© Ed Seykota, 2003 - 2007 ... Write for permission to reprint.

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I go to mostly cash about 3 weeks ago. I close my 2 remaining short positions 3 days ago because I do not have a system. I want to complete the TSP and feel the market is a distraction at this time. I want to focus my efforts on TSP and developing my own system.

I am in the now with my 2 sons this morning. I turn on the TV for my son. I peak in on CNBC. I see the market is up for the 4th day in a row. I start to feel anxious about <missed opportunity>.

My wife takes the boys to play group. I have an opportunity to explore <missed opportunity>. The AHA comes when I realize that <missed opportunity> is <envy> in disguise. I am envious because I project that everyone else is making money while I am standing on the side lines.

I see in the past that envy has caused me to trade compulsively. I lose money because "I don't want to miss the move." Losing money causes more envy. Repeat the process.

Because I have been denying / unwilling to feel envy, I create a drama (losing money), which demands that I feel more envy.

Looking back through my life I realize that one of my biggest allies has been persistence. In believe persistence comes from envy. The positive intention of envy has been to make me work for that which I desire.

I would rather feel envy and use its positive intentions to complete the TSP. Someday I will experience its form.

fantasy/seven-deadly-sins-envy/

A trading system that uses a dual exponential crossover and ATR volatility position sizing on the SP500 does not seem like one of these rare circumstances. Ed, is this an oversight, or am I missing something?

Note: when you review some one else's back-test results, be sure to find out the exact definitions for the operators the programmer employs.

We successfully complete 2 Rock process in our Tribe meetings. I want to share an interesting story. This month (November) I made good money being short the markets. The week of Thanksgiving I created a drama which made me decide to close all my positions. I'm in cash for the rest of the month as the market rallies. Net result, I have a very good month. I guess Intentions = Results.

Thanks again Ed.

Thank you for sharing your process.

tutorial page:


Say you compute your 10-day Exponential average once per day. That makes dt = 1 day and TC = 10 days.

Please check the items to confirm them are now clear.

I am having difficulty understanding the following formula:


Instantaneously Compounding Annual Growth Rate

ICAGR = ln(Ratio)/ DateRangeInYears

Ratio = EndValue / StartValue

DateRangeInYears = (EndDate – StartDate) / 365.25

For an account that goes from $1,000.00 to $1,210.00 in two years:

ICAGR = ln(1.21) / 2 = .19062036 / 2 ~ 9.531 %


The part I am having difficulty with is how the 1n(1.21) = .19062036. I don’t understand how the “1n” is being used in the equation. Could you elaborate further? Thanks.

ln(1.21) = .19062036.

20071201issuecovUS400.jpg

Ed. Thank you.

Clip: http://myfishysite.vegard2.no/mermaid.jpg

May I point out I am not endorsing this strategy, I wondered if this sort of Investment bank marketing material was useful in gauging the stage we are in the psychological environment (see attached from your site) in the Gold trend.

I also notice the recommendation does not mention a protective stop above the market.

A very amazing aspect of human learning is it is very much like asking a question into a crystal ball (or the ether, or the collective consciousness).

I seem to always have a knack for answering my own questions, as long as I keep asking and then patiently waiting for the answer to come.

Asking the questions seems easy, patience is usually the controlling factor.

I put a piece of the puzzle together concerning the Dynamic Portfolio module. Interestingly, I have read about this technique many times but never put 2 and 2 together.

One possible method is the use of a filter “signal” running against all of your possible markets.

This filter signal would have two states – “GREEN” and “RED”.

When the filter signal is in a “GREEN” state, if the “child” strategy entry signal fires, this market is entered,

When the filter signal is in a “RED” state, if the “child” strategy entry signal fires, this signal is always ignored.

The simplest example is a MACD dynamic portfolio manager.

Let’s say you wanted to have a short frequency trend following system only enter when a longer period trend appears to be in motion.

Make the MACD averages longer then your look-back period for a breakout system.

Only enter long strategy signals when the fast moving average (MACD Portfolio Manager) is above the slow moving average and in a diverging state. The reverse for a short entry.

There are other possibilities.

In theory, this now limits how many markets you are actually “in” from a margin requirement standpoint, and preferentially guides your returns so you do not “dilute” your returns with less than ideal trades.

Where do you think Einstein received his E=MC2 AHA’s from? Is it the Collective Unconscious? Or is there still yet another “provider”?

