my journal 2

[Yamato]

still in deep drawdown



I've figured out that there's about 50k (in losses and not yet made profit) that is owed by some systems that are supposed to be the best and that have sucked lately. Most of it from CL_ID_04, and two other systems, one on copper and one on silver.

 

[eegozi]

Re: still in deep drawdown

View attachment 121574

I've figured out that there's about 50k (in losses and not yet made profit) that is owed by some systems that are supposed to be the best and that have sucked lately. Most of it from CL_ID_04, and two other systems, one on copper and one on silver.

Travis,

This is my first time reading any of your posts and I started at the begining and scanned through the last 300+ pages. Please correct me if I am wrong here,...but have you basically been losing money over and over again in the market trying to come up with a system? It seems you have tried various "off the shelf systems" and tried to "perfect" them to suit your needs. It also seems that you have not followed what many of the systems tell you to do and have thus lost more money. I also read somewhere in these pages that you have gotten numerous loans to make this system work. Are all of these correct?

If so, I would like to offer some advice and constructive criticism if you would listen to a nobody on the internet that has shared some (thankfully not all) of the things it seems that you are going through.

Could you please summarize your work over the last 18 months and anywhere I may be incorrect? Thanks.

 

[Yamato]

Yes, incorrect in some parts of your post, and correct in other parts.

I will highlight in blue the correct parts and in red the wrong parts (I will comment below, as I color your text):

Travis,

This is my first time reading any of your posts and I started at the begining and scanned through the last 300+ pages. Please correct me if I am wrong here,...but have you basically been losing money over and over again in the market trying to come up with a system? It seems you have tried various "off the shelf systems" and tried to "perfect" them to suit your needs. It also seems that you have not followed what many of the systems tell you to do and have thus lost more money. I also read somewhere in these pages that you have gotten numerous loans to make this system work. Are all of these correct?

If so, I would like to offer some advice and constructive criticism if you would listen to a nobody on the internet that has shared some (thankfully not all) of the things it seems that you are going through.

Could you please summarize your work over the last 18 months and anywhere I may be incorrect? Thanks.

Yeah, unfortunately you didn't get everything right by scanning. And you didn't start at the beginning, since you did not scan through my first 2000 posts, at my first journal.

I lost money through discretionary trading. Not because I could not find profitable systems. When I was trading my profitable systems, I lost money because I didn't trade them, or tampered with them. The problem is totally unrelated to my trading systems, and totally related to my discretionary trading.

This one about "off the shelf systems" could not be further from the truth. I am so in love with my own reasoning that if you gave me a profitable off the shelf system I would not even look at it. That is why my systems are profitable. Because they're totally mine. That is why it makes me laugh to hear others say that they have contributed to them (there's been cases recently).

Yes, this is of course right: as I said, I tampered with my systems, and blew out my account as a consequence. But that was just in the last few years. For the first 10 years of my trading, I blew out my account due entirely to discretionary trading. It had nothing to do with my systems.

Yes, the loans did happen, unfortunately. But not exactly the way it sounds from what you said. I took out my first loan, and repaid it in one month (after doubling my account). Then, later, I did some discretionary trading, and blew out the account.

Then came the second loan. I tripled my account in one month, paid the loan back, and then later I blew out my account again.

Then with the third loan, things did not work out as well. I took the loan out, and blew out my account, slowly, in the following months.

Here's the summary of that situation, showing the equity line from March 2008 till June 2010:





So I was left with a 10k EUR loan to pay back (still paying it back, and now I still have 7k to pay), and basically I could not trade anymore. And, to answer your question about summarizing the last 18 months, soon after that loan accident, is when I met some people who accepted to trade my systems. And they're making money. There has been no tampering with the systems by me (on one occasion there was some tampering by them).

Here's that part of the story:



Yes, I would like to interact with you, but you have to be careful, because I am sensitive: I cannot accept criticism nor advice, nor a condescending attitude. If you want, i can tell you some stuff about myself (that is always a pleasure, but, for that, you could simply read the rest of my journal), and we must interact on an equal ground. I am tired of being bossed around and being told "please do this", "please do that", and, most of all, I have grown to resent the expression "kindly do this", which is pretty much an order, uttered by some gentleman acquaintance of mine.

If you're going to post here, it should be mostly to comment on my complaints, to encourage me, praise me, and not to preach to me, nor teach me on life or anything else (I've heard too much of that from my father) and especially not to teach me on trading, because that is not needed - I already know what I need to know and I don't want to waste time talking about trading - too much information is not good. I still need to process the information I already have, and lately I've been burned out by some relentless requests for work by some acquaintances of mine. So I definitely cannot spend any time talking about trading.

