my journal 2

[Adamus]

LowD() is the low of the day so far, right? I never did intraday stuff with TS.

It sounds & looks good still, although your test period is really small, isn't it?

 

[Yamato]

Well, yes and no. "LowD(0)" is precisely what you said (Low of the day until that moment). "LowD()" doesn't work on tradestation as far as I know.

Regarding the test sample, good point. I want it to be short. I want to work my ass off on just two weeks, and then create something that seems to make sense. Then I'll have a whole year worth of 2-weeks periods (or whatever IB lets me download) as OUT samples. I do not want to be told the answer before I work on it for a long time. If I tested the system on a whole year, I'd be told the answer, and wouldn't be using my brain. It's like in school, and that's why school sucks: they give you all the answers before you ask any questions or even try to answer the questions yourself. I want to approach the making of this system like a quiz, riddle or whatever it's called.

What I want to do is come up with something that seems perfect, and then test it on two different weeks. If it doesn't work, I should start all over again.

This will take months. Pretty soon I will stop sharing the code, once it becomes too good. I would say in about 2 weeks. But to some degree I'll still have to share the work here, because writing here makes it easier for me to follow through on a task.

 

[Adamus]

So you think that there is enough representative price action in those 2 weeks that will repeat itself in other two week periods for the system you come up with to show a profit more times than not?

By the way I wanted to correct your English which is normally very good but you say "one's" instead of "his" when you are using that construct. E.g. one mustn't get one's knickers in a twist. That's a phrase our queen is fond of saying, followed by "don't panic and keep going" (especially after losing on GBP).

 

[Yamato]

Show me the mistake with a quote please. I am grateful for any corrections to my grammar or spelling.

Even though what I am thinking is that you're getting back at me because I corrected your "LowD()". Sorry but you've been "easygoing" about it. You must admit it.

And yes, I do think that there is enough action in those 2 weeks, for me to be able to be overall profitable. If I can't find a system that is profitable in a period of two weeks, on pivots, and with that many trades, then I have to try harder.

 

[Adamus]

That's exactly what I've been discovering after a few years of back-testing and automation. It's much faster/easier to come up with an idea than to back-test it and automate it fully (20 to 1 ratio). That's why one has pick his fights. And this one is worth fighting.

I'll continue this discussion on my own thread then:
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-117.html#post1214276

It was the other thread. It's just grammar and I thought you should know. I appreciated your explanation of LowD(), maybe that was why I thought you'd appreciate my explanation of English grammar. If you'd annoyed me I would have done something completely different I'm sure.

 

[Yamato]

That's good that you're not resentful like me. I now see my mistake, but i have to say that I used "his" not simply because I indeed ignore the use of "one's" in that situation, but also because to me it sounded like repeating too much "one" in the same sentence. You know what I mean? In Italy we have a rule that says we are not supposed to put the same word in one sentence or at least not too often. And to say "one does one's best" or something like that would sounds repetitive to me. Besides, I like breaking rules, so thanks for telling me so now I can break the rule maybe. Until now I didn't know it was a rule.

I checked on google and you win 120k to 60k. But also my incorrect use is not that bad.

http://www.google.com/search?q=one+...+his+best"&gs_rfai=&pbx=1&fp=8da47ac806d1c372

http://www.google.com/search?q=one+...=&aql=&oq=&gs_rfai=&pbx=1&fp=8da47ac806d1c372

But there's a lot of "every one" and "no one" in my google search. Keep telling me my mistakes, thanks.

No, wait. Find me bigger mistakes in what I write. This is not big enough. Look here:
http://en.wikipedia.org/wiki/Instrumental_case

There's a literary guy writing about grammar and here's his sentence:

...Logically speaking, the profession is the means by which one does his or her job, hence the reason it's deployed in the instrumental case...

If this guy can write this on wikipedia, in an entry about grammar, then anyone can write "one does his": we have to debate this further, because I am not accepting your correction. Don't be upset. I am sure I make much worse mistakes. But on this one, I am having problems accepting your correction.

For example, I only use very few words when I write, and I am sure I make many other mistakes. But this one is detabatable, isn't it?

 

[Yamato]

pivot system

Anyway, let's get back to the system. I will now need to simplify it as much as possible.

