my journal 2

[Yamato]

Ok, so it's "hot" just in terms of quantity of posts. Yeah, I knew that. But we don't know if the system works or not, nor what the system does. I thought you could have saved me hours of work.

------------

Oh, I've understood enough of how it works. I am going to discard it because I don't like how it works and it doesn't fit with my other systems.

So here's the threads I am going to analyze:
Goldmine!
Alpha Markets - Simple Forex Trading
Spreadbetting FX using TA
My Journal at a Prop house
Entry=Risk Exit=Reward
Vwap Engine

 

[Yamato]

finding ideas for systems

But before analyzing the threads above I want to get done with seasonal cycles because those are by far the easier systems to implement.

So.

We've the first of the month, we've got the reports, we've got the day of the week, I've done all that.

Time for some music, to get back to my senses.

This guy is good:
http://www.youtube.com/user/cubusdk

What else... is there left? We don't care about the month when it rise. I can't have a system trading one month every year.

We don't care about testing systems that trade before or after the holidays. Those dates are a pain in the ass because they change all the time and/or they are rare.

Are there any seasonal cycles left?

http://www.google.com/search?hl=en&rls=com.microsoft:en-us&q=trading+seasonal+cycles

Here they go with the idea I just discarded:
Finding Seasonal Cycles around Stock Market Holidays

Much of the work we do is based around analyzing cycles in the market. There are various ways to do this. Fourier transforms, trigonometric regression, Hurst channels and pivot projections to name a few. Cycles in the stock market can also come under different names, such as “seasonal”, or “seasonal trading”. A seasonal is just another form of a cycle, but seasonals are date dependent functions and cycles are often date independent.

That's right, I want to get done with the date dependent systems. Tell me if there's anything I haven't done.

There are cycles on all different time frames. For example, if I make a composite of the market over any different unit of time, it may reveal to me various seasonal tendencies during that interval that have occurred in the past. Many of the most successful traders in the world use this kind of method.

This is good. Wait... skipping some parts that are not important or that I don't understand.

...There are other amazing seasonals that occur in a shorter interval that match this weekly time frame. One such cycle is holiday seasonals. We are approaching the Labor Day holiday this coming weekend. Let’s take a look.

No good.

Getting to the next link:
http://www.chartingyourfutures.com/seasonal.htm

Everything grown, raised, or extracted from the earth is seasonal. Some from growing cycles, some from gestation cycles, and some from supply and demand cycles. Whether perceived or real, the cyclical nature remains constant...

No good. Getting to next link:
http://www.seasonalcharts.com/strategien.html

Seasonality is basically a technical signal generator with an essentially fundamental background. It can be characterized as a blend of both price and calendar elements. In a statistical sense, the calendar aspect delivers added benefit because as an external factor it is independent of standard indicators. It is similar with intermarket analysis or fundamental analysis. This added benefit is seasonality's main advantage (it does not correlate with other indicators). External signal generators do not have a virtual automatic loss-limiting function with individual signals, as is the case with trend following methods, which means for example that stop loss orders should be used. The disadvantages of seasonality include the fact that individual years can vary, that seasonality itself can change and that random events (e.g. extreme years) can look like seasonal patterns. It must be kept in mind that seasonality as such does not exist in one market; rather only individual seasonal patterns exist.

Ok, let's keep going...

Investment horizon

Because of its calendared nature, seasonality is really an intermediate-term signal generator. Nevertheless, it can also be used for short-term trading because the primary trend also influences the profitability of short term signals (this can for instance be utilized with the leverage-trading strategy). Long-term oriented investors can also utilize seasonality, namely for fine tuning entry (for example by shifting the planned buying of a stock from August to the more favorable November time frame).

keep going...

Ok, this is a good web site, but it's not what i was looking for. This is the best page on the web site so far:
http://www.seasonalcharts.com/saisonalitaet.html

I want a strategy running all year long. I don't want to stop trading for 3 months a year nor scale back and so on.

Next link:
Trading Seasonality: Tracking Market Tendencies

Too much stuff, I am getting lost. This is the last thing I am doing on the web. For the rest I will browse through the forum threads I listed.

But this is starting well:

Wall Street research is fraught with techniques to aid traders and investors in the
pursuit of the Holy Grail – a set of indicators that will guarantee a steady return.
Some of these techniques truly add value, some don’t. The problem is that the
stock market is a non-linear environment; the factors that influence price action
are complex. No single combination of factors exists that perfectly repeats over
time. Like life, the factors that influence stocks have infinite possibilities. It is up
to each trader to determine which factor to value in the decision-making process
(a fact that in and of itself adds to the non-linearity of price action).

Most of Wall Street research indicators are linear attempts to solve a non-linear
problem. Some try to turn one factor into a science. Others look at so many
factors that any value is lost as the degree of freedom diminishes. The trader must
therefore decide which factors are of most value. We value those factors that are
independent of other factors, have a reasonable degree of correlation to price
action, and that successfully repeat over time. Perhaps the most misunderstood
and least used of these factors is seasonality. Over the years the more we have
used seasonality the more we have come to value it as a primary factor in our
decision-making. Here’s why.

Yeah, this is good stuff, too, but not getting immediately to the point. Let's quote one last part and move on:

What Is Seasonality?
In general, seasonality is a repeatable tendency of a financial instrument to move
in relation to a particular influencing factor. That factor could be the time of year,
the year of a decade, changes in interest rates, inflation, energy prices, etc. We
focus on stock price action and seasonal cycles derived from the time of the
calendar year. Seasonal cycles do not cause prices to move a certain way. They
simply reflect a measure of tendency. Ongoing price action is influenced by many
factors, only some of which occur on a regular, repeated basis. Those factors that
regularly cause a stock price to move a certain way at a particular time of the year
may or may not be known, but their seasonal influence will show up in the
seasonal indicators and can be qualified by several techniques to measure the
breadth and consistency of a stock’s seasonal pattern.

Most of all, what Erlanger is talking about, in the article and on his web sites, is monthly seasonality. And this makes sense and it was also what the German (previous) web site was talking about. The problem for my trading is that my systems all make trades that last from 3 to 48 hours, and I can't fit monthly seasonal systems into this group of systems I have.

I know it would be profitable to go long at the start of x month and stay long for 3 months. But this is not the timeframe I am trading and it would cause too many problems and unwanted side-effects. I have to post-pone this. It doesn't fit into my trading, which is mostly intraday trading. I can do hours and I can do days, but not longer than that.

By the way, let's do a search on intraday strategies:
http://www.google.com/search?num=100&hl=en&lr=&newwindow=1&as_qdr=all&q="intraday+strategies

This is good stuff, and it's where I will resume tomorrow. The good thing is that I've totally identified the area where I have to do my research: not in academia, not among people, but among traders. And then, not just strategies, but intraday strategies.

So here's where I will have to resume tomorrow (for today I have to stop as the neighbour bitch has been slamming her door and she broke my concentration - may she die soon, in an elevator accident):
http://www.google.com/search?num=100&hl=en&lr=&newwindow=1&as_qdr=all&q="intraday+strategies
Goldmine!
Alpha Markets - Simple Forex Trading
Spreadbetting FX using TA
My Journal at a Prop house
Entry=Risk Exit=Reward
Vwap Engine

 

[Yamato]

demoralized

I have a moment of demoralization. Today we had a meeting at work and I realized that I don't have any real friends or real fun at work. On top of this now there's vito in my room so I don't even feel comfortable in my own room. I used to feel very peaceful there, I was able to space out if I wanted to. Now there's an enemy in my room, someone I distrust. I always have to be alert, at least until he gets used to considering me like a piece of furniture.

This demoralization will probably last from a few hours to a few days. The same length as my trades.

All these years I've invested all my hopes on trading: hopes of leaving the office, hopes of getting a woman, hopes of being happy. Not just any woman, but a woman i really wanted.

Until 2008 it seemed like I was learning discretionary, whereas I was just repeating the same mistakes over and over again. Then came automated trading and I had a few lucky runs, when I thought that all my problems would be quickly solved by money. But it was luck, and soon I lost that money, also thanks to compulsive gambling.

In the meanwhile my social life has been deteriorating, both at work and at home. Yeah, because each time there was an opportunity, I discarded it, because I felt I won't be at the office nor in Rome for long. So, why should I worry about making friends or having a satisfactory life here? With people I don't really value on top of it.

So I've invested all my hopes on this thing.

And the systems kept getting better and better. But I am not there yet. That's the problem.

I am not there yet with trading, and I am not there anymore with a reasonable life. I avoid people at work as if it were my last week there since years ago, increasingly so. Now I almost act as if I weren't working there anymore. In a sense I am very powerful and yet very dislikable at once. I don't need to make friends or alliances. I don't need to make sure that someone is my friend, because my attitude has been that I am almost gone, that I am half way out (my part-time adds to that feeling).

I keep on being more and more antisocial because I am expecting to leave this place. But the situation is harder and harder to bear, precisely when, due to the systems not making money, I feel "hey, I am not leaving this place for a while".

There's no happy ending or solution: the post ends here.

Of course as long as I stay calm, and as long as there's money to curb all extra annoyances (riding cabs to work, keeping a part-time schedule, not having to iron my shirts, etc.), I can keep on functioning like a machine, like a computer. I go there, do my work, browse on the internet for a while, leave. Now vito has made it much harder to bear a whole day at work. I can't pay vito to disappear. I don't have enough money.

So. What's left to say? As long as I can stay numb, I'll be able to resist. Resist until when? Until it will work enough (the systems). But if it doesn't work, I am in trouble. It might be easier to rob a bank at that point than to work at a bank. I am really not ready to work at a bank for much longer.

Also, another thing regarding creating more systems. At 63 systems, I feel discouraged. If what I have doesn't produce profit, I don't feel like I'll have the energy to create more. The best has been created already. Before building anything better (the same amout of systems but better), I would have to wait many more years. I can't go on much further if chance keeps on going against me or if my systems are no good. I can't take this for much longer. If things go on like this for another few months, I'd have to change attitude. I can't change things, I can't create more systems, I have what I have. I can't change my luck. I'd have to change attitude and become more modest, and start thinking I am like everyone else. This is something very far from my thinking.

I've always felt that 90% of people are idiots, and that I am better. I can't be stuck in the bank for much longer and keep thinking this. I would probably have to start thinking that I am just a regular employee like all the others at the bank. This is hard.

I am going down, like a stock chart in a bearish trend. I will have some bounces but I'll keep on going down until I'll either quit my job or anesthetize myself by starting to change my attitude and thinking I am a normal person. If I can do this: it would be easier to rob a bank.

I am very persistent, but there's only so much failing i can take before admitting I am wrong. I am not saying my systems are all bad. They are almost certainly profitable: but not enough to allow me to quit my job. What I am saying is that maybe I was wrong in thinking I'd be able to succeed and make enough money to quit my job. The facts speak for themselves: I've been saying it for years and I am still there. For a reason or the other, success might not happen and I might have to stay there. It would be a huge failure for me.

Despite being so discouraged, now I will need to work harder than ever to avoid this failure. Precisely because I've been betting everything, all my hopes, on trading.

In the meanwhile, while this situation lasts, every trading loss tells me I am a failure, and every win gives me hope. Today, needless to say, there were losses. One of my few friends at work remarked that my mood depends on my equity curve. It is true. The reason is that my future depends on my equity curve. And my mood depends on my future.

 

[Yamato]

feeling a bit better

I've talked to my father for a while, and, oddly, I am feeling better. I guess I was feeling so low that he couldn't get me any more depressed.

Tomorrow, resuming from here (hopefully I'll have the energies):
http://www.google.com/search?q=intraday+strategies

I got rid of all the journals, because it's faster to get ideas from the google search. Those journals are never straight to the point. I would waste precious energies.

I will go through the first 100 links and here give a reason why I am keeping or discarding each one of them. Then probably group them by categories of selected links, and then investigate further on the selected links, maybe with more targeted searches.

 

[Yamato]

checking out first 100 links from "intraday strategies" search

Resuming from here:
http://www.google.com/search?q=intraday+strategies
I customized my search to open links on a new page and to show 100 links per page.
I will now go through every single link from top to bottom, until I will have covered about 100 links.