The others who tried preaching and criticising before, have either been banned or got discouraged from posting after I argued back and they didn't like my reply to their argument. The last one was big mac, Le Big Mac. As you see, now there's no one left, except silent readers. So be prepared to fight till death. Say hello to my little friend.

 

[Yamato]

sleepless

Sleep-deprived, insomniac, sleepless.

I've been awake since 4 am. That's because of that mother ****er who came home last night unannounced, at 10 PM. He woke me up, and injected some... the usual stress into me. Why didn't you tell me? Why couldn't you send a text message telling me you were coming? Mother ****ing asshole.

Now I'll have to go late to work, as often happens when the mother ****er is home.

Goddamn mother ****er.

I've been drinking wine since an hour ago, and it doesn't work.

It will work all right, but it will be too late. I've been up for 3 hours already.

mother ****er

I'm going to go late to work

Yes. I am a control freak and i want things to be under my control.

And they're not being so.

When things are not within my control, things are out of control, and when things are out of control, I cannot sleep.

3 more days at the office. But then there will be daniel, on vacation with me. Another element out of control.

 

[eegozi]

Re: sleepless

Sleep-deprived, insomniac, sleepless.

I've been awake since 4 am. That's because of that mother ****er who came home last night unannounced, at 10 PM. He woke me up, and injected some... the usual stress into me. Why didn't you tell me? Why couldn't you send a text message telling me you were coming? Mother ****ing asshole.

Now I'll have to go late to work, as often happens when the mother ****er is home.

Goddamn mother ****er.

I've been drinking wine since an hour ago, and it doesn't work.

It will work all right, but it will be too late. I've been up for 3 hours already.

mother ****er

I'm going to go late to work

Yes. I am a control freak and i want things to be under my control.

And they're not being so.

When things are not within my control, things are out of control, and when things are out of control, I cannot sleep.

3 more days at the office. But then there will be daniel, on vacation with me. Another element out of control.

Wow,...

I am in no mood to fight or anything else with you Travis. I was here ONLY because I saw this thread was 5 stars and I wanted to see what made it so "good". Then I started reading and scanned whatever I could to see what the fuss was about.

I cannot diagnose you over the internet but I suspect you have depression and probably even manic depression. It also seems to me that double and tripling your acct in 1-2 months as you have decribed is meaning that you are risking too much on each trade and have not learned good money management. I am not here to preach to you either. However, I think it is highly likely that this will end in a ball of flames (so to speak) if you do not get some help soon.

My intention was only to offer some constructive criticism as I think all traders have had some of the types of swings in our life and account as you have. However, not all of us have reacted the way you have. I expect that any constructive things I may offer are likely to be shot down and ignored so I will just go about my business.

Good Luck.

 

[Yamato]

Thanks for the detailed feedback. Good luck to you, too.

 

[JRP2891]

Re: sleepless

Wow,...

I am in no mood to fight or anything else with you Travis. I was here ONLY because I saw this thread was 5 stars and I wanted to see what made it so "good". Then I started reading and scanned whatever I could to see what the fuss was about.

I cannot diagnose you over the internet but I suspect you have depression and probably even manic depression.

I expect that any constructive things I may offer are likely to be shot down and ignored so I will just go about my business.

Good Luck.

You don't want to join the party then?

 

[Yamato]

Yeah. In fact, after thinking about this new reader for several hours, I don't think his contribution is so precious after all.

He is too normal and shallow. He didn't even take the time to reply to my first very long and detailed reply, but chose to ridicule me by quoting my second one.

This is the type of idle brain that disappoints me.

Well-mannered, well-meaning, a lot of nice words, but then he insults both your intelligence and dignity with the content of his posts ("I cannot diagnose you over the internet...", great contribution), and the things he ignores.

What a waste of time replying to him. But then again, I replied for the sake of writing and wasn't replying to him of course. I just wrote what I felt like writing, which is what he did, too. So I guess we're all the same. Except he's more shallow, and this is my journal. He came offering help, and ended up offering shallowness, insulting shallowness.

Very disappointing. But it's an interesting and rare mix: someone being so proper, polite and well-mannered and so insulting at once.

I used to think that good manners always went hand in hand with intelligence and honesty, and other qualities, but lately I've been proven wrong, more than once. I used to detect a person to avoid/ban/ignore by reading something like "you're gay", but recently things have been different and it sounds like "I cannot diagnose you...". Or other times it sounds like "kindly do this".