Ok, done. I've clarified it as much as I could and here's where I stand before optimization:

Inputs: test(0), test2(0), test3(0);
variables: Pivot(0), Res1(0), Sup1(0), nearness(0), bracket(0), average_value(0);

Pivot = (HighD(1) + LowD(1) + CloseD(1))/3;
Res1 = 2 * Pivot - LowD(1);
Sup1 = 2 * Pivot - HighD(1);

[COLOR="Red"]these are the 3 values I will want to optimize out curiosity but my bet is this:[/COLOR]
nearness = test; [COLOR="red"]optimal values should be around 0.0030 ticks[/COLOR]
bracket = 0.0040; [COLOR="red"]I'll optimize these later: these are my roughly estimated optimal values[/COLOR]
average_value = 9;

If marketposition = 0 and date>=1100726  
and ((low <= Sup1 + nearness and lowd(0) >= Sup1 - nearness) or (low <= Pivot+ nearness and lowd(0) >= Pivot - nearness))
and low < AverageFC(c, average_value)
and lowd(0) > lowd(1)
Then begin
buy("Long") this Bar;

Print(File("E:\downloads\financial_software\tradestation\EURO\mydata.txt"), date:0:0," ", time:4:0, 
"  H:", HighD(1):4:4, "  L:", LowD(1):4:4, "  C:", CloseD(1):4:4, "  S1, P, R1", Sup1:4:4, Pivot:4:4, Res1:4:4, "  low: ", low:4:4);
end;

If c < AverageFC(c, average_value) and (openpositionprofit > bracket or openpositionprofit < -bracket) then exitlong ("bracket exit") this bar;

Here's the report right now:



It trades about once a day, and that is why I say that out of 2 weeks we should be having profit each time.

Now I will optimize everything and see if it makes sense. No, first I need once again to see if it does exactly what I want it to do, trade by trade, 15 trades in all.

Wow!

Without even optimizing i found an amazing code: by setting the nearness to just 15 ticks, results improve greatly. I think this system could be used as well for short entries, simply by reversing entries, but for now I will focus on long trades.

Another thing to mention is that I totally took time of the day out of the picture and it's a good thing, so now the only thing working for me is pivots and I am not polluting my edge, if there is one.

The new improved code is like above but has this difference:

nearness = 0.0015;

The report is like this:



We're getting close to the point where I will not want to show my code anymore. But I still do it because it helps me work.

RUNNING OPTIMIZATIONS

NEARNESS: estimated 0.0030, optimized 0.0020
I ran my first optimization, which matches my intuition: it turns out that 0.0020 as nearness does a bit better, and since it's a round number and not over-optimized because it is a peak on a plateau, I will keep it. I don't think I'll be using fractions of the price, because I want to have it very clear in my mind what the nearness allowed is, and also because currencies, unlike stock indexes, don't need this endogenous variables type of stuff, since they just go up and down.

BRACKET: estimated 0.0040, optimized 0.0040
What can I add to the above? Great success.


MOVING AVERAGE: estimated 9, optimized ?????
Ok, here I started changing things so we'll have to move to the next post or it'll get too complex in only one post. We need two different types of exits and two different moving averages as well.

We need stoploss to be independent from traling stop. We need the stoploss moving average to be different - if it works better- from the entry moving average. (see next post).


AUTOMATION PROBLEM (SOLVED)

Just now I was in the shower and it came to me. I came to realize that if I don't automate this crap, it won't be any good. And I can only automate things if they don't need continuous moving averages. So - if I want to automate this on excel - I need to find a way to either:
1) close before the end of the session (I'll have to see how well it does on tests)
2) exit without using the moving average (possibly a time exit)

Oh yes!!! I added this code and actually both Return On Account increased with the other performances values decreasing almost nothing:

If time >= 2300 then exitlong ("time exit") this bar;

It's a very good thing by all points of view that I don't have to stay LONG overnight, nor beyond the session. But I want to optimize this value as well and see what happens. Right now the value used is 23.00, which is the close of New York, at 22.00 CET, 16.00 EST, 15.00 CST...

Oh yeah! I checked out a whole lot of value and it turns out that the longer it runs, the better. But it seems pretty good to close exactly as the overnight margin resumes (this way I will save on margin as well), which is 20.45 CET:

If time >= 2145 then exitlong ("time exit") this bar;

Here's the amazing profit it makes this way:



Hell no. I'll keep the position open until as late as possible before the end of the session, because I really want to measure the pivots' edge rather than polluting it with other things. I will even get rid of this line in future testing. This last line needs to be optimized on many weeks and only if and when I automate the system. Now i'll get rid of it so it doesn't pollute my pivots' edge.

 

[Yamato]

final pivot system post

It got too good so as of this post I will stop posting the code. Here's where I got so far.

