my journal 3

[Yamato]

CME volumes

I'm back again. I will now do a quick study on the CME volumes, because I am worried that they might be declining, and that'd be a problem for my MKT orders.

...

Ok, from my own data, this picture below is pretty eloquent and it shows that volumes are actually going down for all futures:
View attachment comparison_from_my_systems_data.xls



Just as I feared. The average drop from from 2012 to 2013 is -18%, -20% if we exclude HG (copper) which is an outlier. If once again we exclude HG, and we go back 2 years to 2011 and do the same comparison, the drop in volume is on average -12%. Which means 2012 has lower volume than 2011.

Let's see if the folks at CME acknowledge this fact.

I could not find anything yet, but there's plenty of independent articles on this fact, from 2011, 2012 and 2013:
CME Trading Volume Slumps; ICE Also Sees Declines - WSJ.com
CME Group’s Q4 Profit Hit by Declining Trading Volumes -- Trefis
CME volume declines - Chicago Commodities and Futures Trading | Examiner.com
Declining trading volumes hit CME

Oh, good. On the examiner.com's article I found a link to some CME data:
http://www.cmegroup.com/wrappedpages/web_monthly_report/Web_Volume_Report_CMEG.pdf

This link leads to a .pdf file that gets updated every month, so I will upload what I am seeing and take a picture to show it to you:
View attachment Web_Volume_Report_CMEG.pdf



I found the image above on page 19. All it does is comparing July 2012 to July 2013, and we see a slight increase in volume. Big deal. I want a chart of all volume for all years.

I'm going to look harder.

...

No luck at the CME, but getting closer elsewhere...
Statistics | World Federation of Exchanges

...bingo!
Annual Query Tool | World Federation of Exchanges

...

All done, my analysis can be seen in the picture below, and downloaded from here:
View attachment CME_futures_yearly_volumes_from_world-exchanges.org.xls



I am not really worried. If financial collapse takes place, we're all screwed. If it doesn't then there's nothing to worry about. The problem however is if in the meanwhile the Chinese futures are rising in volume. Let's go check that out.

SHFE only trades commodity futures, and it rose much more but also fell in recent years:

2005		2006		2007		2008		2009		2010		2011		2012
33,789,754	58,105,997	85,563,833	140,263,185	434,864,068	621,898,215	308,239,140	365,329,379

Now I'll check out ALL exchanges for all stock index futures, which are the ones that make me worry the most.

Ok, all combined, the world exchanges for the stock index futures, behave exactly like CME:
View attachment all_exchanges_for_stock_index_futures.xls



However, we have to be careful here, because CME represent almost half of all this volume, so we want to make sure that other exchanges aren't rising while the CME is falling.

Well, first of all, how does the general fall compare to the CME fall?

The world falls by 25%. The CME fall by... 33%.

Ok, so far so good, I mean that it is acceptable. Because you know, I am always monitoring the collapse of the American empire. And this doesn't seem to be a signal.

Let's monitor the same exchanges, one by one.

But let's first get rid of Oslo, Warsaw, Johannesburg and other exchanges I am not worried about.

...

Ok, all done:
View attachment all_exchanges_for_stock_index_futures.xls



Ok, let's not worry about it. The collapse of the American empire is not here yet, although there are some early warning signs.

The small Asian derivative exchanges are still rising in 2008-2012, while the bigger US, European and Indian fall.

For now I wouldn't worry about the volume issue anymore, because it definitely concerns most of the world, and not just the CME.

...

Thinking back to it, the next day, while I am still able to edit this post, I will add this.

The decline which we witness starting in 2008 on the major exchanges (US, Germany, India), and that we don't see on all other Asian (smaller) exchanges, might be due to the following. Not all derivative investors are like me, where the 2008 crash in the markets makes no difference. Some investors, like funds, get their cash from ordinary people. So, whether they're good or not in bearish / volatile markets, the ordinary people will still withdraw their funds, out of their stupidity/ignorance. So, regardless of what the fund manager thinks or how he trades and how good he is in volatile/bearish markets, he will have less money to invest, and as a consequence volume will decrease.

Why then didn't the volume decrease in most of the Asian Exchanges? Maybe their being smaller played some role. Another factor is that they probably had different customers. And there's other factors that for sure I ignore. Another factor might be that the "crisis" wasn't perceived as much in Asia.

The decrease in volume in the US and Europe (vs none in Asia) has, I believe, nothing to do with the decline of the American empire, which is something I have to monitor, because when this will happen, my capital will become worthless.