Someday I would like to work to uncover a new, unique trading idea. I hope to share it with you and you call it your own.

That is, the attempt to "predict" the crossover relies on using a third average and this average acts to delay, rather than predict the signal information.

In real trading, however, there are the emotional issues such as 1) impatience to wait for a good setup in the "intermediate" trend, which could be the weekly charts, for instance; 2) the tendency of being "sucked in" by emotional swings out of short term price action, such as in the daily chart; 3) the desire to predict market direction when, in reality, "the trend is your friend, until it ends" always, every time, for every trade.

Thank you for sharing your process.

To summarize the new more conservative test results;


a) System 1 results (@2% risk per trade)
Profit=$19.12 million
CAGR=8.95%
CLOSED equity drawdown = 20.3%
MAR (i.e. bliss) = 0.44

b) System 2 results (@2% risk per trade)
Profit=$26.01 million
CAGR=9.9%
CLOSED equity drawdown = 20.23%
MAR (i.e. bliss) = 0.49


c) Combo System 1 & System 2 results (@1% risk per trade for each system)
Profit=$29.44 million
CAGR=10.38%
CLOSED equity drawdown = 11.85%
MAR (i.e. bliss) = 0.88 (nice!! . . . for me that is)


*****************


Once again I am able to conclude that by simply trading a combo of two systems with different Lag parameters at half the risk per system I can greatly improve the results when compared to trading either one of the systems by themselves.

Once again there has been no attempt made to optimize (curve fit?) for the best parameters for Portfolio A. I have simply chosen the 2 parameter sets as found in the TSP exercises for the EA crossover system

Personally I would trade the short side as well, so that’s yet another test for me to do.

Cheers once again,

Thank you for sharing your research into Lag Parameter Diversification.

You say it yourself in one of your TSP pages. I know you do not provide specifics surrounding trading systems; however, what concepts could I apply to selecting a portfolio of US equities?

I think what I mean to say is that I need a way to filter trade entry signals. If, for example, my trading system is based on all liquid US equities with $1,000,000 daily cash flow and it generates 100+ signals in a given trading day you have to select a subset of the overall candidates. What concepts could you provide me with that would assist me in this all important task?

Some of my ideas of trade signal filtering:

1. price today - N days (or months) ago price.
2. If an ema system, select the highest N ranked % yearly roc signals.
3. lowest volatility (Have you seen any correlation between periods of low volatility and smooth price trending either up or down?)

Your feedback is greatly appreciated.

You might consider running some tests on various ways to pre-screen trades and reporting back to FAQ.

Whipsaw Song

Dear Mr. Seykota,

wishfully waiting for an public audio/video version of the "Whipsaw Song", I take comfort in this:

http://youtube.com/watch?v=LtcnXLDnXvs

Do you like it?

Perhaps we are seeing the birth of a genre.

with theory of everything
 

Sometimes everything is nothing.

I feel there is a chance we may develop an even more mutually beneficial relationship. I know this chance is pretty rare in my life. The best way for this chance to bare fruit is for me to visit with you face to face. There are a few more issues of intention, trust and understanding that I must reach before I can really commit. If your mulling leads you to the same conclusion, please let me know where I can meet you. I will gladly come to Incline Village or anywhere else you prefer to meet.

imagens/sl_2unc.gif

We know that it's the big announcements that make small cap companies move. Many of these issues are so Tightly Held that when Buzz starts to build they can see 100% appreciation in a very short time.

We have our eye on one company that is set to make just such a splash: DAVN

Currrent Prrice:          $0.30
Shorrt-Terrm Tarrget: $0.65
Long-Terrm Tarrget:   $0.90

see Day Trading, below


Dear Ed:

I trust all is well. At our Trading Tribe meeting today, I expressed to our Chief a desire to attend the December 13, 2007 meeting at Incline Village. He did recommend that I could go to the meeting. Hence, I seek your permission to attend that meeting.

I would appreciate your thoughts on this matter.

You might further prepare by writing FAQ with a description of your experience of waiting.

Once I fix myself and follow my system exclusively I can reach the financial freedom and earn a livelihood that will allow me to take vacations with my family which has been missing from my life. You see I am the owner / operator of a tax and account service, check cashing and ... money transfer outfit for over 20 years and have found it very difficult to find time for vacations or attend to my godly parents in [Country] when they were dying. I forcibly made time to travel back home to perform their last rites. Trading for a living does give you the flexibility to take off whenever you want.