Not all well-mannered people are to be trusted. Generally yes, more than people saying "you're gay". But not always.

However, the guy saying "you're gay" is much more likely to attack you physically, so I prefer the well-mannered crook anytime. Actually we're talking about the difference between humans and monkeys. The one saying "you're gay" is a monkey to me. The well-mannered crook is just a disappointing human. In this case, we're not talking about a crook but only about a shallow well-mannered human. Saying anything better than this would be equivalent to kissing up.

 

[Yamato]

Let me correct myself: a "well-mannered troll" is a better definition.

 

[Yamato]

So, i was saying.

I am drunk again. So ok, now the guy will come on the journal to defame me again. So what. No big deal. I can deal with well-mannered trolls. Anytime, anywhere.

So here i am. Two days to go before my 3-weeks vacation.

Fighting with a few people. But not at work. At work everything is peaceful.

I will leave on saturday, on a ship, on a boat, is what they call it.

I will arrive on saturday night.

I am getting drunk. I took all sorts of pills, but it's still not working.

http://www.youtube.com/watch?v=ToQ0n3itoII&ob

http://en.wikipedia.org/wiki/Steven_Tyler#Early_life

Before Aerosmith was formed, Tyler wrote what would become one of Aerosmith's signature songs, "Dream On". In 1969, Tyler attended a local rock show in Sunapee, New Hampshire where he first saw future band-mates Joe Perry (guitars) and Tom Hamilton (Bass), who at the time were playing in a band called the Jam Band. Tyler later stated he was struck by their raw power and attitude. Around 1970, Tyler, Perry, and Hamilton decided to form a band. However, Tyler, who had typically performed drums in many of his previous bands, insisted that he be the frontman and lead singer of this band. Joey Kramer, a friend of Tyler's from New York, was recruited to play drums. They also added Tyler's boyhood friend Ray Tabano as a second guitarist. The band moved to Boston and shared a small apartment on Commonwealth Avenue in Brighton...

I can stay up as long as I want.

artists

 

[megamuel]

Hi Travis,

A question for you (when you've sobered up!). Say you have completed some back testing/optimization and have numerous profitable results, how do you then pick the best settings? I mean, the easy thing to do would be to pick the settings that produce the most profit but some of those have a bigger draw down and therefore the equity curve isn't as smooth.

Not sure how it works on Tradestation but when running optimizations on MetaTrader it tells you:

Profit, total trades, profit factor, expected payoff, drawdown $, and drawdown %

Which of these do you pay most attention to? Any tips for picking the best settings?

Cheers,

Sam.

 

[Yamato]

The best thing, given the values you have is to look at: profit factor, total profit and equity curve.

A good system is one that has very good values in all three.

A bad system would be a system with a profit factor below 1.5.

A bad system is one that has an irregular equity curve.

But if it's very stable and makes money all the time and trades frequently, even a system with a profit factor below 1.5 is good.

Of course you have to include realistic commissions and spread costs in all these tests, otherwise the system that trades frequently with the small edge will deceive you into thinking that it's profitable when it's actually not.

So, recapitulating:
1) look at the equity curve, and if it jumps up and down like crazy, discard the system (even if it is profitable)
2) look at profit, and if it has none or it trades once a year, then discard the system
3) look at profit factor, and if it is below 1.5, without showing a very smooth equity curve, without trading very often, without making a lot of profit, then discard the system

If you show me examples of what you have, I can tell you what I would do (you just have to tell me these values, not how the trades get triggered). Then, once you have done all this, things have to work in the out-of-sample as well.

 

[JRP2891]

The best thing, given the values you have is to look at: profit factor, total profit and equity curve.

A good system is one that has very good values in all three.

A bad system would be a system with a profit factor below 1.5.

A bad system is one that has an irregular equity curve.

But if it's very stable and makes money all the time and trades frequently, even a system with a profit factor below 1.5 is good.

Of course you have to include realistic commissions and spread costs in all these tests, otherwise the system that trades frequently with the small edge will deceive you into thinking that it's profitable when it's actually not.

So, recapitulating:
1) look at the equity curve, and if it jumps up and down like crazy, discard the system (even if it is profitable)
2) look at profit, and if it has none or it trades once a year, then discard the system
3) look at profit factor, and if it is below 1.5, without showing a very smooth equity curve, without trading very often, without making a lot of profit, then discard the system

If you show me examples of what you have, I can tell you what I would do (you just have to tell me these values, not how the trades get triggered). Then, once you have done all this, things have to work in the out-of-sample as well.

