Thread: Quantitative Trading Journal

I wanted to share real quick my favorite chart which helps me sleep through the night. It has to do with reductions. Losses within a day/week/month should be expected. Everybody has losses although not all streaks are made equal. Many traders adapt their techniques/system/method due to losing streaks. You have to know when your losing streak should be expected and part of this process and which losing streaks are telling you your system sucks. Tracking your gains and losses is significant so that you can ask yourself two questions Has this kind of streak happened to me? Is this streak currently telling me something different than the preceding losing streaks?

Initial screenshot is my 36 hour rolling PIP gain/loss. So basically this allows me know if my -200 or my -310 or my -280 or -240 is out of the normal or should I've expected it.

The second screenshot is the 72 hour rolling PIP gain/loss. If I dropped over 400 PIPs in the following 72 hours, could that be a game changer for me personally? No. It has happened to me and it'll occur to me later on. With respect to trading bear in mind the old expression. You haven't had your worst day however

I select 12 hour time frames since that's when I do my own trades and alterations. I do them at 5:00 AM EST and between 4:30PM-5:00PM EST

Http://www.futuresmag.com/2015/03/16...-curve-trading

I will cover in this journal entry that the reasons I feel it is necessary to have rigorous guidelines for trading and also I will pay for trading your equity curve. If you're not familiar with it, about trading your equity curve, the connection is.

I believe one of the big improvements to my trading was once I put together a list of principles that were so strict that even if I gave the principles to someone and we went our separate ways for a calendar year, when we got back together 52 months afterwards, we would have went long the same currency pairs and went short the same currency pairs at the exact same minutes throughout the entire 52 weeks. The benefit is not quite what you would anticipate, although here is the benefit I get from Quantitative trading.

Throughout the first 4 years of my trading travel I was hell bent on discovering the secret to what tipped me off to a sharp increase or a sharp drop in a currency pair. I had been successful but was not life. I had a epiphany.
(Negative idea -I think about this a lot-: The great thing that I adore about trading is that thoughts/ideas/epiphany's have been had by most every trader and I always wonder if I have one, how many thousand's of different traders before me had the exact same but separated by years and years. That instant I discovered it on my own was a thrill, despite the fact that there might have been articles written on the subject that I did not happen upon and I'm sure for each trader it had been. It's one of the minutes you pull the vehicle over and get started writing down notes)

straight back to my own epiphany. . .Anyway, I thought of all those ideas that I had analyzed and lost what if there was one I lost that churned over and over and never went anyplace and because they didn't move up or down regularly.

So I went back to all my spreadsheets and notes I'd saved over time (I do not throw anything notes associated or trading tests related away) and looked for the way went absolutely nowhere.

Now comes in the method of trading your equity curve. The excellent thing about FF.com is your trade report and transaction graph that they offer up for both demo and live accounts. If your trading is very arbitrary and all over the place it might not assist but different time frames can be chosen by you only in case you were persistent and wish to appraise the time frames.

The article attached covers a couple of thoughts on trading your equity curve and is very basic so if you know all about it, you won't read anything life altering. A couple of thoughts I have about it that might help direct are...
#1 Come up with principles and create demo account #1 and also make that Model #1. Get to understand Model #1 such as the back of your hand. You should be aware of everything about it. Know the stats, understand the tendencies, etc..
#2 Come up with rules on trading Model #1 You might trade, you might trade with this. You might just step aside

I understand with my Model #1, it merely goes so much in a certain length of time. It bounces back and forth and churns. I put it up that way. I trade against it and I trade with it on under performance.

Hope this helps and gets you thinking of the significance of trading with principles and perhaps some ideas on trading your equity curve.

(Watchouts on trading your equity curve. Take care when evaluating your drops in Model. It might be because you'd intense slippage or trading charges or enormous spreads.)

As I work on analyzing my Model 2 interacts with Model 1, I wanted to assemble a couple things that have to do with risk and time.

These two images are information from Model #2 which is directed by Model #1
Picture on the left shows how many new highs have been hit and which days/time the new highs hit. I compile my version information at 5:00 PM every day and roughly 5:00 AM. I make alterations at just those times as well. I will monitor both models but I don't make decisions or count data points. I do so in order to keep my models as consistent as you can. This information goes back 72 data points or 864 hours. Data collection is needed although is Monday information.