My business did give me the free time I needed to study markets and buy robust market indicators that work well in real time.

I feel you are the only person who can fix me and would be grateful if you can provide any further guidance in this matter. I have addressed my problem in Tribe meetings twice already and have taken the hot seat but my ... Tribe members are not as experienced in TTP as you are and it could take several meetings to locate my problem and being a day trader I find it hard to wait that long.

Once again I thank you and [Name] for driving down from [City] and showing us how to effectively conduct a Trading Tribe meeting.

Best Regards,

2007/11/when-its-time-for-us-to-know-we-will.html

Ed,

I notice that your site is somewhat hard to navigate. For example, some pages have links to the Associates Program, others don't. I have found things on the site in the non-existing past that I am unable to find a few months later. There is some really interesting stuff about rocks processes that describe members' experiences, FAQ style, that disappeared. Maybe Ed removes them, maybe I'm dense. Right now (it's always right now, isn't it?) I click Search This Site, whose title page lists three links that I don't find on the Home Page: Risk Management, Fractals & Borderlines and Pollinators.

The principle reason I go to Search This Site is to look for the application form you ask me to complete. No joy.

Please support me in telling me that I'm not really a stupid, ignorant, incompetent, illiterate, bass-ackwards, aging, dilapidated, dysfunctional, unworthy, unlovable, loathsome, miserable, insufferable, foolish waste of God's green protoplasm who can't get the VCR to stop blinking 12:00 and who do I think I am yammering on about VCRs when everyone else has TIVO in this digital age, yada yada, and so what if Microsoft says Click Start To Turn Off Computer, what did you think they'd say, Click Stop???

But I digress. Is there really a link to the form?

Thanks!

Please check it again and tell me any specific problems that remain.

This is a trading strategy I programmed last summer. I found a document that described this strategy on the Internet. It is a "version" of the original Turtle strategy (20-day breakout with alternating profit test, 55-day breakout failsafe) including the 4 "levels" of scaling / pyramiding. It does not include slippage :) .

I find it is sometimes helpful to program my strategies in both Excel and whatever other simulation software in order to "match to the penny" and know I have it programmed correctly in my operational or simulation software.

Thank you for your work on this project

As I go over your spreadsheet and graph, I am not clear on a some things. Perhaps you can help me understand.

The exponentially increasing graph seems to indicate some degree of compounding.  When I look at the spreadsheet, I see positions stay within a range from -4 to +4 contracts.

I wonder if you have a computation for Bliss or for MAR or some measure of risk-normal return.

I wonder if you are running some tests with different values of the key parameters to find optimal values.

I wonder what effect you might find if you include some form of transaction cost / skid.

Dear Ed,

Attached is my Trading Tribe Information Document.

Ed makes his first visit to the [City] tribe and upon request of the local Chief, agrees to take over the leadership role for this meeting, so the hosting tribe can see how it's done at the IV tribe.

Ed mentions that The Setup is key, in tribe as in trading, and toward that end he probes each of us more deeply during the check in than we might be used to, looking for who's hot and who's not.

When it's my turn I begin the litany of complaints with my signature "I Don't Know" routine, with emphasis this week on not knowing how to navigate the techno-overload of today's Brave New World, feeling stupid about it, feeling incompetent to manage ever the "simple" affairs of life, like weight control, having just regained twenty pounds of a hard won forty pound loss. Ed asks when the weight gain started and I say three months ago. We go back and forth a little about "who says" I need to lose weight, how do I know I'm not at my perfect weight right now, etc., and I reply that my weight is not the issue; lack of control is the issue. He looks for a possible connection between my eating and the break up with my anorexic ex-girlfriend and I claim no connection, the "ex" factor having occurred months before the binge begins.

I resume my whining. I feel that I've wasted my life with non-productivity and aimless drifting. I say I'd like to try the Rocks Process but I don't feel "qualified," I'm not sure I'm hot enough, I don't know if I've done enough tribe prep work to be "ready" for the next level. I suggest that this has been a life-long pattern, staying in my comfort zone, holding myself in check instead of climbing Maslow's Hierarchy of Needs all the way to Self-Actualization, that I'd really like to push through to a life of greater spirituality, but I'm afraid of the dark side of Spirit. I talk about the dangers of the Ouiji Board, the occult, the "demonic possession" of a State certified schizophrenic aunt, the influence of religious instruction in my youth RE: Satan and his power. I claim that my drug experimentation in the seventies, which was supposed to lead to spiritual enlightenment, left me paralyzed with fear of the dark spirits at the periphery of my psyche instead. It has been almost a forty year battle now to keep the poltergeists from getting in and taking over, but with each passing year there are fewer and fewer attempts by the demons to possess me. The last "near-miss" was three months ago.

