my journal 2

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Resuming from here:
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-184.html#post1347792

The next one to analyze is Reliant:
http://www.collective2.com/cgi-perl/system34835508

Which is totally unknown by comments and other information I could find. So let's read all we can find on collective2.

The chart looks good.

Instruments Mostly Stocks; (some futures)
Strategies Volatility trading, Market timing
System started 9/4/2008 (27 months ago)
System developer fingeek
Contact
(Last login to C2: 12/7/10 8:33)
C2 Score: 996
Click to expand...
The age is good.
C2 score is good.
Last login is good.

Autotrade data is there, so that's good, too.

322 trades in 28 months is good as well. It trades about 3 times per week.

Statistics look good as well. Trade duration and profit good. Drawdown is good.

Let's read what it does:

I have been trading systems based on this algorithm for more than 6 years now, with quite good results.

This system requires a pattern day trading account with a minimum initial balance of $25000.

Results shown use 2:1 margin allowed by C2, but typically, a day trading account can use 4:1 margin. Results can be increased further 50-80% by using 4:1 margin.

Each trade is approximately 50% of the equity so, using 4:1 margin, maximum 8 trades are allowed. If you use 2:1 margin, then 4 trades are allowed.

Short signals can be ignored if your account does not permit shorting stocks (Most IRA accounts).

The system signal generation is completely automated. Signals are entered each day when the security moves within some distance towards the entry price.

IMPORTANT!!
System does not use stops, but always closes any open positions at the end of the day.
Risk can be controlled further by taking each position equal to 33% or even 25% of the equity.
Click to expand...
Just perfect. It sounds exactly like my systems. Let's see what the trades are.

The one thing I do not understand is why there are neither reviews nor comments.

Oh, wait, here's another synopsis which doesn't sound as good as the rest of it:
Reliant is an end of day trading system holding stocks for the day-trading session. It only trades highly liquid stocks. The limit price is calculated using a proprietary non-linear algorithm that considers historical volatility of the security. It is completely automated with minimal manual intervention.
Click to expand...
I don't like "end of day trading system".

Let's look at the trades now.

There you go. End of day my ass:

hour / trades
9 111
10 55
11 34
12 36
13 30
14 25
15 27
16 4
Total 322

The trades might last a day, but they start, just like for my systems, throughout the day. So it's interesting.

Since time is EST, this means one third of all trades take place in the first half hour since the open, from 9.30 to 10.00 EST. Then they are spread out across the rest of the day in a decreasing number as the day unfolds.

Months are uneven, with 2 trades in some months and 45 in others. Interesting.

Trading about 200 products in 322 trades. This is totally unlike my systems.

57% of wins (I wonder if they're including costs this time).

What does this system do?

Let's see first when it exits, too. And how many long and short trades.

exit hour Total
9 37
10 7
11 2
12 9
13 4
14 4
15 241
16 18


Holy cow, it's not even true that it's an end of day system. However, it does exit mostly at the close.

Direction of trading:
Action Total
BUY 300
SELL 22

Ok, it's clear now. This system waits all day long for a situation of highly oversold stocks and then buys them, holding them for an average of 11 hours.

But hey look here, this says a lot: 322 trades and their duration. Some trades lasted hundreds of hours. Not good. Some trades lasted almost 2 months. This doesn't look "completely automated" to me.

hours duration
0 29
1 38
2 26
3 29
4 25
5 37
6 108
7 1
17 4
18 4
19 2
20 2
21 2
22 2
23 2
24 5
48 1
71 1
141 1
143 1
648 1
864 1

There's over one third of trades lasting less than 3 and a half hours. This doesn't sound like an "end of day trading system" to me. The fact that you keep some trades open for two months and the average turns out to be 11 hours doesn't make it an "end of day trading system".

If we get rid of those 4 trades lasting hundreds of hours, the average trade duration is 5 hours, and not 11 hours. This means: "intraday system".

Which is confirmed by this:
System does not use stops, but always closes any open positions at the end of the day.
Click to expand...

And when it does so, the average duration goes down to 4 hours.

Only problem is that in 29 cases out of 322, it doesn't do it. Once again, not a sign of being "completely automated".

This is teaching me something.

The system is obviously profitable and yet very simple and it clearly goes long on oversold stocks: "it considers historical volatility" means that if a stock has never fallen more than 3% the system will go long when it reaches that level or close. I can't use it because I can't monitor that many stocks. However, the concept of going long on oversold futures is nothing new to me, so I have not learned any methodology here (except having being reminded of the advantage of monitoring many stocks).

I have to focus on more complex systems.

On the other hand, I must keep this in mind: simple is good, many stocks is good. I can't do it right now because IB TWS and my excel workbook don't allow me to monitor all these stocks. It'd be a mess.

Let's move on.

Actually let's get done with all the stocks systems by checking them out quickly and seeing right away if they're trading hundreds of stocks, in which case I will discard them, like this one.
 
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resuming from previous post

I now just have to check 5 more stocks systems and probably get rid of them. Tomorrow I'll do the 4 surviving futures' systems and take my time with them.

Surviving stocks systems:
ATS - 1 Day only 1.3 days
Zero 1.4 days
Rainier 1.6 days
Reversion II 2.1 days
Captura DTS System 4.3 days

Their duration is listed next to their names.