 

[Yamato]

I was thinking about fiat currency and how it compares to the views and replies on my three journals. I keep admiring my growing capital just as I keep admiring the growing views and the replies of my journals. I've been doing this for years:




And yet they share this potential risk. The minute the powers that be of the forum or the powers that be of global finance decide to reset it all (or it could happen by mistake), both my capital and my views and replies will disappear all at once.

The same could happen with your life, if someone kills you, or with your wealth if someone steals it from you... it could happen with everything. But with the electronic world, it is much clearer and quicker how this could happen and all your work be wiped out. Instantly.

 

[Yamato]

Epic Pee Prank - Arrested Edition - YouTube

 

[Yamato]

I updated my index.html. Cfr. attachment below. No need any more for rolling over the CME futures, because of the new "%23F" continuous symbol. But it doesn't work on GBL, which I will have to keep updating.

I'll have to stop with eating anything other than my raw vegan diet, because I am still digesting, seven hours after that meal.

Carnivorous people ignore how much easier it is to be a raw vegan, from all points of view (no cooking, no cleaning, cheaper, faster and most of all healthier).

 

[Yamato]

Healthy Food Prank - YouTube

Epic Prank On Cops - Drinking In Public - YouTube

Dumb & Dumber (1/6) Movie CLIP - Urine Trouble (1994) HD - YouTube

 

[Yamato]

Wow, speaking of rolling over (cfr. two posts ago), this is terrible. I rolled over one week too early on all forex and stock index futures, and I am having a lot of problems today, because YM of December (I have a trade open) has almost no volume (400 contracts in the last 10 hours vs the 4000 of the September contract) and it has a huge 20 ticks spread, whereby if I close it, I will lose 100 dollars.

This is probably related to the fact that volume has been decreasing in the last few years on the CME, as it has on all Western derivative exchanges. It lost about 30%. The consequence is that, with such a low volume, people are postponing their rolling over to the last minute.

Or maybe it has other causes. Or maybe it has always been like this if you roll over one week early.

...

Let alone that my YM December contract is actually closed and has been closed for hours. How could that happen?

The forex December contracts also have very low volumes but at least they have a normal spread and are trading:



things2do

I have to remember to never roll over even just one week early.

By the way, I found this (related) excellent link:
Intermediate Guide To E-Mini Futures Contracts - Rollover Dates And Expiration | Investopedia

 

[Yamato]

I updated my index.html by adding volumes. Cfr. attachment.

 

[Yamato]

Gainsbourg - Black Trombone - YouTube

 

[Liquid validity]

Wow, speaking of rolling over (cfr. two posts ago), this is terrible. I rolled over one week too early on all forex and stock index futures, and I am having a lot of problems today, because YM of December (I have a trade open) has almost no volume (400 contracts in the last 10 hours vs the 4000 of the September contract) and it has a huge 20 ticks spread, whereby if I close it, I will lose 100 dollars.

I have to remember to never roll over even just one week early.

By the way, I found this (related) excellent link:
Intermediate Guide To E-Mini Futures Contracts - Rollover Dates And Expiration | Investopedia

You may already have this link I don't know:
http://www.cmegroup.com/tools-information/calendars/expiration-calendar/

If not, clear your browser history, then open link,
go back to browser history, copy the link,
paste onto desktop as a shortcut.
Rename shortcut as CME expiry calendar

 

[Yamato]

You may already have this link I don't know:
http://www.cmegroup.com/tools-information/calendars/expiration-calendar/

If not, clear your browser history, then open link,
go back to browser history, copy the link,
paste onto desktop as a shortcut.
Rename shortcut as CME expiry calendar

Very comprehensive, thanks:



And using your link used together with my link, one can gather that the day to get out of YM is not tomorrow but next Thursday:
Intermediate Guide To E-Mini Futures Contracts - Rollover Dates And Expiration | Investopedia

Contract Rollover occurs on the Thursday a week before the expiration Friday...

 

[Yamato]

Sting - Shape Of My Heart / Lyrics

 

[Yamato]

I've narrowed it down to this table, which illustrates my three types of trading:



Discretionary long-term trading
So, here's the deal. If I go long/short on something, whether the Bund and JPY, like I did months ago, or Corn, Gold and Silver, like I did recently, my discretionary trading is fine as long as I have in my mind that I have to hold the trade for several months, so this is more like technical analysis mixed with fundamental analysis. This works, I am good at it.