About the time I started eating medicinally again, Ed observes. He asks me to describe the feeling of attempted take over by the bad guys. The closest I can come is to say it's like getting butterflies in my stomach before going on stage. Eating stuffs the feelings associated with the fear.

I say it's my intent to attend Ed's next Breath Workshop but I know from reading Grof that the process induces LSD-like episodes and those are the very episodes I have spent four decades trying to hold at bay. I say I don't care anymore; I want to go there and confront the paralyzing paranoia.

Ed speaks of his association with Grof, of the major differences they have in their respective approaches to breath work, and asks me if I am willing to feel the dark side.

At this moment I feel the same cold, electric, ball-shrinking tingle of risk and apprehension that I felt that night in 1970 when I began my final mescaline / hashish-through-a-Pink Cataba-waterpipe disappearing act. I say I'm willing.

Ed tells me to ingest a virtual (imaginary) serving of mescaline. I swallow the virtual hit and begin the process. Ed asks me to go into the feeling of the dark side. I try to induce the butterflies but they don't come. I start to do a couple of minor forms and the tribe encourages me to get into it. I rock a little bit and when they say More of that, I get more animated but I announce that paranoia paralyzes, and this is not paralysis. I freeze the motion and squeeze my head in a hand vice, trying to simultaneously force the dark side to the surface and yet to subdue its power. Ed says More of that and I squeeze till I'm red in the face with effort. The blood in my head, the maximum squinting of my eyes and the pressure of the vice changes the color of my inner world to darkness and I take this as a proxy for the Invasion of the Body Snatchers and let myself feel the dark. This leads back to the rocking. With each upward thrust, light comes in; with each downward plunge, dark returns. At one point the dark takes on a different hue. I become subdued and announce that it's very dark inside now, but I feel safe with unknown, willing to explore. I deliberately stroke the edges of the wooden chair I sit on. This has specific meaning for me and requires explanation. I tell the tribe that as a fighter pilot in the seventies, I would become gripped with fear when the Dark One started to take over my mind in the cockpit. I knew that ejecting supersonic had a 98% fatality expectation, and, of course, like the moth to the flame, the more I tried not to think about it, the more I thought about it.

Ed tells me to go through the ejection procedure. I pull the handles and squeeze the triggers. "Do it again." Pull, squeeze; pull squeeze. Now the tribe piles on and I'm pulling and squeezing like the out of control crazy man I've always been afraid I'll become. Ed says Take it all the way. When the ache of exercise is carried to full term I convert the movement into one of slinging the energy off my fingers like so much slimy snot. Ed says Smile! Enjoy the Dark Side! I make my lips pretend to like it and pretty soon the slinging becomes the Butterfly Stroke and I'm pulling myself through Mach 1, Mach 2, now I'm surfing through the unknown at Warp 8, grinning, gurgling with laughter, digging the Brilliance. The Butterfly evolves from rapid strokes into deep pulls whose intent is merely to sustain the trip. I know I've broken through to the zero point now and I sit still but keep my eyes closed and tell the tribe that I'm done but that I want to stay in the moment and enjoy the glide back in.

When I open my eyes Ed asks me what the positive intention of the dark side is. I say it's to protect me from Danger that lurks in the Unknown. I say Life is a process: day becomes night becomes day; dark becomes light becomes dark. It's okay, even fun, exciting and rewarding to go into the dark. Fear is just another morsel in the Smorgasbord of emotions, there to be tasted, enjoyed, savored as part of the feast, part of the process.

Thanks for your help Ed. Thanks, [City].

en/images/mescaline.gif

Ed,

Why do we experience anxiety? Why is it that high anxiety can make people physically sick?

You might consider sharing your own process with anxiety and physical illness.

see previous
 
Ed,

My own research with diversifying time frames across break out systems shows results similar to those you mention.

My research shows performance drop off with short time frames, as execution costs start to dominate the results. I see interesting results with very long time frames.