Here's more info on them (from a previous post):

Amplitude Trading Systems (no information)
ATS - 1 Day only STOCKS
reviews: none
Analyst notes: none
tracked by: 19
"autotrade data": YES

NB - John Skillern - TRUST
Zero STOCKS
reviews: passed
Analyst notes: passed
tracked by: 155
"autotrade data": NO

Cliff Fiess - TRUST
Rainier STOCKS
reviews: passed
Analyst notes: passed
tracked by: 115
"autotrade data": YES

RTD Systems (no info)
Reversion II STOCKS
reviews: failed
Analyst notes: passed
tracked by: 3
"autotrade data": YES

Thomas Sickenberg - Captura Invest - TRUST
Captura DTS System STOCKS
reviews: passed
Analyst notes: passed
tracked by: 124
"autotrade data": NO

Actually I can't just rush things and get everything done quickly. It's no fun and it's useless. I'll keep doing this tomorrow. One at a time and taking my time with it, too.

For now let's take a break with the swingle singers:

 
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resuming from here:
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-185.html#post1348386

I've checked out all the stocks systems. My appraisal is that they are all legitimate and honest strategy creators. Most likely most or even all their systems go long in oversold Nasdaq stocks. That's what they do. I can skip them all, because I know that strategy, and I am using it already. Of course, since I trade only 13 futures, I can't use it that often.

I guess I spoiled myself with variety of strategies and restricted myself in quantity of traded products. I can't expect them to do what I am doing: six or seven different types of strategies on a basket of 13 futures. They are likely doing just one strategy on 100 nasdaq stocks.

The next step is working on the 4 futures systems, to see if they can show me other strategies:

Giuseppe D'Ettorre (no information)
ONE'N'GO FUTURES
reviews: passed
Analyst notes: passed
tracked by: 11
"autotrade data": YES

David Urraca - TRUST
RD30 Day Trading FUTURES
reviews: passed
Analyst notes: so so
tracked by: 78
"autotrade data": YES

Futurm
Turning Points FUTURES
reviews: passed (very much so)
Analyst notes: passed (very much so)
tracked by: 285
"autotrade data": YES (some)

Bradley A. Strobel - Interlink Trading
Interlink Trading FUTURES
reviews: none
Analyst notes: so so
tracked by: 116
"autotrade data": YES (some)
 
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insomnia

Damn, I knew it was going to happen again.

A little pinch of Vito, saying "hi" to me in the stairs on tuesday, a little bit of my father talking to me, the neighbours slamming their door, or simply existing, and the recipe for insomnia is complete.

Oh, and the losses by the ZN_ID_2. Luckily we have disabled the ZN_ID just in time to avoid another 1000 dollars loss. This week ZN_ON_2, my best system, lost, too. A big loss of 1400 dollars yesterday.

The only way out of this mess is the systems, the money, the retirement. So let's keep working. Even though maybe that is precisely what's keeping me awake: work.

But let's do it, because at this precise moment I don't see what else I could do, since I am not falling asleep anyway.

Resuming from above, ONE'N'GO:
http://www.collective2.com/cgi-perl/system49369845

Not even one. Go to bed right away, because I drank some wine and it's helping go back to sleep.

Back.

Just could not sleep. To tell you the truth (i always do), I went and tested another system. I think I've just finished creating my 65th and 66th systems (the out-of-sample will tell). Of course just one third of them works.

This last one was wonderful. Straight equity line, right to the top.

Anyway, how unlucky can a person be? Now that I've gotten used to the idea that only one third of my system works, I will be more selective in picking the ones to trade, and things will go well. Let's just remember that half of my systems do not work, and another quarter stops working. I am left with one fourth of excellent systems, and there's no way I can fail. Except if I pick, along with the good ones, a handful of bad systems, which will cause me nothing but losses, like it's happened in the last semester. And we're at zero again, as of today. Hopefully, if the GC_ON keeps that profit I am seeing right now. Otherwise we're below zero for the semester.

So, back to ONE'N'GO and its trades. On a pivot table.

Descrip Total
E-MINI NASDAQ 100 111
E-MINI S&P 500 105
MINI DOW 94
Grand Total 310

Good.


Action Total
BUY 172
SELL 138

Good.


year plus month Total
2010_05 24
2010_06 46
2010_07 47
2010_08 43
2010_09 42
2010_10 50
2010_11 44
2010_12 14

Good. Just like my systems. Same amount of trades.

The ONE'N'GO System trades the E-Mini S&P 500 (ES) the E-Mini Nasdaq (NQ) and the Mini Dow Future (YM). It is a market-timing system combined with technical analysis. If market conditions are met it trades once a day per market...
Click to expand...
As usual the overview on the top right pane is different from what you see when you click "read more...". This really sucks. In "read more..." there's less useful info in many ways.

