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I said I wouldn't do anymore of this but in a way it is a footnote, or summary, to my previous posts on Trading Psyche ... I forgot to add it at the end ....it is quite important.
Since you are a thoughtful type ... underneath it all ... this might help.
Jung is one of the better of the Psyche doctors ... classifying us into types always over simplifies but it has its uses .... as a very basic intro to Jungs typologies .... he said there are four psychic types:
- intuitive (brainstormers, philosophers, dippy hippies)
- thinkers (logicos, nerds)
- feeling (networkers and nice guys, touchy feely)
- doers (action wo/men, jocks,meatheads)
I put the postive aspect and negative aspect in brackets i.e. my homespun version FWIW
Notice that if I am an action man I think feeling people are too touchy feely and squishy (only good for dating).
We are all,'all of the above' ... we are super strength in two (usually) ... we favour one mode, and use it most of the time ... then we have our second favourite that we rely on to a lessor extent (never totally and never for long periods).
If we want to experience life more then we need to learn to use our least favoured fuctions ... this is incredibly hard to do ... if we are an intuitive feeler we will do anything to avoid the gym or nerdy stuff ... it is also pretty hard to self assess our typologies.
In my case it is pretty obvious that I put more effort into avoiding reading the manual or learning math or learning IT than it would take to actually learn some ... even when I know that it is still very hard ... you can see that when I learn math I learn it the intuitive way (lots of graphs and excel etc ) ... my eyes glaze over when I see more than 1 or 2 lines math formulas.
I do better with programming, than math, because it starts with philosophising and then sorting out the psuedo code ... more up my alley than pages of math hieorglyphics.
>From the little bit you have told us you have actively avoided evaluation of your system at a technical level ...in spite of Howards books, many forum discussions, my easy stats website etc you still managed to avoid it ... that should tell you something and indicate that it will be pretty hard for you to actually face up to learning stats, from a technical viewpoint (even if you make a rational decision to do it ?)
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Tom,
>
> Thankyou that helps.
>
> Going to the forum is like going to the Doctors ... the more you tell us about the system the better chance that we can help.
>
> At first I wasn't sure if you were genuine but I remember you know and you are a very genuine, open and modest person.
>
> We talked a little once before .... Razbarry helped you with your AT algorithms etc.
>
> A couple of years ago Louis asked about what the realistic expectations for a trader should be and when I said "25% a year is the min, as the becnhmark", some people disagreed and said I was overstating the case.
>
> I recall that you came to my rescue by saying you were doing around 50%PA ... I think that was your first year of trading, or maybe your first year of AT.
>
> IMO this is first and foremost a case study in Trading Psychology more so than technical issues ... although one reflects on the other.
>
> So, the general tone of the advice you have received so far is correct....... you are the only expert, with regards to yourself.
>
> Perhaps we can help with a second opinion.
>
> However ... it is only an opinion:
>
> - I, and the forum, can only read so much from a few short posts,
> - it is too much responsibility to make life changing decisions for others,
> - I am reluctant to say too much, since you are going so well ... I say anything that detractrs from your success so far.
>
> Please keep in mind that the issues you are canvassing here are bigger than Ben Hur ... your case history could make an interesting trading book all by itself.
>
> We can't discuss every single issue in detail, and you won't be able to process it all in a short space of time, (processing is done in different ways by different people) ..... we can make a start ... you will have to break it down into bite size pieces, digest a bit at a time and maybe come back to the forum for some more at later stages.
>
>
> ******************************************************************
>
> Sport is a metaphor for life ... for me (my wife doesn't think so ... she is a musician and so for her music is the key to life).
>
> Trading is a high performance event.
>
> We are all unique ... our trading styles are as individual as our fingerprints (recently Dennis and I swapped a couple of trading insights in the forum ... in many ways he has a similar approach to me == 1/10,000 forum members, but in other ways we can't agree at all).
>
> Some things we all have in common though.
>
> High performance demands aptitude; honed by theory, practise and performance. in a cycle of continuous improvement.
>
> You seem to have the knack for it (aptitude) ... in a very short space of time you have wandered into the winners circle, almost without any self awareness.
>
> I have had to work my way into the winners circle, self consciously, by philosophising and studying.... I feel a bit like a kid at College ... even though I got good marks last year and have done some good original research I look up and see a mountain of text books still on the table in front of me ... miles more still to learn.
>
> If we don't have the aptitude in the first place we will never make it, no matter what.
>
> If we have an abundance of aptitude we can do quite well without as much theory and practise as others.