Discarded:
http://www.traderji.com/technical-analysis/8087-triple-top-bottom-intraday-strategy.html: I don't like the look of it, not focused.
http://www.trade2win.com/boards/fre...ay-strategies-feedback-ideas-appreciated.html: "...but will make a profit overall – HOPEFULLY". He doesn't have a profitable strategy yet.
http://www.ehow.com/way_5891037_intraday-strategies.html : good but just a synopsis.
http://www.allbusiness.com/banking-finance/financial-markets-investing-securities/10628929-1.html : multiple time-frames are too complex to implement on tradestation.
http://forexforums.dailyfx.com/scalping/13878-scalping-intraday-trading-strategies-discussion.html : as I have learned in the last few hours, forum posts on trading strategies are usually a waste of time: information is too spread out. I will skim through them from now on, and easily discard them. A web site with a web page on trading strategies is like a book: focuses and treats the topic from start to end. A forum thread is like people discussing the subject at the restaurant. After all books do have at least this one quality over forum threads.
http://optionstrader.joymastery.com...-are-the-best-ways-to-start-learning-trading/ : interesting but not enough info on what I need.
http://www.intradaytrades.com/day_trading_system.html : "How Does It Work? Simply subscribe today and...". Not what I need.
http://www.ehow.com/way_5305189_intraday-stock-trading-strategies.html : just a synopsis
http://www.realcool.biz/Very_short_term_intra_day_strategies__t5144.html : suggested strategy trades too rarely.
http://www.forex-tsd.com/suggestion...23-unholy-grail-system-intraday-strategy.html : it sounds good but it requires metatrader.
http://www.acetraderfx.com/eng/ : the web site is a mess and unreadable.
http://nettopdf.info/en/ebook/intraday strategies-1.html list of .pdf books with intraday strategies, useless - probably it doesn't even work. In fact I did think - just now - of looking up strategies in a .pdf book (I have many) but books have the gift for bull****: preface, acknowledgments, you have to read 5 chapters before you find out if there's anything good in the book. So web sites are much much better. Screw books.
http://intradaytradingtips.org/forex-day-trading-strategy : too complex, but very promising (95% success rate). It sounds a bit like the Forex Morning thing. I'll have to discard it because it's too complex. I couldn't automate such a strategy, merely because it uses a stoploss. But another problem is that this guy doesn't explain things clearly.
http://www.jobisjob.com/chicago-il/...rategies/job-offer-7zfmguarus2wp7xdxgp6imo3le : interesting job offer for traders who already have a strategy but not what I am looking for.
http://www.daytradingshares.com/monthly_profit_daytrading.html : advertisement, more or less.
http://www.tradestation.com/strategy_testing/hist_market_data.shtm : ad
http://directoryofbusinessdirectories.com/blog/tag/intraday-strategies : no strategies, just tips
http://forums.babypips.com/free-for...91-1m-snapper-momentum-intraday-strategy.html : it gives you a clear description of a strategy, but it's too complex to implement.
http://www.tradingmarkets.com/etfs/...y-weakness-and-intraday-strength-1094581.html : it only works if you use their product.
http://www.online-stock-trading-guide.com/intraday-trading-strategy.html : this is about a discretionary method that uses the correlations among markets to predict price. Too complex to automate.
http://newtonlinchen.wordpress.com/2009/05/22/what-kind-of-ratio-do-you-use-for-intraday-strategies/ : this is not what I need but interesting. This brazilian guy is at a very advanced stage of programming trading systems.
http://www.elitetrader.com/vb/showthread.php?threadid=148718 : usual forum thread wasting my time.
http://ultimaforex.com/forex-tradin...imple-but-profitable-intraday-forex-strategy/ : clear strategy but it's for metatrader.
http://www.tradercurrencies.com/cur...gy-nifty-intraday-tips-for-beginning-traders/ : ad
http://www.marketgems.com/The_Earnings_Play_the_good_the_bad.pdf : "The earnings play", this is fundamental analysis and other things not good for me.
http://ezinearticles.com/?Intraday-Trading-Tips-and-Strategies&id=4857147 : good summary of strategies but no explanation of the strategies with enough details.
http://ezinearticles.com/?Best-Intraday-Forex-Trading-Strategies&id=1108767 : this is the biggest bull**** title so far. It has a brief synopsis of trading but no strategies at all.
http://www.straightstocks.com/market-commentary/intraday-swing-trading-strategies/ : they keep telling me "we did this, we did that", but don't tell me the rules of the system.
http://www.tradingstrategyhosting.com/Content/strategies.php : it just tells me that with their software i can create any strategy I want, but it's not telling anything about strategies.
http://www.buzzle.com/articles/intraday-trading-strategies.html : terrible naive advice, probably written by someone who's not profitable and has traded very little, if ever.
http://www.icharts.in/forum/prides-intra-day-strategy-t2132.html : this seems good stuff (simple, clear, short, profitable, sincere). But too hard to automate.
http://www.articlesbase.com/investing-articles/intraday-trading-strategies-2970557.html : as dumb as buzzle.com's article, two links above.
http://www2.wealth-lab.com/WL5WIKI/...temIntraday&NS=&AspxAutoDetectCookieSupport=1 : code to build strategies, but no strategies.
http://beforex.info/page.php?19 : option expiries strategy. Too hard to automate. But this post seems in good faith. Web site looks awful, including the customized mouse pointer - which adds to the reliability of what they are saying (they're not marketing anything for sure).
Intra-Day Trading Strategies: Proven Steps to Trading Profits with Jeff Cooper : book with strategies, but as i said, I won't delve into books, because they're the kingdom of bull****.
http://www.forexhub.biz/trading-strategies/strategies/359-5-minutes-intraday-strategy.html : too complex to automate.
http://www.moneymakergroup.com/Intraday-Trading-Strateg-t332357.html : usual forum bull****.
http://www.fxstreet.com/forum/showthread.php?t=646 : good stuff (clear, sincere, detailed), but too complex to automate.
http://www.askobid.com/forex-trading-analysis/type/7/review/267 : mis-titled post.
http://www.forexfactory.com/showthread.php?t=13873 : forum thread, better than average, but still unusable.
http://www.selfgrowth.com/articles/advantages_of_intraday_trading : good article by a balanced and reasonable trader, but the only trading strategy suggested is based on support and resistance and I can't automate it on tradestation. Maybe it's time to learn to do that. No, screw it.


Kept (golden links):
http://www.marketcalls.org/2008/06/simple-intraday-strategies-to-be.html : easy to test (his "volatility" could be a requirement for today's range to be more than x). Personal blog by Rajandran R, who also has this other similar blog.
http://www.chart-my-trade.com/joefernandes.html : Personal blog by Joe Fernandes. Whatever strategy this guy is showing me, I can trust him. I can tell, just by reading his "about me" page. I need to check out his web site extensively.
http://www.tradingmarkets.com/.site...sing-the-E-mini-SP-500-to-Trade-Opt-81380.cfm : article from a commercial web site with many experts' articles. Whatever it is, this is good stuff, as this guy has traded for 30 years and he's explaining in detail some of the things he knows.
http://www.online-stock-trading-guide.com/intraday-trading-strategies.html : part of a course on a commercial web site (selling signals): list of intraday strategies. Very concise descriptions. This is good.
http://www.zentrader.ca/blog/?p=2272 : this is good, too. Personal blog by Jeff Pierce. Whether he tells me about a system or not, it will be interesting to read. This guy started trading from newspapers: very useful perspective.
http://proforex.blogspot.com/2006/05/swing-trading-vs-intraday-trading.html : another good unknown personal blog.
http://www.inditraders.com/beginners-section/2145-strategies-formulae-intraday-trading.html : forum thread with simple strategies just like the ones I like. Unusually good content for a forum. Need to check it out in detail.
http://www.activetradermag.com/index.php/c/Trading_Strategies/d/A_compass_for_intraday_markets : this is good. A simple to automate and insightful strategy: "...the following intraday strategy uses the opening range of the regular stock-market session to identify a static entry point with the goal of capturing the major move of the day".
http://www.bearcave.com/software/market_trading/intraday_trading/ : personal blog by Ian L. Kaplan. I don't know if this is going to suggest any trading strategies but it is going to be interesting and probably useful.



Summary
For today I will stop at 50 links analyzed. Tomorrow I will do another 50. Then I have to stop and investigate further on whatever I found that was good, and later do even more targeted searches, depending on what the good links have in common.

So far, the links are 5 personal blogs out of 9 good links. In case I decided to follow this direction, I can find more blogs on the blogs themselves, on their links pages. Otherwise, it's articles by experts, and i can find those right here on trade2win.

Another tendency seems to be (in favor of unknown blogs) that the more known is the author the less insights he shares. I think i will go for unknown blogs first.

Another thing to note is that Indian traders seem to be very open about their strategies and helpful (two out of 7 good links are from India). I need to search in those Indian trading forums.

So far, on the other hand, I've created dozens of systems just by looking at a chart. So I could very well go back to that approach if this approach doesn't produce any systems.


So, the things to do will be:

1) unknown trading blogs (but not on forums, because then they get crowded with useless posts). This is the best, also because I don't need to look for "intraday strategies". Every trader's blog will talk about his strategy. Personal blogs are good because much like this journal (except with less bull****) people are free to talk without being interrupted by stupid posts with smileys. They're like a book except without preface and acknowledgments and all that bull****. A book that gets straight to the point.
2) experts' articles collected even on commercial web sites: the more unknown the expert the better.
3) go back to my own chart analysis and creating systems on that alone: in that case I would buy ts-evolve because it gives me an edge.

First I will have to go through another 50 links though. I'll do that tomorrow, mostly at work.

No, screw this. I have to stop here. I don't have the time to do another 50 links. I'll do them if I run out of ideas. There's plenty of stuff to investigate with what I have done so far. I won't keep on surfing the web for first phase ideas, when i have reached second phase, thanks to the precious links above. I can't wait to get started reading that good material. Anyway, I've already identified where the good stuff on the web is, as far as intraday strategies (see summary above).

So what is next is reading each one of those 9 links and letting them lead me to create more systems. I may or may not write a single post on every link. Sometimes it helps me work harder, so it's useful, but other times it slows me down (obviously). It always slows me down: but if the alternative is to not read because I don't feel like it, then it's better to be slowed down and to read. If instead my curiosity will make me read those links, then I won't need to write about them here. In which case I will write short summaries about them. Yes, because in fact I don't write all this stuff to teach others, but to make myself work, to keep myself working and focusing on the things I am writing about. If I weren't committed in front of everyone to do these things, probably I'd be watching tv right now.

 

[Yamato]

can't sleep (joe fernandes and FX educated investor series)

I can't sleep. The neighbour bitch made a lot of noise yesterday. She woke me up several times and I feel like tomorrow I won't go to work, which is ok, because I have a few days of vacations left.

I am going to read one of those precious links and report about it right here, to keep focused.

I will start from his biography, here:
http://www.chart-my-trade.com/joefernandes.html

Hi – my name is Joe Fernandes and I have an addiction for anything to do with financial trading...

Hello, joe. So far so good. The style is a good one and it explains why he is writing. He's not selling anything. He is just restless and he writes, like me, to keep from doing some trades or similar.

I got involved in trading 15 years ago; I had no choice then, but to find my own way through this mine field – a journey which took a long time to get here.

That's good. Because he's telling me, like anyone saying he's been trading for a long time, that he knows stuff. Doesn't matter if one is profitable or unprofitable, like me: we have learned something that we can teach.

Prior to trading I was a long term buy and hold investor in stocks and I was doing quite well, until I got into the lions den…trading!

This was a different but exciting ball game! I realised I was muscling in with the big boys, at the time, trading seemed to be a secretive art and only existed for a selective few.

What I mean by this is, I never felt accepted, even the brokers were rude and frowned on you; if I was ever made to feel dumb in my life…this was it!

That means what? Probably that he's been in the trading pit or whatever it's called.

I made lots and lots of (expensive) mistakes and at the time I felt I was doing nothing else but “chasing my tail”

I was literally giving my money away to attend some of these over priced and useless seminars, bought into expensive trading programmes, books, videos you name it…I have seen it, done it and felt the emotional and financial pain.

I would have loved to have had a trading mentor at the time, one who could have helped speed up the learning process and save me time, money and emotional discomfort.

Information overload and the Internet did not exist, it was in its infancy and virtually unheard of at the time.

So, interesting. He's been trading since before the Internet. So this was written at least two years ago.

In spite of all the set backs there was no holding Joe Fernandes back, my desire and passion for trading was unstoppable.

I dabbled in all manner of trading, started off with commodities (futures), burnt my fingers several times… then attempted option trading for a while and so on, I just could not get it right…too many hurdles and just not enough information on the subject!

I wiped out a number of trading accounts (serious money…) and then I decided to take a break from live trading and concentrate on Technical Analysis study.

Very similar to my experience. This makes me trust him more.

The learning curve never seems to end; now it only gets easier to be on the profitable side or should I say "loose less".

I have immense respect for the markets…there is no “holy grail” in this business, and the markets will humble you when you least expect it.

To be in this business you got to believe in yourself this is not something that you should ever brag about to anyone not even your best friends, keep it to yourself!

Yeah, I agree with everything. The bragging part is over. Especially after I learned to do automated trading properly and realized money doesn't fall from the sky. If it does, it means that you'll lose it tomorrow just as easily. The interesting part will be if, after telling me he has had experiences identical to mine, he'll also tell me that now he's profitable. That would be good.

After all what positive input do you hope to expect from those that do not understand or have a clue about what it is you are trying to tell them… ask yourself, do you really want to live up to other peoples expectations?

Fortunately, I have a very supportive wife who believes more in my abilities than I do (bless her), we have two sons, my eldest has just completed University education and the other is doing his “A” levels… and then there is my cat - let’s not go there...

If you are serious about trading then you need to lay down the most important foundation of all “DISCIPLINE” if you can take control of your fear and greed you will do well.

So maybe he is profitable. I still cannot control my greed and fear, but I do know, for sure, that if I let expert investors, put their money in my account, I won't engage in compulsive gambling. And this is the whole point, even though I am not achieving through discipline but through a ruse.

All content on this web site is a reflection of my perseverance and self achievement; I make this reference material freely available to all. I am sure you will find plenty of value here.

It is not my intention to try and impress you or coax you into buying something.
I don’t have any thing to sell… (At least not at this moment)!

So please don’t feel that this site is about trying to flog you something…I tell you how it is in the real world - and I keep it simple!

See, I told you so.

As I build this site, I will be adding a lot more interesting content with varying trading techniques which will eventually reveal the complete strategy!