Anyway, the system here has a problem. Look:

hours duration / trades
0 31
1 44
2 58
3 42
4 5
5 4
6 2
7 1
11 2
13 2
14 2
15 3
16 3
17 3
18 1
19 3
20 12
21 11
22 7
23 4
24 2
25 1
26 3
27 2
28 1
29 2
30 3
31 1
44 1
45 2
46 1
47 1
51 1
54 3
55 1
56 1
57 1
61 1
63 1
69 4
70 2
72 1
75 1
76 1
77 4
78 1
79 1
81 3
86 2
88 1
95 1
96 1
98 1
99 1
101 1
109 1
112 1
113 1
114 1
122 1
128 1
141 1
146 1
164 1
167 1
187 1
189 1
240 1
246 1
457 1
Total 310 trades

Three quarters of the trades last less than one day. Then something happens, whereby we have another quarter lasting from one day to over one month. What the hell is wrong? How can a system trading sp and nasdaq futures do something like this? Isn't it just a trade gone wrong? Those people saying martingale might have been wrong, as the strategy creator says, but not too far from the truth. If you keep your position open for a month, it's not martingale but you're still not using the stoploss.

This thing with trades lasting forever keeps happening with systems that say they're closing them within one day. I wonder why. In six months of trading for the investors not once my systems have held a position open for longer than they were supposed to hold it according to the back-tested code and automated code. If there were problems I opened/closed them manually within an hour of the problem happening. This thing I am seeing of a few isolated trades lasting one month or even two months seems fishy. I yet have to see a system that closes all its trades within the time limit they mention in the Overview / System Description, which so far has been 24 hours. They all keep talking about one day, and then I keep seeing trades lasting a month or two.

Anyway, there's some lessons to learn from this system, too. But I have them all in my subconscious and I don't find it good right now to state them clearly. Let them grow in my head.

Moving on to the next system, the one by David Urraca. But maybe now I'll go to sleep.
 
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RD30 Day Trading

Guess not. I just wrote a text message to boss, saying I'll take another day off.

http://www.collective2.com/cgi-perl/system37780234

Trades per month:
2009_01 31
2009_02 90
2009_03 92
2009_04 63
2009_05 42
2009_06 50
2009_07 78
2009_08 46
2009_09 48
2009_10 36
2009_11 68
2009_12 27
2010_01 54
2010_02 89
2010_03 79
2010_04 61
2010_05 43
2010_06 49
2010_07 56
2010_08 46
2010_09 48
2010_10 60
2010_11 32


Good.

Descrip Total
BRITISH POUND 120
CAC40 230
DAX INDEX 247
E-MINI NASDAQ 100 142
EUREX BUND 265
Gold 100 oz NYSE Liffe 37
Mini Midcap 400 247
Grand Total 1288

Good.

Action Total
BUY 658
SELL 630
Grand Total 1288

Good.



This is it:

hours duration Total
0 161
1 266
2 169
3 136
4 121
5 102
6 129
7 53
8 86
9 62
10 1
17 1
22 1
Grand Total 1288


I knew this guy was honest. Finally the trades all last as long as they should.

Let's see what else we can observe.

The RD30 Day Trading is a portfolio of 100% automatic systems. This system trades a diversified basket of futures that show low correlation.
Click to expand...

So far it's like my systems in every aspect.

Yeah, in back-testing my systems looks even better, but just in back-testing.

http://www.espaciodetrading.com/images/PDFs/rd30_day_trading_english.pdf

Hours of entries:

hour Total
3 241
4 163
5 84
6 69
7 44
8 85
9 188
10 210
11 70
12 45
13 33
14 31
15 22
16 2
20 1

Peaks at the European and US opening hour.


Hours of exits:

exit hour Total
2 1
3 16
4 68
5 48
6 40
7 37
8 70
9 90
10 155
11 87
12 273
13 149
14 42
15 83
16 128
20 1

Peaks at the European and US closing hour.


Duration of trades:

hours duration Total
0 161
1 266
2 169
3 136
4 121
5 102
6 129
7 53
8 86
9 62
10 1
17 1
22 1
Total 1288

The largest majority last from 0 to 4 hours. This is very much like my systems.

The duration is equally distributed among the futures traded. So are the entry and exit hours, roughly (with a few differences of course).

This means that he doesn't have precise entry and exit times, but that he uses either a trailing stop, a take profit. And a stoploss.

Here's its performance.

40% profitable trades.
75% profitable months.

Profit factor 1.3

Yes, all this is interesting.

Too bad collective2 never includes costs so that I am left guessing. Too bad also that it uses compound return.

So far this is the best system I've seen on collective2. It is a serious system creator, who delivers what he promises. There's no unexpected trades, lasting longer than they should.

We'll see if I'll find anything better, with just 2 futures systems to go. In the future I will just analyze futures systems. I learn much more this way.

This collective2 has turned out to be the gold mine I had predicted. I will be learning a lot, especially from the excel files with the listed trades. Now I might go to bed. I wish I had some drugs, like marijuana. That way I could sleep better.
 