Just to throw in my opinion and experience here...systems with a profit factor of 1.1-1.5 are fine if they trade relatively often, and I would also add that a volatile ascending equity curve over 10+ years is a good sign of robustness. Hidden risks can lie in very smooth equity curves, as demonstrated amusingly, by "The Parable of the Turkey", in Taleb's book, "Black Swan":

Let’s say you are a turkey. Ever since you were born, humans had always fed you, took care of you and ensured that you were healthy and fat. In all your long life of 1000 days, humans were always your friend. Therefore, you forecast that the next 1000 days will be like the average of the past 1000 days—great care under the hands of your human friends. Life has always been good and you see no reason for otherwise in the future…

Then on the 1001st day of your life, it was the eve of Thanksgiving Day. By Thanksgiving Day, you had became a meal for humans.

Sad story. But to that poor turkey, the eve of the Thanksgiving day is the day of the Black Swan event.

 

[Yamato]

I don't share the example given by that mother ****er Taleb. I don't think we should make any goddamn humour on other people's death, whether humans, monkeys or other animals, such as that Taleb mother ****er. May he get run over by a car for thinking of such an example.

 

[megamuel]

Hi guys. Thanks for the replies. Well it's early stages yet but some of the tests are giving me a profit factor of 2.48. So far my results for this new system are looking better than those of the piece of crap I spent months working on previously. I won't post any reports up yet because my programmer is making some changes for me which I'm pretty sure will improve it. Once they are done I will share the tests for you to pick over. But again, thanks again for sharing your thoughts, always most valuable.

JRP, hopefully if that black swan event happens I'll be short... That's all I can say!

Travis, have you finished work yet? What are your plans for your holiday? Party time!!!! :drunk:

 

[Yamato]

Yes, I am officially on vacation starting on Saturday. I will post some videos of my swimming probably.

 

[megamuel]

Cool. I can't swim

 

[Yamato]

13th day of drawdown

We're almost at the end of the third week of drawdown:



It feels like being at sea during a storm:

Wave after wave, the ship is still afloat, but...

...another few waves like this and it will sink.

We will not be able to withstand 2 more weeks of falling at this rate. But I am pretty confident that it will start rising soon.

[...]

Wow. The day is evolving. If it ended right now, we'd lose another 2000 today. This means being at an equity line of 14k. Back to months and months ago. This is what happens when you scale up very fast.

Still under control though.

Next Monday is a holiday. Next week there will be only 4 days.

Now, I would not be surprised if in one week we made 15k. But in the same way, I should not be surprised if we lost another 15k. Only, if that happens, it's all over. So, we're only 1 week away from it being all over, but also probably just 2 weeks away from the drawdown being all over.

I think it will go up. We've already exceeded the max historical drawdown. Yes, I am aware that my systems perform in the future half as well as they have performed in the past, so we could expect a drawdown which is twice as big, which is why I would say it's over once we get to zero.

We're already down 23k, if everything stopped now. If we go down a total of 38k, then, given that the max historical drawdown is 17k, then obviously something has gone wrong.

But instead I am expecting the equity line to go up very fast throughout September.

Probably even starting today. I would not be surprised if today we actually made money, despite being down 2000 dollars right now.

This very ugly equity line is just a combination of bad luck and bigger leverage (quadrupled). Nothing has failed yet.

 

[Yamato]

less than 5 hours to go before starting my long long vacation

 

[Yamato]

2 hours before going on vacation

Just another two hours to go before going on vacation.

My systems are now losing more than 3000 dollars for the day. We can only afford another two bad weeks and it will be all over.

Today there will be a final showdown with my friend Daniel. He was supposed to come on vacation with me tomorrow, but since he's expecting me to pay for everything, I gave him an ultimatum. He must purchase his return ticket (I already paid for his one way ticket and all other expenses, and I'll pay for his gas) today and he must give me 300 euros just in case there's any unexpected expenses during our 2 weeks vacation (he leaves early, because other guests are coming).

If he doesn't give me the 300 euros and doesn't purchase his return ticket, then I'll just take a plane by myself. If he agrees to the non-exploitation agreement (towards me), then we'll drive to the ship tomorrow, together.

I'd rather be alone than be exploited like this. This guy has worked one year in his entire life, and he's been exploiting his friends for the past 10 years.

He's gradually become a professional freeloader, like the characters played by Jean-Paul Belmondo. I don't mind paying for his dinners but right now I can't be a fool. I can't be manipulated, and I am tired of being manipulated into paying everything for him. So it's either a fair vacation or I'll go by myself.