Elite Trader's Gambler's Anonymous ETGA

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Quote from TriPack:

As your positions are now flat, let me interject this idea here - apologies if this is way too far away from the intent of this journal. If I were designing your system here is what I would do: (untested and just in concept, so the usual caveats apply)

Use a long term system as a filter for long term direction - like a weekly or monthly system that has a positive expectancy on its own. It doesn't have to be much, just positive expectancy over time - obviously the better the system the better the rest of this system will work. When I say weekly or monthly system I mean a system that will not reverse positions for extended periods of time.

If your long term system goes long enter a long position at the current level. If you are not flat, get flat then enter the first position where the system says to enter. This will be your pivot position. Don't use a stop or profit target on your pivot position.

If the market goes in your position's favor then add additional positions at given increments (like if it has extended 25 pips or more above the last level within the past hour, you add another) and use a large take profit (like 100 pips). If the market goes under your pivot position, add at given increments (like if the market goes 50 pips or more against you within your time period) and use a smaller take profit (like 25 pips). If the market is really going against you, increase your increment from 50 to say 100 to reduce the amount of capital you have to allocate to that position.

If the long term system switches, like from long to short, then go flat and start over.

Pros: you can use a higher % leverage on your positions because you go flat every so often and you can exactly calculate the historical max drawdown of your system and then position size accordingly. And you add more positions as it moves in your favor, and less positions as it moves against you. Long term systems tend to be a bit sloppy in their entries so using multiple levels should help to average out better.

Cons: Your fortunes are tied to the long term system's fortunes. However you will still get the benefit of smaller bounces even if it trends against your position. You also won't be hedged so your long term system getting the direction correct is really the hedge. If the max drawdown of the long term system is 1000 pips over the past 10 years, for example, you could then figure out the % of capital you can use based on the levels you will be adding.
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BINGO !!! Give the man a cigar !!!

Not precisely what I would do, but it's getting deliciously close.



Dave
 
Quote from ElectricSavant:

How could you imagine "average trade price" could enter into this to "systemize" it. (I think I got an idea, but I want to hear from you a little)
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I haven't thought that far ahead or figured out anything - maybe someone else has. I've been demoing this idea on Oanda starting in May - one mid to longer term system on 6 pairs. I've been adding every 50 pips with a 25 pip take profit and a 5% default order size and no stops. I'm not completely happy with the add progression as I can see how I could end up in trouble if USD continues to rise as right now my positoins are all highly correlated. As it worked out I ended up long everything against the dollar half way into the NFP report and so am now with an unrealized underwater and net account balance about even with 55% of account margin used. I've been scalping it some also to help it out LOL. Anyway for adding every 50 pips 5% on 6 pairs is probably too much as the pairs right now all seem quite correlated as they are all against the dollar and all going the same direction. Maybe 3% would be smarter, or I should probably work on the adding progression (more like every 50 pips with 100 pip target - dunno as none of the targets would have been hit yet with that progression) and TP progression - I think there is room there for improvement. The tests are really too short to draw any conclusions so far so my thinking may change as things become clearer.
 
Let me go though your example.

Using a 10 year pool and 100 pip grid spacing 100 pip target points and 100 unit size:

1- Using your Data

10Y High=1.4362
10Y Low= 0.8224
Range= 6,135 pips
Current price = 1.2880


2- Buy 1400 Units

Calculation: (10year high - current price) / grid spacing * unit size rounded down to nearest grid space
(1.4362-1.2880)/0.0100*100 = 1482 Round down to 1400

Sell 4600 Units

Calculation: (Current price - 10 year low) / grid spacing * unit size rounded down to nearest grid
(1.2880- 0.8220)/0.0100*100 = 4660 Rounded down to 4600


3- set targets:

In the account where you went long:
set sell limits at 1.2980, 1.3080, 1.3180, 1.3280, 1.3380, 1.3480, 1.3580, 1.3680, 1.3780,1.3880, 1.3980, 1.4080, 1.4180, and 1.4280 all to sell 100 units each.

Do just the opposite in the account where you are short.


4- First you would set buy limits in your long account every 100 pips ( 1.2780, 1.2680, ...), and set sell limits in your short account every 100 pips (1.2980, 1.3080, ...)

Now Lets say the price goes up to 1.2980, your first target would get hit, and you would close your first 100 units for 100 pips profit, your short account would sell 100 more units with a target at 1.2880, and you would now have to place a new buy stop at 1.2880 with a target at 1.2980 in your long account.

Now if it goes up to 1.3080 your second target is hit and you would close your second 100 units, but since you filled your grid first this time you will make 200 pips on it. Your short account will sell 100 more with a target at 1.2980, and you will need to place a new limit order to buy 100 more units at 1.2980 with a target at 1.3080.

I hope that made some since. It was good practice for me to work through it. I think this might help give your account a good boost to help it get started, but I don't think I would go with a 10 year high and low. I would probably just look for good support and resistance points to use for my initial grid.