Finally, a friendly trader to trader advice – please take note, that if you like something here and it appeals to you, don’t just rush to plough your hard earned money into the markets.

Please demo trade, paper trade, back test my methods, or implement them in your existing trading, make sure at first you feel satisfied and confident that this is for you… as with all types of trading, make sure you know what you are up against – and take it from there!

Take your time here, watch the videos and enjoy the content.

Yes, I will be testing. And I am taking my time.

Ok, nice bio page. Now let's get to the easiest part, the "Free Trading Videos":
http://www.youtube.com/user/chartmytrade

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

He shouts a bit too much. He talks irregularly. Nervous guy. Too many lines on the chart for my liking. I don't like the expression "inside the moving average": it's confusing. You should say "above" or "below".

http://www.youtube.com/watch?v=qrI5d21WBt4

Damn, moving the stoploss. But I don't use a stoploss and I cannot automate it. It's a mess with automation. I should just focus on his entries and keep my time exits.

http://www.youtube.com/watch?v=QSssMLdYQK8

Damn. Stochastic and RSI, but I hate this stuff. Still, I'll keep reading his web site. Good thing the videos are short. This is a a good guy, I maintain it. And he's very orderly. I am good at spotting quality people.

http://www.youtube.com/watch?v=E-7bSzAwAfM

Ok, now Bollinger bands. Getting worse and worse. I can hardly back-test and even more hardly automate all this stuff. On top of it, I don't like it because I don't know how these indicators are obtained. Too complex.

http://www.youtube.com/watch?v=O28TyDzwam0

Parabolic SAR. Yet another indicator. Maybe he'll get me to use them. Not!

http://www.youtube.com/watch?v=ytyCGFjSyY0

I don't like the SIP either, but what I must say once again is that this guy is a good guy: willing to share what he knows and making great efforts to be clear. I can't help but appreciate this.

I am also realizing how hard it will be for me to find a simple and yet profitable strategy, which is what I am looking for. Joe's recipes are much more complex than I can handle. He uses a bunch of elaborate ingredients, or whatever you could call them. A pinch of parabolic SAR, 4 moving averages, Stochastic, RSI, Bollinger, then cook for 40 minutes.

http://www.youtube.com/watch?v=nJOxo46VEJM

There he goes again with his Shift In Psychology, which is not clearly and univocally identified. A pinch of SIP...

http://www.youtube.com/watch?v=fSps80LmLCg

Another mess of indicators.

http://www.youtube.com/watch?v=aZGHxCf8JRI

"...moving averages stacking up quite nicely...": this stuff is not for me.

http://www.youtube.com/watch?v=9oFs_6KQKKg

Multiple time frames. I've tested it before and it doesn't bring me any profits.

He is clear and I am grateful, but one thing he doesn't do is explaining univocally what he does. I didn't check carefully if he does or not, but he just throws in too many ingredients to be able to explain univocally what he does in the little he writes. He gives an idea, yes, but one could trade with the same indicators and achieve a completely different result.

Let's see this now:
http://www.chart-my-trade.com/forexsignalsystem.html

No good. Too much indicators once again.

Let's see this:
http://www.chart-my-trade.com/stocktrading.html

In the above video the moving averages clearly indicate an up trend the SAR indicator has also been triggered.

He's a good guy, but so far not what I was looking for. Another few minutes of this minestrone of indicators and I will move on to the next web site.

Ok, now I'm here:
http://www.chart-my-trade.com/forexindicators.html

The Systematic approach to trading this one is as follows…

•Confirm underlying trend
•Bollinger Band spike or touch (confirm OverBought & OverSold)
•Parabolic SAR indication
•When the first SAR indication is noticed, RSI price indication must be showing in the correct corresponding area (bulls or bears) .
•Stochastic lines must either be separated or are just starting to space apart (this is not a must)
•Take that Trade!

You see, what I am saying? It's not that simple. Blue ball here, Bollinger band, Parabolic SAR, Stochastic lines... you gotta be kidding me... I can't automate nor backtest this stuff reliably and you're making it sound so simple...

But the web site is still a good one. Moving on.

On his web site Joe provided some great links to Bloomberg Educated Investor Series, which I also found on youtube, so that is what I am watching next:
http://www.youtube.com/user/cigmarketing

But they're also here, and it's a more complete list:
http://www.dbfx.com/forex-resources/fx-education-videos

I'll watch it on my own. No comments here. I am tired. After this I am going back to sleep.

 

[Yamato]

back from work, back to work (Jeff Pierce, Covestor, Collective2)

I managed to go to work and stay there for about 4 hours, still enough to do everything I had to do. I wish they'd always let me stay for just 4 hours. But unfortunately I have to stay 6 hours, which is barely acceptable. Vito is still quiet though: very very good. I am such a good educator. He started working hard thanks to the example I set. I can tell by the way he looks at me that he wants to be valued by me. I might do that, but first I need a few more months of silence, just to make sure that he doesn't revert to being a jerk.

Recap on the situation of links to check:

Kept (golden links):
http://www.marketcalls.org/2008/06/simple-intraday-strategies-to-be.html : easy to test (his "volatility" could be a requirement for today's range to be more than x). Personal blog by Rajandran R, who also has this other similar blog.
http://www.chart-my-trade.com/joefernandes.html : good stuff but not what I needed (too many indicators).
http://www.tradingmarkets.com/.site...sing-the-E-mini-SP-500-to-Trade-Opt-81380.cfm : article from a commercial web site with many experts' articles. Whatever it is, this is good stuff, as this guy has traded for 30 years and he's explaining in detail some of the things he knows.
http://www.online-stock-trading-guide.com/intraday-trading-strategies.html : part of a course on a commercial web site (selling signals): list of intraday strategies. Very concise descriptions. This is good.
http://www.zentrader.ca/blog/?p=2272 : this is good, too. Personal blog by Jeff Pierce. Whether he tells me about a system or not, it will be interesting to read. This guy started trading from newspapers: very useful perspective.
http://proforex.blogspot.com/2006/05/swing-trading-vs-intraday-trading.html : another good unknown personal blog.
http://www.inditraders.com/beginners-section/2145-strategies-formulae-intraday-trading.html : forum thread with simple strategies just like the ones I like. Unusually good content for a forum. Need to check it out in detail.
http://www.activetradermag.com/index.php/c/Trading_Strategies/d/A_compass_for_intraday_markets : good stuff but not what I needed (wrong time frame).
http://www.bearcave.com/software/market_trading/intraday_trading/ : personal blog by Ian L. Kaplan. I don't know if this is going to suggest any trading strategies but it is going to be interesting and probably useful.

Ok, I am going to go for Jeff Pierce:
http://www.zentrader.ca/blog/?p=2272

First I'll read his interview:
http://www.dailymarkets.com/economy...w-with-jeff-pierce-professional-stock-trader/

Jeff has racked up an impressive track record as evidenced by Covestor, a website that allows investors to automatically import all of their trades and holdings and keeps detailed performance and risk metrics on portfolios. Jeff tracks his performance against the Russell 2000 index (read on to find out why) and has averaged an annualized 17.74% since inception in June of 2008 compared to a miserable -1.23% return for the Russell 2000 for the same period.

This is good stuff, good interview, good info, good links. Quality information.

Tell you what:
http://covestor.com/jeff-pierce/track-record

I will look on covestor if i can find better track records, and then look for those people's personal blogs. Everything is on covestor.

First step:
http://rankings.covestor.com/?history=12&period=l3cm

I am going to have to postpone reading Jeff's journal because I found a gold mine, a universe, a wealth of selected quality information, on the covestor web site.

Yeah, this is it, definitely:
http://covestor.com/
http://en.wikipedia.org/wiki/Covestor

I don't need to go any further. This is going to be the start of all my future investigations. This web site is the best financial web site I have ever come across. Better than forums, better than any other web site. No more wasting time on google or on forums. This is where you get to meet the professionals, and learn everything you can learn, all in one site.

I am going to study this web site until i know it like the back of my hand. I just set it as my home page.

Ok, first things first:
http://covestor.com/rikkitahta

Profile Rikki Tahta
CEO of Covestor. See my linked in profile for background and bio. Enjoy fishing, cooking and 5-a-side soccer. Poor but enthusiastic bridge player.

http://www.crunchbase.com/person/rikki-tahta

http://www.youtube.com/watch?v=L-__KG2YrgQ

Fascinating stuff, top technology, top content, top of everything:
Covestor Compliance Webinar

Ok. Now... i was searching on this forum, to see what they said about covestor and I came up with 3 more similar web sites:
http://www.collective2.com
https://www.keyzer0.com
http://www.zulutrade.com

I'll have to check them all out, too, and compare them.

Now let's see what I come up with on elitetrader.com: 178 hits.

Too much work to browse them all. If it's popular there, it means it's good.

Ok, have been doing a lot of searching on elitetrader.com and found this:
http://www.elitetrader.com/vb/showthread.php?s=&postid=3015216&highlight=Collective2#post3015216

Zulutrade is free to list on, C2 charges $90 per 6 months and it will take a while to build history and get paying subscribers. The successful players on there can pull in $1000's per month in fees so it's well worth considering but these are a handful and I suspect the vast majority make next to nothing.

C2 is probably the more professional of the two and it scores systems on consistency of returns so even a low returning system like yours could do well if it's consistent. Zulutrade, on the other hand, is like the wild west and many systems use outrageous techniques like never closing a losing trade or martingale to get massive returns and high win rates with catastrophic levels risk to the punter.

I am discarding zulutrade, based on what the post says. And have to investigate collective2.com, which scores 713 hits on a search on that forum.

Ok, just checked out www.keyzer0.com. I am discarding that as well.

I am left with just collective2 and covestor.

This is good, too. I didn't see systems rated by average duration of trades on covestor:
http://www.collective2.com/cgi-perl/system/sysreports.mpl?report_type=popular&speed=4

This is good. I wish I could have that system. I am tempted to subscribe to it:
http://www.collective2.com/cgi-perl/system42213712

The good thing about collective2 is that it allows futures as well as stocks. Whereas covestor only seems to be allowing stocks.

More by Airelon on covestor's limit: it doesn't track futures (just stocks).
http://azhotgirl.uni.cc/?investorandtrader/search/label/Covestor?max-results=20

As well, I ended my relationship with Covestor. I had them delete all three of my accounts. It's not that I'm angry with them, or there was any frustration whatsoever. I just finally realized that I was trying to use a service to do something, that they were never set up to do. My investing efforts heavily rely on DRIP accumulation of more shares, in order to compound the yield. But Covestor can't track DRIP. In addition, I trade a lot of options, and futures, which again, Covestor can't track. It was seriously skewing all of the results as to my performance. I "googled" Airelon, and the first results were those skewed Covestor accounts. It's not really Covestor's fault. They just aren't setup, nor were they ever set up, to track that sort of market involvement.

http://site.covestor.com/help

Does Covestor support currency, futures or options trading?
Not at this time.

Guess what. Collective2.com just became my favorite financial web site and my new home page:
http://www.collective2.com/cgi-perl/system/grid.mpl

But I'll still check out covestor extensively, because it's a list of strategies, of good traders and it provides links to their blogs, which probably collective2 doesn't. No, it does, too:
http://www.collective2.com/cgi-perl/c2systems.mpl?systemid=53909779#longdesc

Awesome! "Think of collective2 as a trading system auditor...", awesome. This is much closer to what I was looking for. Yeah, because covestor wasn't necessarily about trading systems (plus it didn't have futures).

Very fascinating video.

Hey, this web site is so good, that I don't know whether to buy or to sell signals to them:
http://www.collective2.com/static/info/faq.htm

Investing is like the easiest thing if these things work half the way they seem to work. You just divide your money between 20 different managers: 10 on collective2 and 10 covestor. Except for the fact that I don't have any money to invest, this is the answer to all my problems.

 

[Yamato]

wrapping up

Yeah, covestor and collective2. Very useful. But do I have an account to invest? No. Do I want to sell signals? No. In the short term I should remember what I was looking for. I was looking for strategies.

So I will now look on those two web sites for interesting strategies (initially by their performance and frequency/duration of trading) and try to find as much as I can about those strategies. Also by going to the web sites of the programmers/discretionary traders (on collective2 probably all programmers, whereas on covestor probably both).

One distant day I may sell signals or subscribe to signals, and I will use those two web sites for sure.

Let's first look at how many strategies there are on both web sites, which seems to be a hard thing to find out.


Collective2

Oh, this was easy:
http://www.collective2.com/cgi-perl/system/grid.mpl

888 systems match criteria

888 strategies. Presumably all automated strategies.

Wrong. Wrong on both. First quote:

Collective2 lets you choose from a library of over 14,860 trading systems, and then lets you automatically trade those systems in your brokerage account.

Well, show them to me. On your "grid" page I only see 888. But that's plenty.

Second quote:

At Collective2, we use the term trading system broadly to include computer algorithms, black boxes, and discretionary human traders. In all cases, the goal behind using a trading system is to remove emotion from trading decisions.

Contradictory: discretionary human traders... that doesn't even attempt to remove emotions and if it's "discretionary" it is not a "trading system". So this could be discretionary as well: the only question is what is the percentage of automated vs. non-automated. Probably much higher here than on covestor. So this is good enough.


Covestor

A Model, or Investment Model, is an actively managed portfolio that can be matched in your Covestor Mirroring Account.

Yeah, "actively managed portfolio" could definitely be discretionary. Much different description than the one above.