>
> Also, we all have a weak link, and so we can go so far without making the effort to strengthen our weak link (usually we will avoid our least favoured aspect when really we should make it our priority to strengthen it).
>
> I think that at the moment you are a little like a College sportsperson who easily made it to the big league without even trying ... while 1000's of other hopefuls, who busted their arse, are still back there somewhere:
>
> - I hear that this it is difficult to make the transition from 'chasing the dream' to 'living the dream' .... it is different once you get there (the challenges of staying there are different to the challenges of getting there).
>
> - because you are a little unselfconscious about it all, and moved from the amateur ranks to the pros, in such a short space of time, you haven't 'paid your dues', the way many of us have and so know you have to live with that.
>
> Perhaps you don't realize how good you are and/or will have to do some catchup on 'making the hard yards'.
>
> Note that the things that a professional golfer is concerned about are a world apart from the things that amateur golfers think about ... a pro may study every little aspect of his game (mental and physical) ... redesigning his/her game and repetitively working on the detail to improve.
>
> As I said ... this is only an opinion ... one opinion ... take it all with a grain of salt.
>
> You might just be one of those traders who remains a little un-selfconscious about it all.
>
>
> A few specifics and observations (not in order of priority):
>
> - I believe you are quite smart and technically competent but you don't blow your own trumpet
>
> - you know about the metrics ... you can do the metrics ... but you don't actually use any of them except for Profit% and DD ... perhaps there is a lesson there for you ... they seem to be your metrics of choice ... you are in good company because Howard is exceptionally well studied and knowledgeable on the Quants and CAR/MDD is his chosen metric (or one of them)..... if it ain't broke why fix it.
>
> - if you are really asking a question about metrics (after all of this time suddenly you want to dig into them?) then we (you and the forum) will need to go step by step ... you can't possibly absorb Quantsy knowledge and skills overnight).
>
> Study one metric, or evaluation idea, and ask questions about it and then move onto the next.
>
> - perhaps you are really asking something else ... you seem to be questioning your own tolerance for risk ... there is no objective metric to measure this ... it comes from inside and you are the only one who can see inside yourself.
>
>
> A few reflections on 'tolerance for risk' to get you started:
>
> - for some people it is innate ... I am risk avoiding machine ... it is just in me .. I can instinctively taste, see and smell risk ... I see risk in places you guys can't even imagine.... you can't buy that skill.... just do your best with what you have.
>
> - there are formal risk assessement techniques and processes etc ... I worked in an industry where we ate risk assessments for breakfast ... formally recorded risk using written procedures.... some knowledge of formal techniques might help some .. this knowledge is in my subconsious and coupled with my innate feeling for risk it must help me a good deal.
>
> - I am not a gambler ... it is interesting that our money management strategies were honed by gamblers ... Osborne -> Kelly -> Vince et al and from betting on coin flips (we call that two up in Australia) to betting on a move on the price of Gold.
>
> - 20/30 years ago I went into business for the first time .. I was young and silly but somehow I realized that it involved risk and coping with risk .... this seemed to be something I had to test rather than intellecutalize.
>
> I hate Casinos ... noise, smoke, a fair % or the people are pretty rude, some big drinkers etc ... but I went quite often for a few months .. gave myself a kitty to start with ... the rule was to leave if I lost the kitty ... used a totally dumb methodological approach ... played roulette on the red and the black .. doubled the stake after a loss ... hadn't even read the textbooks about gambling and staking ... know a lot more about the odds now.
>
> I won week after week ... only small amounts ... got bored in the end ... went one evening and played like James Bond ... lost the lot in three hours (it wasn't a lot of money), walked out and never went back.
>
> Here is what I found:
>
> - I can stick to my game plan
> - things don't get out of control if you have a plan when you go in
> - you can't learn emotional control etc ... or be coached in it ... your temperament is your temperamement ... you either have it or you don't.
> - when money is involved it seems like life and death .. normally nice people argue over a two dollar bet
> - idiots around me and the noise are very off-putting when you are focused on the game and your strategy ... it is hard to block out the noise ... one has to make an effort
> - some people are innately bad losers ... kick the table and fight with the staff
> - every one is an expert ... everyone has their pet theory .. they love to talk gambling and especially give you some free coaching
> - some girls liked the excitement and the money (I was approached a few times)
> - newcomers distracted me from the game asking for tips etc ... I must have looked like I knew what I was doing ... I looked pretty serious writing down the trade sequences etc
>
> - no matter how much money is a stake ... the blood pressure goes up .... whether or not you can keep the blood pressure down is a natural skill ... perhaps we can learn to manage it better if it is not our natural bent.