I view the phase shift and cancellation of component waves as not dissimilar to that achieved by diversifying across markets.

I intend to get the research underway and, when I have something to discuss, confer with you.

This may take a week or two, as I schedule it around my other activities.

I appreciate your encouragement.

Thank you for participating in the Associate Program.

We are looking for more people but nobody has shown up yet. I wonder if they are equally dedicated their systems as they are with showing up. We are still curious of how it would work if more people joined.

Many of my feelings are nowadays regarding how it feels to live a life without much flexibility. To work hard, exercise, stay on the path, take care of the family, try to enjoy the everyday life as much as I can. I can feel it is getting easier to enjoy the now moment and different situations. I am more open to speak about our tribe techniques and what it has given to me. I am really advertising.

Thanks for listening.

friend_specialfriend/1029-009-68-1068.gif

Hello Ed,

Yes this makes sense.

My understanding of the normalization check is that inspecting if {S&T}(L0) = {S}L0 allows us to be sure the system, and system heat, is not altered.

I believe it follows that the position size for each component (S & T) is ½ of that for S alone.

I am willing to proceed ...

I thank you for the TT web site, I find it a valuable, and unique, resource.

I think you are on to something and I think you have a good grasp of the situation.

My own researches show some improvement in Bliss by splitting the account into sub accounts and then diversifying the sub accounts by fanning out the the moving average averaging times, exponential average time constants, Support / Resistance line lengths, etc.

The profits tend to be about the same while the drawdowns become less severe due to phase shift & cancellation of the component waves.

I'd like you to consider presenting the research in a format such that I can post it to TSP as another module that extends the knowledge base.

Tribe Meeting - Making Decisions
Ed Visits [City] Tribe 11/25/07

Ed,

First, I thank you for visiting the [City] Tribe on Sunday 25 November. During your visit, I enjoy learning from your example how better to process manage, encouraging others in the processes you manage for them, and experiencing the processes you manage for me.

Second, I thank you for demonstrating for our Tribe the Decision Process.

As you may recall, at check-in, you help me experience my confusion regarding which career best accords with my right livelihood: writing, trading, both, or neither. Later in the meeting, I volunteer to work the Decision Process between writing and trading.

To begin, you ask me to hold out my hands and I do so. You ask me to choose one hand as a basket for writing and the other for trading. I deliberate, then decide trading belongs in my left hand and writing in my right.

You then ask me to charge my right hand with everything about writing, pleasant or unpleasant, that is stored in my body. You continue a patter (" ... constructing characters plots ... ") while I do so. I see pages of text in my word processor screen and I feel the hesitations I feel many days before I start to work, along with the joy of peak working moments when a sense of flow filled me.

After a time, you ask, "Is everything about writing in your right hand?"

I close my eyes. "Yes. I feel a pleasant tingle in it."

You repeat the question. My reply the second time is simply, "Yes."

You then ask me to close my right hand. I do so, loosely.

You then ask me to charge my left hand with everything about trading, pleasant or unpleasant, that is stored in my body. You continue a patter (" ... margins leverage ... ") while I do so. I see my broker's internet interface and I recall my father's unsuccessful trading ventures and my unwillingness to experience my wife's occasional annoyance that I have committed money to trade. I feel pride and certainty that I have found a system that back-tested well and that works in live, real-time trading.

After a time, you ask, "Is everything about trading in your left hand?"

I close my eyes. "Yes. My fingers feel stiff."

You repeat the question. My reply the second time is simply, "Yes."

You then ask me to close my left hand. I do so, loosely.

You say, "Now hold your hands in front of you, like this." I open my eyes. You hold your hands open in front of you about two feet apart, palms facing each other and fingers wide. "Now move your hands together, slowly. Is there any pressure or resistance?"

"No." My hands move easily toward each other. I wonder if I am doing something wrong. My hands interdigitate.

You ask, "Is everything about writing and trading in your hands?"

"Yes. I feel a warmth circulating in the third and fourth fingers of both hands."

You repeat the question. My reply the second time is simply, "Yes."

You then ask me to keep my hands interdigitated, bring them to my chest, and hold them there. I experience a pleasant feeling in my chest.

You ask, "Do you enjoy this? Are you willing to smile?"

The corners of my mouth lift and the muscles around my eyes tighten in a smile, but my attention is mostly on my hands and chest. You ask again and smile more fully.

