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Cash & Carry

  • #121
  • Oct 17, 2005 12:55am Oct 17, 2005 12:55am
Quoting ElectricSavant
I don't want to talk about it

But the restart will be using the base exposure from the exposure tab in the spreadsheet (column C) and not be overexposed...

I got depressed and re-read Jesse Livermores book, which strengthened my convictions even moreso about this system in a positive way. Jesse Livermore was a Trader. I am not exactly patterned after him, but that doesn't mean I did not like t reminisce with him...I really like that trader and would of loved to meet him. He is in my heart and the heart of many traders.

-$882.79 upl, 23.75% DD
thats EXACTLY what i do when i get down on my trading!!!! that book is the cure!!!

i have no doubt you will figure this thing out man, its a brilliant system.

options man, options
Relax and be happy.
  • #122
  • Oct 17, 2005 12:58am Oct 17, 2005 12:58am
Quoting ElectricSavant
Let me explain...

I believe that time is not on a traders side. There is a loss immediatly after entry (except in some forms of option spreads and selling calls and the sort) because of commissions and the spread. I also believe the MM has a secret camera over my left shoulder .
ive heard it all man. at one time i too thought there was some trick way you could beat a negative expectancy game. but you cant, flat out, no matter how you bet or how you use time or whatever the heck you can think of doing. thats not to say that some unhumanly brilliant person wont someday figure it out. but at this time, the smartest mathematicians all agree that there is absolutely no way to beat a neg.sum game.

and btw, when this brilliant person comes along, say goodbye to the modern day casino!
Relax and be happy.
  • #123
  • Oct 17, 2005 1:05am Oct 17, 2005 1:05am
Quoting ElectricSavant
Merlin,

I fixed important point #8 to read correctly for you coders!

There is a subscriber to the email list studying your very poiint. I think the expirations pose the problem...But I have not spoken to him..

Michael B.


ive been working on the options thing too. ive actually spent quite a few hours on it since i first mentioned it. options are the easiest (and cheapest) way to hedge direcitonal risk so i know there has to be a way to improve the system using them.
Relax and be happy.
  • #124
  • Oct 17, 2005 3:31am Oct 17, 2005 3:31am
Heya, my Monday update is I've gone from my unrealised DD (2 week low) of
-8.3% (weekend mind you, low of 5.8 if we don't do weekends and i'm back to -3.1% right now... I hope it gets +ve this week. I've used a base exposure factor of 0.3190 on 1k balance.

$10.64 Interest in 11 days. This includes the 4 days I scaled in.

I would have added at my low but I had virtually $0 margin left

Cheers.
grist for the mill
  • #125
  • Oct 17, 2005 4:32am Oct 17, 2005 4:32am
Haven't time at the moment to go through all the baskets I've got running but this one, which suffered the lowest -DD

"Basket E - opened 4/10/04 1000 units of each of the 33 pairs, adjusted to be EUR & USD Neutral
Base $2000 - Balance $2000 - Margin Used $1334 - UPL (-$95)"

is now showing
Base $2000 - Balance $2026 - Margin Used $1338 - UPL +$56
  • #126
  • Oct 17, 2005 4:50am Oct 17, 2005 4:50am
Quoting ElectricSavant
And Merlin..


The only way a negative expectancy could be turned around, is if the casino comped you with cash daily to play...(cash must mathematically increase expectancy enough to put it ever so slightly in the positive)

< yawn > riddle solved
LOL!

too bad they only comp you with shitty food
Relax and be happy.
  • #127
  • Oct 17, 2005 10:27am Oct 17, 2005 10:27am
Quoting ElectricSavant
Redleg,

The max risk is a margin call...this you are correct. Do we base all of our trading decisions and calculations with this each day?

You do not believe in stops unless they are intraday?

Please Redleg, I am not trying to argue. The problem that I am having with your post, is that it is correct and I think reasonable.

If I am to understand, for Cash and Carry to make a reasonable call, it should have a risk of one to a profit of three, which is a commonly used ratio. So therefore this system should produce three times a margin call in any single day?

Michael B.
ES,

Who am I to say what is reasonable or not? There are zillions of ways to trade, and lots of traders more profitable than me. I'm just saying that I'm not personally comfortable with a 298:1 RR ratio. If the ratio for cash is less than that please explain how.

I input a stop loss when I put on a trade. I assume that my SL point represents my risk. Risk is one factor in my trading decisions. If I traded without stop orders in place, then I would assume that my margin call level represents my risk. How else can you determine how much you could lose in a given day?

Hope that helps. Not sure I understand the question exactly.

James
  • #128
  • Oct 17, 2005 12:36pm Oct 17, 2005 12:36pm
ES,

Not sure why you find my opinion so interesting, but I'll play along for what it's worth.

If a person or a computer was constantly monitoring the trade(s) then I would accept a "mental" stop as an actual stop order.

What would make me more comfortable is knowing the probability of hitting a margin call (or hitting your 30% drawdown if some monitoring mechanism was in place.) If hitting the stop loss was a million to one shot, then I might well be willing to gamble with a 298:1 RR ratio. As it stands, just one margin call would be a blowout for this system ... you would never recover in any rational amount of time. One 30% stop loss would ruin more than a year, for that matter. Without having any clue of the probability of a margin call trading cash and carry live would be like closing my eyes and ignoring the risk - hoping against hope that the big bad stoploss never hits. That's too close to the basic newby error for me to live with.

What would be super cool is if there were some way to maintain a zero UPL by periodic adding or taking away from individual trades. Being able to actually manage the risk and still get these kind of interest payments would be very nice.

