my journal 2

[Yamato]

correcting comparison study on CL systems

I have double-checked my studies on the CL systems, here:
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-210.html#post1450650

And there was a mistake, because in fact the two CL systems, CL_ON_2 and CL_ID_3 were not compared to the CL but to the ES, which stayed there from the previous study on ES_ON_2.

I will quote the previous studies here and re-analyze the whole thing. On top of it, I will add two more systems which I would like to suggest for inclusion in the traded basket: CL_ON_3 and CL_ID_4.

(Incidentally, that one xanax pill I took two days ago is still giving me some amnesia, so that I have been forgetting to write words in emails and posts).

PREVIOUS (WRONG) STUDY SAID:

7) CL_ON_2 correl 0.89
The most correlated of all 7 tested so far, because its correlation does not come from the fact that both rise endlessly but to the fact that it falls at the same time the CL falls. Nonetheless, it is not so disgusting after all. Sometimes the rising and falling don't match one another, which is good and also, when the CL falls, the CL_ON_2 does not fall as much, so it is still far better than just buying the future and staying long on it, without ever closing it. In fact, if you are not fooled by the two y-axis scales (one on the right and one of the left), you'll notice that CL_ON_2 makes 500% while CL makes nothing at all (from 100 to 100). 500% is not peanuts, and that is why we're trading it live. Having said this, CL_ON_2 has the strongest correlation with its underlying of all 7 systems tested so far.


8) CL_ID_3 correl 0.21
Oh yes! This is an excellent one, for both overall profit (1200%) and lack of correlation. Just see it to believe it. In fact it is the best one we have and we should be allowing it 1 contract instead of just half (the small contract).

Without even reading it, I will first write the new study (including the two new CL systems:

CL_ON_2 correl 0.68


CL_ID_3 correl 0.76


CL_ON_3 correl 0.77


CL_ID_4 correl 0.45


Ok, the first three have a correlation with where the CL goes, but each one of them falls less when the CL falls, and that is why they're worth trading. In a descending order of performance, their capability of not falling when the CL falls goes like this:
CL_ID_3
CL_ON_3
CL_ON_2

On the other hand, the CL_ID_4 actually makes more money when the CL falls, so they should all be traded in a balance like this: the three "bad" ones should be allocated 1 contract, while the good should be allocated 3 contracts. And this is just my CL portfolio, because if I do something like this, I'd need to allocate 3 more contracts to all other systems in my portfolio.

Right now we're only trading half a contract on CL_ID_3 and CL_ON_2 so I won't bother the investors to ask them and make any changes, but next time we'll talk about selecting systems to add, I will make sure to tell them that we should include CL_ID_4 at least with a half contract. Also, CL_ON_3 should be added, but then if we do this, we should have 1 full contract on CL_ID_4.

At the moment of choosing our new wave of systems, last week, I did not ask to include the CL_ID_4 because on Monday it would have been hit (but there was no trading because it was a half holiday) very badly by that huge >5% move in CL (Libyan problems and stuff). I got very scared, and chose to forget about it, but in fact it is the best one of all in terms of back-tested health, in that it does not suffer from CL's falls.

 

[Yamato]

almost feeling sorry for myself

For a second, just now, I almost felt sorry for myself. Pretty good, actually. To me this is close to feeling proud. Yeah, because I've been doing nothing but working in the last few months, and now I am almost feeling sorry for myself, which practically means having a clean conscience, because I have been raised to feel bad about having fun. So, feeling sorry for myself is almost an achievement. Now I can't even relax. I've pushed myself too hard.

This is partly because of the interaction with the investors, and partly because of vito, who forced me to do nothing but work, because the minute I relaxed with him and opened up, he took advantage of it, and disrespected me or bothered me, like he does with everyone else. Then there's the new boss, who's also pushing me hard.

But maybe, I was thinking, maybe I can push myself just a few extra miles, all the way until i will retire. I am so close to reaching my goal, which is quitting my job. I could relax and still get to it. That is why I bought xanax again, because I could afford to relax for one month now. To make myself sleep forcefully and artificially. Maybe I'm a man and maybe I'm a lonely man, who's in the middle of something that he doesn't really understand. Maybe I'm a man and maybe you're the only woman who could ever help me...

