my journal 2

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Adagio in G minor

http://en.wikipedia.org/wiki/Remo_Giazotto
http://en.wikipedia.org/wiki/Adagio_in_G_minor

The Adagio in G minor for strings and organ continuo is a neo-baroque composition by Remo Giazotto first published in 1958. It is usually referred to as "Albinoni's Adagio", or "Adagio in G minor by Albinoni, arranged by Giazotto", but it has been established as an entirely original work by Giazotto.

It was supposedly based on a fragment of a second-movement continuo from a "Sonata in G minor" by Tomaso Albinoni purportedly found among the ruins of the old Saxon State Library, Dresden, after it was firebombed by the Allies during World War II, but since Giazotto's death in 1998 it has emerged that no such fragment has been found or recorded to have been in possession by the Saxon State Library, and it is presumed the piece is entirely his own composition.
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More on evolution: are we related to plants? Yes.

I was wondering... since we are ultimately related, not just to primates, but to all animals, I kept on wondering if we're related to plants as well, but I wasn't finding anything about it.

Finally today I came across a great link, perfect for my questions:
http://universe-review.ca/F11-monocell.htm

And an even greater picture:
I11-28-microbiology.jpg

And the answer is that yes, we are related to plants, as the above picture shows clearly.

Now another question would be what the difference between animals and plants is. Why don't we call them all "living beings"? There must be a difference, and not just that animals can see, because not all animals can see, not that they are big... maybe they're made of flesh or something like that? That's all I can see right now.

This discovery has also other great implications. How can we kill plants, and cut flowers if we're related to them? I've always felt there was something wrong with cutting plants, and flowers. How can we even hurt bacteria? (By the way, are bacteria plants or animals?). But since this cannot be avoided, why should we be against killing humans, since we're all related and we keep on killing all other living beings? This raises too many questions for now, so I'll go back to watching my movie, Spies Like Us.

Anyway, that whole canadian web site is quite shocking by how comprehensive and well made it is:
http://universe-review.ca/
 
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Travis i'm wondering; is there a way to automate orders such that, for example, at the initial entry of a trade i could place a 100 pip trailing stop loss on it, but then once im 50 pips in profit to mive the stop loss to a 50 pip trailing ?
 
Premise: I am a self-taught VBA programmer and I automated my systems on excel, so I only know so much about automation and programming. Only on excel, only with IB's TWS.

To answer your question, I do know how to automate a trailing stop on TWS, but in both back-testing (on tradestation) and automation it was at once inefficient (it didn't make any extra money) and too complex to be worth implementing it.

My general principle (in automation and back-testing of systems) is that things should be kept as simple as possible, so, if a trailing stop or other complex orders or strategies don't add much profit to a system it is best to avoid them, because the implications could be very negative:
1) A complex entry/exit order could cause more errors/bugs and unpredicted outcomes
2) A complex entry/exit order could cause an overoptimization of your systems (the fewer the parameters, the less the risk of overoptimization).

And until here I was only talking about a simple trailing stop, which I avoided for the above reasons. But you are talking about a trailing stop that changes during the life of a trade, which makes automation and back-testing even more complex. But let's say that we were to neglect all my above reasoning on why we should discard such complex systems, and let's say we had to focus solely on the automation of your concept.

I have thought of your concept before: we start a trade and the trade goes our way, but then, the more profit we make, the more it runs out of fuel for going any further in our direction, so we want to tighten our stoploss.

Technically I don't know if it's a good concept, because I've solved this with time exits. The swing begun at 10 AM will be likely to end by 10 PM (Central European Time), so you just exit at 10 PM, and not bother with any other types of exits.

But once again I am not focusing entirely on the technical implementation of your question. I was giving you useful personal opinions on what you're trying to do.

Now, to answer your question in a technical way, I would say as follows.

It can be done. I wouldn't do it, but it can be done. I am always referring to an IB TWS + Excel automation.

You first enter your order with your trailing stop and we know how to do that (ask me if you don't, and I'll dig it up somewhere, in my archived files).

Then, once your trade has reached a certain profit, you cancel that trailing order and you insert a new trailing order. That's all.

However, once again, instead of having my BUY and SELL, you have such complex orders now that if anything should go wrong, you're highly increasing the reliability of your automation (let alone the reliability of back-testing such a system: the more parameters, the less reliable).

Think about this: even without any bugs on excel, without any programming mistakes, without any power problems (UPS can prevent that), imagine if anything were to go wrong with your connection to IB during that complex order of yours. Imagine how many implications that order can have: send an order, cancel it, send another order... you're setting yourself up for disaster.

I am a poor programmer, but I kept things simple as much as possible, and this way I was able to cram 40 bug-free and perfectly working systems, on just one excel workbook, which is less than 1 megabyte. This would not have been possible had I used this type of complex order you want to implement. But the first question you should ask yourself is if you have back-tested it and if it's worth using according to your back-tests. Because if it just adds another 20% of profit, it certainly isn't worth using.
 
thought about it and decided to throw away that idea, 50 pip spikes are common and don't want to be stopped out.