David



Quote from ElectricSavant:

This seems reasonable. If your broker has "one unit" increments or "base ten lots" you could use the 6135 pip example and fill as high as a 10Y pool from the get-go. I actually understand this. My problem with so many of the posters throughout these internet boards is that everything seems so cryptic. Thanks DavidWillis for the example.

Let me see if I get this right:

EUR/USD

10Y High=1.4362
10Y Low= 0.8224
Range= 6,135 pips

We start off at the top buying and building the UnRealized all the way down to the bottom. Ok, now that is 62 entries right? with 100 pippers' Average price =1.1312 current price at 1.2882.

100 units at a time (1 lot which is 100,000 units =$10.00 per pip, so 100 units = 1 cent per pip).

Ok I'm stuck here what do I do now....We have the pool size at this point. (you would not believe how long I have been awake and I am now sick with a sore throat.

So if we were at the very bottom of the range that would be 6200 pips *(1.1312-0.8224= 0.3088 pips) = $1,914.56 unrealized. So a 5k account would be enough to handle 100 unit trades at 100pips apart? (1,914.56*2= $3,829.12)

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The DWSTART (hope you don't mind me naming it this) is necessary to start the opening trade when trading this methodoogy IMHO. His work seems reasonable. But why not use a longer time frame? to see what the pool is, since were not gambling?

We need to size the trade correctly from the beginning.

and this is why:

The accelerations can be discussed later to increase yield (don't despair, the accelerations can be awesome, just so we have a realistic non gambling baseline to work from, so that we know when we are gambling).

Michael B.

P.S. Hey, DW can you put together a little spreadsheet to calculate this and post? as I plan on using your work, because I like it and it FITS me. (remember folks we are searching for your personal grail----is that a song?)




Quote from Davidwillis:

Let me go though your example.

Using a 10 year pool and 100 pip grid spacing 100 pip target points and 100 unit size:

1- Using your Data

10Y High=1.4362
10Y Low= 0.8224
Range= 6,135 pips
Current price = 1.2880


2- Buy 1400 Units

Calculation: (10year high - current price) / grid spacing * unit size rounded down to nearest grid space
(1.4362-1.2880)/0.0100*100 = 1482 Round down to 1400

Sell 4600 Units

Calculation: (Current price - 10 year low) / grid spacing * unit size rounded down to nearest grid
(1.2880- 0.8220)/0.0100*100 = 4660 Rounded down to 4600


3- set targets:

In the account where you went long:
set sell limits at 1.2980, 1.3080, 1.3180, 1.3280, 1.3380, 1.3480, 1.3580, 1.3680, 1.3780,1.3880, 1.3980, 1.4080, 1.4180, and 1.4280 all to sell 100 units each.

Do just the opposite in the account where you are short.


4- First you would set buy limits in your long account every 100 pips ( 1.2780, 1.2680, ...), and set sell limits in your short account every 100 pips (1.2980, 1.3080, ...)

Now Lets say the price goes up to 1.2980, your first target would get hit, and you would close your first 100 units for 100 pips profit, your short account would sell 100 more units with a target at 1.2880, and you would now have to place a new buy stop at 1.2880 with a target at 1.2980 in your long account.

Now if it goes up to 1.3080 your second target is hit and you would close your second 100 units, but since you filled your grid first this time you will make 200 pips on it. Your short account will sell 100 more with a target at 1.2980, and you will need to place a new limit order to buy 100 more units at 1.2980 with a target at 1.3080.

I hope that made some since. It was good practice for me to work through it. I think this might help give your account a good boost to help it get started, but I don't think I would go with a 10 year high and low. I would probably just look for good support and resistance points to use for my initial grid.

David
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ahh, there is my trading friend wd...

perhaps you would give us a glimpse of your world as it pertains to retail inventory strategy! (RIS)

No hurry, post when you will, I have the rest of my life :)

Michael B.

P.S. Folks, check in this Journal now and then to see how it is going, you may find some great stuff. Newcomers, I know its a lot to read, but you don't have to pay for it, and each post here is moderated and posted for a reason. Remember ALL of you have something to offer. Keep an open mind...find YOUR personal grail...don't gamble...get faith!



Quote from wdscott:

BINGO !!! Give the man a cigar !!!

Not precisely what I would do, but it's getting deliciously close.



Dave
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WHAT IS ON MY MIND CURRENTLY IS DEALING WITH WHAT TRIPACK REALIZED WAS MY PROBLEM. THIS WAS TRADE MANAGEMENT AND LABOR COSTS.

TRIPACK IS A REAL TRADER WHOM I RESPECT, WHO UNDERSTANDS TRADABILITY AND MAINTENANCE ISSUES. HE "LIVES" WITH HIS SYSTEMS.