 

[Yamato]

still feeling sorry for myself, still working

Still working on the systems. I only have 3 more to go, and then I will definitely rest for at least one month as far as new systems are concerned.

By the end of today, I will be done with these last 3 systems, and bring my total to 74 systems.

By now it's clear that it's not necessary to create new ones. With the 12 systems we're trading we can rely on having all positive months pretty much. If we add another 8 excellent systems, which will be identified pretty soon, this will bring our total to 20 systems, which will further guarantee a balanced portfolio.

From now on, I will focus on the right combination of systems and on studying more in depth the ones I have. I definitely have more than enough systems at the moment.

For the next few months hopefully no new ideas will pop up in my mind, and it will all be just maintenance of the 74 systems, with all our attention focused on choosing the right ones.

Let's play a song to celebrate the beginning of a holiday as far as creating new systems:

 

[Yamato]

The Beatles - I need you

You don't realise how much I need you.
Love you all the time and never leave you.
Please come on back to me.
I'm lonely as can be. I need you.

Said you had a thing or two to tell me.
How was I to know you would upset me?
I didn't realise as I looked in your eyes...
You told me.

http://www.youtube.com/watch?v=idqGG8tfpHY

Oh yes, you told me, you don't want my lovin' anymore.
That's when it hurt me.
And feeling like this, I just can't go on anymore.

Please remember how I feel about you.
I could never really live without you.
So, come on back and see
just what you mean to me.
I need you.

But when you told me, you don't want my lovin' anymore.
That's when it hurt me.
And feeling like this, I just can't go on anymore.

Please remember how I feel about you.
I could never really live without you.
So, come on back and see
just what you mean to me.
I need you. I need you. I need you.

 

[Yamato]

mike martinez

This guy is good:

http://www.youtube.com/watch?v=zJI0ZYnOz5A

 

[Yamato]

Ok, I am all done. Ready to start tomorrow, with the 3 new systems.

 

[Yamato]

very pleasant

jorgenolla's guitar... not bad at all.

http://www.youtube.com/watch?v=9vk2LB02oR4

He knows what he's doing.

 

[Yamato]

fewer posts since vito left - what a blessing

I can't help it. Vito's departure from my room has left me more in peace than ever and I rarely feel the need to write here and complain about my daily frustrations. It's not worth the effort, because there's little to be relieved about, little venting out to do.

Thanks to whoever it was who decided to move Vito out of my room. I am living a life of ease like in the yellow submarine, no one bothering me any more.

I am not mad at the boss, not mad at anyone.

In 10 minutes I'll go home. Weekend. Everything perfect. Except that the systems did not make any money this week. Lost a bit over 1000 in total, so far.

You can create an unpleasant situation by simply putting together two people that are not compatible.

Let's say you have 4 people to place in 2 rooms. Two Vitos want to screw around, joke, and laugh and two Travises want to work quietly. If you put one Vito and one Travis in each room, you'll make four people unhappy. In the other case, you will make everyone happy. That's why we need thinking people in charge of these decisions and not idiots who just place people in rooms randomly.

But what can you expect at a bank where they can't even get the cleaning maids to clean at all? You can't expect anything. In a country where the prime minister is Berlusconi, what can you expect an average bank to be like? There you go.

 

[Yamato]

I was there with my friend, when he took these pictures last summer:







I am going to try to live a relaxed and peaceful computer-free life even though I am not there now. At least for the next few weeks, I will make an effort.

 

[Yamato]

weekend update

Here's my new scatter plot.

Green circles we're already trading, red circles I want to add. The others I am not sure about yet.



Right now I am in negotiations to add CL_ID_4. Later I will try again to push my CL_ON_3 forward.

The pattern is clear: the more they have traded and the higher is their Sharpe ratio, the better I trust them.