Discretionary intraday trading
If instead I do merely technical analysis and plan to hold for the short term, meaning mostly intraday, that's where I could do even better, but that's also where I get in trouble, because I am unable to use the stoploss, I double up... martingale, etcetera. This second type of discretionary trading is the one that brought me all my capital, but it's also the one that causes me to periodically blow out my account. Until figure out a methodology which includes the stoploss, I better stay away from this type of trading.

Automated intraday trading
Then there's the third type of trading that I do, and it's my automated mostly intraday trading, and that's fine and I can count on a monthly 10% return, whereas for the other two it's more like a 20% monthly return, on the entire capital for all measurements. In other words, if I invest on ZN, which requires a 1000 margin, and I make 1000 of profit, that's of course 100%, but I'll count the return as the return of that trade on my entire capital, because I have plenty of margin now, so it makes no sense to measure return otherwise.

 

[Yamato]

I finally traveled to the island again, as I do once a year. I am much happier here and I feel like I've been inhuman at work, all caused by being there for 12 straight months. Let me tell you: work is bad for you.

I was watching tv with a relative and I thought of a parallel between soccer and the markets. They indeed have a few things in common. First of all, that there's many actors influencing the outcome, second of all that there are two teams in soccer and two teams in trading (bulls and bears). But the biggest parallel is that there are few situations where someone scores, and most of the time is spent just going back and forth and getting nowhere.

 

[Yamato]

I've narrowed it down to this table, which illustrates my three types of trading:

View attachment 165980

Discretionary long-term trading
So, here's the deal. If I go long/short on something, whether the Bund and JPY, like I did months ago, or Corn, Gold and Silver, like I did recently, my discretionary trading is fine as long as I have in my mind that I have to hold the trade for several months, so this is more like technical analysis mixed with fundamental analysis. This works, I am good at it.

Discretionary intraday trading
If instead I do merely technical analysis and plan to hold for the short term, meaning mostly intraday, that's where I could do even better, but that's also where I get in trouble, because I am unable to use the stoploss, I double up... martingale, etcetera. This second type of discretionary trading is the one that brought me all my capital, but it's also the one that causes me to periodically blow out my account. Until figure out a methodology which includes the stoploss, I better stay away from this type of trading.

Automated intraday trading
Then there's the third type of trading that I do, and it's my automated mostly intraday trading, and that's fine and I can count on a monthly 10% return, whereas for the other two it's more like a 20% monthly return, on the entire capital for all measurements. In other words, if I invest on ZN, which requires a 1000 margin, and I make 1000 of profit, that's of course 100%, but I'll count the return as the return of that trade on my entire capital, because I have plenty of margin now, so it makes no sense to measure return otherwise.

You might remember this recent post.

Well, tonight, from the island, I feel finally satisfied, like I can say that I succeeded, because I finally surpassed, abundantly, the decupling of my account.

I still suck at discretionary intraday, but thanks to long term discretionary and to my systems, my account has more than decupled since last summer.

What more can I say. Still one type of trading that I want to learn (discretionary intraday and the use of the stoploss), but I can definitely say that I'm aware of being profitable.

There isn't much that I can spend yet (given that I started with just a few thousand dollars), but the performance is definitely there. Mission accomplished. I am profitable. This is not luck.

Not even a point for me to show off any longer, because I am just too satisfied and content. There's no need for outside encouragement.

Now I can just sit and wait. On top of those math lessons, where we'll practice intraday discretionary trading.

Aside from those lessons, I will just sit on my open positions (in all types of futures: interest rate, grains, forex, precious metals) and my systems, and wait. I don't have to do anything, nor prove anything anymore. The performance was great. I can't ever repeat it... no point in trying. Or I'll blow out my account.

If instead I just relax at the island for the next two weeks, then when I'll come back I will have not just x% compared to the initial investment, as I do now, but close to x% times 1.5.

Then my weekly profit from the systems alone will match my monthly salary from the bank. Still not enough to quit my job, granted.

They'll probably let me quit my job when I'll make in one day, on a regular basis, what I make in a month at the bank.

That'd mean making 2000 dollars per day, which is about 40k per month, which in turn requires a capital of 400k, which is years away I'd say. So basically let's just get used to holding my job, and maybe cutting down on the hours and changing my part-time schedule to just 5 and a half hours, and coming home at 14 instead of 14:30 as I do now.

