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Staying In My Lane - A Read-Only Journ(al/ey)

  • #161
  • Feb 3, 2019 2:17pm Feb 3, 2019 2:17pm
Quoting VEEFX
{quote} Yep.. I know what it is... it's how I am managing stop loss via different studies (applying brute force to cover all possibilities except one or maybe two left out)
when I devise a system and backrest it for a year and I have 1 bad month I tweak till I get a full year of winning months I too am a perfectionist
  • #162
  • Feb 3, 2019 2:27pm Feb 3, 2019 2:27pm
Quoting VEEFX
{quote} Yep.. I know what it is... it's how I am managing stop loss via different studies (applying brute force to cover all possibilities except one or maybe two left out)
I think it could also be related to speed and accuracy of replay. Tick by Tick for one hour everyday for a year will take me couple of hours... not worth it as I know what is going on. So far, I have ONLY focused equity explosions i.e. setups that take the trade into profit in the shortest amount of time. This technique imo is the best route towards strategy development and edge discovery. First, I do the curve fitting algo to fully understand the scope, complexity and scale of the underlying instrument. Then comes the process of elimination to understand what indicators/tools/setups simply have no merit.Part of this process also involves elimination of "slow trades". Mind you, I am not focused on HFT. I am only focused on price moving in my direction right away upon entry. The "Entry Accuracy Efficiency%". This is my number #1 priority. I have found my #1 priority which adhers to the universality and neutrality principle. It also adhers well to the principle of law of large numbers and the averages of averages to maintain consistency (hopefully). Now comes the important part of finding "Exit Accuracy Efficiency%".... which also introduces the TRICKSTER i.e. the Joker that CP refers to. I CAN have a small TP with no SL or a small SL with no TP to make profit but none of them will yield consistency in the long run i.e. more than 3 yrs but not sure if 3 yrs applies to NQ yet... I have yet to prove this and I am desperate to avoid this path on NQ.

Self Reflection/Reiteration: Maintaining Positivity is important so focus here is on PROFITS and NOTHING else with the hopes that "STOP TRADING" logic will come to my rescue even if I go with a negative expectancy strategy (Thanks Harold for opening my eyes to "daily Income"!). I shall remain positive. I shall remain true to myself and not lie or ignore any pitfalls. I will not take any shortcuts. I will identify all the potholes that will throw a curve-ball at me. I will find ways to address each and every one of them. I will and I shall overcome this journey and complete with only one color... the color of benjamins :-)
Staying in my lane...
  • #163
  • Feb 3, 2019 2:31pm Feb 3, 2019 2:31pm
Quoting Divergence
{quote} when I devise a system and backrest it for a year and I have 1 bad month I tweak till I get a full year of winning months I too am a perfectionist
That process is EXACTLY what I refer to "process of elimination"... focus on the negatives towards reaching a positive outcome. Glad we agree on some aspects of this journey :-)

Besides, my inner voice has always been my guiding principle. I cannot and will not go through the route of faking myself and others into thinking I got this ready to make millions. Things that others do that severely annoy me.... I cannot be doing the same. There is some level of hypocrisy involved with trading via binary outcome but I chose and pledge never to go that route. Self-Righteous is of paramount importance to me even if that means failure as an end result.
Staying in my lane...
  • #164
  • Feb 3, 2019 2:39pm Feb 3, 2019 2:39pm
Quoting VEEFX
{quote} That process is EXACTLY what I refer to "process of elimination"... focus on the negatives towards reaching a positive outcome. Glad we agree on some aspects of this journey :-) Besides, my inner voice has always been my guiding principle. I cannot and will not go through the route of faking myself and others into thinking I got this ready to make millions. Things that others do that severely annoy me.... I cannot be doing the same. There is some level of hypocrisy involved with trading via binary outcome but I chose and pledge never to...
the bottom line of trading is to make money so fooling yourself hurts only you since if it dont work there goez your money.
  • #165
  • Feb 3, 2019 2:41pm Feb 3, 2019 2:41pm
wins vs losses thats the plumb line
  • #166
  • Feb 3, 2019 2:41pm Feb 3, 2019 2:41pm
I have 74 studies/tools atm but only couple of moving averages and nothing else!.... time to clean up as some I really don't need now that I know how to implement Alert-based trading condition. "Derive Simplicity from Complexity" :-)
Attached Image
Staying in my lane...
  • #167
  • Edited 3:36pm Feb 3, 2019 2:43pm | Edited 3:36pm
1/1/2016 - 12/31/2018 (3 yr test just to collect stats and for relevance)

