Elite Trader's Gambler's Anonymous ETGA

Status
Not open for further replies.
I want to thank the moderator. Thank you, Magna.

This Journal is 60 plus pages and I KNOW you have interceded without me knowing. There has not been a Journal this length without interruptions....

I am pleased to be a part of your archives and ETGA. I hope those of you that read this years to come will enjoy this as much as I have. I will continue as long as I can.

Michael B.
 
It just occurred to me, why start the forward test with all 15 pair?

Enter first those pair in the middle of the 5Y range, then "add to" the portfolio as each pair moves into the "between the borders" zone. Remember, the 5Y is a "rolling" 5 years.

Do you Folks think that there wil be enough pairs to start the forward test with? Cash flow and many pairs are needed.

You see this is such a long term system, it outlives the current correlation statistics. The pairs today may not correlate in the years to come. So this is an explanation of the "overweighting" beliefs that come with trading 15 pair.

Cash flow is what is most important!

Michael B.
 
I have been thinking about this. Why are we using the past to determine the grid high and low? What are the chances that the next 1, 5, or 10 years are going to have the same high and low range as the last 1, 5, or 10 years? With what we have now we are hoping that the price will follow what it did in the past (or at least we will make more money if it does than if it leaves the range. With our current set up it makes since to wait until we hit the middle of the price range before entering (Like ES mentioned). But why not just use the past to determine a grid size, and set it up with the same long and short positions? That way we are not trying to predict which way it will go, we will just profit with the move.

Also a thought about decreasing the size when we leave our original grid. Again it seams like we are trying to predict price direction. Or maybe I still do not understand completely the theory behind it. But if we decrease the trade size outside the grid, then if the price keeps trending outside the grid our winning trades will be small while our loosing (unrealized loss) trade size remain twice the size.

Any way, just a few of my thoughts.

David
 
just a few words.

If we enter in the middle I agree.....or close to the middle, does not really need to be exact. The volatility measurement for grid space and unit size that the dwspreadsheet provided was helpful even if we do not use what it was intended for....

I do not know how to accelerate the realized correctly. something needs to hit me upside the head...

I'm liking "faure time increments" more and more....the more I think about it...(use the dwstart increments as guides on when to take profit at the faure time increment intersection. If you are not close to the target amount just skip taking it and wait for the next "faure time increment")

faure/dw intersection.....hehe....

Michael B.

Quote from Davidwillis:

I have been thinking about this. Why are we using the past to determine the grid high and low? What are the chances that the next 1, 5, or 10 years are going to have the same high and low range as the last 1, 5, or 10 years? With what we have now we are hoping that the price will follow what it did in the past (or at least we will make more money if it does than if it leaves the range. With our current set up it makes since to wait until we hit the middle of the price range before entering (Like ES mentioned). But why not just use the past to determine a grid size, and set it up with the same long and short positions? That way we are not trying to predict which way it will go, we will just profit with the move.

Also a thought about decreasing the size when we leave our original grid. Again it seams like we are trying to predict price direction. Or maybe I still do not understand completely the theory behind it. But if we decrease the trade size outside the grid, then if the price keeps trending outside the grid our winning trades will be small while our loosing (unrealized loss) trade size remain twice the size.

Any way, just a few of my thoughts.

David
More...
 
Quote from ElectricSavant:

just a few words.

If we enter in the middle I agree.....or close to the middle, does not really need to be exact. The volatility measurement for grid space and unit size that the dwspreadsheet provided was helpful even if we do not use what it was intended for....


Michael B.
More...

Why? Are you predicting the price will return to the old range? If you can really predict that then it would be best to fill the grid at the ends and make tons on the way back with no unrealized losses (at least not until you are back to the middle).

I am not trying to argue with you here, just trying to get us to think everything through.

David
 
I don't really know.

ok here is something...

We know it can't go lower than zero! double that, and start trading it after using your spreadsheet to get unit size and increments?

I have a question...do stronger trends = more upcoming volatility? I read this in one of the other forums.

This geometric unrealized must be solved with a reaction to change of condition with an acceleration of realized...this I know.

Quote from Davidwillis:

Why? Are you predicting the price will return to the old range? If you can really predict that then it would be best to fill the grid at the ends and make tons on the way back with no unrealized losses (at least not until you are back to the middle).

I am not trying to argue with you here, just trying to get us to think everything through.

David
More...
 
Quote from ElectricSavant:


This geometric unrealized must be solved with a reaction to change of condition with an acceleration of realized...this I know. [/B]
More...

I think that is the key! But how?

This is what I am doing to deal with it. I original set up my grid to survive a strait 500 pip move. That still lets me make good realized profits (about 1%/day), but to survive a 500+ pip move once my unrealized = 50% of my nav (which it hit when eur/usd hit 1.2550) I stop buying eur/usd (or any currency that is causing my unrealized to be high) at each grid space, and start selling twice as many at the next space (does that make since?). Once the price moves back above 1.2550 I trade the same as before. The only problem with this method is that it leaves large positions at the extremes of the grid which is not good, but it keeps the account alive for a much larger move, and if it bounces around enough I will eventually increase my nav to a point where I start moving my normal pool out further.

I don't think this is the solution, but it does help.

David
 
You know dw,

I am thinking about putting a pivot or average trade price in your spreadsheet. If trading under the pivot/average and the trend is short then double the size on short side and vice versa...This hit me last night and I woke up early this AM to read your latest post, and to post this.

We should be able to use those extended bleeding 5 or 10Y trends to our advantage, while getting halv size trades on the retraces....don't ya think?

Were really not picking direction, just tracking where we are in the grid by looking at the current price. If the direction were to change we would know it....

Michael B.
 
Quote from ElectricSavant:

You know dw,

I am thinking about putting a pivot or average trade price in your spreadsheet. If trading under the pivot/average and the trend is short then double the size on short side and vice versa...This hit me last night and I woke up early this AM to read your latest post, and to post this.

We should be able to use those extended bleeding 5 or 10Y trends to our advantage, while getting halv size trades on the retraces....don't ya think?

Were really not picking direction, just tracking where we are in the grid by looking at the current price. If the direction were to change we would know it....

Michael B.
More...

I need a little time to think about this. We are going in the right direction though (I think).

David
 
Status
Not open for further replies.
Back
Top