YM_ON_2 is an exception in that it is a worse version of ES_ON_2, and we can't trade two identical systems with similar underlying futures, so we're trading the best one.

For the rest everything is clear.



Anything in the clearer triangle is not good enough because it tends to have few trades and a low sharpe ratio, which makes it unreliable. The only good ones with a low sharpe ratio are those that made a huge amount of trades. The others can easily go back down below 1.50 sharpe ratio, which is not good enough, as far as I can tell from my previous experience.

Not trading CL_ID_4 and CL_ON_3 feels like a crime to me.

The YM_ON_2 is the exception as i said.

As far as the emerging GBP systems, which seem very good, they could be considered for trading but only with a larger portfolio and a larger amount of contracts for the other systems, or else we'd be overexposed on GBP (and all those systems go LONG, so it's not safe).

Oh, well... I got my wishes for over 90% of them. All you see is green circles... I can't complain. We have almost identical views on everything.

 

[jassaal123]

Great sharing dear friends.
I am jassaal,
:clap:

 

[Yamato]

Thanks for the feedback.

I just woke up after taking another two pills: one melatonin and one xanax. It worked well as usual. I have totalled 11 hours of sleep today. It did not happen in years. Maybe I will now learn to relax again. I used to be able to sleep all day long.

Right now sleep is my best investment.

 

[Yamato]

http://www.youtube.com/watch?v=HC4Tb727aGA

 

[Yamato]

CL_ID_4 obsession

Two or three posts ago, I said that I'm ok with the investors having accepted 90% of my requests in terms of systems being traded. I also said that I am waiting for an answer regarding CL_ID_4. I didn't give up on CL_ON_3 either, but I have accepted that I'll wait 2 months before asking about it again.

But CL_ID_4 is now an obsession. I've asked the investors about it 5 days ago, and we've repeatedly exchanged emails on other subjects in the meanwhile, but I still did not get an answer on CL_ID_4. I am getting upset about it at this point. Also because I reply immediately to any questions.

Not that a week would make much difference, potentially a lost profit of 400 dollars, and it could also be a loss anyway. The problem is however that I have nothing to do, so I am focusing on things that aren't right and I try to make them right.

As I did in trading, I am placing my energies in things where my efforts cannot help. This guy will reply whenever the heck he'll reply. He's probably making me wait because i've already asked him several times what his answer is.

I can't help it. I want an answer, I want it fast, and I am getting upset about it. And I want a "yes" answer, because i know it's a good system.

This problem of being compulsive or rather "having a lot of free time" has hurt me in trading as well. Trading is like fishing and, instead of waiting quietly, I jump in the water and rush the fish.

Trading is like sharp shooting where you have limited ammunition, and I trade like I have a machine gun instead.

I don't know what to do. I don't know what to do. I have nothing to do in Rome. This is not what I wanted from life. I am restless, bored, upset. I want money fast. I want to quit my job fast.

On my own, this has rushed me to take bigger risks than I could take, and it made me blow out my account dozens of times. Instead of going up and up, I went up and down, endlessly, year after year. The investors are keeping me at bay and holding me back so far, by not replying to my emails or replying slowly. That way I can't do anything, without their consent. It works. I don't do on their account the stuff i've been doing on mine and whereas I periodically blow out my account, their account keeps growing (with my systems).

However, I feel restless, bored, impatient, upset.

Once every hour, I've been checking my email to see if there came an email with the okay for trading the CL_ID_4.

Will this "ok" change my life? Not at all, because if it doesn't come today, it will come for sure within next week. But right now this is the biggest problem I see in my life: getting an ok for my system to be traded. Until I will get it, I will be bothered by this problem, like I've been bothered for six months by the presence of Vito in my room.

Right now the investors not answering my CL_ID_4 email have taken Vito's place on my black list of problems to solve. And my feelings towards them are getting closer and closer to the feelings I had towards Vito.

The CL_ID_4 will help me get there faster:



And until I'll be there, I will feel restless and unhappy. I have to go. Time to check my email again.

Damn. Nothing yet. They do it on purpose, out of spite.

