Cash & Carry

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Remiraz,

No, the rules state that you must trade. Also you want to trade when you can exceed the interest for that day or its not worth it, just let the position ride if you can't get more.

But it is important to keep that average trade price close to the current price and the only way to achive that is to trade.

I have no trading edge, and I have disclosed all. However there is an art to this and some discretion that I have tried to teach. You may not be able to do he discretionary part as well as I, but if you follow the rules you will survive.

Michael B.

Seriously this sounds like you have added some discretionary trading/betting edge to this system. Hmmm...do you think trading this without the discretionary edge, just following the rules mechanically would yield the same returns?
 
Quote from ElectricSavant:

Here is the spreadsheet.

The last state was 07/19/05

The problem that I have to break out the interest and the trading profits is very hard, because when I close a trade it take the interest as a line item. The marketmaker pays interest hourly...that why it is important to get back in if you want to hold your current exposure.
More...

Thanks a lot, ES.

Hmmmm...okay I'll make a mental note to log the interest payments at the end of everyday when I test this thing.

By the way I read

Woah ES, reading your spreadsheet is giving me a headache. You started this C&C on May 9th right?

According to this:
http://www.elitetrader.com/vb/attachment.php?s=&postid=798822

You made a total of $315.33 from interests during May and June. July 2005 wasn't shown so I'll just count the total interest profit from May to July as 315.33/2 x 3 = $472.99.

You took a hit of $241.35 to flatten your entire position. $472.99 -$241.35 = $231.64.

A 4.6% return for that 3 mths on $5k capital? Don't worry, this is still 19.7% APY which is HUGE for OPM.

Quote from ElectricSavant:


mode1
When I take off losing trades with winning trades there is some profit (I evaluate exposure at this point and sometimes I do not put the trades back on that I eliminated, but lets not discuss this as you will be totally confused).

mode2
If all of the positions are showing profit and I have no losing trades to skim off, then I take the profit at the rate of 0.50 per 1k units held and then re-enter (I use a pyramiding method of re-entry, but lets not discuss that now as you will be totally confused even more).

Michael B.
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Ah I see. My point is that even if some pairs rebounce and you take out some losers with winners, there will always be some losers left unless the market really rebounce.

Come to think of it...if u have two pairs:

1) AUD/JPY
2) GBP/CHF

If GBP/CHF continue downwards and AUD/JPY rebounce, u'll be able to take off GBP/CHF positions with profits from AUD/JPY while AUD/JPY's rebounce will cause its losers to start gaining back some ground. Hmmmm....

Okay I got it. I'll do some testing with historical data and see how I can try to reduce the damage.
 
Quote from ElectricSavant:

Remiraz,

No, the rules state that you must trade. Also you want to trade when you can exceed the interest for that day or its not worth it, just let the position ride if you can't get more.

But it is important to keep that average trade price close to the current price and the only way to achive that is to trade.

I have no trading edge, and I have disclosed all. However there is an art to this and some discretion that I have tried to teach. You may not be able to do he discretionary part as well as I, but if you follow the rules you will survive.

Michael B.
More...

Let me rephrase:

Q1) Do you think it is possible to program the rules into a computer and let it trade by itself?

Q2) Is having an edge on the entry important? Can we keep the average trade price close to the current price with random entry?
 
I do not believe automation is possible...but the quants will disagree, as they say anything can be programmed.

The second part of your question is also no, as there can be a slow bleed effect if too much time passes, even more so with the hedged EUR/HUF and the NZD/USD..Think about it...One will balance the other, it a win win situation, now how could random achieve this?...Also there are four pair with two possible directions...

Michael B.


Quote from Remiraz:

Let me rephrase:

Q1) Do you think it is possible to program the rules into a computer and let it trade by itself?

Q2) Is having an edge on the entry important? Can we keep the average trade price close to the current price with random entry?
More...
 
Quote from ElectricSavant:

no remiraz....

I made $547.35..scrole up to the top its there in the data bank...

I am a lousy teacher...everybody is confused, don't feel bad.
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No no, its my mistake for not being able to understand you. Well, at least you're willing to explain.

$547.35 end profit - $315.33 estimated interest profit = $232.02

Hmmmm....so you actually made $232.02 trading profits for these 72 days?