THE HUMAN MIND CAN IMAGINE ELABORATE SCHEMES AND METHODS...BUT ARE THEY TRADABLE? I STOPPED THE FORWARD TEST WITH REAL MONEY, BECAUSE I REALIZED I HAD DEVELOPED A PROFITABLE METHOD OF TRADING THIS METHODOLOGY, BUT IT IS NOT THE WAY I WISH TO TRADE. SO I DO WHAT SHOULD BE EASY FOR AN EXPERIENCED TRADER TO DO, THAT IS TO PULL THE TRIGGER AND GET FLAT. YOUR BRAIN UPSTAIRS SHOULD BE "RIGHT" WHEN IN A TRADE OR METHOD. EXPERIENCE WILL SHOW YOU THIS.

NOW AS FAR AS WIFEY, SHE SAYS THAT I AM A DREAMER AND AM MOST HAPPY WHEN DEVELOPING SYSTEMS AND GETTING ATTENTION FROM MY FELLOW TRADERS. SHE SAYS THAT I HAVE A DEEP ROOTED PSYCHOLOGICAL NEED TO NOT BE SUCCESSFUL OR IN THIS CASE PROFITABLE, BECAUSE OF MY MOTHERS CONDITIONING, IMPRESSIONS AND ASSESSMENT OF ME WHILE RAISING ME, SORT OF A SELF-FULLFILLING PROPHESY. ACTUALLY, I UNDERSTOOD MY MOTHER TO BE ACTING OUT HER OWN FEARS AND THE REALITY OF HERSELF AND IMPOSING THEM ON ME, A YOUNG IMPRESSIONABLE SPONGE SOAKING UP MY ENVIRONMENT AND LEARNING, I DO NOT BLAME HER. SHE IS OLD AND DIEING IN A CONVALESCENT HOME. I AM THE BLACK SHEEP AND LUCKY TO BE ALLOWED TO SEE HER. MY FATHER LEFT HOME WHEN I WAS 6 MONTHS OLD, I NEVER MET HIM.

FOLKS, THE REASON I AM POSTING THIS. DO YOU WANT TO BE PROFITABLE? OR DO YOU WANT TO CHASE IT? WINNING IS JUST AS HARD (FOR ME HARDER) AS LOSING.

ANYWAYS, I NEED TO TWEAK THIS METHODOLOGY TO ALLOW FOR DIVERSITY ACROSS THE PAIRS. I HAVE IDENTIFIED SOME OF THE "MECHANICS" OF WHAT I NEED:
  • NO MORE THAN THREE ACCOUNTS (UNDERSTANDING EXPOSURE IS NECESSARY I DON'T HAVE A CLUE AND IT MAY TAKE THE REST OF MY LIFE :)).
  • WIDER INCREMENTS (CALIBRATED FOR EACH PAIR, BUT WIDER THAN THE FORWARD TEST USED)
  • 25% NET APR AFTER MONTHLY PAYMENT FOR LABOR (RESTART EACH 365 DAYS)
  • ACCELERATIONS OR DECELERATIONS AT FIXED TIMES OF DAY AND NIGHT (THANK YOU, FAURE).

MICHAEL B.

P.S. THERE IS ANOTHER TRADER WHO EXCHANGED A PM WITH ME. I WILL NOT TELL YOU WHO HE IS. BUT IF HE DECIDES TO COMMENT IN THIS JOURNAL, I GUARANTEE YOU THAT IT COULD BE COLORFUL AT LEAST. HE IS AN EXPERIENCED, TALENTED, WRITER AND TRADER IMHO.

THE RESEARCH PHASE THAT THIS JOURNAL IS "IN", CAN GET DRY, BUT I AM TRYING TO KEEP IT AS INTERESTING AS POSSIBLE. IN THE DAYS TO COME, YOU MAY ENJOY THIS MORE. WE SHALL SEE IF WE CAN REMAIN SERIOUS, BUT INTERESTING.

MAY I REMIND YOU THIS JOURNAL IS DESIGNED TO BE IN ET'S ARCHIVE TO STAND THE TEST OF TIME FOR MANY TO READ IN THE FUTURE. SO THE MODERATOR MAY DECIDE TO DELETE AND/OR INTERCEPT POSTS THAT WOULD NOT EDIFY THIS WORK.


 
check out the spreadsheet and see if it is ok.

I was just thinking that you might not want to go back 10 years, because you will be waiting a long time to get back to some of those prices, if you ever do. If you take a shorter time period you will be able to trade more units / profit target and grow your account faster from the start. Also by the time you reach prices that are 10 years back, your account will be so much bigger that those trades will hardly help.

Quote from ElectricSavant:

The DWSTART (hope you don't mind me naming it this) is necessary to start the opening trade when trading this methodoogy IMHO. His work seems reasonable. But why not use a longer time frame? to see what the pool is, since were not gambling?

We need to size the trade correctly from the beginning.

and this is why:

The accelerations can be discussed later to increase yield (don't despair, the accelerations can be awesome, just so we have a realistic non gambling baseline to work from, so that we know when we are gambling).

Michael B.

P.S. Hey, DW can you put together a little spreadsheet to calculate this and post? as I plan on using your work, because I like it and it FITS me. (remember folks we are searching for your personal grail----is that a song?)
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