Is it possible though, to pick any point, and automate orders so that once price goes X pips below it you place a buy stop order? this can be done manually of course but it could be a pain in the ass !
 
Yes, that can be done as well - with all the risks I mentioned in my earlier reply to you. Furthermore, implementing it the first time will be even more of a pain in the ass than doing it manually. However, it will always work (except for the risks I mentioned) so it's just a one-time pain in the ass.

As I said, I would advise you against it, for all the reasons I mentioned in my earlier reply to you.
 
travis said:
Yes, that can be done as well - with all the risks I mentioned in my earlier reply to you. Furthermore, implementing it the first time will be even more of a pain in the ass than doing it manually. However, it will always work (except for the risks I mentioned) so it's just a one-time pain in the ass.

As I said, I would advise you against it, for all the reasons I mentioned in my earlier reply to you.
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fair enough, but consider this:

you buy eurusd, it falls 100 pips ( o crap i wasn't perfect on entry!) so you get stopped out and it falls another 100 pips.
Instead of placing a buy limit order 100 pips below, have a level 100 pips below which you place a buy stop, so that when you do get back in the market is in your direction . this is similar to jacko's anti-hedging method but also quite different , this is only a small part of it.
 
Yeah, I have nothing against your strategy. I am only advising against it in a technical sense:

1) the more complex, the harder to automate reliably
2) the more complex, the harder to back-test reliably (in case you're interested in back-testing, which is what I do before I automated a strategy).
 
beatles songs: best videos so far

Here's a selection of the best videos of beatles songs (interpreted by the beatles themselves or by others) I've found on youtube so far (I will add more as I remember them):






 
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My drawdown should not exceed my "uncle point"

Adamus said:
Just found this which might be good for your risk management:

http://www.seykota.com/tribe/risk/index.htm


Looks like he's doing fixed fractional money management without resorting to formulae.
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Thanks for the link again. Here Seykota says something I've been thinking about:

The Uncle Point

From the standpoint of a diversified portfolio, the individual component instruments subsume into the overall performance. The performance of the fund, then becomes the focus of attention, for the risk manager and for the customers of the fund. The fund performance, then becomes subject to the same kinds of feelings, attitudes and management approaches that investors apply to individual stocks.

In particular, one of the most important, and perhaps under-acknowledged dimensions of fund management is the UNCLE POINT or the amount of draw down that provokes a loss of confidence in either the investors or the fund management. If either the investors or the managers become demoralized and withdraw from the enterprise, then the fund dies. Since the circumstances surrounding the Uncle Point are generally disheartening, it seems to receive, unfortunately, little attention in the literature.

In particular, at the initial point of sale of the fund, the Uncle Point typically receives little mention, aside from the requisite and rather obscure notice in associated regulatory documentation. This is unfortunate, since a mismatch in the understanding of the Uncle Point between the investors and the management can lead to one or the other giving up, just when the other most needs reassurance and reinforcement of commitment.

In times of stress, investors and managers do not access obscure legal agreements, they access their primal gut feelings. This is particularly important in high-performance, high-volatility trading where draw downs are a frequent aspect of the enterprise.

Without conscious agreement on an Uncle Point, risk managers typically must assume, by default to safety, that the Uncle Point is rather close and so they seek ways to keep the volatility low. As we have seen above, safe, low volatility systems rarely provide the highest returns. Still, the pressures and tensions from the default expectations of low-volatility performance create a demand for measurements to detect and penalize volatility.
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I've got systems that - more or less - can be money/risk managed to produce either of these situations:

1) in a year I'll get 11 months with a 20% gain, and one month with a 20% loss
2) in a year I'll get 11 months with a 50% gain, and one month with a 50% loss

Now why am I choosing right now option # 1 rather than the more convenient option # 2 ?

Because of my uncle point: when do I chicken out? At a drawdown of 2000 dollars. In detail because of this:

1) A 50% drawdown is something I am expecting, forecasting, but, like in all trading, it is not something I am 100% positive about. If this were the case, I would borrow 10 million dollars and invest it tomorrow. But the problem is that there's always a chance that the expected 50% drawdown will turn into a 90% drawdown, which basically means blowing out my account.

2) I am borrowing my capital (10k loan from bank) so that makes me even more insecure. One thing is to lose 10k of my own money, which I don't need and I consider peanuts. Another thing is to be indebted with my bank for 10k. The consequence is that as soon as I see a drawdown of more than 2k I already run into my "uncle point", and start having second thoughts about my systems, and fearing they might not work anymore, and start messing with them to make them more secure, which is not always good.

The bottom line is that one should not use his drawdown as a method to choose his money/risk management settings, but his uncle point.

My capital could take a drawdown of 4k without having any problems, but as soon as I'll lose 2k, I'll start panicking, so I should set my money management parameters for an expected drawdown of 2k, even if this means making 20% a month rather than 40% a month.

