Now Documented: Brain Kills Profits

Quote from futurecurrents:



Well, you can backtest but it won't be accurate. Or perhaps there are some methods that would allow it but what I'm saying is this: Say you're testing a moving average crossover system that gives a signal to buy after completion of a bar and a ma crossover. Looking back on it, one can't always be sure which bar completion initiated the crossover at the time, therefore you can't be sure of what price you would have gotten.
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I'm happy to report I followed the method exactly today even though I didn't want to. Man, I just don't like to make the same mistake twice. So now I feel like a big winner even though I had a small whipsaw loss-- turns out what I felt like doing would have led to a loss twice as big.

On to fills. Three out of my four fills today were exactly as the backtest would have shown; one was against me by one tick. (I've found the fills are almost always what they're supposed to be, today was a rarity to get one off by a tick.)
 
You mmight want to throw in some caveats about how you adjust the indicators when you change to shorter bar durations.

I would choose other instead of a or b since they don't play out.

We all make money. My pace is about triple yours vis a vis trade cycles for trends. I am neutral biased so iI trade long, short and lateral trends. I also trade periods other than trend continuation times.

I do not scalp but I am on the other side of those being whipsawed usually.

Finally most traders are not wholly mechanical. As such they probably aren't tied to any thing unnecessarily. They are in grooves and staying loose.

Thanks for your comments.


QUOTE]Quote from peterfigliozzi:



Really I just use what makes money. I've been making money so i'm happy with the method.

No one has access to information from the future. A "closed bar" represents a user defined end to a sampling interval. So if you really believe what you've said, try this:

(a)Do your backtest using open bars. You are a sophisticated and wise backtester.

(b)Take the same data, but now increase the sampling rate (use smaller time interval bars). Oh my goodness! It appears now you've made decisions based on "closed bars". In your own words, "head in the sand childish," etc.

It appears we have a paradox on our hands. Which is it???
A or B????
:confused:

Also, I lied. I DO have access to information from the future. I know what you are going to say next. "You can't tell when you'll get the signal; if you increase the sampling rate so that one of my signals comes right after a closed bar, most of my other signals will come during open bars."

Good point. Which brings us to the heart of the matter:

Your sampling rate needs to be much higher than your decision rate for a good backtest if you are making decisions based on closed bars. Which for me it is, with 30 trades on month on 5 minute bars.

A scalper would have problems using closed bars for signals. I'll bet you are a scalper, Jack? [/QUOTE]
 
Jack Hershey >Finally most traders are not wholly mechanical. As such they probably aren't tied to any thing unnecessarily. They are in grooves and staying loose.
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Jack, I see people talking about discipline. Are you suggesting that maybe flexibility is at the root of success?
 
Quote from peterfigliozzi:


Along the way, I make various "judgement calls"-- open a trade
a little earlier or hold on a little longer than the method calls for.
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So, what are you thinking when you want to make these tweaks to your system? "It can't be this simple" or "If it is really this simple I will feel funny making $ from it" or something like that? Or is it just fear that the system won't work?

Max
 
Quote from maxpi:



So, what are you thinking when you want to make these tweaks to your system? "It can't be this simple" or "If it is really this simple I will feel funny making $ from it" or something like that? Or is it just fear that the system won't work?

Max
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I think Peg Leg summed it up best in his earlier post.
I was making secret discretionary trades under cover of a system, not "tweaking" the system like I thought when I started the thread.
Tweaking means making adjustments to the system. In fact
I didn't change the system at all. I was trying to predict the
future along the way, and trade it, outside of the system.

I abused the system by trying to get into moves early, or trying to catch moves that the system wasn't set up for.

I also used the system as a yardstick for my secret discretionary trading. It seems unbelievable to me now, but I consciously kept track of how many points I was ahead of or behind the system
along the way.

Why, you ask. I really don't know. I like the thrill of day trading, except I have shown in my case that I just lose money daytrading. I swore off of it until I could show a monthly profit on paper, I said to myself. But like Peg Leg said, I used my system as secret cover to keep that day trading activity going.
 
This system had more trades today and it was easy to stick with it. I didn't have those urges to make discretionary trades.
In fact, instead I jotted down a few ideas about how I might
change the system to incorporate some more market action.
I'm going to back test them and see if there are any good reasons to make changes.

I feel like I've made some major progress in the psych dept.
Thanks to all.
 
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