Showing models 1 - 10 of 119

This answers how many models they have.

But then there's "personal track records", which are probably several hundreds:
http://rankings.covestor.com/top-personal-track-records


-----

Bottom line: if I want to look for strategies I can go on both web sites, but covestor will have a lot of discretionary traders. If I want to look for automated strategies, then my best bet is collective2, which scores 68 hits on an elitetrader.com search on the "Automated Trading" sub-forum (and this is very indicative). The advantage of the discretionary traders is that they talk much more about their strategies. The automated traders talk less (I think). If they talked, then I'd be more interested in what they say.

 

[Yamato]

can't sleep

So, now that I found two great places (covestor and collective2), with almost 1000 systems on each web site, what is next?

Let's start looking at the strategies and at the creators of them.

Well, the first person to check out is the one who got me to discover covestor: Jeff Pierce. So let's go back to where we left, his interview and, later, his blog.

http://www.dailymarkets.com/economy...w-with-jeff-pierce-professional-stock-trader/

But first of all let's look at covestor. He doesn't have a model on covestor, so he's not selling anything. He has a personal track record. Let's see how well he is doing.



I don't know how this works: if he has leverage or not. But if he doesn't, this is ten times as much with futures.

Let's investigate on this further:
http://site.covestor.com/help/how-performance-is-measured

Performance is measured differently for Investment Models than for Personal Track Records on Covestor.

Performance assessments of models include cash while performance assessments of Personal Track Records exclude cash. This is because Covestor does not have a complete view of cash in personal brokerage accounts, but does have such a view in the case of models.
As such, Personal Track Records are not a view of the returns managers themselves achieved. Instead they give you a guide to what they would have achieved had they been fully invested (or what you would have achieved following them in their equities only, with a fixed sum of money).
Model and Track Record returns are calculated on the same basis, but using different systems and should not be directly compared. Performance figures are intended as guides only; past performance is no indicator of future returns.

It doesn't specify if there's leverage or not, but I am assuming that there is no leverage, because if there were leverage it would be different for all accounts. So they're just calculating the values of stocks. What partly makes me interpret it this way is: "what you would have achieved following them in their equities only, with a fixed sum of money".

I could easily verify it, by looking at an account with just one stock and looking at its performance on covestor and the stock's performance. I'll do it right now.

Ok, this guy:
http://covestor.com/ttw/track-record

He bought Endeavor Power Corporation a year ago at $0.08.

October 13, 2009 EDVP Endeavor Power Corporation Bought $0.08

Now it's worth 0.43:
http://stocks.covestor.com/edvp
http://finance.yahoo.com/q?s=EDVP.OB

So, he should have made... =(0.43-0.08)/0.08= 438%



Yes, close enough. So basically if you have just your track record, they take the stock and calculate its performance, as if you had invested everything on it, without leverage. So this means anyone achieving 50% returns could have achieved several times more with leverage.

Now let's go back to Jeff's performance. About 30% per year, with several trades per day. Half of the months positive. Sharpe ratio 0.69:
http://covestor.com/jeff-pierce/track-record

Now let's go back to his interview:
http://www.dailymarkets.com/economy...w-with-jeff-pierce-professional-stock-trader/

...in the interview you’ll find out his sources of inspiration and the path that led him to be the successful trader that he is today.

Hmm, I guess 30% per year makes you a "successful trader". I could do that. I definitely have a system that makes 30% a year. The problem is that I added a bunch more systems, that lost that profit. Plus, they require more margin, so that 30% needs to be a 60%, but then they perform worse, so it's much less. Then they failed, so I am lucky if to be profitable right now. But one thing I can say: my drawdown doesn't last as long. From the equity line above you can see that he has a drawdown lasting longer than a year, from Spring 2009 to Summer 2010. This means he's been in the red for over a year. Then I guess that "successful trader" just means you're profitable within the timeframe of 2 years. But then, if the whole audited performance is two years... well, I am not good with formulas, but it doesn't look that good to me. My audited 5-months equity line so far is like this:



Not much money, a return under 10% (required margin of 15k), but the longest drawdown so far has been of "just" 13 weeks. Hmm, by the way, if I get lucky I might match his return as well. Then I could say that I am a "successful trader", too. And to think that I felt the drawdown sucked and the returns sucked as well. They do suck. So far the systems sucked.

For starters, Jeff watches no television. Well, he might on occasion catch a show or two online but he doesn’t subscribe to cable. The reason stems from wanting to stay free of outside influence, especially when it comes to trading. He tries to avoid being swayed by news as that is how biases creep in, he says. He reckons he just needs to watch the reaction follow through in the price action.

Me, too. I am like this, too. But I am better, because I also don't read books nor newspapers. Nor do I meet people. I mean I don't have any friends, and if I meet people, i don't talk to them. I am totally free from outside influence.

When asked for a trade he might recommend to others, Jeff pointed to the Barclays iShares 20+ Year Treasury Bond Fund...

Once again, why would I ask Jeff to recommend a trade to me? I could be in a drawdown lasting over a year because of it. Much better if I follow my own systems, or if I copy the investors' trades.

If you like what you read, Jeff mentioned that he is getting ready to utilize a function on Covestor, whereby he is going to allow people to mirror his trades and get paid a percentage of the performance...

There you go - he's going for the "Investment Model" status, from the present "Personal Track Record" status.

I wonder if there's a way to see how many subscribers each Investment Model has...

http://covestor.com/analytic-investment/focus-value

Nope, they do not list the subscribers, but there is one useful clue:



Most likely, if it does not have subscribers there is nothing in the "Avg Subscriber performance" field. The above image is for a model that makes money.

This is for the model that made the most money since inception:
http://covestor.com/douglas-estadt/management-access



Whereas most of the models that lost money since inception look like this:




Let's keep reading. No, wait. Why do I want to read this interview to someone who made 30% in a year, with a drawdown longer than a year?

Let's go read the interview of someone who made the biggest return:
http://covestor.com/douglas-estadt/management-access

Let's go watch it, actually:
http://www.wallstreetmedia.com/show.aspx
http://articles.moneycentral.msn.com/video/wall-street-media.aspx

If I did fundamental analysis I should listen to them, but it's not what I was looking for.

Now let's look at his performance. He has two records, the model and the personal track record:
http://covestor.com/douglas-estadt/management-access
http://covestor.com/douglas-estadt/track-record

Now, the two records charts are quite similar in the curves (but not identical - tops and bottoms happen at different times), but he makes twice as much money with the personal track record. Or rather, twice as much in percentage terms.

Anyway, I am done with this guy, too, because by the videos, i can tell he's into fundamental analysis, and that's beyond my reach (I can't just follow his tips: my objective is to build more trading systems). Let's move on.

You know what? I am stopping here. I am done with covestor. It's their fault. Their potential is great, but they are only targeting fundamental analysts by only allowing stocks and only some stocks. Obviously people into stocks are mostly fundamental analysts. I'll come back for sure when I have 10 million dollars and I will want to diversify and replicate estadt's trades. For now, I don't need to study their methods. Yes, there is one automated trading system and maybe more, but they don't make money... can't waste time on this site when there's hundreds of automated systems on the other site.

Let's move altogether to the other web site, collective2. I am going to start a new post for collective2.

 

[Yamato]

collective2

Now this is the founder:
http://www.matthewklein.org/
http://www.collective2.com/mediakit/C2_Founder_Bio.pdf

Matthew Klein is the Founder and President of Collective2.com, the
Internet's largest provider of trading systems for individual investors.
Headquartered in suburban New York, Collective2 offers nearly 8,000
trading systems that provide average investors with the power and
sophistication previously reserved for professional investment
managers.

Yeah, this is all good, but I only saw 888 on your web site.

Now I will look for youtube videos, and then I'll try to learn this new web site like the back of my hand.

No videos, except for one that I've already watched.

Anyway, I was thinking that I'm a goddamn marvel of modern science. I am better than the genetic optimizer I wanted to buy.

I started off my search (for strategies ideas) by wanting to read some journals on this forum, then opted for an "intraday strategies" search on google, a better choice. Then I wanted to read ten good blogs/articles, out of 50 links that I had checked out. That might still be a good choice. Then I found out, on one of those blogs, about covestor. Then I searched on forums for covestor, and found out about other similar web sites, and collective2, which is better, for my purposes. So, instead of wasting two months reading the threads here, I am now on a web site where there's 1000 strategies, all automated. The only problem is that they're not telling me how they work, but I can get a better idea from the trades they make than I could get about these sy... well, maybe not. But overall, for my search, the amount of information I can get on collective2 is much larger than here. Time spent there is better than time spent here looking for strategies, which is what I originally wanted to do.

Now first things first. I want to know how they calculate performance on collective2. Futures use margin, so there's no way they don't have a "margin" page on their web site:
http://www.google.com/search?q=margin+site:collective2.com

Uh huh, got it:
http://www.collective2.com/static/info/faq.htm

"Only 33:1 leverage for forex? That's crazy! My broker allows me to trade with 100:1 leverage!"
Whoa, calm down there, cowboy. We restrict the amount of leverage you are allowed in your C2 Model account so that trading-system subscribers can more easily perform an apples-to-apples comparison of trading systems across various asset classes...

And:

For futures, we use industry-standard SPAN margins.

Also here:
http://www.collective2.com/static/faqdev.htm

"How do you calculate the amount of capital required to open and hold a position?"
...
For futures, we use SPAN margins. Collective2 automatically goes out and downloads the latest SPAN data files a minimum of once each day, so you can be assured that we calculate accurate future margin requirements. When normalizing P/L results against margin requirements, we use initial net margins which are always higher than maintenance margins. (Of course, if the maintenance margins increase above the initial margins, the system will recognize this.)

Yeah, I've read about SPAN:
http://www.cmegroup.com/clearing/risk-management/span-overview.html
http://www.cmegroup.com/wrappedpages/clearing/pbrates/performancebond.html

It's very close to the margins IB uses:
http://www.interactivebrokers.com/en/p.php?f=margin

...margin requirements are determined by each exchange

Yeah, "very close" because they add x% for some futures.

Ok, now I can finally get started studying the systems they've got.

1) system with highest % return: "Nicks System"
http://www.collective2.com/cgi-perl/c2systems.mpl?systemid=50935446

System not accepting new subscribers
This system is currently not allowing any new subscribers and thus is not viewable by the public.

There you go. It won't be easy to learn about this strategy. But something they did tell me:

It traded for 141 days, which is 7 months. 95 trades, which means exactly twice every 3 days. I've got similar systems. And i've got a system with a sharpe ratio of 7 that traded 27 times. But it only has a profit factor of 2. I cannot compete with these guys. But at least now I know such systems exist.

2) Let me guess, the second best system by return, Nick's Futures, is also closed:
http://www.collective2.com/cgi-perl/c2systems.mpl?systemid=52010180
Its trades also last 1 day.

3) third system? KTRAK, open:
http://www.collective2.com/cgi-perl/c2systems.mpl?systemid=50791454

4) Nick's Forex, also closed. Its trades also last 1 day. I wish I knew what futures Nick's systems trade.

Oh, wow, they've got a forum:
http://www.collective2.com/cgi-perl/board.mpl?want=list


KTRAK
Let's now focus on the third system by return, which is open:
http://www.collective2.com/cgi-perl/c2systems.mpl?systemid=50791454

For all systems that have only traded for less than 100 days, one must remember this is only 5 months, which means if you buy gold once a day and sell it, you will be very profitable... but, just like for back-testing (which is not available here), we don't know what happens to the system if gold starts falling. So we should prefer systems that have traded for longer than 220 days. And that have made at least 100 trades.

KTRAK has been trading for 5 months, which is not long enough, but let's see how many trades: 1,112. Yeah, that's good enough. How long? Average of 4 hours.

Ok, now I am looking at the trades, but I ignore the symbols.

Uh-huh, got it:
http://www.collective2.com/static/symbology_futures.htm

Wow, Ktrak is trading agricultural futures as well.

Also, another thing I must mention, which is strange. I received the weekly report, and it shows info for all Nick's systems, which are shown as closed, but in the report it tells me stuff about what happened during the week to them. Strange.

 

[Yamato]

best thing on covestor so far

https://covestor.com/jagadeshwar-porandla/track-record

A lot of trades, for a long time, with a great sharpe ratio... how does it do it?

I think he's automated:
https://covestor.com/jagadeshwar-porandla

Jag's systems identify list of potential stock tickers on a given trading day and then determines buy and sell points for the security. Prior to purchasing the security, he will confirm the validity of the purchase using technical analysis and news articles. Believes in the principle of compounding to achieve a higher annual percentage yield.

On the other hand, this is his personal track record. His model is not doing well:
https://covestor.com/jagadeshwar-porandla/mechanical-systems

How can this be? Why would someone want to do poorly for his subscribers and great for himself? Why doesn't he just invest in the same way on both accounts?

Strange.

His blog:
http://www.abigthinker.com/

From his blog:


Red-circled link leads to:
http://covestor.com/jagadeshwar-porandla/mechanical-systems

Which shows this performance:


So let me get this straight: you're the "1st Indian Covestor Model Manager" because you were the first who opened an account or because every other Indian loses money? I don't get it. I mean: you're losing money on that account, so how can you bring it up like that? Strange.

Everything looks great on your blog, except that where people are supposed to be making money by paying you fees, on your Investment Model, they're instead losing. This doesn't make any sense, and there should at least be some sort of explanation on your blog, when instead all I see is "terrific" here and "winner" there.