I'm dubious of counting cumulative profit in the instant (at any particular time) risk-to-reward. That may just be a personal quirk, though. I've never understood the logic of treating realized and unrealized profits differently in trading. There is no such thing and playing with the house's money in my personal opinion ... money is money is money. Many smarter than I see that differently though, so I may well be wrong.

Oh, and I'm far from consistently profitable. Having a pretty good year, though. So far.

Hope that is open-minded enough for you. Take care.

James
  • #129
  • Edited 8:30pm Oct 17, 2005 4:21pm | Edited 8:30pm
Quoting ElectricSavant
Beachie Thanks,

May I have the weighting? and how much interest are you getting daily? Could you post the positions tab and the exposure tab? I am thinking of trying your 33 pair basket...or even a basket of the interest earning pair only...but I want that neutrality in the EUR & USD as you have adjusted to and perhaps the diversity holds DD at bay...

Did you mean basket E suffered the worst or this basket, "Cash & Carry" in comparison?

Michael B.
Basket E had the least DD of the 5 baskets. Interest/day currently $2.1873 UPL as of this morning +77.56 with EUR/SEK being the big gainer

Positions


http://img444.imageshack.us/img444/7339/posy7qm.th.jpg


Exposure

http://img60.imageshack.us/img60/867...sure0xg.th.jpg


http://img282.imageshack.us/img282/4...rans4cm.th.jpg

  • #130
  • Edited 8:16pm Oct 17, 2005 8:07pm | Edited 8:16pm
Quoting ElectricSavant
Beachie,

Do you have time to post your positions tab?
It's the first image

*edit* UPL is now +101.32 That's up $24 in less than 8hrs & nearly double yesterday's UPL
  • #131
  • Oct 17, 2005 8:31pm Oct 17, 2005 8:31pm
Quoting ElectricSavant
No thats the trades tab...
I *knew* that..was just seeing if you were on the ball...
all fixed now
  • #132
  • Oct 17, 2005 9:15pm Oct 17, 2005 9:15pm
Quoting ElectricSavant
kewl got it printed out, now I am going to put it in the game acc't...Thanks for sharing...

Awesome results...do you keep a day-to-day spreadsheet?

Michael B.
no, too lazy..just check each w/end. When I get serious I will, but for now I've got fingers in many pies. Gonna grab some Z's now...been 30hrs...
  • #133
  • Oct 17, 2005 11:16pm Oct 17, 2005 11:16pm
Freak out, I've been roaming around positive p&l for the past 12 hours.
What do I do?

Maybe get flat if I hit +8% and then scale in again? The "interest" I lose in this period would be made up for with my profits I guess. But what if it keeps going up? Wish I had spare cash to buy more last week.

What do you suggest?
grist for the mill
  • #134
  • Oct 18, 2005 5:37am Oct 18, 2005 5:37am
This arvo I opened another 33 pair Eur/Usd neutral basket ( Basket F) with same combo as posted previously. Once basket was set I had a UPL -$45. A few hours later and UPL is +52.66 thanks to Jpy. Wish it was always like this

Basket E is now showing UPL +194.56
  • #135
  • Oct 18, 2005 9:09am Oct 18, 2005 9:09am
ES,

I checked out the latest SS but I'm not sure I agree with including UPL in your base exposure factor. Its probably Ok if you have a positive UPL but if its significantly negative and you are taking the absolute value of it aren't you allowing yourself to be overexposed? Anyway, my current strategy is to maintain a constant exposure using a multiple of .5000 and based only on the balance. I don't think its necessary to add to daily so will only rebalance once a week or less, also I will take some profit about once a month. For TP it will be no more than 1/2 my positive UPL and will come from margin, no liquidating. In the week I've been demoing this its gone from a -2.7%DD to +3.7%DD with daily interest of $5.30 and climbing.

Sam
  • #136
  • Oct 18, 2005 2:05pm Oct 18, 2005 2:05pm
Quoting ElectricSavant
Hey you active traders that are familiar with the grid concept....imagine for a moment putting the grid here in Cash & Carry...(I could retire early and trade it full time)


For those of you that do not know what I am posting about...don't ask...we can take it up in another thread on another day of destiny...

Michael B.
yes....but my heads starts to hurt when I think about it
  • #137
  • Oct 19, 2005 12:08pm Oct 19, 2005 12:08pm
Michael, if you haven't already, have a read of this thread on MT. More so the last part. Perhaps an idea or 2 in there
http://www.strategybuilderfx.com/for...2&page=1&pp=40
  • #138
  • Oct 19, 2005 5:09pm Oct 19, 2005 5:09pm
Quoting ElectricSavant
I believe that FF is the nicest place on the net...
you fit right in buddy

its amazing how relaxed a forum becomes when people act like they do in real life. this forum really has the best group of members i have ever run across. thanks to all
Relax and be happy.
  • #139
  • Oct 19, 2005 7:08pm Oct 19, 2005 7:08pm
Diverse 33 certainly dilutes the effect of DD. Looks very promising, providing none of these countries goes bankrupt while I am at work.
SJ
  • #140
  • Oct 19, 2005 8:10pm Oct 19, 2005 8:10pm
Quoting sjburdi
Diverse 33 certainly dilutes the effect of DD. Looks very promising, providing none of these countries goes bankrupt while I am at work.
33 pairs 1000 units -adjusted to be Eur & Usd neutral

04/10/05 Basket E Balance US$2034 Margin 1334 UPL +170
18/10/05 Basket F Balance AUD$2007 Margin 1789 UPL +18
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