Note to self - getting there. Stay at it!
Attached Image(s) (click to enlarge)
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Click to Enlarge Name: Image2.png Size: 40 KB
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Staying in my lane...
  • #168
  • Feb 3, 2019 2:46pm Feb 3, 2019 2:46pm
Keeping the Maximum Drawdown and Max Run-up studies on my screen even though these are NOT related to ROMAD or "Return over Max Drawdown" i.e. my primary measure of positive expectancy. RoMAD needs to be atleast 2+ for me to even consider a strategy to have a decent survival rate.
Staying in my lane...
  • #169
  • Feb 3, 2019 2:47pm Feb 3, 2019 2:47pm
hey you must drive your wife nuts am i right lol
  • #170
  • Feb 3, 2019 2:50pm Feb 3, 2019 2:50pm
Quoting Divergence
wins vs losses thats the plumb line
Exactly. But one question remains: How to overcome the trade-off between winning-percentage and risk? Although I know of strategies with 90+ % wins, the losses that we have to accept will eat up all gains. Maybe you may shed some light on it (for Vee and me).
  • #171
  • Feb 3, 2019 2:55pm Feb 3, 2019 2:55pm
Quoting AntiCre
{quote} Exactly. But one question remains: How to overcome the trade-off between winning-percentage and risk? Although I know of strategies with 90+ % wins, the losses that we have to accept will eat up all gains. Maybe you may shed some light on it (for Vee and me).
Glad to see you join us bro. You got a sound mind so bring it on :-

AC - the only way I now think this is possible is by stopping to trade when we are ahead....win/loss % does not matter if you goal is met every day with whatever you can get. I know if it against our mathematical-oriented mindset but there seems to be some truth to it. Either stop when $ or tick goal is met or number of trades is met or stop when the time duration of trading day is over. These are the only 3 ways to defect an inverse-RR strategy imo... which is also tied to fat-tail distributions that we all are so fond of :-)
Staying in my lane...
  • #172
  • Feb 3, 2019 3:06pm Feb 3, 2019 3:06pm
Quoting VEEFX
{quote} Glad to see you join us bro. You got a sound mind so bring it on :- AC - the only way I now think this is possible is by stopping to trade when we are ahead....win/loss % does not matter if you goal is met every day with whatever you can get. I know if it against our mathematical-oriented mindset but there seems to be some truth to it. Either stop when $ or tick goal is met or number of trades is met or stop when the time duration of trading day is over. These are the only 3 ways to defect an inverse-RR strategy imo... which is also tied...
The best analogy I can give is like this.

Think like a farmer. he has rows of fruit trees but not all fruits will ripe to perfect condition at once during harvesting. so he has the following options

 

  1. Wait for the "Perfect" time to harvest and then pick only the best fruits to get the best ROI (razor sharp A-grade entries and exits)
  2. Don't worry about perfect pickings and sell the entire harvesting of raw, ripe, rotten fruits by the truck load
  3. #2 but separate and sell in batches to the highest bidder. Top quality batch goes to Costco, medium goes to target/walmart, leave the raw-unripe ones for fruit picking by families, etc etc

I have always liked #2.... because of law of averages and law of large numbers to smoothen the yeild curve enabling efficient cash flow, expenses and income with the least amount of time and effort involved :-

Staying in my lane...
  • #173
  • Edited 5:42pm Feb 3, 2019 4:58pm | Edited 5:42pm
Hi V,

The spreadsheet solution for a PnL based flatten is the following:

J29 - Flatten and Cancel Working Orders (read/write)
This cell is where you will input the formula to trigger the global chart flatten. When the formula returns a 1 (true), all positions will be flattened.

J10 - Open Profit/Loss (read-only):
This is a read only cell which references the current floating PnL for the chart.

J11 - Cumulative Closed Profit/Loss (read-only):
This is a read only cell which references the trade log for closed PnL.

H1 - Blank Cell (stationary user cell)
In this cell you will need to input the desired PnL threshold is $$$.


In cell J29 input the following formula: =if(((J10+J11)>=$H$1),1,0)

Notes & Considerations:
-The formula does not take into account trading costs, this can be done, but you'll need to reference few other cells like J5(position quantity) and J35(total trades), etc
-J29 has priority over other trade management studies you may be using
-If cell H1 is left blank, the formula is J29 will always return a 1, and flatten positions instantly
-J11 resets at beginning of each session
-You had mentioned wanting a "disable auto-trading" function, cell J28 does precisely that ;-)