 

[Yamato]

more on Ktrak

The worst mistake now would be to go around and look for more systems, before having learned to read the information available for each system. So I now need to learn Ktrak inside out. I have to be able to read every information there is on it. From the top left corner to the bottom right corner.

Now is the time for quality and focus. No quick browsing through 100 links on google. Now is the time to look at Ktrak, which seems like an excellent system.

http://www.collective2.com/cgi-perl/system50791454

I was just talking on the phone to my aunt about how, since all vito problems are solved, I have now shifted my hate towards the mother ****ing Sicilian neighbours, who have been slamming their door even more violently than before and this quote came to my mind:
http://www.subzin.com/s/just my enemies

02:59:07 Now, Roth and the Rosatos are on the run.
02:59:09 Are they worth it, and are they strong enough?
02:59:12 Is it worth it? I mean, you won.
02:59:16 Do you want to wipe everybody out?
02:59:18 I don't feel I have to wipe everybody out--
02:59:21 just my enemies, that's all.

http://www.letmewatchthis.com/watch-261-The-Godfather-Part-II

But don't watch it unless you've already watched the first one.

Now, on the let side I see a link to "hot systems", that, once clicked, explains:
http://www.collective2.com/cgi-perl/system/sysreports.mpl?report_type=best

Hot Systems
Here are some "Hot Systems." It's important to understand that no human being determines whether a system is hot or not. Instead, a computer algorithm sifts through the systems in the Collective2 database and looks for systems that meet certain mathematical criteria. Here are systems with interesting statistics. (Criteria for list)

Now, I've looked all over this list of hot systems and ktrak is nowhere to be found. Why?

The box "Criteria for list" might explain why:

Max DD < 50%
Sharpe > .30
Realism >.25
Avg Adverse Trade DD < 15% equity
Return over last 30 days > 0.8%
More than 8 trades
System age 3 weeks or older
Risk of 20% Account Loss < 20%
Keep After Slippage > 50%
Order: Proprietary formula using return, trade and aggregate drawdowns, Sharpe

Let us now look onto the Ktrak page and see why it doesn't meet the requirements.

Max DD < 50%

Max peak-to-valley drawdown (historical) 68.61%

This must be it.

Sharpe > .30

Sharpe ratio 2.712

Realism >.25

C2Realism Factor 92%

Avg Adverse Trade DD < 15% equity
can't find it on ktrak's record but probably doesn't meet requirement

Return over last 30 days > 0.8%
>19%

More than 8 trades
yes, over a thousand

System age 3 weeks or older
yes, 5 months

Risk of 20% Account Loss < 20%

Chance of 20% account loss 52.4%

Keep After Slippage > 50%

Keep after worst-case slippage 85.5%

Order: Proprietary formula using return, trade and aggregate drawdowns, Sharpe
No idea what this means.

Ok, so ktrak's problems seem to be... just the drawdown, but this is totally ridiculous. Because it's not on the "hot systems" only because it loses 70% of account during its worst drawdown. But guess what: if we are willing to give up some of that "Annual return (compounded) 58627.6%" profit, this all of a sudden meets all the requirements. How can their calculation be so screwed up? I mean, if I trade a system that invests 100k, returns 100k but at its worst loses 60k (60% of account), then I won't meet your "hot systems" requirements. But, to meet them, all I have to do is state that I need 200k, and then my drawdown will become 30% of account, my profit will decrease from 100% to 50%, but all of a sudden I will be a "hot system". Very strange.

Before I forget: I must solve this question I have: what does the green shaded area mean?

All systems have this green-shaded area. It is not a moving average for sure. What is it? There's a big problem with collective2's forums (bad searching and bad categories - a real mess). There's also a big problem with the help section. There's videos that show up like a mirage every once in a while, and tips, but there isn't a good help database, indexed and stuff. They could learn a lot from trade2win and elitetrader.com. Their forums and help sections are bad. They're hammering themselves in the balls.

Holy cow. I was able to export in .csv hundreds of trades. No, wait: all the trades since it began trading. This is shocking. There is no way I will let my systems trade on collective2. People can totally reverse engineer them. Gold mine, gold mine... it was totally worth it to skip work, because this is going to revolutionize my trading. I'll be able to double the quantity/quality of my systems thanks to these last few days of work.

 

[Yamato]

more on ktrak

Now I want to know how many subscribers it has.

Couldn't find it, but by accident, while looking on google...
http://www.google.it/search?q=subscribers+site:ww.collective2.com

...I came across this Beau trader:
http://www.collective2.com/cgi-perl/system/sysreports.mpl?report_type=byvendor&system_id=41404319

Whom I recently read about both on elitetrader.com:
http://www.elitetrader.com/vb/member.php?s=&action=getinfo&userid=109277

And on Covestor:
http://covestor.com/beau-wolinsky

What is interesting is that he's losing money on most of his systems, both on covestor and collective2. And he's talking all the time. This reminds me of that indian guy I mentioned earlier, who keeps saying a lot of enthusiastic stuff on his blog, and yet his model is losing money.

I can't figure out why. This itself makes it an interesting question. I am not one of those people who, when they don't understand something, say "weird" and move on. I am curious to understand. Are these guys just being unlucky with their live track records, and they are actually good, profitable, and that's why they talk? Or are they shameless in that they talk so much and yet just cannot manage to become profitable?

 

[Yamato]

came across this good article by Bruce Babcock

Boring but I can tell it has meaningful things in it. I will read it in the future, when I have more time and patience:

http://www.rb-trading.com/article4.html

Some interesting quotes from it:

... or rather, this is a whole book on mechanical trading:

http://www.rb-trading.com/articles.html

Here is a series of articles Bruce wrote for Trader's World Magazine under the heading, Learn to Trade more like a Professional. You may read the articles in any order you wish, but we recommend you read them in the order presented.

Bruce Babcock was an active trader from 1975 to 1998 and wote eight books on trading including The Dow Jones-Irwin Guide to Trading Systems. He designed over 25 computerized software systems for traders, a number of which he traded himself.

Good stuff here.

Bruce Babcock biography here:
http://www.rb-trading.com/bbbio.html

http://www.rb-trading.com/article1.html

The amateur assumes that he can conquor the markets through superior analysis. He spends nearly all his time looking for effective ways to predict where the markets are likely to go next. I have been trading since 1975 and spent many years myself on this fruitless quest. Believe me when I say that the markets are not predictable in the sense most traders use the term. Luckily, it is not necessary to predict the markets to make money from them.

The Mechanical Approach to Trading

People who come to commodity trading invariably have already had success in some other field. Most of the time they have been extremely successful. Without that success they would not have accumulated the capital necessary to trade. They expect to apply the same rational approach to commodity trading which led to their previous successes. Unfortunately, it is precisely this seemingly intelligent methodology which steers them to disaster.

The markets are designed to take money from the many and distribute it to the few. They could not exist otherwise. It should be obvious under those circumstances that what appeals to common sense and feels comfortable will not work. Otherwise, everyone would be rich.

The amateur assumes that he can conquor the markets through superior analysis. He spends nearly all his time looking for effective ways to predict where the markets are likely to go next. I have been trading since 1975 and spent many years myself on this fruitless quest. Believe me when I say that the markets are not predictable in the sense most traders use the term. Luckily, it is not necessary to predict the markets to make money from them.

The professional has had enough experience to learn the limitations of analysis. While there is a repetitive similarity to market behavior, there is just enough uncertainty to make predicting the future an impossible task. The professional knows the importance of a consistent approach to the markets. He has a concrete plan of attack. He seeks to follow existing trends rather than predict future trends.

The amateur assumes the pros have a good idea where the best opportunities are. Actually, however, professionals consistently admit they have no idea in advance which trades will work. Most often the ones which look the least promising turn out to be the big winners.

There is no favorite time frame for professional traders. Each finds the perspective which matches his or her trading personality. Some become floor traders who seldom hold trades for more than a few minutes. There are some floor traders, however, who hold positions much longer. Professionals trading off the floor may be day traders, intermediate-term traders or long-term traders. What is consistent is that each tends to stick with only one time frame, the one which works best for him.

Each professional has his own unique way to identify potential trades. He enters the market when his plan dictates. He follows the direction of the market in his time frame rather than anticipate a change in trend.

The pros are all ruthless in getting rid of losing positions. You have little to lose and a great deal to gain by exiting losers as quickly as possible. The problem is that this approach results in many small losses. The amateur wants as few losses as possible because to him, they are a sign of failure.

The professional has learned to handle the inevitability of losses. He knows he can never avoid them. He pays almost no attention to losses unless they become bigger than permitted under his overall trading plan. There is little ego involvement for the professional in his next trade. He will seldom let his ego interfere with abandoning losing positions.

For all traders there is a continuum between 0 percent mechanical trading and 100 percent mechanical trading. (You can also think of the continuum as going from 100 percent to 0 percent judgmental trading.) Someone who trades 100 percent mechanically never has to make any trading decision. He has a plan which tells him precisely what to do in any situation. All he has to do is monitor market activity, determine what actions his plan requires and then place the required orders with his broker. Most often, these plans are computerized. The trader inputs market data and the computer program tells him what to do.

At the other end of the spectrum, someone who trades 0 percent mechanically has no fixed rules whatever. He makes every trading decision on the spur of the moment without any particular guidelines except his own idea of what will work best. Although he attempts to learn from previous mistakes, he will be unsuccessful at doing so because correct decisions do not always result in profits and incorrect decisions do not always result in losses.

Intelligent and clear writing. That's why it is so hard to learn discretionary trading.

The emotionalism of trading can only be truly appreciated by those who have tried it. The effects of fear and greed are remarkable. Human nature is such that left to your own devices, these twin villains will invariably cause you to make the wrong decisions in the speculative arena. The most outstanding trait of professional speculators is that they have learned to control their fear and greed. They do this through self-discipline, which of necessity means their decision-making has a certain structure.

I believe that successful traders all have a relatively mechanical approach even if they do not know it themselves. Therefore, all professional traders are grouped in the top half of the mechanical trading continuum. Most amateurs, on the other hand, will be found in the bottom half. Many professional money managers have a system which is 100 percent mechanical. Those who do not operate 100 percent mechanically usually allow only a small amount of personal judgment to override their system.

The average person has the best chance to be a profitable trader if he or she adopts a 100 percent mechanical approach. If profit is your goal rather than massaging your ego or having fun, I recommend that you find one or more good mathematical systems and trade them in a diversified group of markets. You will also need sufficient capital and courage to withstand the inevitable equity drawdowns which occur regardless of trading approach.

Here is what I mean by a strictly mechanical approach. You will have a predetermined group of markets which you will follow. You will have mathematical formulas to apply to previous prices which will tell you when to buy and when to sell. There will be entry rules, exit rules for losing trades and exit rules for profitable trades. There will be rules for when to start trading and stop trading each system. Your only tasks will be to choose initially the systems and markets to trade, to apply the system rules to market price action and to decide how to spend the (hopefully) resulting profits.

If your system is computerized, you will have to provide data to the computer, run the system software and place the orders the system dictates. This should not take very much of your time. You can hire someone else to do it for you if you want. My broker has my computerized systems and places the orders for me. I run the systems myself every day to keep track of what is going on. However, I do not have the responsibility to place the orders. I can travel or take a vacation without worrying about missing something.

Not only have I been successful, but I believe I have been more successful than I would have been choosing my trades with more of my own judgment. If you are truly trading commodities to make money rather than have fun, give my 100 percent mechanical approach some consideration.

This is all that one needs to know, provided you understand what he says - it took me 13 years of losses to know what he's talking about (in all the parts I quoted, not just this last quote).

Here's another book by Bruce:
http://www.rb-trading.com/begin.html

 

[Yamato]

collective2, general remark

The content is great. The form, shape, order is kind of messy. Labyrnthine web site. On the other hand it is the best there is for what I am doing. It is the best web site I could be on, at any time.

 

[Yamato]

David Urraca

Getting closer and closer to what I was looking for...
http://portfolio-marting.blogspot.com/2007/07/mtodos-de-trading.html
(he has stopped updating it in 2007)

En esta sección vamos a ir recopilando información sobre métodos públicos que realmente funcionan...

Las reglas originales del sistema de las tortugas (Inglés)

Sistema 1,2,3 (Inglés)

Ruptura de canales de Donchian (Castellano)

Sistema 3 barras + stochastic (Castellano)

Sistema SVBreak -Ruptura de rangos de volatilidad ( Castellano)

Estrategia Bandas de Bollinger ( Inglés)

Dinamic Break Out Strategy ( Inglés)

Método Lowry de Medias móviles ( Castellano)

This is what I was looking for two days ago on this forum, and I found it all on the web site of this guy who created this "RD30 Day Trading" system:

http://www.collective2.com/cgi-perl/system37780234
This guy has a C2 score of 997: something I had not looked into yet. Here's what it means:

What is the C2 Score?
Collective2 rates every trading advisor in its database and assigns a score between 100 and 1000.

In general, a rating above 500 is good. A rating above 700 is excellent.

Collective2 Ratings are recalculated daily based on the entire performance history in our database. The exact formula we use is proprietary, but there are several key variables that go into the Collective2 Rating.
One of the most important factors is the length of time we have been able to observe the performance of the trader.
Another key factor is the amount by which the trader over-performs or under-performs the S&P 500 index.
Finally, the choppiness of the trader's results is taken into account. Certainly a more consistent trader will be rated more highly than a trader with erratic results.