 

[Yamato]

the "maid"

I am always here at the island, and spent my second day with the "maid", so to speak, given that she's worked with my relatives for several decades already. Almost a relative, or even more than a relative.

Maid - Wikipedia, the free encyclopedia

A maid, or housemaid or maidservant, is a female person employed in domestic service. Although now usually found only in the most wealthy of households, in the Victorian era domestic service was the second largest category of employment in England and Wales, after agricultural work.[1]

Once part of an elaborate hierarchy in great houses, today a single maid may be the only domestic worker that upper and even middle-income households can afford, as was historically the case for many households. In the contemporary Western world, comparatively few households can afford live-in domestic help, usually compromising on periodic cleaners. In less developed nations, very large differences in the income of urban and rural households and between different socio-economic classes, fewer educated women and limited opportunities for working women ensures a labour source for domestic work.

She's a remnant of when Italy was that part I highlighted in red.

I'd rather be here with her than at the house by the beach swimming. I've been watching soap operas with her. But I'll eventually go to the house where I can swim, because I need it for my health, too.

She's been telling me the recipes and all the things she's been cooking all these decades for us. She's a genius cook. Of course I've heard these recipes before, but I'll hear them again unless I can come up with good questions, which she will certainly answer. I already asked her quite a bit about her life during fascism.

Anyway, the city here is even worse than rome, because people are quite aggressive, especially at night. I don't like walking around by myself in these dark streets. People are racing their motorbikes incessantly. I can hear them all night long.

But here everything seems better, even loud neighbors don't bother me as much, because I've spent, in this house and among these relatives, the best moments of my life.

Last year, I came here to the island with friends, for the last time. After getting fed up with my highschool classmates, I gave it a try with the neighbor architect and with another friend she had introduced me to.

Well, I took them here, to meet the "maid", and they didn't listen respectfully to her recipes, they looked at one another, they were sitting respectfully, in the proper posture... basically that's when I decided not only that I would not take any of them to the island ever again, but that I would not ever want to spend one minute with them ever again. A few days later they were gone, and I haven't heard from them ever since.

If few people pass my admission tests, I won't lower my tests. I will live with being with few people. Listening respectfully and patiently to the "maid" speak about our childhood and her recipes is one of my admission tests. Out of respect to me, and to her, you should sit and listen respectfully. They totally failed. The highschool classmates all passed this test, but they failed other tests, such as the breadcrumb test. In other words, they left breadcrumbs on the floor for days (two of them out of three), and when criticized, one of them told me to lower my standards, that basically he was going to be a pig because he wanted to enjoy his vacation and that I was being too fussy. Gone, too. In and out of my life.

I like it better now.

 

[Yamato]

I am so happy about my trading, about my newly acquired capital and about my holiday... that I can't sleep yet.

I need to play some chart game, to keep myself grounded. I am so happy about how everything is optimized and optimal that I need to incur in at least some failure, even if it's just simulated. By the way, that's maybe why I felt the urge to trade and lose money when I proved to have the tendency of gambling away my wins: to keep myself grounded. Because I felt uneasy with winning so much and so massively and so frequently. Best if I can keep losing on the chart game and winning in real dollars.

...

Done. I just lost 36% on the chart game, valid for the day of September the eighth.

... right, 70 years ago:

Italy Surrenders, Sept. 8 1943 - YouTube

...

Maybe the way to not lose so much when I feel I've made so much, is to lose in every other field of my life. Maybe winning too much makes me feel guilty and uncomfortable. So, by losing, somewhere else, I might be able to keep on winning at trading.

We're talking about thousands and thousands... I can't get used to it, I almost can't accept the idea.

As I've said, I've more than decupled... in a year, and if I add all the thousands that I've already wired out of the account, this is the picture I get for this year:



The red cell is the capital I started with, and the orange is what I made from it. Of which I've withdrawn about two cells.

This is not easy to get used to, and I am afraid I'll lose it again if I don't get used to it fast and if I don't calm down.

How do I know that I am not calm? Because I've already told all my relatives about my performance, whenever I got a chance, as when they asked me "so, how is it going?". I replied "I am really satisfied about my trading..." and told them about everything basically.

This is terrible, because they in some cases are missing a couple of hundred thousand euros to buy an extra house, and I go there and tell them how easy it is to make money and how much extra cash I have... crazy.

On the other hand, I have always been used to being sincere with my relatives, so this is a new situation for me, where I have to understate my happiness and my success.