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Turning Points

Futurm
Turning Points FUTURES
reviews: passed (very much so)
Analyst notes: passed (very much so)
tracked by: 285
"autotrade data": YES (some)

Problem with duration in hours (the usual unexplainable month-long trades):

hours duration Total
0 16
1 3
2 7
3 1
5 2
6 3
7 6
8 6
9 4
10 4
11 5
12 3
13 3
14 5
15 6
16 11
17 9
18 7
19 6
20 4
21 1
22 2
23 8
24 28
25 6
26 2
27 1
28 2
29 2
32 5
33 2
35 2
36 3
37 2
38 2
39 2
40 3
41 3
42 2
43 1
46 1
47 1
48 23
49 2
50 1
51 1
52 1
57 2
60 1
61 1
62 2
63 5
65 1
67 1
70 2
71 5
72 11
73 1
74 2
77 1
80 1
82 1
85 1
87 1
88 1
89 1
90 2
91 1
93 1
95 4
96 21
97 1
98 4
102 1
106 1
109 2
110 2
111 2
113 1
114 1
115 1
116 1
119 1
120 15
121 1
122 1
131 3
132 2
133 1
134 1
137 1
138 1
144 13
146 1
149 2
152 1
158 3
159 1
160 2
167 1
168 17
172 1
180 1
185 1
187 1
191 1
192 6
198 1
205 1
208 1
209 1
216 2
218 1
240 1
241 1
263 1
264 1
279 1
291 1
298 1
312 2
355 1
360 1
384 1
528 1
576 1
669 1
Total 408

Turning Points is time tested and based on a robust methodology. It works in all markets, bull, bear and everything in between. A major adjustment was made 8/5/10. Only one trigger is now used. The same trigger used exclusively during the first 7 months.
Click to expand...

Wow, awesome... so many symbols traded:

Descrip Total
AUSTRALIAN DOLLAR 14
BRITISH POUND 24
CANADIAN DOLLAR 13
COCOA 10
COFFEE 11
Copper 18
CORN 21
COTTON - #2 19
CRUDE OIL 6
DAYTIME ONLY MINI-SIZE DOW ($5MUL) 2
E-MINI NASDAQ 100 5
E-MINI S&P 500 8
EURODOLLAR 4
EURODOLLAR - 3 MONTH 1
EUROFX 16
FEEDER CATTLE 6
Gold 100 oz 26
Hard Red Winter Wheat (Pit) 4
HEATING OIL #2 5
JAPANESE YEN 20
LEAN HOGS 5
LIVE CATTLE 8
MINI DOW 5
MINY CRUDE OIL 7
NATURAL GAS 2
ORANGE JUICE 5
PLATINUM 1
Silver 5000 oz 13
SOYBEAN MEAL 14
SOYBEAN OIL 19
SOYBEANS 11
Sugar #11 22
SWISS FRANC 10
U S DOLLAR INDEX 4
US Dollar Index 3
US T- BOND 3
US T-BOND 14
US T-NOTE 2 YR 1
WHEAT 21
Grand Total 401



Yes, it is indeed an end of day system, trading rarely, and holding positions open depending on price levels rather than time:

year plus month Total
2006_11 15
2006_12 8
2007_01 11
2007_02 17
2007_03 14
2007_04 9
2007_05 21
2007_06 14
2007_07 6
2007_08 11
2007_09 10
2007_10 5
2007_11 3
2007_12 3
2008_01 3
2008_02 2
2008_03 4
2008_04 11
2008_05 5
2008_06 14
2008_07 25
2008_08 12
2008_09 13
2008_10 11
2008_11 8
2008_12 1
2009_01 3
2009_02 2
2009_03 4
2009_04 3
2009_05 5
2009_06 5
2009_07 6
2009_08 8
2009_09 8
2009_10 9
2009_11 4
2009_12 1
2010_01 5
2010_02 6
2010_03 12
2010_04 14
2010_05 4
2010_06 9
2010_07 6
2010_08 13
2010_09 4
2010_10 7
2010_11 12
2010_12 2
Grand Total 408

Only 62% of profitable months. I am pretty sure this version below is a better version of it. Probably trading even less frequently.

I am indeed taking a look at this other one, "High Win % / Low Risk", a more recent system by the same creator:
http://www.collective2.com/cgi-perl/c2systems.mpl?systemid=49251585

This system has been created with the C2 subscriber in mind and should be one of the easiest systems to trade. "High Win % / Low Risk" is based on 20 years of dedicated work in understanding price movement and the high demands of subscribers.

Our main goal is 75% or more return, "year in and year out." This is well below the true potential of this system.

Other goals are as follows:
1) Good equity curve.
2) Low drawdown's.
3) High win %, 70% or greater..

This system is manually traded and 100% mechanical.

End Of Day trading.
Click to expand...

year plus month Total
2010_05 5
2010_06 6
2010_07 4
2010_08 8
2010_09 3
2010_10 4
2010_11 7
2010_12 3
Grand Total 40

Just as expected. It probably selects the best signals from the other one. It probably makes less money but is more efficient.





Duration in hours:

hours duration Total
0 1
3 2
5 2
6 1
8 1
9 1
10 1
11 1
13 1
14 1
16 3
17 2
21 1
22 1
24 1
25 2
31 2
32 1
36 2
38 1
39 2
40 1
41 1
76 1
80 1
88 1
90 1
96 1
106 1
110 1
136 1
Total 40

This tells me, since the system is very recent, that maybe this guy only exits based on levels and not on time. And maybe also the other creators did. So I have to think about this whole thing all over again.

Just as i expected, it trades as many symbols as the other one:

Descrip Total
AUSTRALIAN DOLLAR 2
BRITISH POUND 4
CANADIAN DOLLAR 1
COFFEE 2
Copper 2
COTTON - #2 2
E-MINI NASDAQ 100 1
Gold 100 oz 2
Heating Oil 1
JAPANESE YEN 2
LEAN HOGS 1
LIVE CATTLE 2
Silver 5000 oz 3
SOYBEAN MEAL 3
SOYBEAN OIL 1
SOYBEANS 2
Sugar #11 3
SWISS FRANC 3
US T-BOND 1
WHEAT 2
Grand Total 40


Ok, now I will check if the two systems overlap and if I can find these trades of the second system on the first system. I would expect so.