Ktrak had a C2 Score of 946. Very good. What surprises me now is that there's no one tracking it and no Analyst notes.

Anyway, thanks to all who helped: google, covestor, collective2, Jeff Pierce, Urraca... there's enough material here for months of studying. This is precisely what I was looking for. An automated trader who told me what strategies are good and in particular good for automation. There's plenty more interesting stuff on collective2 and all the people I can find there, but it would be stupid to keep on looking without stopping here and using what I already found: enough material to create 40 more systems.

I can now study one of these methods, test them, automate them. My web journey can stop here. I can create another few good systems, then resume my web search. For now I am done. Next step is to really learn one of the above strategies.

...they can't say we never tried.

 

[Yamato]

selecting the one to test

Continuing from post above. Now I will select the one system to backtest.

Las reglas originales del sistema de las tortugas (Inglés)

Sistema 1,2,3 (Inglés)

Ruptura de canales de Donchian (Castellano)

Sistema 3 barras + stochastic (Castellano)

Sistema SVBreak -Ruptura de rangos de volatilidad (Castellano)

Estrategia Bandas de Bollinger (Inglés)
Discarded, because I can't automate it.

Dinamic Break Out Strategy (Inglés)

Método Lowry de Medias móviles (Castellano)

Since it's first on the list and since another trader on msn told me to check it out, I will go for this:
"Las reglas originales del sistema de las tortugas".

I already found an interesting link about it:
http://www.muchapasta.com/b/var/sistematortuga3.php

No iré en demasiado detalle pero aquellos de nosotros que realmente especulamos para vivir sabemos los nombres de "especuladores famosos" que son famosos como especuladores pero que no ganan dinero especulando. Ellos ganan dinero vendiendo sistemas de especulación, seminarios, cursos para estudiar en casa, etc. Muchos de los llamados "especuladores famosos" no operan y no pueden operar los sistemas que ellos venden.

Yeah, I thought so, but it wasn't as clear as this guy is putting it. What's strange is that the web site is full of ads and he says he makes a living with trading. On the other hand maybe someone else wrote the article, other than the web site owner.

Así esto también es verdad para aquellos que venden el sistema de las tortugas. Considera lo siguiente: primero un sitio web. Turtletrader.com y segundo una tortuga. Esto es lo que no te contarán:

Turtletrader.com. Un sitio web gestionado por una persona (de reconocido talento en marketing que también tiene una farmacia on-line y otra web que vende test de personalidad). Turtletrader.com pretende tener las reglas actuales del sistema de las tortugas y te las venderá por $999.00. El sitio web está lleno de cantidades tremendas de información acerca de trading y se autocalifica como "la fuente numero 1 en sistemas de seguimiento de tendencia en el mundo"

Lo que no te dicen es que el sitio web está gestionado por una persona que no especula por sí misma las reglas que vende y que nunca ha sido un especulador exitoso. Y todavía presume de ser un experto en "sistemas de seguimiento de tendencia en el mundo".

En este sitio web puedes obtener algo parecido a las reglas actuales de las tortugas pero no encontrarás ningún consejo experto de la persona que lo vende.

Turtletrader.com no es mejor que otros sistemas, es un sistema vendido por una persona que está más interesado en coger el dinero de sus clientes que en triunfar usando el sistema que vende, se llama experto en "sistemas seguidores de tendencia" pero no dice que no opera.

La cláusula de "devolución del dinero garantizado" no tiene ninguna utilidad porque debes mantener un registro de todas las operaciones y probar que seguiste las reglas enseñando los registros que proporciona el broker. Si no te gustan las reglas y quieres que te devuelvan el dinero me parece bastante improbable que abras una cuenta y operes durante un año para que te lo devuelvan.

Esta "tortuga" no duró un año en el programa de las tortugas ya que fue despedido por su incapacidad de seguir las reglas del sistema. Perdió dinero cuando la mayoría de las otras tortugas lo ganaban.

In red the most important parts.

http://www.muchapasta.com/b/var/sistematortuga4.php

Lo que turtletrader no cuenta es que las reglas de especulación son solo una pequeña parte de la especulación con exito. Los aspectos más importantes son confidencia, consistencia y disciplina.

Las reglas que no puedes o no vas a seguir no te ayudarán demasiado.

Las tortugas tenían un montón de razones para confiar en las reglas que se les proporcionó. Tenían la confianza para seguir las reglas incluso durante los periodos de pérdidas. Aquellos que no siguieron las reglas no ganaron dinero y fueron eliminados del programa.

Los especuladores que quieren triunfar deben buscar la manera de ganar la suficiente confianza en sus propias reglas de trading para ser capaces de aplicarlas de forma consistente.

Nosotros como tortugas lo teníamos fácil. Se nos dieron las reglas por uno de los más famosos y exitosos operadores. Richar Dennis y su colega Bill Eckhard nos enseñaron las reglas y las razones por las cuales podríamos confiar en estas reglas. En algunos casos era más fácil seguir las reglas que no seguirlas...

Crazy, I've in reading in Spanish a document written by a turtle (see red part above). Ok, that's why he's been saying what he's being saying about Turtletrader.com. Let's find the version in English.

Uh huh, got it:
http://bigpicture.typepad.com/comments/files/turtlerules.pdf

Better yet:
http://www.robbooker.com/woodchuck/training/turtles/turtlerules.pdf
(it allows copy/paste)

This is how it starts:

Free Rules?
Are you kidding?​

Why are some of the Original Turtles giving away Rules for which others have charged thousands of dollars? Are these the actual Original Turtle Trading System rules?

Yeah, just like the spanish version. Look, it is clear the reason why is that these guys are mad at Michael Covel, whom you can see in the video here below. Probably before writing the book they wrote, they checked back with Dennis and he was ok with it.

So, what they say about the guy in the video is:

TurtleTrader.com - A web site run mainly by one guy (an admittedly talented web marketer that also has a pharmacy site and a site that sells personality tests), turtletrader.com purports to have the actual Turtle Trading Rules, and will sell them to you for $999.00. The site is filled with huge amounts of information about trading, and bills itself as the “No. 1 Source for Trend Following Worldwide.”

What they don’t tell you is that the site is run by a guy who doesn’t even trade his own rules—or trade at all for that matter—and has never been a successful trader...

Major major information, and from professionals - something that doesn't happen too frequently. And yeah, I double-checked and this is really the guy they're mad at:



Yeah, the youtube video, straight from his channel...
http://www.youtube.com/user/TrendFollowing

...was not what I would call precise and verifiable. It was too general and broad to be disproved. It was bull**** in my opinion, but I could be wrong. You see, the real trader shows you a chart and tells you "enter here" and "exit there". There's plenty of examples of this on youtube.

Anyway, let's keep on reading what Urraca advise as a profitable strategy, and let's not forget that Urraca has one of the best systems on collective2 with a C2 Score of 997. Even though I just found out that the expert Dean Marks does not like his system at all:
http://www.collective2.com/cgi-perl...view&mode=latest&systemid=37780234&comments=1

11/25/10 17:37 ET: Average P/L per trade after costs are about $50 per trade. Profit to DD ratio about 4:1. No stars.

I still have to figure out what he means by "costs". What I see on the report is:

# Profitable 520 (40.4%)
...
Average win $722
Average loss $375

How does he get 50 dollars for the average trade? I would go about it like this: 4 trades are winners and they make 722 and 6 trades are losses and they lose 375, so:
=(722*4-375*6)/10
=64 dollars

Yeah, ok, close enough, but aren't prices the real prices? Why do we have to get rid of another 15 dollars? Besides, what's wrong with 50 dollars per trade? Hmm. Not much profit. I see. I mean, I don't know. This system seems better than my systems. It has a C2 rating of 997, probably the best... and yet "no stars". He seems to strict.

 

[Yamato]

Anyway, resuming from where I had left:
http://www.robbooker.com/woodchuck/training/turtles/turtlerules.pdf

...As original Turtles, we had it easy. We were given rules by some of the world’s most successful and famous traders, Richard Dennis and his trading partner Bill Eckhardt. They taught us the rules and the reasons why we could trust those rules. Then we were placed into an open office with ten other traders who had been taught those same rules. In some respects it was easier to follow the rules than to not follow the rules.

On the whole, we had the confidence and the discipline to consistently apply the rules we were given. This was the secret of our success as traders.

Those who failed to follow the rules invariably failed as Turtles. Some of them decided they could make more money selling the Turtle rules than they did as Turtles.

Yeah, this is pretty clear. Thanks for exposing the scam.

The Genesis of the Project
Like many of the other Turtles, it always bothered me that some were making money
off the work of Richard Dennis and Bill Eckhardt without their consent; that these
secret-sellers had used the success of the Turtles to dupe others into spending
thousands of dollars on products that were not what they appeared.
I had often thought that a great way to deal with this problem would be to give the
Turtle Trading Rules away for free. Since others had already let the cat out of the bag,
and since anyone who really wanted the rules could already get them by paying, it
wouldn’t violate my sense of fair play to reveal them.
So that is what we have done....with a slight twist.
While the rules are free, we respectfully ask that those who gain benefit from the rules
and find them valuable send a donation supporting a charity in honor of Richard
Dennis, Bill Eckhardt and the original Turtles. You can find a copy of the charities
favored by the Turtles on the new web site: originalturtles.org.
Curtis Faith, an Original Turtle

Yes, this all keeps making sense. And now I've got their web site as well:
www.originalturtles.org

No way! The mystery continues...

Here's what happens when you click the link:

Response headers:

HTTP/1.1 301 Moved Permanently
Connection: close
Date: Sat, 27 Nov 2010 12:15:27 GMT
Server: Microsoft-IIS/6.0
X-Powered-By: ASP.NET
X-AspNet-Version: 2.0.50727
Location: http://originalturtles.tradingblox.com/
Cache-Control: private
Content-Length: 0

Then, once you are taken to that page, you are shown this very surprising page:



Yes, there's an ad with Michael Covel and an ad to the web site they condemned in the book itself... but isn't he the one they're mad at? Why would they put an ad on their web site? How can they say in their .pdf turtletrader.com is evil and then list a link to a web site that redirects to another web site, that lists a link to the evil web site?! Not just that, but on their web site itself there is no link to this .pdf I am reading!

1) Let's make sure Covel is the one they're mad at.
2) Let's make sure he hasn't bought their expired domain and turned things around to his advantage.

Ok, I checked the domains owners and could not figure it out through that.

This is Covel getting back at them:
http://www.turtletrader.com/winners-losers.html

There are a few Turtles out there, ones trained by Richard Dennis, who failed miserably and who have now tried to become "gurus" (with little success). These gurus can make trying to understand the real Turtle story difficult. Where is the truth? There is only one objective accounting of the Turtle story start to finish including the good the bad and the ugly. That story is found in the book "The Complete TurtleTrader".

And the link leads to his book on amazon.

Ok, I am about to solve the mystery maybe:
http://web.archive.org/web/*/http://www.originalturtles.com

Nope, no luck. My guess is that Covel bought Faith's web site and used it to his advantage, which would show by itself what a sleazy scumbag he is.

Ok, here's the deal. On one side we have Covel and on the other side we have Faith. One is charging money, and the other is doing it for free. Richard Dennis is alive. What does he say about this? Let's start searching.

Got it, a 2007 FinanceManila.net article:
On The Turtle Myth: Michael Covel vs. Curtis Faith

Outside of the Market Wizards books, Michael Covel was one of the first to bring widespread awareness of the Turtle story and their trendfollowing methods to the public, through his website Turtletrader (http://www.turtletrader.com). He was also selling the turtle system through the website for USD900++. He was never part of the original Turtles, and has never been confirmed as ever being a trader himself, but he has provided access to a wealth of information on trendfollowing trading and the Turtles as well as other notable Wall Street personalities.

The other individual that has brought attention to the Turtle story is Curtis Faith, who was a member of the original Turtles under Dennis and Eckhart. He first gained public attention through a website (http://www.originalturtles.org) which originally criticized Covel’s website for profiteering by peddling on the turtle system. He countered by providing the system for free, with Dennis’ permission. Although he later retracted his public criticism of Covel on the website, this was the beginning of a rivalry that continues to this day.

Critics of Covel stress that his lack of trading experience does not qualify him to run a website and write a book on trendfollowing. Critics of Faith (especially Covel himself) meanwhile, maintain that Faith’s claims of being the most successful Turtle are exaggerated and that actually Faith lost money since none of Faith’s trading records could be located, unlike the other Turtles. What is not in dispute is that both of them have greatly contributed to trading literature and public awareness of the Turtle story.

Both Faith and Covel have recently released their own books on the subject, and both are getting good reviews and acclaim.

Covel’s book: The Complete Turtle Trader, is a compilation of the research found on his website and a couple of interviews with some of the Turtles themselves. I’ve read the book and it is very in depth and detailed, although you can immediately tell that Covel had reserved space in his book to challenge Curtis Faith’s reputation as the most successful turtle.

Faith’s book: Way Of The Turtle, was released shortly before Covel’s book. I’ve read the book as well and it as many details on system design, and features other trading systems apart from the original Turtle System. The main difference with Covel’s book is more on the writing style: Faith’s book reads like a system design manual, while Covel’s book is more journalistic—despite much criticism of some of his facts.