You ask, "Are you a writer or a trader?"

Still smiling, I reply, "I'm both."

Finally, you ask me to separate my hands and return all the things about writing and trading that I charged into my hands to their normal storage places in my body. I do so. We then check out.

Later, after the meeting, I meet my wife and my mother for dinner and then at a grocery store. I feel things in my subconscious have shifted, perhaps like an ice pack breaking up. My wife asks, "Are you okay? You're staring into space."

"I'm still processing the meeting," I tell her.

The biggest change I have noticed so far today is that I have chosen not to check my trading positions and equity yet today. In the past, I have typically checked my trading positions and equity two or three times a day prior to implementing my system in the early evening. I will observe myself to see if I continue to choose not to check my trading positions and equity and what feelings come up in choosing to check or not check.

Third, I thank you for describing the Rocks Process. In the meeting, as you describe the Rocks Process, I feel irritation that you spend time discussing something that I have read on FAQ and other pages of your site. I then realize that others in my Tribe may not have read about the Rocks Process and the irritation fades away.

As you may recall, in the meeting a number of us recognize that even if our conscious minds know something to be true, our sub consciousnesses may not have integrated it into our complete personalities.

Last night, I dream. I am in the grocery store and faced with a decision between two products (two types of olive oil, one with a white label, the other with a yellow label). Under the dream's ground rules, I have a Medicinal Rock which urges me to choose the white label olive oil. Instead, I reach for a bottle of the yellow label olive oil and I feel a moment of unease as the pent-up energy of the Medicinal Rock tries to ground itself.

In reality, in the grocery store about eleven hours before I dream, I choose the yellow label olive oil with no unease at all.

pid=20601087&sid=a_eSyZb6zpDQ&refer=home

Thank you for the URL.

Trading with Smaller Accounts

Hi Ed,

In recent years, what's the minimum trading capital requirements to get decent risk / reward ratios ?

Bikini-Plain_Indecent_Bikini_Enlarged.jpg

Hi Ed,

Reading some of the FAQs regarding the rock process, it seems a lot of our gut reaction has to do with "medicating sadness."

From observation, it also seems that happiness and sadness are two ends of the spectrum, that it is innate to us to 1) pursue happiness and 2) avoid sadness.

It seems that in vast majority of cases, we learn ineffective ways to deal with sadness from our childhood. Now we get older, we try to use the Rock Process to reprogram such that we can deal with sadness more effectively.

I wonder if it is more efficient if we can learn the effective ways in the first place, so that we don't need the Rock Process later on to "unlearn" it. If so, can you suggest some ways we may learn how to deal with sadness effectively? Or if it is too late as an adult, what are some ways to help a child learn how to deal with sadness effectively?

03/23/sadness-and-joy/

Ed says, "If you wish to trade for a living you might consider studying yourself."

Can you please provide some ways to do so?

chappersanddave/galleries/514/1/

Associate Program - A couple AHA's.

1) General - a mentor does not know the answer to everything, but a mentor is able to listen to a mentee and understand the block. A successful mentor is then able to help the mentee unblock and maybe even have their own "aha."

2) Personal - I admit I am a funny mentalist at heart. I love to discover "surpriseamentals" and make great profits. I became aware of a fantastic supriseamental opportunity in 2005 known as "the global real estate / credit bubble."

I finally make huge profits this September, October, and November (2007) when the surpriseamentals become widely recognized by other market participants. But I lost even greater money trying to guess when the surpriseamentals would become recognized by the "crowd" between 2005 and 2007.

I have a horrifying "aha" this afternoon, where I realize that a simple technical system following price in the particular "supriseamental prone" securities (100+) I have been tracking since 2005 could have done the work for me.

I become more fearful when I realize that I took greater enjoyment from "predicting" these surpriseamentals than I did from making the "huge" profits that came as a result. My AHA is to ask myself what game am I playing? And am I playing to "win"?

Helping others typically rewards the helper in surprising ways.

Ed Says: At this point, your ideal mate, reflecting you, might be somewhere out there, looking for (and being careful not to find) you.

Things doesn't happen the way I wish to when I find an "ideal" mate, or otherwise the ideal mate finds me. I am not sure about what my role is in this setup, other than languishing in loneliness, and complaining to others and writing FAQ about it. I cannot and I don't want to control somebody who is looking for (and being careful not to find) me.

P.S.: How could you get it? You've indeed become a "wizard".