However, let's see also the positive side of the investors. They've got the money. They've improved my trading. With them, my equity line goes up instead of down... overall there's many more reasons to stay with them than to split up.

And I know this - I am well aware of this. But I am a perfectionist and I feel upset if everything is not perfect. That's another reason why I lose in the markets: I incur in a loss, it drives me mad, I double up, and I blow out my account.

As we say in Italy, "il meglio è nemico del bene"... wait, here it is:
http://en.wikipedia.org/wiki/Perfect_is_the_enemy_of_good

They say it's something Voltaire wrote.

The way I interpret it is this: sometimes by trying to make things perfect, you destroy what you've got. Take trading for example. I am not happy with having 75% of wins. Once every 4 trades, there's a loss, and if I am in control and it's my account, I feel compelled to fix it, and that's how I often blow out my account. I can't accept a loss. I can't accept anything to not go my way. I am also a "control freak" in many aspects.

Anyway, things are going better for me. My health is going better.

1) Less computer this weekend. Much less. No more creating systems. Will stay at 74 for a few weeks, for sure.

2) I did not go for a walk because it would have been too much, and risky. But I opened the window for an hour.

3) I will now watch tv, which is healthier than watching movies on my laptop.

4) I've slept more than 8 hours today, and yesterday...

Sleeping better and longer, less computer, more television and with stupid relaxing shows... fresh air by opening the window... living a healthier life.

 

[Yamato]

monday

I've been thinking.

Been thinking about what i said in the previous post.

Regarding the investors and their not answering my emails.

I have a solution.

If they don't read or don't reply, or do it whenever they feel like it, then I am allowed to do just the same, and, by doing so, I will achieve this:

1) LESS DISAPPOINTED. I won't get disappointed for not being answered, like I do when I check for replies once every hour. I'll check once every 2 days, so there's going to be a reply for sure.

2) LESS OBSESSED and LESS COMPULSIVE and LESS PRESSURING: If I slow down the email checking/replying, I won't even notice that someone isn't answering my emails. That way I will relax the relationship because i won't rush others to reply, decide or do anything. Less anxiety for me and for others. No, wait: there's going to be some extra anxiety for them from the fact that I don't promptly reply to their emails. But hey, "tit for tat" as they say.

3) MORE FAIR AND BALANCED RELATIONSHIP: I will let them taste their own medecine. You don't reply fast? Now you'll know what it feels like when others don't reply fast. This is only fair and this way I don't have to feel like I'm their slave. I don't have to promptly reply to every which question they ask, and then get ignored when I am the one asking questions. What the heck.

As a consequence, now I won't check my email for a couple of days.

Other than this, it did not turn out that bad, because in fact the CL_ID_4 trade that I missed because of not getting a reply was a small loss (close to break-even - it will close in half an hour).

Yeah, that's right, dude. I am bored, I have got nothing else to do, but I won't check my email for the next 24 hours. Anything beats feeling like a slave and noticing that whereas I am expected to promptly reply, my counterparts only answer if and when they feel like it. There's only so much injustice and humiliation I can take for the sake of making money.

 

[Yamato]

usual problem

I am having the usual problem that i've had with every boss at work. Which is: the more you work, the more the boss asks you to work, overloads you, and I keep working until it is too late, and I don't warn him that I am overloaded, until I burst out to the point of almost leaving and going home. It's happened before. And now I can't sleep. It happened with every single boss I've had, including the investors.

I work, and those I am working for, keep asking more, I keep doing more and more, until I reach the limit, where I burst out and say "screw you all". Then they all calm down, and it starts all over again. I am unable to slow down before reaching that dangerous and disrespectful limit of telling them "screw you all". I keep on increasing my working pace until I am fed up and say "screw you all". I need to learn to say to these people "slow down". Today, I basically had to tell my boss "with all these tables and databases you're driving me crazy: there's a limit in terms of time and mental comprehension and reliability that we have long passed, and now you just cannot ask me to include any more columns in this database". I was almost crying in despair.