The image on the right will be draw information heading back 864 hours. I've had two cases of draw significance between 400 and 500 pips. 1 example between 300 and 400 pips, etc.. The information is not the total amount of draw downs. For example, Tuesday AM 400 pip draw hit on a 100 pip draw first (reflected from the Friday AM data stage) and hit on a 200 pip draw next represented with a Monday PM information stage.

I tweeted out last week some advice with respect to hours between new highs. Here was the info I tweeted although I'm going to write more.

On March 15th 5:00PM I'd hit 96 hours since a new high. My typical hours between new highs at the previous 864 hours (36 trading days) was 36 hours between new highs. My top longest period frames between new highs are the subsequent
1. 168 hours between new highs
2. 156 hours
3. 120 hours (ended Friday 5:00 PM 3/16/2018)
4. 96 hours

That which I worked on this week plus some random thoughts

This week I worked on trying to work out some very brief term predictability within my version 2 in order to get some brief term trades. (My average hold time for Model #2 is 33 hours currently) I tested the waters and was successful in my first effort but I felt my risk was reduced because Model 2 was in the lows for the day and that usually doesn't continue for too long throughout the Wednesday, Thursday and Friday time frames.

Short Term commerce. Friday 8:46 AM to 12:05PM
Model #2 has been fully invested in the next. All 6 positions were held because 5:00PM Thursday
Long EURUSD
Extended GBPUSD
Extended GBPCHF
Short AUDJPY
Short NZDJPY
Short EURJPY

Model #2 was in the lows for the day and was showing signs of holding a base. I entered a commerce and waited to get a 100 pip move. If this move didn't unfold, I would absorb the trade and hold until my ordinary 5:00PM or Model alterations.

The commerce
Short AUDJPY in 81.32 out 80.994 win
Short NZDJPY in 76.306 out 76.105 win
Short EURJPY in 129.766 out 129.584 win
Extended EURUSD in 1.234 out 1.23595 win
Extended GBPUSD 1.41316 out 1.41494 win
Extended GBPCHF in 1.33984 out 1.33938 loss

Some notions on short term trading
Rather than analyze each position for the brief term commerce, I tested the Model #two portfolio and subsequently entered the full 6 position grouping that I was already invested in, using a smaller position add. If the position did not do what I wanted, I could absorb it, as I said. I understand more my Model 2 reacts 100 times better than individual forex pairs.

Think of times you have had a few positions on to get a somewhat long period of time. You probably understand how those holdings react as you see your portfolio fluctuate, better than tracking and analyzing each position.

Total I felt a good week using a constant pattern of weakness in the Monday/Tuesday time frames using high levels of strength in my Model 2 throughout the end of the week. Because it was precisely the opposite I am not going to change anything based on days of the week. Simply taking notes on it.

@TicTocTick
Bad traders put trades and sense anxiety. Superior traders put trades and feel great. Great traders put trades and believe nothing

Read in my twitter feed now from @TicTocTick

This is my objective. Don't have this feeling if you don't have confidence in your method/system.

I feel the best method to develop a viable system that's effective, consistent and profitable is to have a Belief (Philosophy) or a Tag Line to function off of. For instance mine is There is a battle between Momentum and Mean Revision

So every indior that I developed. Every thought process I had. Was based around that phrase.

Thinking always regarding that phrase kept me on task and brought me back to what my doctrine was, in the minutes I deviated from it. It is too easy to experience this journey and not keep notes not remain consistent, try each method you read about for short periods of time without providing any a true opportunity, etc..

If somebody has spent the previous 2 months developing their trading system and they have gone from idea to idea to thought, they really haven't given the entire effort that's going to make them a professional trader.
I browse 's Pivot trading forum from time to time and you will find a few of things that stand out. #1 clear #2 Some folks are so random/spastic within their procedure, even they can not concentrate on the task at hand.

Another wonderful way to remain on task is to follow professional traders online twitter. Obviously it takes effort and time to figure out that are those which are only selling you something except to provide you with a start and that are the experts, follow in trading the Yen are unwavering @RealBrianWatt His methods. He's methodical. He's convinced and he is always sharing his thought process/beliefs.
Well worth the follow

Have a great day

Preventing Group Think and adding your trading and Creativity.