Not so right about this. Only 7 trades out of 40 match with trades made by Turning Points.

For now it's enough.

No, wait.

We can draw some conclusions.

The trades of Turning Points last much longer than the ones by my systems, so it's harder to compare that system to mine and draw lessons, but, for both futurm's systems, the symbols traded are a valuable lesson on what I could trade.

Other than the duration being different and making me prefer Urraca's system better, because I can relate to it much more, I must add that a big limit in my systems has emerged: I have time exits.

My time exits were created on excel because they're simpler. It is simply because I can't program a target level exit and get that reported to my excel workbook. Here's the problems:

1) it is not easy to get a stoploss and and a takeprofit sent from excel to IB TWS
2) even if I achieve that, it is impossible as far as I know, to get TWS to send me back that information in an automated way - which is the only way I will have it.

These are major issues that hamper my programming.

Therefore Urraca's systems, all its trades lasting less than one day, make it much closer to my systems and make comparisons more useful. Those systems, with irregular durations such as all the systems I've seen so far except Urraca's, are hard to compare with and hard to study for me. Because even if they told me what they do, I could not automate them.

But a third issue emerges:

3) not only am I unable to automate a price level exit, but I am also unable to see anything in price levels, that could be useful in triggering an exit.

These 3 issues are all related. Because if you can't use something, you won't learn to use it. If you can only use time exits you only learn their usefulness. In other words, I don't believe and can't figure out, never was able to figure out support and resistance levels (let alone automate). On the other hand, given these limits in strategy and automation, I have developed substitute knowledge about time entries and exits.

Let's say there's an oversold condition and you expect a move up. It will not sleep. It will happen in the next few hours. And if it doesn't, chances are there's going to be a big move against you.

Something similar applies to stoplosses and takeprofits. For takeprofits, I am against it. You have to let it run for a few hours, regardless of where it gets. It's like a bus, that's how i see it. A car I don't have a map for. I know it will run all day long, but I don't know where the bus stops are. I am in the dark as far as the city map.

Stoplosses: it won't fall too far if you only allow it a few hours. And at the end of the day it will reach a reasonable price, both in terms of gains and losses. What I am trying to explain, even to myself, is that if price had to rise, it will have done it by the end of the day (and all of it, too). If it didn't do it, you might as well close it. So that is why I am ok with time exits. On the other hand, it will be hard to make sense of all these systems that do not use them, except for urraca's, whose trades, for one reason or another, are not identical in duration, but all stay within the day.

It's a pity because at least in this case, with futurm's systems, I am missing out on something - these systems are better than mine, by all means. But I can't work on something I cannot achieve. I am not getting started on a task and I cannot accomplish.

Moving on to the next and last system that I set out to study:

Bradley A. Strobel - Interlink Trading
Interlink Trading FUTURES
reviews: none
Analyst notes: so so
tracked by: 116
"autotrade data": YES (some)
 
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QG vs NG

The qg trade by the NG_ID_2 is being profitable. But it might not be a profitable system to trade on the QG in the long run. I've checked out the "costs problem".

Commissions can be ignored because they're about the same.

I'll be focusing therefore on the spread problem. Also the spread is the same. 1-2 ticks on both NG and QG.

But then they're the same? Nope. The QG ticks are 5 times the size of the NG ticks, and, accordingly, they move 5 times less. They're worth 13 dollars vs the 10 dollars of NG ticks.

This is complex, misleading and confusing. We need an example.

If the NG moves 20 ticks in your favor you make 200 dollars, minus spread costs, which are one or two ticks, thus an average of 15 dollars, minus another 5 dollars of commissions, for a total of 20 dollars.

So, for 20 ticks in your favor, you make only 180 dollars.

At the same time, the QG will only move 20/5=4 ticks.

But it will nonetheless cost you 1 or 2 ticks in spread and almost as much in commissions (but let's say half as much because I could not find out in IB's labyrinthine web site).

So, you make 13*4=52 and so far everything is the same. Or maybe it was 12.5 per tick, in which case the total is 50. It would make more sense.

Anyway, then you have to subtract about 20 dollars just like for the other trade, except the other trade made you 200 dollars.

So in one case 20 dollars of costs represents 10% of your profit. In the other case, the costs are just the same, but you made one fourth the profit, and 20 dollars represents 40% of your profit.

Now we have established that it's much less convenient but to know how much, we have to find out how often my system trades or rather how much it makes per trade.


HOW THIS DISADVANTAGE AFFECTS NG_ID_2

The average trade is 51 ticks. But that was on tradestation and I was already subtracting 3 ticks for costs (spread plus commissions).

The average trade... but the future is worse than the past. So let's say that the average trade is 40 ticks, to be realistic.

On NG this means 380 dollars made per trade, on average. 20/400=5% costs relative to overall profit.

On QG this means 40/5 = 8 ticks in your favor times 12.5 = 100 dollars per trade, which only makes sense, because we said it from the start that QG was one fourth of NG.