You might consider joining or forming a Tribe so you can implement TTP.

I see there is a TSP module that discusses diversification across markets.

How about diversification across time frames of a system? For example run a simple system with parameters a and b. Concurrently run the same system with parameters c and d, such that each system tends to capture trends in different time frames.

There may be a connection with the proposed module “Optimizing a Trend System”. However the difference is that rather than trying to find the optimal parameters we are investigating combining (possibly) sub-optimal parameters to see if it improves performance over a single parameter result. The optimal parameters are only known with hindsight.

If this is not suitable I am open to an idea of your choice.

You can then try various values for one of the lags in T, say L. Then you can examine the contour of bliss results for values of L to see if any B{S&T}(L) surpasses B{S}(L0) by itself.

As a normalization check for inadvertent alteration of the system, check that the solution for L = L0 duplicates the original optimal S solution. In this case you are running the sum of two identical half-systems.

Let me know if this makes sense to you
and if you are willing to proceed.

If so, I would suggest we communicate by phone
or in person to further define the testing plan.

Do you think this tension of not having or being what we wish to is part of the creation process?

At this point, your ideal mate, reflecting you, might be somewhere out there, looking for (and being careful not to find) you. 

The Dive of the Dollar



 

Ed,

I am thankful for your work and support.

Happy Thanksgiving Day to you and your family.

Thank you for your encouragement.

See http://www.milliondollarbabies.com/  for further info.

Who says you can’t be a millionaire, or billionaire or trillionaire?

I note that the current trend in the Money Supply figures in many of today's Countries (especially the Anglo countries & China) seems to be on the up.

I therefore anticipate, in the next few years, adding some of these 21st Century Banknotes to my collection as well.

yogiberra292x374.jpg

I decide to reframe it. Now I'm walking the rope, with my eyes on the other building, well aware of my downside. I'm no longer afraid of the risk because I see that its worth it and these are well thought out positions. For the first time I actually see myself getting to the other side. It feels great.

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This juggler seems to have some talent as a percussionist.

Hi Ed,

Let me share a recent experience.

I was fully in one stock. I knew I shouldn't have been but I couldn't help be believe all the hype. The technical looked great as well. I justified to my-self I should be fully loaded up one this stock going into earnings.

I had a dream one night. The stock gapped down. I had this awful feeling in my gut the morning after and wondered if my subconscious was trying to tell me something. Whilst driving a little voice kept telling me to lighten my position. I kept justifying being 100% in to my-self and told my-self to ignore this little voice. I knew I was doing wrong but I refused to listen to logic. I guess greed was a bigger factor?

Everyone was convinced the stock was going to gap up on earning and be up 50% in three months. People were telling others what they were going to buy with the profits. This was another red flag to me. Again the voice told me if everyone was so overly bullish get out … or at least lighten your position. I knew I should have done this but again I refused to listen to my common sense.

The stock gapped down 20% before it opened the next day on missed earnings. I felt sick. How could I have been so stupid? I thought I was above this. I get out at the open and licked my wounds. Whilst it was painful loss … I felt I was taught a big lesson. I was gambling and whilst I took a 15% loss on my total portfolio that one day at least I live to fight another day. I hope I have learned my lesson and I NEVER repeat this again in my investing career.

There really is no such thing as a sure thing in the stock market. I knew this, yet I acted like this was the one exception. Lesson learnt.

Ed Says: Curiously, this definition assigns a volatility of zero to a price that increases by the same amount every day. In this way, you can have high ATR and zero volatility.

When you say, "You can have a 'high ATR'", do you mean a "high ATR" if we are comparing several securities and their respective ATR/Price ratio? I feel that in order to classify an ATR as "High" we need to compare the ATR to something in order to define it as "High".

PS. Standard deviation never sat well with my gut. For me, the ATR/Price ratio seems to more easily lend itself to gut understanding of a security's volatility. I tend to think in terms of "The ATR/Price ratio is telling me this security is going up and down by 5% of its price on average (IE. using a basis of N days)."

PPS. Do you ever chat with Mr. Sharpe about his ratio and its merits as a risk/reward measure?

Another is that, by using the 20 day moving average, you can register a volatility event today from an expiring price spike twenty days ago.

with a goal of completing the Resources section.

I look through the first two Word documents on math. I know these; read them many times; even print and file them so it is official I start the program.