In my view, two of the most important things to happen to trading in the previous ten years is Youtube and Twitter. With Youtube and Twitter that you can have access to some great information which you may not have been able to see/read before. People you may not have heard talk before with click of a button it is possible to find interviews, their demonions or vlogs. There has been a lot of information I've found over the years I have been on both these websites but there are two instances that stand out as far as getting me to understand just how important it's to be creative and resolve things in ways you never thought before.

#1
Scott Grannis is a great twitter follow for Macro Economic thoughts. He just tweets links out . He's Chief Economist and the Director from Western Asset Management. He provides a lot of information but one thing which stands out to me was a post he made that he said he's been doing a number of his best work due to retirement. (I believe he retired about 12 years ago) He said that when he was not retired, he would fall into the rut of team think because his afternoon was filled with meetings with other economists and toss in the occasional conference with outside economists. He believes that he is free of team think because he does not have any interaction with other economists and comes to his decisions by thinking that is mindfully.

#2
I am a huge Anton Kreil fan. He offers great insight to the business of hedge funds, trading, etc.. There has been a couple times where I've seen where he had been asked about his time at Goldman Sachs. 1 instance he spoke about the difference between Goldman and another places. Some quotes from the interview
There is a massive difference between Goldman Sachs and the rest of the market
the very top people on the market work there
a different type of intelligence than the rest of the market. It is a curious head combined with a very very strong work ethic

it's the interview at the Cass Business School in 2013 if you want to look this up on youtube. It is a couple hours.

One last thing. I've read a lot about Nikola Tesla Through the Years. It is said that he would take just think/daydream/visualize and long walks. He come up with the answers by thinking it through, come up with possible difficulties and could evaluate a notion in his mind. That's some pretty cool things and ought to be something a trader should place on his daily to do list.

So I figure you have to evaluate yourself. Can you take any time visualize and to think? Is all your solution work? Get away from your computer and go for a long walk and Believe. . .Visualize. . .Day Dream. It is like anything. It takes practice but worthwhile.

Everyone have a fantastic Easter

I'm a long time lurker of all Nigeriaforextrading.com but finally took the plunge to create an account and participate. There's not a lot of quantitative talk to the message boards, more centered around chart analysis so never felt I would be any aid.

I believe myself a Quantitative Trader and have been doing that type of trading for approximately 7 decades. (Prior to that I was chart based and did that off and on for approximately 11 years)
A lot of individuals believe Quantitative analysis involves computer programming, sophistied back-testing appliions, complied formulas, etc. but in reality, it can be accomplished with Microsoft Excel and historical data. Those two things along with a knowledge of Excel will help anybody test theories/ideas and determine how those concepts have held up for periods of time.

What is trading according to investopedia.com
Forex trading is made up of trading egies based on quantitative analysis, which rely on mathematical computations and number crunching to identify trading opportunities.

I don't want to make a long time of a first article but do want to pay a few goals I have for my diary.
#1 Give up some alternative ways to exchange that I believe are somewhat more clear and succinct
#2 Share some alternative portfolio/trading analysis over what's revealed from the Nigeriaforextrading commerce report analysis
#3 Share ideas and thoughts that got me to the point I'm in my trading now (basically what I have found over the last 7 years)
#4 Display how easy it's to use excel for those who have not even opened up the appliion on their pc
#5 Showing just how keeping it simple is the majority of the time the best route. Complex of a system in the world for the person is a recipe for disaster in my view. The very complied procedures of the big Quant firms, such as Renaissance Technologies, are being developed and preserved by the best of the top PhDs from MIT, Princeton, etc.. Know your own limitations.


What you won't receive from me
#1 Great Excel abilities - I maintain my excel sheets simple and idiot proof. The minutes I tried to get overly complied with my formulas were the minutes I screwed up my trading
#2 Programming - Can't do it. Tried to learn it. Wasted two weeks of my entire life when I could have dedied it to analyzing Excel sheets.
#3 Great Statistical skills. The threads here I have been drawn to in the past all have been driven. My level of comprehension is much lower than a number of the smart people here who use analytics although I use statistics.

Hope everybody has a great trading day