Once again, I have to subtract a cost of 12.5 times 1.5 (sometimes it's one tick sometimes it's two)... so once again I subtract 20 dollars.

So, ok the system is still profitable, but this time costs are 20/100=20%.

So, on average I will be making, given my investment, 15% less profit per trade. In both cases I'll make 20 dollars less per trade due to costs. But in one case that 20 dollars will be four times as heavy as in the other case.

Still good enough to trade.

When would it cease to be profitable? In case where profit went down from 100 to 20 dollars, or rather from 8 QG ticks to roughly 2 QG ticks.

Instead, for the NG, that would be equivalent to five times as many ticks (every QG tick is worth 5 NG ticks), and a move of 10 ticks would still make it profitable. NG could still be profitable with as little as 3 ticks per trade, whereas in that case, QG would lose almost 15 dollars per trade.

If I were better at math, i could have summarized everything in one formula. But I can't and I have to write a book each time.

P.S.:
Perfect example. There was a trade today and it got closed by the NG with a gain of 5 ticks... minus 2 ticks for costs, 30 dollars of net profit.

Needless to say the equivalent QG trade lost precisely 15 dollars. This is how it went probably. When the trade was started there must have been a spread of 2 QG ticks. So we lost 2 ticks in spread costs. Then one tick went in our favour due to the favorable market move. Then you add about 2 dollars in commissions and you get the loss of 15 dollars on QG, simultaneous with the profit of a guesstimated 30 dollars on the same trade executed on the NG.
 
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resuming from here:
http://www.trade2win.com/boards/trading-journals/85510-my-journal-2-a-185.html#post1349156

Here's last system that I set out to study:

Bradley A. Strobel - Interlink Trading
Interlink Trading FUTURES
reviews: none
Analyst notes: so so
tracked by: 116
"autotrade data": YES (some)

But first some music:


Yeah. This system is not that good, but we can still learn something from it.

Trades 749
# Profitable 256 (34.2%)
# months tracked 58
Profitable months 32 (55.2%)
Avg trade duration 3.0 days
Annual return (compounded) 69.4%
Average win $1,095
Average loss $369

Yeah, this part is similar to mine:

Action Total
BUY 696
SELL 51
Grand Total 747


days duration Total
0 244
1 131
2 90
3 68
4 51
5 45
6 36
7 20
8 13
9 13
10 7
11 9
12 4
13 10
14 2
15 1
17 1
19 1
22 1
Grand Total 747

Well, yeah, this is the typical "end of day" system based on price levels triggering exits. Only one third of all trades last less than a day (244).

There you go, my last feat. And look at how many products it trades:

Descrip Total
AUSTRALIAN DOLLAR 21
BRITISH POUND 18
CANADIAN DOLLAR 32
COCOA 41
COFFEE 33
Copper 18
CORN 5
COTTON - #2 55
CRUDE OIL 6
EUROFX 11
FEEDER CATTLE 12
Gold 100 oz 29
JAPANESE YEN 45
LEAN HOGS 46
LIVE CATTLE 29
LUMBER 21
MINY CRUDE OIL 6
MINY NATURAL GAS 17
Natural Gas 19
Oats 13
Orange Juice 47
PALLADIUM 14
PLATINUM 22
PORK BELLIES 17
RBOB Gasoline 3
RICE 1
Rough Rice 14
Silver 5000 oz 14
SOYBEAN OIL 14
SOYBEANS 17
Sugar #11 42
SWISS FRANC 14
US T- BOND 1
US T-BOND 8
WHEAT 22
(blank) 20
Grand Total 747


http://en.wikipedia.org/wiki/I_Ain't_Got_Nobody


I am done. Now I am preparing a model with preset pivots to analyze quickly any csv files (with trades) I will download from collective2.

I will post it here.

Here you go:
View attachment C2_modello_analisi_trades.zip

All one needs to do is replace the trades database and click "update all pivots", to have a good summary of any system on collective2.

There was a major major discovery.

This guy lost just money with two thirds of his trades, all those lasting between 0 and 2 days.

This was going to make me say: dude, don't make those short term trades. But it would have been stupid, because this guy is not like me, using time entries and exits. His trades lasting less than 2 days are probably trades that failed and that is why he closed them quickly. This tells me a lot about his style of trading. The so-called "cut losses short and let profits run". I wonder if that's what it is. I know people do it, even though I have no idea of how they do it, given that I have never been a profitable discretionary trader, and that in my automated trading all trades, whether they wins or losses, all last the same exact time. I have never been able to use a stoploss or take profit profitably, both in terms of creating a profitable strategy, back-testing code (that is actually the easiest part), and ultimately the automation code. So ok, this discovery told me something, but I can't really understand exactly what it means.
 
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sad

My dad is in the other room, watching tv.

Why should I go there and talk to him? At once I feel sorry for him and mad at him.

If I'll go there he will make no efforts to talk to me or listen to what I have to say. All he's willing to do is talk about politics and about how the world is falling apart. He's not even willing to listen to my opinion about the natural catastrophes he's lecturing on. He just wants to lecture me. If I bring up something that I want to discuss, he looks bored and totally lacks any empathy.