You see, what happens when I think I can take a drawdown of 4k is that I allow my CL systems to trade. Then, once I incur two straight losses on them, amounting to a total of 3k, I start panicking and disable them. So there's no point in even starting to trade the CL systems, because, even though my capital might be able to withstand their drawdown, my confidence in my systems and my fear of losing the money from the loan do not allow me to mentally withstand such a drawdown.

So here I am, with about 30 good systems, 20 awesome systems, but only trading 10 systems, mostly because I don't trust my systems and because my capital is from a loan.

Obviously, once I'll have a capital of 20k, all this will change, because my buffer capital will increase. I won't repay the debt, because that'd leave me with no money, but I'll be less afraid of drawdown and invest in more systems.

Right now I am 5k from being screwed, and that 5k cannot be the allowed drawdown. Once I'll be at 20k, I'll be more than 10k from being screwed, so I can allow my drawdown to be as large as 5k, which means my monthly gain will also be as large as 5k (because of how my systems' specific performance, not to say it applies to all systems).

[...]
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Until now I've been ignoring altogether my uncle point and this has caused failure and disruption of my automated trading. I'd come home and cry "uncle! uncle!", halt my systems, try to make my money back... now I understand that my drawdown and whether my capital can take it is almost useless if my uncle point is lower than my drawdown. My money management should always make sure that my potential drawdown doesn't exceed my uncle point. If it does, it means I am being reckless, and it means I might be put into a situation where I'll have to stop trading - not because I run out of capital but because I run out of confidence.
 
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Beatles: If I fell

Wow, this is really something:



 
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You can get rid of color. You can customize much more (twice as much). You can memorize passwords. You can do sound. You can do webcam. You can go through firewalls much more easily. It is much easier to configure, to explain, to use for everyone. It maybe has one thing less (it's heavier on cpu and ram) and 10 things more. Trust me: I've used both for many years. And I am still using both. It's good to have both running on the server, just in case.

Another instance of the advantages of teamviewer is that, thanks to the partner's list feature, I am now able to connect from the office to my server, despite the fact that here they have a very strict firewall, they block teamviewer's web site, etcetera. Try to do this with vnc if you're almost tcp-ip illiterate like me.

Initially, teamviewer was just better than vnc for the fact that it didn't cause you any problems with firewalls. But now they just keep on making improvements to it, so it's become overall better than vnc, which has stayed almost the same for years (from my point of view, since I ignore some of the things they may have improved). Vnc was like this ten years ago, and it was awesome ten years ago. But with all the things teamviewer has added, it is now, overall, better in most ways (vnc is still a bit lighter in terms of ram and cpu).
 
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Almost wiped out my account with the EUR

The point is not the EUR, but what I've done. Yesterday I thought it had fallen long enough, and, just as with my trading habits, I've placed a couple bottom-picking discretionary trades. One went well on the CL. The other one didn't go as well, on the EUR. Then I doubled up, expecting the EUR to bounce sooner or later. It almost always does, and this time it didn't. By the time today it reached 1.28, I was LONG 4 contracts, and I got liquidated for running out of margin. Lost 4k and down 3k on an open trade (some contracts didn't get closed).

This means I lost over half of my capital. I am kind of ****ed basically.

Not much new. The problem is not that I was wrong, but how I handled being wrong. My calls on the markets are mostly right, but when they're wrong instead of exiting I double up because I never ever want to have a single losing trade. I find it harder than regular people to lose, because my dad made me a perfectionist: I cannot accept failure.

So what ultimately happens each and every time is that, rather than having, like all profitable traders, a decent amount of losses, but none that wipe me out, I have very rare losses that wipe me out.

How do I expect to get out of this endless unprofitability?

No idea, because:

1) I always, periodically, relapse into discretionary trading.
2) If I do discreationary trading, I always end up doubling up (endlessly, until I have capital) on my losses, and therefore also keeping them open, until I blow out my account.

There's no answer. I don't see any solutions. Things keep on improving technically, but I keep on losing money. I don't see any solutions. I keep on improving my systems, which are profitable, but I keep on being unable to manage my capital, because I keep on engaging into unprofitable discretionary trading. And to think that I am not a masochist. I do not hurt myself in any other fields (I don't have tattoos, piercings or anything like that).

I just enjoy speaking my mind, and have always done so on this journal, and it benefited me. Who knows if and when these problems will stop happening. For now, I am here to witness that I have lost over half of my capital today, and, since I am still keeping some of my EUR positions open, unless I'll recover my loss, I might end up losing everything. "Everything" that I don't even have, because it was a loan.

It is a total disaster and it was totally unexpected, like every time with my doubling up bottom-picking trades.

I would have never expected to be gambling so badly and recklessly with money from a loan.

Everything seemed to be going well for me, except that I was indeed doing some discretionary trades from time to time.

It happened. Total disaster. I will have to learn some modesty, after almost 13 years of this endless disaster.
 
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