Quote from ElectricSavant:

I do not believe automation is possible...but the quants will disagree, as they say anything can be programmed.

The second part of your question is also no, as there can be a slow bleed effect if too much time passes.

Michael B.
More...

Q1) Why don't you think automation is possible? Because of the discretion required when entering trade?

Q2) So we need to have some kind of edge in our entry? We can't really just average down mechanically? (say enter x units every -30 pips against us)
 
Remiraz,

Sigh, There is not really discretion when you undestand it. When you understand it, you and I will trade the same. So that is not discretion.

There is just not averaging down. that is only part of it. Automation is probably possible, now that I think of it.

There is no edge. Its a money management system. Just re-enter when an exit is made. I must ask you to look at he graphs in the spreadsheet and tell me if you see the cyles and notice how I formed them with exposure?

Michael B


Quote from Remiraz:

No no, its my mistake for not being able to understand you. Well, at least you're willing to explain.

$547.35 end profit - $315.33 estimated interest profit = $232.02

Hmmmm....so you actually made $232.02 trading profits for these 72 days?



Q1) Why don't you think automation is possible? Because of the discretion required when entering trade?

Q2) So we need to have some kind of edge in our entry? We can't really just average down mechanically? (say enter x units every -30 pips against us)
More...
 
Let me explain why I'm find seperating the Interest Profit and Trading Profit so important.

This is system is "Cash & Carry", which is supposed to profit off Interests payment. Interest payment is definite. It can be predicted with 100% certainty that we will be paid (or charged) Interests.

On the other hand, Trading Profit is not certain (consistent) unless we have an edge. Some times when the market is going our way we'll make, some times we'll lose.

Profit of Cash & Carry = Interest Payment + (Trading Gain/Loss)

Preferrably Trading Gain/Loss should be $0 or a very small negative amount and we profit by Interest Payment.

If you're telling me Trading Gain/Loss has to be positive and that we need to have an edge in our trading in the first place, then we might as well concentrate on making money through Trading Gain/Loss alone.
 
It is very easy to zero out and re-enter.

I made the money when all three were profitable and I did not have any losers to take out. This is a very rare condition and it would not stop!

It actually worried me as I knew we would get hit hard when ALL the pair turned. I did not think they would all trade together like that for so long (two weeks).

They seem to be back to their independent ways, but they did not come back to zero in the unrealized, which told me I need to widen the increments and add another pair, which I have done in the new Cash & Carry.

Michael B.


Quote from Remiraz:

Let me explain why I'm find seperating the Interest Profit and Trading Profit so important.

This is system is "Cash & Carry", which is supposed to profit off Interests payment. Interest payment is definite. It can be predicted with 100% certainty that we will be paid (or charged) Interests.

On the other hand, Trading Profit is not certain (consistent) unless we have an edge. Some times when the market is going our way we'll make, some times we'll lose.

Profit of Cash & Carry = Interest Payment + (Trading Gain/Loss)

Preferrably Trading Gain/Loss should be $0 or a very small negative amount and we profit by Interest Payment.

If you're telling me Trading Gain/Loss has to be positive and that we need to have an edge in our trading in the first place, then we might as well concentrate on making money through Trading Gain/Loss alone.
More...
 
Quote from ElectricSavant:

Remiraz,

Sigh, There is not really discretion when you undestand it. When you understand it, you and I will trade the same. So that is not discretion.

There is just not averaging down. that is only part of it. Automation is probably possible, now that I think of it.

There is no edge. Its a money management system. Just re-enter when an exit is made. I must ask you to look at he graphs in the spreadsheet and tell me if you see the cyles and notice how I formed them with exposure?

Michael B
More...

ES, i must apologise. I think its because I am having trouble understanding you. :P (time to sign up for "English as a Third Language! lol)
I'm looking at the graphs but its rather confusing. :D

The important question is this:

Do you need to guage whether the market is going your way during entry? Eg. Long only when market is about to go up or going up, stay out when the market is plummeting.

This is important. Because if you're able to Long when the market moves up or is moving up with any amount of accuracy, we might as well trade that.

By the way where did u get your historical data from? Metatrader only has GBP/JPY and GBP/CHF. They do not have data for AUD/JPY, NZD/USD etc.
 
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