At the same time I know he would like me to go there and join him. But... what the heck: it's like having to deal with one of those dogs that want to jump on you and lick your face. I realize you have nothing against me, but your interactions with me are so unpleasant that I have to avoid you. Whose fault is it?

His fault that he had such a life as to become selfish, narcissistic and insensitive to others?

My fault that I don't let him have his way?

No one's fault. I am not so generous and he's not generous either, maybe because we're both not smart enough to understand the other, maybe because we're both too selfish to let the other have his way. Maybe because it's not a manly thing to do to let another person have his way all the way. He brought me up this way - he brought me up to fight him, and to not let him have his way.

It's like not having a father basically. Like living in army barracks all my life.

I grew up with a father that acts like a general around soldiers. He doesn't give a **** what I think and doesn't act like I even have an opinion worth listening to.

My mom is like a nun. If I ever came home and, hypothetically, complained about any classmate. He would not listen or even blame me for something I did wrong. Any of his sentences began with either "wrong..." or "no...". My mom instead always took sides with whoever wronged me, whether at home, at school and now at work. She says: "oh, poor people, they must have had a tough life...". She always tried to teach me sympathy for those who wronged me. And to show the other cheek.

That's how one starts writing journals. Because you can't talk to the people around you.

I urgently need fuel.

The systems have failed to show profit and might show it in the future, but for now they have failed to give me the fuel i urgently needed to support my getting up each morning and going to work.

I'll keep turning them on like a robot. I haven't stopped doing that for over a year. I didn't miss one day.

I'll keep doing it.

The problem is work and particularly vito.

Speaking of which, I've watched this great documentary:
http://www.moviesonlineathome.org/watch-2166163-I-Knew-It-Was-You-Rediscovering-John-Cazale

Yeah, I wish vito behaved like don vito corleone or even just like fredo. He's such a scumbag that they don't even have a character like him in the godfather.

So, listen: I need fuel. Because I can sense that, given the temporary failure of my selected systems, I don't have the necessary balance.

Necessary for? Granted that I won't talk to my dad, because he'll make me suicidal. Granted that I won't even ride a cab to meet a friend in another part of rome, especially someone who's not totally pleasant.

But the reason I am worried is that - due to vito - I am lacking the balance/energy necessary to go to work.

That chimp is a daily challenge. He still - after 5 months - has not completely understood that there can be no relationship between us, ever again.

So at least once a day he still throws a comment here and there, about the weather, politics, a colleague, to try and start a conversation with me, after which he will proceed to get familiar, and next to disrespect me. He's always trying to push his limits.

His philosophy is "better to be hated than ignored". He's desperate to be liked by me, but if it really doesn't work, then he'd rather be hated and bother me. I have been really working on him and managed to keep him quiet for over a month, but it's a daily struggle, because you can't ever get distracted or he'll try, much like berlusconi, to get on familiar terms with you. And, as I said, next comes trouble. Next comes being touched by the chimp, being... almost like a dog as i said about my father. He doesn't know a behaviour that suits me and therefore we cannot have any relationship. Any relationship with him or my dad turns out to be unpleasant for me. Maybe because I am intolerant, but intolerant of idiots and assholes. Or rather, let's even say that I am not good at handling these harassing people, like my dad and vito, and that my only choice is to avoid them. Others are good at dealing with them, and can make it a pleasant experience I guess.

Anyway, I need some fuel fast or else either of these will happen:
1) I will skip work (due to insomnia, like I have been doing - but subconsciouly I cause the insomnia because I want to skip work)
2) I will quit my job
3) I will lose my temper at my job and vito will feel accomplished

If Vito leaves, it will all be fine. But if he still stays in my room, then I will need fuel, in the form of self-confidence basically. I was looking for the markets to deliver me some profit, hope for the future, and self-confidence. But it didn't happen.

I need something that will tell me that I am better than vito and vito is a worthless piece of ****. And that I can keep on ignoring him.

Because you know even if you are a great person, if you go to a place where you're around idiots who keep on ignoring your value, sooner or later you will lose all your self-confidence and think you're worthless. Simply because you hung out too much around the wrong people.

There needs to be an outside source of confidence, constantly reassuring me and telling me:
1) you're better than vito and people like him
2) you will soon leave this ****-hole.

Profits from the systems was going to be the perfect source for that type of confidence, but it did not happen.

I need an alternative source of confidence and fast.

You see, now I have the investors checking on me both on my own account and on their account. If I had been in a different situation, i would have engaged in compulsive gambling looking for this confidence I am talking about. Trying to compensate my anxiety with a profitable trade. That's how I've been blowing out my account over and over again.

Now I can't do it anymore, so I've been resorting to skipping work. I can't do this either though, because I can't afford to get fired.

Part-time until 3 PM is good, but not enough.

The answer might be that i just stop working on this stuff for two or three months, until profit materializes and motivates me.

If I start taking it easy, things might be easier to take, even at work. Whatever happens, I'll let you know - unless I die or am hospitalized. I'll let you know what I'll come up with.

For sure, after 6 months of up and downs and being at zero again today, I cannot rely on my systems to provide me with that confidence I need so badly.

Either Vito the Chimp leaves my room, or I'll have to find a source of energy and balance, or I'll start reacting to him and things will escalate.

