schedule

Failed grail.

Think, that many do not even suspect that their highly profitable systems are looking to the future. In fact, it is easy to determine — if the system shows a result much higher than expected, then with confidence 100% we can conclude that something is wrong, because miracles do not happen. That's just where the catch is, sometimes it's hard from the first, or even from the second or third time to determine. I, too, am no exception, and from time to time I find myself on various sophisticated peeps of the system into the future.. While peeping into the future, which will be discussed below, not so sophisticated, but, surprisingly, I fell for it and did not suspect about it for about a couple of weeks until today I was convinced by a real example. Therefore, it is very important not to rush into battle with full strength immediately after creating the system., rather check, test on real life with the smallest possible position size for some time, closely accompanying transactions by hand.

All in all, I created an intraday system, the content of which is approximately the following:

1. Entrance — if candles and indicators on the daily chart create a certain configuration (I will not disclose specifically as it is not important for this story), then we place a limit order to open a position at the price of the extremum of the previous candlestick against its direction. In the example in the picture there was a purchase:

2. Exit —
and) At the close of the session.
in) For a limit order at a price equal to the middle of the previous candle (in the figure, the exit point is indicated by a red dot)
I.e, if the limit order is not triggered, then we exit at the close of the session.

3. MM —
We play only the most liquid stocks with a dollar volume of more than 100 000 000 dollars per session.
I divide the deposit into 20 parts, that is, one part is 5% from the deposit. If we have 100 000 Dollars, then one position is opened with the amount 5 000 Dollars. It means, what if, even hypothetically, we lose the entire position in one session to zero, then this loss will be all 5% from the deposit. This is our stop. Such, certainly, will never happen, but MM must always be present, otherwise, as a result of an unforeseen catastrophe, you can always go broke.

And here's what happened on the tests of the daily charts since the beginning of this year.:

In fact, the results are fantastic. — Sharpe 7.8, profit 86% with a drawdown of everything 2%, recoveries 17 !!!!!!!!!!!!!! A schedule of equity for 8 MONTHS THAT DOESN'T HAPPEN at all!!!!!

Tested for 5 years, behind 10 — there is generally equity in the form of a straight line at an angle 45% with a maximum drawdown of about 3%, but her of course, on such a long period, the chart does not show.

All in all, I felt that this does not happen, but could not find the catch in any way, although it lies on the surface and how I did not immediately see it, I don't mind — any first grader would see it :)
It's good that you had the mind to start tests on the real world with the minimum position size, otherwise he could have the maximum to quickly redeem the peninsula of Barbados :)

Market makers or who makes the market

Another post from spydell. Interesting point of view of the author.

Was the most sinister in the history of the US exchange in the last couple of weeks

Wobbly sand

Looking at the daily oil chart, you can detect with the naked eye a consolidation pattern in the area 95-105, in case of breakdown 95, target opens 85-90. This, in turn, could lower the Russian market even lower. 1575. This is not an official goal yet., but as a potential scenario.

About drawdowns.

Let me explain with an example, why is the return of accumulated profit from above for trend-following systems is normal, which, certainly, difficult at first, but with an understanding of the processes taking place, addiction gradually occurs. To make it clearer — for example, opened a position, she went in our direction, accumulated profit 100 rubles, then the price went against us until 70 rubles, where we closed the position. That is, given from above 30 rubles, eventually earning 70.
Let's take a daily Copper futures chart as an example. , since last summer. Two simple systems on Donchian channels will act as average traders. One trader is a Donchian channel with a period 40 — that is, this is the one, who does not close all positions at the slightest hint of a reversal, but patiently waits for correction, if a, of course it will work out, that is, it will not touch a relatively long trailing stop. The second trader is the Donchian channel with a period 10 — that is, the one that, at every hint of correction, closes positions in a panic, and then opens again according to the trend — that is, it fusses and twitches.

Here are the positions of the first trader. Apparently she was only one. Opened a position last summer, waited all the corrections and only recently closed the position, Earning 24 000 Dollars.

The second trader fussed about, then opened positions, then at the slightest danger closed. As a result, there were many deals, but it turned out to be of little use. Interestingly, even on such an uptrend, as a result, I managed to get a loss. And even more interesting, that despite the fact that he has four times less risk, the drawdown was more than twice that of the first trader. Also, slippage costs were not taken into account here., which will add even more negativity.

Certainly, I agree, what if the trader has a psychic ability to guess peaks and troughs, then he does not need any trend tracking systems and he will never have drawdowns. Therefore, this example does not apply to them.. In fact, this is just an illustration of the rationale for the inevitability of drawdowns., and for any systems, not necessarily trend following.
Yes, and this example is exclusively for American futures only. Promotions (American, Russians) and RTS have completely different characteristics.

Silver Weekly

 Historically, inflation-adjusted may not be a bubble. but according to technical criteria, not only a bubble, but also a BUBBLE.
Everything bursts sooner or later, who finds the right timing can make a fortune. Anticipating keeping the LONG position off the bottom is not an easy task since the ceiling is not visible, but when the ceiling is defined, then the gender is clearly visible.


Additional facts on Libya

Official data

According to the law of the People's Committee with 1981 year the salary level is frozen if employment in Libyan companies. Is not applies to salaries in foreign companies in Libya,but there are restrictions in foreign companies , operating in the oil and gas sector.

1. Employee, with one employer consistently 3 year is eligible for a fully paid 25 day leave for pilgrimage ,1 once
2. In case of illness, the employee is guaranteed 60% from salary up to 1 years If the disease is related to work,then 70 % for the same length.
3.Social Security from Social Security includes:
retirement age
disability
disease
death
funeral
pregnancy
birth of children

4. Minimum pension — 80% from the minimum national level 250 dinars ,200 US dollars, maximum- 80% from average earnings for the last 20 years
5. The funeral is allocated 50 dinars
6. Motherhood 100% from salary for 3 Months
7. Birth , bonus — 25 dinars for each, pregnancy 4 dinar per month from 4 months of pregnancy before the baby is born.

The salary level is frozen at the mark 10000 dinars per year, about 8000 Dollars.

Below is a graph of changes in the average salary in Libya. A sharp surge occurred after the lifting of the embargo and the rise in oil prices.
8. Unemployment is not paid, but upon dismissal is paid 2 monthly salary, maxim term up to 6 months depending on the time worked

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