What it looks like on tradestation's chart:




What the report looks like:




What the equity line looks like:




This is the code (explained in red):

Inputs: test(0), test2(0), test3(0);
variables: Pivot(0), Res1(0), Sup1(0), nearness(0), trailing_trigger(0), ma_entry_value(0), ma_exit_value(0),stoploss_value(0);

[COLOR="red"]Here I define how pivot lines, S1 and R1 (not used) get calculated[/COLOR]
Pivot = (HighD(1) + LowD(1) + CloseD(1))/3;
Res1 = 2 * Pivot - LowD(1);
Sup1 = 2 * Pivot - HighD(1);

[COLOR="red"]Here I isolated the variables I use to enter a trade[/COLOR]
nearness = 0.0020; 
ma_entry_value = 4; [COLOR="red"]"4" means the average value of the past hour[/COLOR]

[COLOR="red"]Here I isolated the variables I use to exit a trade[/COLOR]
trailing_trigger = 0.0040;
ma_exit_value = 4; 
stoploss_value = 0.0023;

[COLOR="red"]I may need to change the tick values to percentages of EUR's value, but maybe not, because it just goes up and down as I said earlier.[/COLOR]

If marketposition = 0 and date>=1100726  
and ((low <= Sup1 + nearness and lowd(0) >= Sup1 - nearness) [COLOR="Red"]low <= S1 + 20 ticks but the low of the day cannot have be lower than S1 by the same amount (maybe I'll have to create two nearness variables, one for each)[/COLOR]
or (low <= Pivot+ nearness and lowd(0) >= Pivot - nearness)) [COLOR="red"]same as above but we're using the Pivot Point[/COLOR]
and low < AverageFC(c, ma_entry_value) [COLOR="red"]we make sure we're coming down from above[/COLOR]
and lowd(0) > lowd(1) [COLOR="red"]we make sure we're in an uptrend and the low of today is higher than yesterday's[/COLOR]
Then begin
buy("Long") this Bar;

[COLOR="Red"]This stuff is to double-check what the system is doing: it prints a file.[/COLOR]
Print(File("E:\downloads\financial_software\tradestation\EURO\mydata.txt"), date:0:0," ", time:4:0, 
"  H:", HighD(1):4:4, "  L:", LowD(1):4:4, "  C:", CloseD(1):4:4, "  S1, P, R1", Sup1:4:4, Pivot:4:4, Res1:4:4, "  low: ", low:4:4);
end;


If c < AverageFC(c, ma_exit_value) and (openpositionprofit > trailing_trigger) then exitlong ("trailing exit") this bar; [COLOR="red"]here I make sure that beyond a certain profit level we get out as soon as the rise runs out of fuel and starts declining[/COLOR]

If openpositionprofit < -stoploss_value then exitlong ("stoploss") this bar; [COLOR="Red"]for some reason the stoploss code with the same amount of ticks gives me totally different results (worse), so I am using this code[/COLOR]

Next there will be testing on many other weeks, seeing what happens, making changes, automating... forward testing, trading with real money... a lot of work. I hope it's the last one I come up with, because I am tired. And I still haven't seen any real profit from anything I've done.

 

[Adamus]

No, wait. Find me bigger mistakes in what I write. This is not big enough. Look here:
http://en.wikipedia.org/wiki/Instrumental_case

There's a literary guy writing about grammar and here's his sentence:


If this guy can write this on wikipedia, in an entry about grammar, then anyone can write "one does his": we have to debate this further, because I am not accepting your correction. Don't be upset. I am sure I make much worse mistakes. But on this one, I am having problems accepting your correction.

For example, I only use very few words when I write, and I am sure I make many other mistakes. But this one is detabatable, isn't it?

The whole thing is debatable. There are more versions of English out there than you would believe and that guy writing on wikipedia doesn't really give that grammatical construct any weight unless it's by precedent. It might be totally common place to say it that way in the Falkland Islands.

You could have Travis English and start making up your own fancy grammar and no-one would be able to say you were wrong.

But the argument against saying "one does his or her best" is that you've got to say "his or her" which is 3 words and "one does one's best" is much more brief.

I get your argument about repetition of a word in a sentence as being undesirable, that's the same in English, but it's low priority and saying "one does his or her best" sounds more awkward than the repition. It would be best to avoid using "one" at all if in doubt.

 

[Yamato]

I am going to stick with the Travis English on this one, because, being Italian, we don't care to say "his or her" and just say "his". Also, one has to remember his youtube history and remember that English is just a *******ization of Latin plus French plus Norse plus... this drawing here says it all:

I can't find the drawing from wikipedia. I posted it before. My ambition is to change this expression by using it and abolish completely the use of "one did one's duty" and such. I am going to use it a lot in the future: "one" and "his" together, so that I will change the course of English.

In the future, if you see more mistakes please point them out, even though you will cause a riot, because I can't help but taking it personally. I have been criticized way too much by my father to not take any further criticism personally. Even if it's just a spelling mistake. But please do correct me, and don't mind the hate emails that will follow.

 

[Adamus]

In the future, if you see more mistakes please point them out, even though you will cause a riot, because I can't help but taking it personally.

It should be "but take it personally". Use of the present participle in this case is wrong. And that's not debatable, so take it on the chin and hold your tongue.