The tragic thing is that I know this is just a problem of balance in my head, because vito right now is not doing anything. It's just that, being so intolerant and edgy, I can't stand to have a self-evident idiot in my room. Just like I could not stand to be in a room with my father or other people I disapprove of and whom I don't value.

I need some extra balance - some confidence inside me telling me they're nothing - and only that way I'll be able to be indifferent to them.

I don't know... I never had any panic attacks. I don't think I am risking that. I think I am on the verge of antisocial attacks, such as a shooting rampage, or just a shouting rampage. It wouldn't be the first time. For sure I am not going to meet that classmate downtown. If he wants, he can come here. I am not moving.
 
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after some thinking...

After some writing (post above) and thinking, my conclusion is not the usual "let's take it one day at a time" but rather "let's take it one bottle at a time".

My conclusion is this. Either alcohol or xanax.

But alcohol is even better, because it has no sides effects (if you only drink for a month or two).

I am going to drink a couple of beers before going to bed or in case I wake up in the middle of the night.

If I sleep, vito doesn't bother me. Work will be ok. And in 3 weeks I will start my part-time schedule, subtracting another half an hour and ending each day at 3 PM.

Great thinking, what a great genetic optimizer my brain is: beer is the answer. How could I not think of it before?

All i need beer for is to solve those little moments of anxiety preceding profit, which will come soon. What bad is it going to do when there's people drinking beer every day even when they're doing fine?

Any beer will do. For tonight, if I wake up in the middle of the night, I will open up yet another bottle of lambrusco.

You know what? I just thought of chamomile, even though I have always thought it is nothing but a placebo. And they confirm my idea here:
http://en.wikipedia.org/wiki/Chamomile

On the other hand, if a person gets up in the middle of the night and instead of watching tv, goes and makes himself a chamomile or knocks himself out with a bottle of wine, he is showing a good attitude so what is rewarded is his attitude rather than the drinking of chamomile. For wine it's different because it is not a placebo: scientific evidence shows that it knocks you out.

If I'll wake up at 3 am:
First i'll try to go back to sleep (for 10 minutes).
Second i'll try the chamomil (if I am still awake after 10 minutes).
Third I'll drink half a bottle of wine (if I am still awake after 30 minutes).

I must not turn on my laptop or I am screwed, like I did today, and I skipped work.
 
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Re: after some thinking...

travis said:
If I'll wake up at 3 am:
First i'll try to go back to sleep (for 10 minutes).
Second i'll try the chamomil (if I am still awake after 10 minutes).
Third I'll drink half a bottle of wine (if I am still awake after 30 minutes).
Click to expand...

Hi Travis,

I thought you might want to try out valerian if you are trying out chamomile. It's meant to be more effective. In fact you could even mix them if you are making your own tea from the dried ingredient.

I drink chamomile just because I need an alternative to caffeine-rich drinks like black tea or coffee, or alcohol, in the evening. I don't find it helps me sleep.

The thing to bear in mind about alcohol is that it acts more as a stimulant at lower doses, and only as a depressant in higher doses. So if your body is used to half a bottle of lambrusco, then it might actually be stimulating you and you'll need to drink more to sleep.

PS: Valerian doesn't taste so good
 
Yeah, but my body is not used to alcohol, so half a bottle will knock me out.

I am drinking it right now because I woke up at 6 am as usual.

It would be good to soundproof my room:
http://www.wisegeek.com/how-can-i-make-a-room-soundproof.htm

Nope, it didn't work: i should have drunk a whole bottle. For today I will have to content myself with 6 hours of sleep. I really cannot skip work today. I am going, regardless of vito. Let's pray for his death, and let's count down the days to the new part-time schedule, with work ending at 3 PM. Just a few more days... 10,
13, 14, 15, 16, 17,
20, 21, 22, 23, 24,
27, 28, 29, 30, 31

Just another 16 days of work and I'll be able to come home at 3 pm.

http://www.youtube.com/watch?v=TaHvu-TywxI
 
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Hello to all,,,,I agree this comment,,,,,Capital is still as low as before, at about 3500, but thanks to a little secret blog I started with a few selected non trolling and motivated individuals, I am now focusing more than ever on what I should be doing: as Douglas says, thinking in terms of risk/reward and probabilities. Not in terms of pride, and "I've got to be right on this trade". But in terms of: this is more likely to be right than wrong, so I'll make this trade, but if I'll be wrong I will not be wiped out. Enough for today..........:devilish::devilish:
 
good day and bad news

Good day today: vito wasn't there all day long. It felt like a vacation.

Bad news: the friendly boss will leave at the end of the year and we'll have a new boss, but we don't know who yet.

Whatever happens, hopefully I will not be in the same room as vito - and hopefully he will be the one leaving.
 
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one system from the collective2 grid

Let's analyze a system from the grid, since I already have the file all figured out.

I am doing Safe Harbor:
http://www.collective2.com/cgi-perl/c2systems.mpl?systemid=47377383

By these guys:
http://safeharborinvestments.com/

It's got no reviews and no analyst notes.

Damn, it's discretionary:
Safe Harbor Investment discretionary trading system primarily focuses on trades lasting anywhere from a few hours to a couple of days. The trades are identified using short term market analysis based on support and resistance.
Click to expand...


Let's check out its trades anyway.

Check it out. All done in five minutes, via my model:
View attachment safe_harbor-DISCRETIONARY.zip
 
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