Using Sierra spreadsheet for trading will allow you to test/control just about any aspect of your trading system. Time invested in learning its functionality is very very well spent imho.
  • #174
  • Feb 3, 2019 5:23pm Feb 3, 2019 5:23pm
Also, regarding the when to start trading live discussion, manual trading and algorithmic trading are completely different, they should not be compared. Algorithmic trading usually requires longer development and testing periods. Apples & oranges.
  • #175
  • Feb 3, 2019 9:11pm Feb 3, 2019 9:11pm
Quoting Nik-Nyc
Hi V, The spreadsheet solution for a PnL based flatten is the following: J29 - Flatten and Cancel Working Orders (read/write) This cell is where you will input the formula to trigger the global chart flatten. When the formula returns a 1 (true), all positions will be flattened. J10 - Open Profit/Loss (read-only): This is a read only cell which references the current floating PnL for the chart. J11 - Cumulative Closed Profit/Loss (read-only): This is a read only cell which references the trade log for closed PnL. H1 - Blank Cell (stationary user...
Thanks for the details Nik. I knew some day I will have to get into spreadsheets. I just learnt the size/character restriction in formula for Alerts study which really sucks. I hope I can do what I want to do with spreadsheets and work well in replay mode. Frustrating a little bit to see so much time go into learning Sierra but worthwhile I hope to materialize in the end. Back to the grind.
My test results I posted earlier from "standard replay" are completely wrong compared to "Accurate Trading System Test Mode". I am sure it will be different that the "Calculate at Every Tick(High CPU" which is another reason I am grumpy today :-(
Perhaps I should just outsource development work lol
Staying in my lane...
  • #176
  • Feb 3, 2019 9:18pm Feb 3, 2019 9:18pm
Quoting VEEFX
{quote} The best analogy I can give is like this. Think like a farmer. he has rows of fruit trees but not all fruits will ripe to perfect condition at once during harvesting. so he has the following options Wait for the "Perfect" time to harvest and then pick only the best fruits to get the best ROI (razor sharp A-grade entries and exits) Don't worry about perfect pickings and sell the entire harvesting of raw, ripe, rotten fruits by the truck load #2 but separate and sell in batches to the highest bidder. Top quality batch goes to Costco, medium...
while not a fruit tree, but if the trees interchangeable in the example for a more personalised subject...
interestingly,
a farmer i know very well, uses a rolling continuous approach...would that coincidentally equal to scaling in and out of their position?
( apart few other things, we farm mushrooms, for real; not not using 'farmer' a metaphor for my forum nickname).
there is always, always another trade!!
  • #177
  • Edited Feb 4, 2019 3:10am Feb 3, 2019 9:52pm | Edited Feb 4, 2019 3:10am
Quoting profitfarmer
{quote} while not a fruit tree, but if the trees interchangeable in the example for a more personalised subject... interestingly, a farmer i know very well, uses a rolling continuous approach...would that coincidentally equal to scaling in and out of their position? ( apart few other things, we farm mushrooms, for real; not not using 'farmer' a metaphor for my forum nickname).
Agree. If there is no seasonality involved then yeah, you could say scale in/out 24x5 like I did in spot fx. I personally like scale-in/out approach and shows good result for entire nyse session but I am not going that route. Things that don't jive well with my future life style, I ain't touching it. I am focused on couple of 30-60 minutes trade durations. Whatever I can make as daily income is just fine and some days, I am sure just won't. That is why I need both divergence and reversion scalping structures either combined in one strategy or separate that I personally trigger.
Staying in my lane...
  • #178
  • Edited 7:18pm Feb 4, 2019 1:05am | Edited 7:18pm
Quoting VEEFX
{quote} Thanks for the details Nik. I knew some day I will have to get into spreadsheets. I just learnt the size/character restriction in formula for Alerts study which really sucks. I hope I can do what I want to do with spreadsheets and work well in replay mode. Frustrating a little bit to see so much time go into learning Sierra but worthwhile I hope to materialize in the end. Back to the grind. My test results I posted earlier from "standard replay" are completely wrong compared to "Accurate Trading System Test Mode". I am sure it will be different...
Found another nuance with Sierra but first....

Self-Reminder: I am doing it again what I did with MT4.... finding flaws, limitations, hidden caveats to bitch about it. STOP! That is a road to hell and hard to get out of.
Self-Reflection: I am the only one accountable for all my actions and reactions. I cannot blame lack of features in the trading platform to be the reason for delays and inconsistencies. Lack of information is on me to deal with. Get to work and understand what I am dealing with first before trying to find your destination. Can I go to my destination on a squared cart wheel? Sure but it will take longer so pause, file the edges now before you get on the journey.

EDIT: Got a feasible solution to the sequencing problem with some simple creativity lol. Just run the algo on two charts, one for entries only and one for exit only. PROBLEM SOLVED! Thank you Sierra Charts!
Staying in my lane...
  • #179
  • Feb 4, 2019 1:09am Feb 4, 2019 1:09am
Quoting VEEFX
{quote} Found another nuance with Sierra but first.... Self-Reminder: I am doing it again what I did with MT4.... finding flaws, limitations, hidden caveats to bitch about it. STOP! That is a road to hell and hard to get out of. Self-Reflection: I am the only one accountable for all my actions and reactions. I cannot blame lack of features in the trading platform to be the reason for delays and inconsistencies. Lack of information is on me to deal with. Get to work and understand what I am dealing with first before trying to find your destination....
I think you are sorting out what the difference is between and engineer and a trader. Kudos for your transparency.
If you are good at something, never do it for free--Joker
  • #180
  • Feb 4, 2019 1:16am Feb 4, 2019 1:16am
Quoting jmn5611
{quote} I think you are sorting out what the difference is between and engineer and a trader. Kudos for your transparency.
Yes sir. I still remember puking over the limitations of coding in Assembly language in a 8085 microchip back in first year of engineering doing a simple project. It was devastating to see the limitations of each and every binary (0/1) command signal and yet it led to so many incremental discoveries stemming from that one tiny chip.
Staying in my lane...
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