 

[Dommo]

I get your argument about repetition of a word in a sentence as being undesirable, that's the same in English, but it's low priority and saying "one does his or her best" sounds more awkward than the repition. It would be best to avoid using "one" at all if in doubt.

Sir, would you be so kind as to expand on the meaning of "repition", or is that merely a tipo [sic]?

 

[Adamus]

Sir, would you be so kind as to expand on the meaning of "repition", or is that merely a tipo [sic]?

Repition is the now increasingly common spellling for 'repitition'. Because the spelling 'repitition' repeats the IT, due to the meaning of the word it is considered an obvious redundancy and only clowns such as yourself would insist on the old spelling. Please try not to be so dul in futur.

 

[Dommo]

Repition is the now increasingly common spellling for 'repitition'. Because the spelling 'repitition' repeats the IT, due to the meaning of the word it is considered an obvious redundancy and only clowns such as yourself would insist on the old spelling. Please try not to be so dul in futur.

Ho, ho! Thanks for bringing an old fuddy-duddy up to date!

Keep up the 'dialogue' (uh, apologies in advance for archaic spelling), gents, and good luck.

 

[Yamato]

It should be "but take it personally". Use of the present participle in this case is wrong. And that's not debatable, so take it on the chin and hold your tongue.

Ok, I now can't help but practice. But first I can't help but check what you said, on google.

I can't help but take it personally
84

I can't help but taking it personally
3

True, 84 to 3.

But then I must have confused with "I can't help taking it personally"...

Let's check.

I can't help taking it personally
44

I can't help take it personally
5

True, that's why I made the mistake: I confused one with the other. Like children do.

I can't help thanking you and I can't help but thank you. I can't help remembering how this girl taught me that you don't say "thanks god" but "thank god". I can't help but be grateful to her.

But now I have to stop these exercises because I can't help going to work, and before that I can't help but read all the other posts I saw that followed yours. Thank god there's people correcting me so I can perfect my English.

 

[Yamato]

Sir, would you be so kind as to expand on the meaning of "repition", or is that merely a tipo [sic]?

Oh, good: we got him, too. Spelling mistakes is something I am not afraid of - in Italian we write exactly as we spell, and we get all the neolatin words right because of it. "Repetition". Shame on you, Adamus. I can't help but scold you in front of the whole English class. Now write "You spell repetition and not repition nor repitition" 100 times on the board.

http://dictionary.reference.com/browse/repitition

repitition- no dictionary results

Shame on Dommo, too, for accepting such an inane rebuttal.
Shame on Adamus for being so "easygoing" as to reply inanely without checking on the dictionary first.
Shame on me for not noticing "repition" in the first place.

All right, tell you what - I will correct your spelling, Adamus, and you will correct my grammar. Tell me if you don't care, in which case I won't correct you. But I do care about you correcting me.

Anyway, for the record, there's another 512 misspellings (vs 92,000 correct spellings) like yours on the web, saying such things as:

It seems this repition has it's way of seeping in.

And we have this gem here:
http://www.myspace.com/lilchino22

REPITION IS THE FATHER OF LEARNING!!! *WEEZY

i dun got sum frre time to make my facebook page..i think thats my new thing..

 

[Adamus]

Oh, good: we got him, too.

I see you are a vindictive ******* as well as a bad grammatician.

Anyway, be grateful I was correcting your grammar and not your pivot system.

At some point I will check it out to see what the results are across 10 years of 10 currency pairs, but right now it's at the bottom of the list of things to do.

Top of the list is to harangue IB for not answering my support requests, and then no 2: coffee time.

 

[Yamato]

Don't mention it. I can't help helping people in need. I can't help but help you with your spelling problems.

Regarding the pivot system, thanks for insulting it and burying it under a mountain of posts, because I don't want my profitable systems to become popular or else I might get a worse execution price.

 

[Adamus]

Regarding the pivot system, thanks for insulting it and burying it under a mountain of posts, because I don't want my profitable systems to become popular or else I might get a worse execution price.

There is a theory that you should make your system as easy as possible so that monkeys can trade it, and then spread it far and wide because increased volume at your entries and exits will strengthen your signals. As long as you're with the best broker (and IB is pretty good) your execution should be little affected.

If you're still worried, make your published system buy or sell 1/2 a tick after your signal.

When I have amassed a small fortune and don't need to trade anymore (I should post this on the other thread) I could spend time testing the theory.

PS how did I insult your pivot system? Normally my insults are easy to recognise, thou droning decayed death-token!

 

[Dommo]

There is a theory that you should make your system as easy as possible so that monkeys can trade it, and then spread it far and wide because increased volume at your entries and exits will strengthen your signals.

That's an interesting one - although the additional volume would strengthen your direction, you would also put yourself in a race to get in and out. One way to keep the advantage would be to keep the system secret and run a "live" calls service.