>
> As I said ... all skills we can't really learn ... I guess if we devised a list of simple rules, practised them and stuck to them it would help those who weren't born as 'cool as a cucumber'.
>
>
> You might be asking yourself those type of questions, via the forum, rather than asking questions about metrics.
>
> Yu might just sale through this step almost unconsciously or you might have to think about some new stuff, to give you a point of reference from which to make your decisions.
>
> Another relevant factor:
>
> - no man/woman is an island
> - our environment affects us ... at different stages of our lifes we have different duties to face up to .. and we are living out a different life story.
>
> I am 58, semi retired .. . my kids are all grown up and have left home ... my wife has her own career .. she doesn't get involved in the details of my trading ... I am a free man, in most ways (spiritually and philosophically etc) ... I have a life outside of trading ... I have goals in my life that are not based around trading ..... trading is a means to an end ... albeit a wonderful trading ground to develop my temperament and skills ... all of this interacts dynamically.
>
> Perhaps these are the questions you have to ask yourself:
>
> - you say you can't take those losses (if they happen) ... are you 100% sure about that?
>
> - is trading life and death OR more important than that (famous quote from a US sports coach)
>
> - if you do lose your stake will you really blow up or not (commit sucicide as some do)?
>
> - are you playing with money you can afford to lose?
>
> - do you have a good job ... will it really matter if you lose at trading (financially speaking) ... do you have a partner, kids,sick parents etc that are dependent on your income? ... if so how will they react if you blow up?
>
> - is making money your life goal or a means to an end?
>
> - is making money the primary reason you trade? or is the fun of the game the real reason you trade? ...if you are really playing the game for the games sake then you probably won't explode if you do the dough.
>
>
> Finally - if doing some more work on your technical knowledge of metrics, evaluation and money management will help you make your decision then you have a lot of work in front of you.
>
> Note that in the past you got to where you are without it.
>
> If you want to learn more about MM etc then Howards book, the forum and other books/sites definitely help ... it has taken me years and I am still not an expert in the subject ... I can talk to anyone about it without embarressment though.
>
> As an aperitif ... a couple of points on metrics, risk and MM:
>
> - there is a theoretical (mathematical) stake for every system and account size (a lot of hours study required to learn this stuff) but there is a corresponding optimal emotional level of risk ... where is your emotional level... really ... not pretend level ... you can't fake it ... figure it out now before going any further.
>
> - your biggest loss to date is not the biggest loss you will ever experience
>
> - the aim of MM is to stay in the game ... we can't win if we have no money left to play with
>
> - the size of the account is very important ... the bigger our account the further we are away from 'isk of ruin' ... in trading $10k is just training fees ... if you lose that much consider it the cost of your training course .... $100K is the minimum stake required to play the game (same as the tables in the casino) ... if we have less than $100k we go to the low rollers tables (options etc ...easy on the margin trading) ... at least $200-300K is needed to even get into the high rollers room.
>
> - if you are ruined do you want to walk away with half of your stake or are you really happy to play hard, play to win and wala away with zero dollars if you are ruined
>
> - if you trade on margin are you really happy to walk away owing the broker money if you are ruined ... maybe have to hold a fire sale to pay your debts?
>
> - looking at your systems, in some cases, you have 0.6 or maybe 0.55 prob of a loss ... six in a row == 0.6^6 ... and you have very high ave losses (trading futures on margin?) ... so far you haven't experienced that kind of losing sequence?
>
> This is not emotional Q factor .. this is a rational probability (probabilities happen with more certainty than we think they will)
>
> Re the metrics:
>
> - if you want more help please ask ... one at a time ... the forum should be able to assist
>
> - most,or all of them, have had some thought put into them so they all tell us something ... whether you place a value on what they are telling you is another matter
>
> - I have made some psuedo tickers from random data (say 100 tickers) ... then I optimized a MACrossever system on those stocks ... naturally enough, while the population is break even (if you join all of the psuedo tickers together they add up to a sideways market without significant up and downs in between ... if I look at individual stocks some outperform (the individual samples have variance ... half are up and half are down ... how much up and down depends on the volatility I introduce to the process when I make the psuedo tickers) .... after I optimize if I sort by any metric in most cases the same tickers end up at the top i.e. a large number of AB's builtin metrics are all telling us the same, or similar things .... looking at the exceptions, then looking at the 'correlated' metrics would be one way to start to learn something about metrics ... why are some similar and others different ... I guess we could study the exceptional metrics and either accept or reject them, for our own use ... that would either narrow the field, byu getting rid of some, or turn up something we like.