Apart from reading their books the best way to appreciate the rivalry between Covel and Faith is to experience their communication first hand. The two are active posters on the Elite Trader forum, and one particular thread has both of them posting about their individual sides of the Turtle question (Curtis Faith’s screen name is “Inflector” while Michael Covel’s name is “Trendfollowing”):

http://www.elitetrader.com/vb/showthread.php?threadid=92696&perpage=6&pagenumber=2

Curtis Faith blogs at http://www.wayoftheturtle.com (as a side note, his most recent entry is that he is filing libel charges against Covel for stuff Covel wrote in his book and a recent SFO magazine article). The turtle rules he released for free to counter Covel’s efforts can be downloaded at: http://www.robbooker.com/woodchuck/training/turtles/turtlerules.pdf (courtesy of Rob Booker)

Michael Covel blogs at http://www.michaelcovel.com. The SFO magazine article he wrote that has Faith all riled up can be found at: http://trendfollowing.com/whitepaper/TM_NovDec2007_ShellShock.pdf

Howard Lindzon’s great website: Wallstrip (http://www.wallstrip.com) also featured interviews with Covel and Faith, and it’s particularly interesting to hear them both explain their sides and about turtle trading and trendfollowing:

Michael Covel’s Wallstrip Interview

Curtis Faith’s Wallstrip Interview

As a final note, all of the books I mentioned above (Market Wizards, The New Market Wizards, TurtleTrader, and Way of the Turtle) are all available at Fully Booked as of the time of this writing.

All of the above are good stuff and recommended reading for all traders.

At the bottom of the article there are 5 comments, one of which:

Michael Covel says:
June 19, 2008 at 3:05 am
Readers would be well advised to read Chapters 11, 12, and 13 of my book “The Complete TurtleTrader”. My book is the only complete and factual outline of the Turtle story. I challenge readers to show where the “facts” are wrong.

First thing I notice, which is the only bad thing towards Faith is tha covel succeeded in interviewing for his book two of the original turtles. Another thing is that Faith doesn't seem to have track records. Yet the author of the article seems to appreciate covel, despite admitting his faults, so it might be biased information. What could be concluded so far is that maybe covel shows even more information about the turtles' method, yet without having ever used it. To the contrary the other guy, Faith, regardless of how well he teaches, has been using it with success. This is what I think. And I would rather learn from someone who has traded the method. Even that youtube video with covel says a lot about him and the fact that he is not a profitable trader.

Yeah. I am still reading the article above. Yeah, too bad the thread on elitetrader.com got removed. Inflector is still a member and still writes... no, wait, got it!

Here's what he writes in 2006:
http://www.elitetrader.com/vb/showthread.php?s=&postid=1036275&highlight=turtle

...Rearden Metal,

I'm always up to more than just trading. Currently my main focus is the trading software company, TradingBlox.

I get bored if I'm not trying something new and challenging.

- Curtis

So it is now clear that there was no buying by covel of his web site. He simply totally changed his attitude towards covel, after writing that .pdf, that they both asked for their elitetrader.com thread to be removed, he removed the .pdf from the www.originalturtles.com web site, and he even placed a link to covel's book on his own web site, www.tradingblox.com. 180 degree reversal of attitude. Pretty amazing. It's the last thing I would have imagined.

I am still reading. Here's the new Faith's blog:
http://www.curtisfaith.com/

And he doesn't talk about covel:
http://www.curtisfaith.com/?s=covel

But covel in his blog talks about faith:
http://www.michaelcovel.com/?s=faith

I will quote some parts of this article by covel:
http://www.michaelcovel.com/turtletrader-afterword/

TurtleTrader Afterword
February 14th, 2010
Filed under: Trend Following — Michael Covel @ 9:11 pm
The following is the Afterword for “The Complete TurtleTrader.” While it is a very wild ride, with some crazy stories, readers may want to read our view of “criticism” either before or after reading below...

Ok, let's get to the part and color in red the parts that enlighten me as to their relationship:

Curtis Faith

A business trip to the U.S. Virgin Islands in 2001 first brought me into contact with Curtis Faith. I welcomed the opportunity to meet another of Dennis’s famed Turtles. Faith picked me up at the Frenchman’s Reef Marriott on St. Thomas and after squeezing into the backseat of his beat-up sub-compact rental car we took off to the beach for a chat...

Hmm, interesting. So he wasn't a turtle, by how he talks.

Oddly, almost immediately I thought I detected an inferiority complex in Faith, but he was a Turtle and judging a book by its cover in this business was not wise. Faith was around 40 years old by then, but appeared older (tired might be the apt description).

Is this a joke or he is just being very outspoken?

He and others were trying to build a money management firm called Galt Capital at the time — hence the discussion. He said a friend of his had read the 1200 page classic text in a few hours. His statement struck me as a comical exaggeration, but he was clearly serious. A little later, he announced he was launching a new airline (he was using an email address of [email protected] at the time). Even though my gut said no way that this man was launching an airline, he was a Turtle and maybe he was indeed launching an airline called Galt Air.

Interesting stuff.

That night over dinner, Faith was complimentary to the TurtleTrader.com website: “Not sure how you assembled it all, but you got it right.” However, it was easy to come away from meeting this Turtle with a distinctly different feeling than meeting Jerry Parker, a man known beyond a shadow of a doubt to have found immense success. Later, due diligence on Google turned up Faith’s resume posted online. A famed Turtle, the one who had positioned himself as the most successful Turtle, was looking for employment? While I had no immediate proof my instinct told me that this Turtle had not achieved great wealth. Faith was a direct contradiction to the legend of all Turtles making it.

Geez. He's obviously mad at him. But he might be telling the truth. Nonetheless, even Livermore went broke several times, so this would not mean too much - it does mean something all right. After all this could be the situation: covel is a profitable marketer, and Faith is a trader who blew out his account. Still, I would trust more the trader who blew out his account. So I will read Faith's book only, also because the other was not a turtle anyway.

It turned out that there were a handful of people who had surrounded Faith attempting to piggyback off of his Turtle fame for assorted business purposes. Those people started talking freely to me and confirmed that Faith was allegedly in monetary straights.

Geez. What a cruel ******* to talk like this.

I had no further contact with Faith after those few random meetings, but Faith soon offered a different perspective regarding my efforts. In 2003 he announced publicly that, “You won’t get any expert advice from the guy who runs TurtleTrader.com. All you will get is the regurgitation of advice from other traders not tempered by the experience of a successful trading career. Paying for advice from this source is a lot like hiring a blind guide.”

Yeah, that's what's burning, huh?

Once my book The Complete TurtleTrader was released in October 2007, Faith was the one Turtle to express angry dissent. With his own book out touting himself as super successful, Faith’s need to defend his legend was apparent: “In my opinion, [Covel] is a parasite who lives off of the creation and energy of others instead of contributing something to humanity.”

There you go.

Someone posting under the screen name “Priapus Maximus” (probably Faith) continued: “Mike’s [Covel] last book [Trend Following] was a sales brochure for his trading course crap and I think it is pretty obvi- ous which book will do better. I’ll bet Mike really hates Curtis now.” [Note: Faith confronted with IP evidence of this post tried to say it was his ‘employee.’]

The bottom line is was Faith's ever a successful turtle? Yes. He made money as a turtle. Did you? Nope. So he wins the argument.

The zaniness did not end there. As explored in chapter 12, the one trading firm started by Faith in the twenty years since the Turtle experiment ended was a disaster. In trying to investigate that firm with the government, the bureaucratic process to obtain documents was painfully slow. In fact, as my book went to print in early 2007 all of the details of the case were not in. However, shortly after the release of my book the government finally provided the legal depositions involving their investigation and dismantling of this small trading firm Faith co-founded (the firm name was Acceleration Capital).

Yes, even Livermore went bankrupt.

As a writer you quickly learn that the maxim ‘truth is stranger than fiction’ is of course true, but when the United States government depositions revealed that Acceleration Capital’s trading system was simply the venerable Donchian trend trading system, unchanged, it felt like I had uncovered a shell game.

There's another system I need to test.

While this firm’s cachet was built off the [so-called] Curtis Faith Turtle trading ‘legend,’ Faith’s partner Yuri Plyam painted a picture in depositions of Faith missing in action providing no real value to the trading operation. Further, Toby Denniston, an employee associated with Acceleration Capital (see chapter 12), was stealing money from Faith’s firm to buy trips, cars, a payment for his gastric bypass surgery, various gifts for his boyfriend and lastly, to start a Barbie doll collection.

Unbelievable after all this stuff he wrote, that Faith has a link to his book on his web site. Maybe to appease him and make him stop.

Posting these verbatim depositions (which would have been buried forever if not for my Freedom of Information requests), which included the Barbie doll collection story, was just one of many events that put a damper on Faith’s assertion that he was the most successful Turtle. Faith responded to the revelations with guns blazing, “When it comes to trading Covel is an idiot.” Another post from Faith referred to me as “an idiot shyster.” The Faith lawsuit threats started:

“Covel has been duped by his own anger and his own blindness to the possibility that there might be others out there who are not dishonest charlatans. [Covel] cannot fathom why someone who actually was as successful as I was would leave so much money on the table and stop trading. The courts will prove [Covel] the spiteful jealous liar that he is. . . . Fortunately, Covel made these statements in a magazine published in the U.K. That means that I can sue him for libel there. The English have very tough libel laws because they don’t like people making things up about the royals. . . . I won’t have to worry about Covel anymore after my suit. . . . [Covel is] an asshole who has made himself my mortal enemy despite my many attempts to get him to stop. . . . Mike [Covel’s] continuing actions are only going to make it clearer to a jury that he is being malicious. The punitive damages rise every time he posts more bull****.”

Faith, explaining his legal logic, stated that he would “Donate 100 percent of the proceeds of the suit against Covel to nonprofit organizations dedicated to alternate energy research, poverty, and desease [sic].”

Oh wow, there's legal action... fascinating stuff.

Then in the spring of 2008 Faith’s childhood friend Tim Arnold spoke up. Arnold confirmed Faith’s Jehovah’s Witness beliefs, among other things. Arnold and Faith had started a small software firm together, but then Arnold bought Faith out. Following the buyout, and seeking more money beyond the original agreement with Arnold, Faith posted messages in chat forums about more supposed lawsuits. In conversation with Arnold you could tell he was exasperated with Faith. Arnold painted a picture of a Turtle who was hanging on to a reputation from twenty-five years ago, but who had now run very short on cash.

Sad reality and obviously true (it's hard to make this up), but as I said, Livermore, too.

The entire Faith story reminded me of my childhood experiences growing up around bantam roosters. Those roosters would strut around their pen in a desperate need to show dominance, to impress, to scare, to bully, but you always knew if you chased them or yelled ‘boo’ they would run away.

What does all of this dysfunctional behavior have to do with the Turtles? Faith has long positioned himself as the most successful Turtle. The evidence says otherwise. More important, if investors take Faith at his word and make him their role model, they will be guided down a path that meanders nowhere. Recently, Faith start preaching ‘trading from your gut’ – with no performance proof to back his words.

It turns out Faith was also a volunteer for the Barack Obama presidential campaign. In that effort he posted a YouTube video in December 2007. With what appeared to be a washing machine running in the background, Faith spent four minutes preaching to Barack Obama about how he could win the presidency. Even a casual observer could see Faith had no substantive tie to the campaign. There was an eerie feeling of superiority to his words as though an army of followers was waiting on his every word, including Obama himself.

Yeah, even if you were right and I can believe it, you're still a marketer who made money marketing. He's a trader who can't trade anymore. Maybe he could never trade. But he was there, with the turtles. So that makes his experience more valuable to me.

Ok, and there's an article on ytemagazine.com (see .pdf link above) where covel says:

Do the Turtle rules still work?
Turtle trading is trend following. Yes, it still works. In fact, I recently sat in at a live panel comprising Richard Dennis and his four most successful students. They are all essentially doing the same thing two decades later.

So this is telling us that Faith was presumably alone against covel, that Dennis and other turtles don't have a problem with covel, or at least not any more. And that maybe covel is so intent at humiliating Faith, because he started badmouthing him first. You know what though? covel is in bad faith. And Faith in good faith. That's what I sense. It doesn't matter if one badmouths the other one better. And that is why covel is so mad at Faith. Because the truth is you can't teach trading if you've never been profitable using the methods. It doesn't matter if the turtles accept to attend a panel with you. You still cannot do and were never able to do what you try to teach: and this is what upsets you so much. Having been exposed as a fraud is something that is burning despite the fact that Faith isn't saying anything any more and even hosted the link to your book on his web site. And what bugs Faith is maybe that he's an unprofitable trader or that he has lost a lot of the money he has made. Or that he hasn't made as much as the other turtles have. They both feel guilty about different things: one for being a fraud, and the other one for not being as profitable as he feels he should be. But to me the worst thing is being a fraud. You cannot teach what you can't do. That explains why covel is still mad for being accused of being a fraud even when no one is saying it any more, and Faith is not saying anything back. For now this is my opinion.

So, I am done with this humongous search. Now I just have to resume the .pdf by Faith, on my next post.

 

[Yamato]

resuming faith's .pdf

By the way that video was just great. There's no bull**** in it, unlike the other video with covel:

After all, faith might be broke and covel rich, but covel is still envious of him. Because he's not a fraud. You can tell by the two videos that one guy is talking from experience. The other guy is talking from hearing others talk about their experiences. Like a parrot.