I am a fan of efficiency and proud of being efficient so I keep on going until I can, but then all of a sudden they make me reach that point where i say "screw you all, I am going home - get someone else to do this for you". I told the boss today to give this work to another guy, who's also good with excel, because I could not take it any further.

He could not understand the difference between tables and pivot tables. Tables are just a representation of data, like a piece of paper that i have to fill out. Pivot tables get updated automatically from a database. I can add almost effortlessly pivot tables and columns in those tables, but if I cannot represent what you want in a pivot table and i have to use a regular table, every column takes me efforts, and if it's done on a weekly basis, every week you're taking 10 extra minutes from me per column. He can't understand it, the moron.

He understood that there was something he did not understand and he finally left me alone and told me that he would not ask any more columns. But right now I still cannot sleep.

But you know what? The "screw you all" philosophy could also mean that tomorrow I will not go to work, because I feel he took advantage of me. And that I won't even warn him about me not going to work. I will just not go. Very very likely actually since I am still awake and because he pushed me to the edge or to the limit, however you say. That is partly how I never get promoted. Or maybe it has nothing to do with it. Well, I am spiteful. I work, then if I get offended or feel treated unfairly I take it very personally.

Actually, considering what i told him today, tomorrow is the best day to not show up at work. It will be... it will combine sleeping, which I want to do, with making a strong point: if you push me to the limit, I will take it out on you, all at once. So don't do it. Besides, I can't help it. I can't even feel guilty about it, because this is unconscious, subconscious. You push me to the limit, I get upset, I can't sleep, and then I can't come to work, so you better treat me like royalty if you want me to keep on working regularly and reliably. Don't ask me for anything that will cause me insomnia. I still haven't met anyone who has said: I am firing you because you didn't show up at work. Everyone seems to understand the "screw you all" philosophy. I remember even walking out on some manager, and he didn't complain about it. He asked for one thing, then another, then too much, i warned him, he kept on pushing me... then i got up and went home. That was about a year and a half ago. I think I wrote about it here, too. Yeah.

Yeah. I've made up my mind. Tomorrow I'll both sleep in late, and make a point. I will go to work at either noon or not at all. And i will effortlessly make a great point. Hey, it's not my fault if these guys push me to the edge.

Noon or nothing at all.

Big storm and thunders outside. It's god, he's on my side as well.

Going to open another bottle of alcohol. Then drink to the point of not caring about anything anymore. Then sleep to the point of feeling rested. Then I'll see. Yeah, **** it. Rebellion against injustice.

Yeah, plenty of mother ****ers doing nothing all day long at the bank, getting promoted, and me getting overloaded with work and never promoted. **** you all.

Yeah, I am not sly, but you won't be seeing me tomorrow.

 

[Yamato]

dedicated to my systems



Emmenez-moi au bout de la terre
Emmenez-moi au pays des merveilles
Il me semble que la misère
Serait moins pénible au soleil

http://www.youtube.com/watch?v=ieYQKS9-Is0

Emmenez-moi out of my office.

Vers les docks où le poids et l'ennui
Me courbent le dos
Ils arrivent le ventre alourdi
De fruits les bateaux

Ils viennent du bout du monde
Apportant avec eux
Des idées vagabondes
Aux reflets de ciels bleus
De mirages

Traînant un parfum poivré
De pays inconnus
Et d'éternels étés
Où l'on vit presque nus
Sur les plages

Moi qui n'ai connu toute ma vie
Que le ciel du nord
J'aimerais débarbouiller ce gris
En virant de bord

Emmenez-moi au bout de la terre
Emmenez-moi au pays des merveilles
Il me semble que la misère
Serait moins pénible au soleil

Dans les bars à la tombée du jour
Avec les marins
Quand on parle de filles et d'amour
Un verre à la main

Je perds la notion des choses
Et soudain ma pensée
M'enlève et me dépose
Un merveilleux été
Sur la grève

Où je vois tendant les bras
L'amour qui comme un fou
Court au devant de moi
Et je me pends au cou
De mon rêve