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "professor77747" <professor@> wrote:
> >
> >
> > Brian,
> >
> > Here are the reports for my 2 formulas. The profit doesn't seem much
> > different, but this year, the profit shows a difference of over $5000.
> > The first one is the one that I posted at Report 1
> > <http://success101.biz/Backtest%20Report.htm> . The second is the less
> > risky one at Report 2
> > <http://finance.groups.yahoo.com/http://success101.biz/Backtest%20Report\
> > -15.htm> .
> >
> > What metric do you use to decide that you (your systems) are profitable
> > ... annual % return or what? I just look at the profit %.
> >
> > When you say your system is "risky" what exactly do you mean ... is this
> > a hunch or do you use a metric to quantify risk? I look at the system
> > downdraw. I started with 5000 over a year ago and ran it up to $30000,
> > but I was lucky. I then took out $10000. I really needed $20000 to
> > start. You will see that the system downdraw is over $11000. I trade
> > gold futures and a contract requires about $6000 so I need at least
> > $17000 to trade one contract.
> >
> > What do you mean when you say that both systems backtest nearly the
> > same except for "price"? .... what is the same after a backtest? ...
> > what price are you talking about? Since I trade using a 6 hour bar and I
> > only trade at the close of the bar, the backtest results are the same as
> > my trades except for a slight difference in price sometimes when I trade
> > at different price than the backtest price. What I meant was that the
> > system trades and the backtest trades are almost identical. I auto trade
> > my formula and I use market orders so the trades are placed fast. The
> > biggest difference between the actual trade price and the backtest trade
> > price has been 20 cents. While this is a $20 difference in my cost, I
> > still make a good profit on the trades. I could probably save by
> > manually trading and placing limit orders, but I like to auto trade so I
> > don't have to worry about watching the computer at my trading times
> >
> > The reason that I want to know about the risk is that I am going to
> > start trading 2 contracts now that I have $40000 in my account. The
> > difference in profit between the 2 formulas is over $10,000 in a 18
> > month period, but most of that difference was this year. The system down
> > draw was over $11,ooo on the more profitable formula and only about
> > $8000 on the less profitable one.
> >
> > I must say that I was ready to quit when I lost over $11,000 so that I
> > why I am worried about the risk. On 2 contracts, that would be $22000. I
> > don't know if I can handle it.
> >
> > Thanks for your help,
> >
> > Tom
> >
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> > >
> > > Hello Tom,
> > >
> > > The definitions, for the metrics, are in Howard Bandy's QTS book.
> > > I believe they are also in the help manual (not certain about that).
> > >
> > > That is a good place to start.
> > >
> > > In my experience we have to make the metrics our own, so to speak, by
> > learning how they are calculated and then trying to understand what they
> > are measuring (compared to each other).
> > >
> > > So, you are trading successfully for at least a year and don't
> > understand the statistics ... I don't know if that is good or bad or
> > something else but it doesn't appear to be a problem for you.
> > >
> > > Anyway, it is good that you want to keep learning and extending your
> > knowledge, even though you are already successful.
> > >
> > >
> > > I don't know if I can help but please clarify your question further to
> > give me, or others, a fighting chance:
> > >
> > > Please post the report for each system over the same time range.
> > >
> > >
> > > What metric do you use to decide that you (your systems) are
> > profitable ... annual % return or what?
> > >
> > >
> > > When you say your system is "risky" what exactly do you mean ... is
> > this a hunch or do you use a metric to quantify risk?
> > >
> > > What do you mean when you say that both systems backtest nearly the
> > same except for "price"? .... what is the same after a backtest? ...
> > what price are you talking about?
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "professor77747" professor@ wrote:
> > > >
> > > >
> > > > I have a very profitable formual that I have been autotrading for
> > over a
> > > > year. However, it is also risky. I have another formula that is not
> > as
> > > > profitable, but is also not as risky. My formula trade almost
> > exactly as
> > > > a backtest except for the price which varies by so little that it is
> > not
> > > > a factor.
> > > >
> > > > I don't understand any of the risk % factors in the top section and
> > the
> > > > factors below the drawdown figures in the bottom section.
> > > >
> > > > Here is a link to the statistics for last year which are very
> > similar to
> > > > this year except that there is more data. Statistics
> > > > <http://success101.biz/Backtest%20Report.htm>
> > > >
> > > > Please help me understand these statistics. Thanks
> > > >
> > > > Tom
> > > >
> > >
> >
>
------------------------------------
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