Should I?

Or is it why I've been doing it?

Let's remember once again what Brian Lund said about it:

What’s more important to you, having everyone you know idolize you because you’re “trader”, but lose money, or have everyone think that you are just some schlub who works in an ice cream store, while in fact you are really making a fortune in the markets?

I guess I'd like both. I'd like to be worshiped and also actually enjoy the money I made, by quitting my job. But if indeed talking about it causes me to lose my money, then i'd rather keep quiet.

... ultimately, I am still frustrated. Almost as frustrated as when I was going to my job. The proof is that I can't sleep yet. Happiness, extreme euphoria, in some cases equals frustration, and insomnia. Excitement can be bad. Too much power can get to my head, like too much electricity can burn out a light bulb.

...

I am losing it again.

I cannot handle the pressure of being successful.

I can't sleep.

Sooner or later, if I keep on trading, I will make the fatal mistake that will bring me back down to my initial investment. I will probably start by losing just 500 dollars, then given that I feel like god, I won't accept that loss and I will try to make it back immediately, and then lose more, and then spiral out of control.

It has always happened so far, and it will happen again, unless I stop trading discretionary right now.

All the good trades were made, I now can go to classes, keep busy, travel even, even every weekend. I can just relax and let my capital grow now.

I should not place any more discretionary trades for the next 2 months. Everything will be fine if I keep calm and do so. If instead I go on a discretionary rampage, then there will be blood and my account will be blown out again.

 

[Yamato]

I woke up after just 5 hours of sleep, but when you're in a pleasant place, you can be ok with sleeping just 5 hours. I've been talking to the "maid" for hours. We talked about how she raised my mom and my uncles and aunts, how she raised their children, including me, and how she's been raising their grandchildren as well. She's been working here ever since she was 19.

Now she's talking on the phone to a relative of hers, and so I am writing here.

Later we'll have lunch. In this big house there's no one except her right now. Everyone else who was here either left or died.

This is a precious vacation and precious time I'm spending with her. Much better than lying on a beach with a couple of other idiots, whether from my highschool or from Rome.

 

[Yamato]

She taught me two recipes that i'll use when i get back to rome. One for a cake and the other one for the custard to fill it with. I wrote it down. It's so clear and simple that I'm counting on being capable of doing it.

I was supposed to leave tomorrow, but I feel like staying one extra day and leaving Tuesday. Suddenly I don't care about swimming anymore. I'd rather stay with her and listen to her stories over and over again. She deserves to have someone listen to her. Swimming is secondary.

Maybe tomorrow I'll bake that cake. With her.

 

[Yamato]

picking good ingredients in cooking and trading

I got to the island (within the island) just a few hours ago, and went swimming immediately.

I was thinking again about the "maid" at my grandmother's house.

She's a good cook, among the other things. A genius cook.

It takes a great will to work hard and to learn, and in her case, it is easier because she knows everything from butchering animals or whatever it's called to growing plants. She goes from the seeds to the bread, from the chicken to the cake baked with eggs, and so on. She knows food from its origin.

In other words, it is easier for her to pick the right parts of the pig and so on, and in other words good cooking starts with knowing the right ingredients.

In the same way, good trading starts with picking the right broker with the low fees and efficient software, the right platform... and basically just like for cooking, knowing the right ingredients. But cooking in my opinion is harder. At least for the things I know right now.

 

[Yamato]

Still here at the island within the island, went swimming, as I've been doing several times a day, and now I'm listening to the silverdoctors.com's podcast, from last week: "One_Last_Metals_Smash_Ahead_as_Fed_P.mp3".

I've also been listening to king world news' podcasts, the weekly summaries and the interviews.

They're all talking about the "tapering" and upcoming Fed meetings and news releases.

They're focusing mostly on gold and silver, but their fundamental approach is comprehensive (interest rates, oil, stock indexes, geopolitics), as with all these people who focus on precious metals.

I've been having many meals together with relatives, who live in the neighboring houses here.

The water is as warm as it was in August, but the air when you get out is significantly colder. And sometimes it gets discouraging, also because I don't see anyone else swimming... I feel like it's just me "against the elements". I don't know what it means exactly, but it sounds right. It's one thing to feel cold and there's other people in the water, and another thing to be the only one in the water. The same applies to wind and big waves. I still feel like swimming, but sometimes I worry. And I feel cold more often than I would if there were other people in the water.