Quand les bars ferment, que les marins
Rejoignent leur bord
Moi je rêve encore jusqu'au matin
Debout sur le port

Emmenez-moi au bout de la terre
Emmenez-moi au pays des merveilles
Il me semble que la misère
Serait moins pénible au soleil

Un beau jour sur un rafiot craquant
De la coque au pont
Pour partir je travaillerais dans
La soute à charbon

Prenant la route qui mène
A mes rêves d'enfant
Sur des îles lointaines
Où rien n'est important
Que de vivre

Où les filles alanguies
Vous ravissent le cœur
En tressant m'a t'on dit
De ces colliers de fleurs
Qui enivrent

Je fuirais laissant là mon passé
Sans aucun remords
Sans bagage et le cœur libéré
En chantant très fort

Emmenez-moi au bout de la terre
Emmenez-moi au pays des merveilles
Il me semble que la misère
Serait moins pénible au soleil...

 

[Yamato]

weekly update

http://www.youtube.com/watch?v=k2GKoa7sJ40

My quest to get all my good systems accepted goes on. This week I got my CL_ID_4 approved for trading. Here's the situation now. The green circles are around the systems being traded, the red circles are around those I still want to get approved:



I think CL_ON_3 is the next in line, and it will be the last one to be approved before increasing the contracts on the other systems or before adding some of the newer systems I've created. Whichever way you look at it, however long you want to wait, CL_ON_3 has to be next. It's right in the middle of all the best systems I have, and my scatter plot is not "rubbish", as the investors have finally agreed on yesterday. My scatter plot says it all.

These 14 systems (including CL_ON_3) are the ones I'd be willing to take a bullet for. The rest I am not that positive about.

The way I see it right now is that I'd first double the contract on these 14 systems, and only then add some of the newer ones, maybe even all those that are showing on my scatter plot, which soon will be an extra 10 systems.

So here's how I'd do it. I'd first double up on the 14 systems (except the ones trading the big contracts, such as GC and NG)... no wait. Doubling up is a big word.

I'd actually take note of the best 14 we've identified and then I'd still add some of the others, and only then i'd start doubling up on the best of the 14... no wait.

I'd keep the 14 systems, and I'd start adding a lot of currency systems. AUD, CAD, CHF first of all. Then I'd add some more GBP systems. Then, once we've really added all we have, then we can double up on the best 14, starting from the smaller contracts first, such as GBL and ZN.

Whatever we do, this combination we have right now is very balanced (too bad for CL_ON_3 not being traded), and so I could rest for about a month, and not ask for any changes.

 

[Yamato]

correlation between my systems and sp500 and eur/usd

This was a tough multi-month effort. Today I finally finished my task and I finally automated a comparison between my systems' equity line and the % changes in sp500 and eur/usd.

HOW IT ALL BEGAN
It all began when a friend of mine, E.P., told me that my systems were correlated with the stock indexes and they lost when those indexes lost and viceversa. I was just offended at first and we got into an argument. But then it got me thinking and it got me started on this thing, on which I've been working on and off for several months, ever since he told me what sounded like a big insult to me "your systems behave like the index" or maybe it was something that sounded even worse.

HOW IT ALL ENDED
I now agree that my systems are a little bit correlated (mainly because most of them are LONG-only strategies) but I hope my systems are not as correlated as he thought and said. However, there's no way to find out yet because of course if my systems make money and the indexes rise, as they've been doing lately, we don't know what happens in the other situation, when the indexes fall. We've seen some of that happening and it does not look good at all so far, but I will keep on monitoring the situation, with great hopes. And effortlessly, since I've now automated the whole process.

HOW DID I AUTOMATE IT
1) First I used a web query to download the EUR/USD and SP500 data onto my excel workbook.

2) I have then managed to define on 3 cells, via various excel functions, the self-updating ranges of the data used as a source for the 3 chart lines. Such cells read for example like this one: daily_performance!$o$5:$o$174

3) Then I used the menu insert - name - define to name 3 ranges with =indirect(reference to the cell described above)

4) Then on the chart's menu source data - series - values I inserted those previously named ranges as the source data.