Next, I click on Exponential Lags, and read. Again, I am here many times; the words make sense; I have a car bumper; I know what you mean.

Then, I see the formula and I get angry. It reminds me of being little when I am at school, and I see something for the first time that I don't understand. I get tense, then angry, and often cry because I know other kids get it and I don't. I try not to cry; I do my best to hold back; this always makes it worse as I finally break down in sobs.

I look at the formula again and again. I tell myself to calm down; I tell myself, "I can do this." I actually say these words out loud.

Then, I get angry, really, really mad. I think, "Why can't he just speak English, so I can get this?!"

All other times, I quit right here. I allow myself to wait and try again later. But, today is different. I feel like if I can't finish the TSP modules, then I might as well quit trading and forget all this stuff.

I allow myself to cry; sob like a little child. This is how I know it reminds me of when I was little. A light bulb comes on because I recall getting older, and braver, and able to accomplish many difficult things.

I go back to the formula and write it down on paper.
I then go to the spreadsheet (Spreadsheet Computation for Exponential Average) and stare at the numbers. I just focus on the numbers until I finally see a pattern. It is only after seeing the pattern does the formula make sense. I plug the numbers in, and YES the formula works!

I am happy I get it, but a deep sadness rushes over me. I wonder why I have to make my life so difficult.

Thank you for all the work you do, and for creating the materials and atmosphere to help me learn so much about myself.

http://math.ucr.edu/home/baez/week234.html

Ed,

Thank you for posting the link to a touching story of
Father and Son. A 65 father and a 43 son stick to
their life principles and work together to make their
life better. I feel moved and my eyes get wet.

Hmmm, seems like trend following at its finest: take a small loss on the sale price, and do more of what's working and feels like right livelihood.

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So I switched from selling the ES to the ER2 for the trade I told you about last week. I'm still riding the majority. This is currently one of my best trades of the year. That brings up a scary thought.

I have a very strong intuitive feel for the markets that I watch. However, I haven't even started to work through my k-nots. I feel that the combination gives me a highly effective ability to blow myself up if the drama of the week calls for it. I feel that as a discretionary trader, I'm walking on a tight rope. I'll have to bring <walking on a tight rope> to the tribe.

Thank you for being so willing to share the process. If there's anyway I can help you broadcast it to the world, please let me know.

PS - walking on a tight rope form comes on viciously. I recognize that I feel this often without being aware of it.

 

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The relationship is very similar in that he knows he can contact me 24/7 and I am willing receive whatever comes up.

I notice one of your remarkable gifts is to simplify processes with clarity. In trading you once responded to a question about your trading rules the answer still resonates around global trading houses (Cut Losses, Ride Winners, Keep bets small, Follow rules without question, know when to break the rules).

I wonder if you might share any clarity on successful mentoring processes, you appear to have mentored many wonderful people whom have gone on to achieve incredible successes both in business and personally, I am most interested in any insights you might have on successful mentoring.

Right now I recall you saying you don’t tell people what they should or should not do many times in our conversations, you also work with those whom show “willing” and pass on the ones whom are unwilling.

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Since than I have had many good things happen in my life buy getting rid of some of the guilt feelings and releasing some old negative thoughts. I would like to be able to do the breath work again also my wife Tracy is interested too.

Do you have any upcoming dates for a breath work class?

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Hi Ed,

I am passive-aggressive all my life. Of course, I came across this idea many times before, but now for some reason, I have no doubt that this is me all the way. When I look back and realize what I actually did so many times (being p/a) instead of what I thought I was doing (doing the right thing), I see my behavior clearly and the symptoms cry out loud: “passive aggressive”. How did I managed to escape the realization and the impact I made on others with my illusions of self? It’s crazy.

This is the truth about me and it terrifies me – especially the fact that I missed this feeling/insight earlier.

I pray to God so I can heal one day.

Speaking of God – God bless you for helping others.

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Dear Ed,

What is volatility?

Does a High ATR value mean that price is volatile?

Thanks,

In this way, you can have arbitrarily high ATR and zero volatility.

You might enjoy remembering that we support you in your successes as well as in your frustrations.

Thank you for your integrity as Process Manager during the snapshot episode.

Thank you for inviting the surprise mystery guest to attend the meeting.

Thank you for your selfless service.

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I recall saying you can stand the chart up against the back of a chair. The Stick-it-on-the-wall idea is a modification that would seem to give similar results.