Resuming from page 9 of the faith's book:
http://www.robbooker.com/woodchuck/training/turtles/turtlerules.pdf

The Turtle Experiment
Richard Dennis wanted to find out whether great traders are born or made.
The age old question: Nature or nurture?

In mid-1983, famous commodities speculator Richard Dennis was having an ongoing dispute with his long-time friend Bill Eckhardt about whether great traders were born or made. Richard believed that he could teach people to become great traders. Bill thought that genetics and aptitude were the determining factors...

From here on I will just quote the parts I like.

Since Rich was probably the most famous trader in the world at
the time, he received submissions from over 1000 applicants. Of
these, he interviewed 80.

This group was culled to 10, which became 13 after Rich added three people he already
knew to the list. We were invited to Chicago and trained for two weeks at the end of
December, 1983, and began trading small accounts at the beginning of January. After
we proved ourselves, Dennis funded most of us with $500,000 to $2,000,000 accounts
at the start of February.

Just for having been selected by Richard Dennis on that occasion Faith deserves all the credit today, regardless of what he's done afterwards.

The Turtles became the most famous experiment in trading history because over the
next four years, we earned an average annual compound rate of return of 80%.

He's also a great writer.

Page 11:

A Complete Trading System
The Turtle Trading System was a Complete Trading System, one that covered every aspect of trading, and left virtually no decision to the subjective whims of the trader.

Most successful traders use a mechanical trading system. This is no
coincidence.

A good mechanical trading system automates the entire process of trading.
The system provides answers for each of the decisions a trader must make while
trading. The system makes it easier for a trader to trade consistently because there is a
set of rules which specifically define exactly what should be done. The mechanics of
trading are not left up to the judgment of the trader.

If you know that your system makes money over the long run, it is easier to take the
signals and trade according to the system during periods of losses. If you are relying on
your own judgment during trading, you may find that you are fearful just when you
should be bold, and courageous when you should be cautious.

Sounds similar to the wise things Babcock was saying (see a few posts before). Finally some reading that acknlowedges all the problems I've had as a discretionary trader.

If you have a mechanical trading system that works, and you follow it consistently,
your trading will be consistent despite the inner emotional struggles that might come
from a long series of losses, or a large profit. The confidence, consistency, and
discipline afforded by a thoroughly tested mechanical system are the key to many of
the most profitable traders’ success.

The Turtle Trading System was a Complete Trading System. Its rules covered every
aspect of trading, and left no decisions to the subjective whims of the trader. It had
every component of a Complete Trading System.

Awesome, that's exactly what I want. Because i need to automate it. The funny thing is that they kept this quote on the present bull**** web site:
http://originalturtles.tradingblox.com/system.htm

They kept a quote of the .pdf that calls Covel names, and yet they added to the bottom of it:

For more information on the turtle rules or the turtle story, please visit www.turtletrader.com.

You go to the site, and you find covel himself, since it's his web site. What a confusing mess (I've talked about it in the previous post).

Anyway, regarding the "Complete Trading System", I've already found a related thread on elitetrader.com:
backtesting the original turtles

Which by the way I've been reading at length. I can't avoid quoting this interesting post by "uncertain" (who registered on the day prior to writinh this post):
http://www.elitetrader.com/vb/showthread.php?s=&threadid=31501&perpage=40&pagenumber=3

Hello Mr. Faith. I learned from this article on the Van Tharp website
http://www.mastermindforum.com/phor...i=13133&t=13133 (link not working, Ed.)
that you have stopped giving away the Turtle Rules for free, despite the fact that the document brags and brags about how proud you are that you're not charging money for them...

It's a good objection to Faith. I want to see where it will end (at any rate I have the rules already) and if it gets answered. Nope, no answer. Maybe because he didn't notice or maybe because he wanted to make money. Even if it were so, still better to pay someone who traded with Dennis than some marketer.

Let's keep reading the .pdf that luckily I got for free. Page 12:

The Components of a Complete System
A Complete Trading System covers each of the decisions required for successful
trading:
&#56256;&#56451; Markets - What to buy or sell
&#56256;&#56451; Position Sizing - How much to buy or sell
&#56256;&#56451; Entries - When to buy or sell
&#56256;&#56451; Stops - When to get out of a losing position
&#56256;&#56451; Exits - When to get out of a winning position
&#56256;&#56451; Tactics - How to buy or sell

By the way, I've just wondered if I am going too in-depth to achieve anything. Maybe so, but maybe this is my strength. I would have never found out about collective2 if I hadn't gone in depth in all the things I've been doing. I should just keep on working like this and skip other wastes of time:
1) checking my equity line every hour
2) counting the views of my thread
3) watching tv
Basically I get rid of the bad compulsive checking and keep the good compulsive checking, such as "who is covel? who is faith?". Another big waste of time is writing here, but I need to do it or else I wouldn't make any progress. Because, being so tired from work already, I would wonder aimlessly on the web. Writing here keeps me focus on the tasks. It's as if the readers were checking on me, to make sure I'm doing my homework.

So let's see the rules of the system and how my trading relates to them:
&#56256;&#56451; Markets - What to buy or sell
Not much of a choice here for me: I trade those same old 13 futures and I won't change them, because it's impractical. However, i can apply the rule within those markets.

&#56256;&#56451; Position Sizing - How much to buy or sell
No choice at all here for me: either 1 contract or nothing. Thus: the rule is "not applicable".

&#56256;&#56451; Entries - When to buy or sell
Yeah.

&#56256;&#56451; Stops - When to get out of a losing position
I use time exits, so it has to be twisted but partly it may be "not applicable".

&#56256;&#56451; Exits - When to get out of a winning position
I use time exits, so it has to be twisted but partly it may be "not applicable".

&#56256;&#56451; Tactics - How to buy or sell
Yeah.

So far it seems I can handle this. Let's move on in the next post.

 

[Yamato]

page 12

Markets – What to buy or sell
The first decision is what to buy and sell, or essentially, what markets to trade. If you
trade too few markets you greatly reduce your chances of getting aboard a trend. At the
same time, you don’t want to trade markets that have too low a trading volume, or that
don’t trend well.

Yeah, got it.

Position Sizing – How much to buy or sell
The decision about how much to buy or sell is absolutely fundamental, and yet is often
glossed over or handled improperly by most traders.
How much to buy or sell affects both diversification and money management.
Diversification is an attempt to spread risk across many instruments, and to increase
the opportunity for profit by increasing the opportunities for catching successful
trades. Proper diversification requires making similar, if not identical bets on many
different instruments. Money management is really about controlling risk by not
betting so much that you run out of money before the good trends come.
How much to buy or sell is the single most important aspect of trading. Most
beginning traders risk far too much on each trade, and greatly increase their chances of
going bust, even if they have an otherwise valid trading style.

I am aware of this, but I'll diversify by doing 1 contract on each future.

Entries – When to buy or sell
The decision of when to buy or sell is often called the entry decision. Automated
systems generate entry signals which define the exact price and market conditions to
enter the market, whether by buying or selling.

most important part of you pdf for me.

Stops – When to get out of a losing position
Traders who do not cut their losses will not be successful in the long term. The most
important thing about cutting your losses is to predefine the point where you will get
out before you enter a position.
Exits – When to get out of a winning position
Many “trading systems” that are sold as complete trading systems do not specifically
address the exit of winning positions. Yet the question of when to get out of a winning
position is crucial to the profitability of the system. Any trading system that does not
address the exit of winning positions is not a Complete Trading System.

Yeah, got it. I'll have to compromise and mix my time exits with your parameters. Probably you won't be happy about how i'll do this, but I have to keep my systems simple. So my most important thing to learn from you is the entries, because almost everything else I can't apply like you ask.

Tactics – How to buy or sell
Once a signal has been generated, tactical considerations regarding the mechanics of
execution become important. This is especially true for larger accounts, where the entry
and exit of positions can result in significant adverse price movement, or market
impact

Oh, ok: it doesn't matter in my case.

page 14, What the Turtles Traded

The Turtles traded liquid futures that traded on U.S. exchanges in Chicago and New York.

Perfect, just like me.

Since we were trading millions of dollars, we could not trade markets that only traded a
few hundred contracts per day because that would mean that
the orders we generated would move the market so much that it
would be too difficult to enter and exit positions without taking
large losses. The Turtles traded only the most liquid markets.

ok

In general, the Turtles traded all liquid U.S. markets except the grains and the meats.
Since Richard Dennis was already trading the full position limits for his own account,
he could not permit us to trade grains for him without exceeding the exchange’s
position limits.

Perfect. We'll be trading the same exact instruments.

The following is a list of the futures markets traded by the Turtles:
Chicago Board of Trade
&#56256;&#56451; 30 Year U.S. Treasury Bond (don't have it, Ed.)
&#56256;&#56451; 10 Year U.S. Treasury Note
New York Coffee Cocoa and Sugar Exchange
&#56256;&#56451; Coffee (don't have it, Ed.)
&#56256;&#56451; Cocoa (don't have it, Ed.)
&#56256;&#56451; Sugar (don't have it, Ed.)
&#56256;&#56451; Cotton (don't have it, Ed.)
Chicago Mercantile Exchange
&#56256;&#56451; Swiss Franc
&#56256;&#56451; Deutschmark
&#56256;&#56451; British Pound
&#56256;&#56451; French Franc
&#56256;&#56451; Japanese Yen
&#56256;&#56451; Canadian Dollar
&#56256;&#56451; S&P 500 Stock Index
&#56256;&#56451; Eurodollar (don't have it, Ed.)
&#56256;&#56451; 90 Day U.S. Treasury Bill (don't have it, Ed.)
Comex
&#56256;&#56451; Gold
&#56256;&#56451; Silver (don't have it, Ed.)
&#56256;&#56451; Copper (don't have it, Ed.)
New York Mercantile Exchange
&#56256;&#56451; Crude Oil
&#56256;&#56451; Heating Oil (don't have it, Ed.)
&#56256;&#56451; Unleaded Gas (don't have it, Ed.)

I don't have some of them, because they're illiquid, but I have a comparable basket, even more diverse, therefore so far so good.

I am skipping from page 16 to 21, on "Position Sizing", because I can't do it anyway.

Page 22, Entries
The Turtles used two related system entries, each based on Donchian’s channel breakout system.

Ok, this is it. I guess I could have gone straight to Donchian.

The typical trader thinks mostly in terms of the entry signals when thinking
about a particular trading system. They believe that the entry is the most
important aspect of any trading system.
They might be very surprised to find that the Turtles used a very simple entry system
based on the Channel Breakout systems taught by Richard Donchian.
The Turtles were given rules for two different but related breakout systems we called
System 1 and System 2. We were given full discretion to allocate as much of our equity
to either system as we wanted. Some of us chose to trade all our equity using System 2,
some chose to use a 50% System 1, 50% System 2 split, while others chose different
mixes.
System 1 – A shorter-term system based on a 20-day breakout
System 2 – A simpler long-term system based on a 55-day breakout.

Damn! Wrong timeframe for me. But can I adapt it to a lower timeframe?

Let's see:

Breakouts
A breakout is defined as the price exceeding the high or low of a particular number of days (how about 15-minute periods?, Ed.). Thus a 20-day breakout would be defined as exceeding the high or low of the preceding 20 days.
Turtles always traded at the breakout when it was exceeded during the day, and did not wait until the daily close or the open of the following day. In the case of opening gaps, the Turtles would enter positions on the open if a market opened through the price of the breakout.

I have to get on tradestation and start testing this. I'll use the Eur.

If time >= 1400 and c > highd(0) Then Buy This Bar;
If time >= 1600 and marketposition <> 0 Then ExitLong This Bar;

Done. This is a system that says: if price is more than today's high between 14 and 16 then go long and stay long for two hours. This is like the turtles system, on a shorter timeframe, and in my own style.

It uses levels, it uses a breakout above some high, which is not what they recommend but what I recommend. The principle is the same, and I would not be surprised if it worked and if I stopped sharing the formulas as i go along. But if someone makes money from my formula, then give it to me and I'll give it to some charity, to myself, since I am poor.

It's giving me problems. I might have to use the "highest" function.

A common usage of the Highest function is to find a breakout. For example, an important occurrence is when the value of the PRICE parameter for the current bar is the highest value over the last x bars. Many people encounter a problem when using the function to find a breakout because they forget to remove the current bar from the function. The statement they usually enter is Close>Highest(Close, 14). The problem with this statement is that it will never be evaluated as true. Let’s assume that the Close of the current bar was also the highest Close over the last fourteen bars, this would only equate the two sides of the expression. Therefore to overcome this problem you must exclude the last bar from the calculation of the function. This is done by offsetting the function by one bar. Thus, you will be comparing the Close of the current bar with the value returned by the Highest function for the previous bar. The corrected statement is Close>Highest(Close,14)[1].

Let's try this:
If time >= 1400 and c > highd(0)[1] Then Buy This Bar;
If time >= 1600 and marketposition <> 0 Then ExitLong This Bar;

Damn, am I good. It works and it is profitable. Ok, this is the end of all the sharing, because I will create another 20 systems now. Then come back and analyze some more stuff on Urraca's web site and his list of profitable strategies.

Damn, I kept hearing about the famous "breakouts" but I didn't know it was for me as well.

...They're writing songs of love, but not for me,
A lucky star's above, but not for me,
With love to lead the way,
I found more skies of grey,
Than any Russian play could guarantee...

http://en.wikipedia.org/wiki/But_Not_for_Me_(song)