Now all I have to do is download the data from IB and I will know exactly how my systems' performance is correlated with SP500 and EUR/USD.

DETAILS OF MY CORRELATION ASSESSMENT METHOD
If we measure the absolute changes, on day to day basis, the correlation is close to zero, but then I realized I had to measure a longer term performance correlation, such as % increase in all three lines, because I did realize there was a correlation indeed, merely by looking at the chart. I mean: it doesn't matter if today my systems lose 100 and the EUR and SP500 instead rise. If for the week they go down and my systems also go down for the week, I want this to be measured as a correlation.

I don't fully realize all the implications and what exactly worked in my new function, but I know and can tell you exactly what I did. I used excel's correl function to measure the correlation between % changes in the value of my equity line (starting at 15000, which was my initial margin needed, and now starting at 30k) and % changes in the value of eur/usd and sp500. And here's the results.

DETAILS OF RESULTS AND MY CONCLUSIONS
For the 8 months of our live trading, during which of course we dropped some systems and added others (and this is not a small detail in our evaluation of the results), the correlation between my systems' equity line day to day changes and the equivalent changes in sp500 is a value of 0.74 (always according to excel's correl function). In comparison to the EUR/USD the correl function returns a value of 0.63.

Here's what it looks like on my entirely automated chart:



EMOTIONAL IMPACT OF CORRELATION
Why is it an insult to be told that your systems move like the stock index? It is like saying they're worthless, which is like saying I am worthless. If you have systems that make money when the index does, and lose money when the index does, you could simply buy a future on the sp500, and hold it. So E.P. was telling me that my years of work were worthless. He didn't realize it maybe. And by the way, he spent years helping me, so he was also calling his own work worthless in some way.

So my first reaction was to feel offended and tell him it was just a coincidence.

Then he made me look at a chart similar to the one above, and even now I have to admit that, for the first 5 or 6 months of trading, E.P. is quite right. And that it does not look like a coincidence.

In the last 3 months things on the chart would seem better. But the correl function says otherwise: it says my systems are more correlated than ever to the sp500.

You see, the fact that my systems on the chart recently rise faster than the sp500 does not mean very much, because you can always buy a future and achieve much more. If since June the sp500 made 15% and my systems 40% (that all depends on the margin we input, which is very debatable), you can see how much more you would have made by holding even just 1 ES contract. So this would all speak in favor of my work being worthless.

HOPE FOR THE FUTURE
The question of whether my work is any good or not will be answered, other than by my own convictions, when the sp500 will start falling.

Which actually we have partly seen in this period below, during which my systems kicked ass, but we need to see it happen for a longer period:



It's really a funny situation with my systems. I've worked on them for so long that if I hear anyone saying anything less than compliments about them, I take it personally. For example, I remember talking to the investors who said that my systems made 15% per month, and I felt quite offended, and thought they were saying it to hurt me, out of spite, for some reason.

That was months ago. Nowadays, with an invested (maximum theoretical) margin of 30k, making 15% would mean making 4500 dollars per month, which is actually higher than what I am expecting in my optimistic predictions of 4000 per month. So I really became a more realistic and humble person now that I've had to trade a few selected systems (supposedly the best ones), with real money, for an extended period of time - instead of being flexible in my selection and tampering with the systems all the time. The choice was either to keep on blowing out my account forever by trying to prove that I could make 100% per month, or to accept the idea of making less money, and see my equity line grow and grow.

Now that I have become more realistic my desert island approaches and appears in all its splendor...

http://www.youtube.com/watch?v=hk8HXbJEL2M

No colleagues talking. No colleagues staring. No colleagues keeping the door open. No neighbour bitches slamming their door. No neighbour babies screaming. No taxi drivers trying to rip me off. No taxi drivers disrespecting me. No noises. No one.

I am on my island and you're off it, and all around me there's space, silence, loneliness.

 

[Yamato]

pssonice at 100,000 views

Nice. It's rare to see something like this, so I took a snapshot: