't even told. I was simply moved from one office to the other. People who work hard will always be needed, but the cheap salesman, the diplomatic crooks will always try to live off your work, taking it away from you, and pretending it's theirs.

Now if I went and asked who decided to move me, B will say that it's A, and if you go to A, he will tell you that it was B, who decided so. When people screw you they never say "we've decided to screw you". They'll always come up with a good excuse and make themselves come off as gentlemen. I probably do it, too, with the few people I screw. Like... probably my parents. I guess I only ever got to screw my parents and some relatives. In every other case I am the one who's been screwed. Oh, and probably I screwed a couple of girlfriends, and made myself feel ok about it. Yeah, that's it. Even more than two.
 
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30 minutes to go

It was a tough day. In terms of pride. I wrote a manual for over 2 hours, and didn't get one email saying "thanks".

On the other hand, I am paid to work for 6 hours a day, so... you can depict the same situation in a lot of ways, but, whereas in relative terms I work more than anyone else, and do not get rewarded for it, in absolute terms, I still ripped my employer off for 4 hours of work today. I worked for a bit over 2 hours, instead of the normal six hours. Little does it matter that there's people doing nothing all day long.

So, given this knowledge, it felt better to work on an unappreciated manual than to do nothing at all.

[...]

I now only have 20 minutes left here, and my systems are losing another 3000 dollars, bringing the drawdown to about 16k. This means that probably no money will be made for the month. We're at about 3k less than at the end of last month, with only 2 days left to go.

And that bitch hasn't thanked me for the manual I wrote to help her. Bitch. Good thing I never go out of my way to greet her in the hallway. Whore.
 
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back home

Losing 5000 dollars for the day. We're actually back down to -19k of drawdown. Practically never had a higher drawdown. We've been in a drawdown for 10 days already. Equity line should be about to start rising again.
 
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