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Memories of the future

My loss on February 22-25 haunts me, its reasons, and thoughts about how this could have been avoided strictly systemically. That is why I have been “analysing” the actions of my systems on February 22 for several months and asking: “Where do the legs grow from the systems that went long?”

Actually started “from the stove.” I created my first long-only system in 1998. At the closing of the day, it is very simple:

  1. If the day before we were in a long position, then we close the long if the closing is lower than max(min(M(H+L)/2,MC),C(t-1));
  2. If we left the long the day before, then return to the long if the close is above max(О

    As they say, find two differences. It is these systems created in 2003 and 2007 that did “irreparable benefit” to my account on February 22-24 (at the close on February 24, I left only a position in Si).

    Well, what happened next in February, you know

    Memories of the future

    In general, the profit of the described system in 2022 at Gazprom with slippage + commission of 0.1% was fantastic + 93.7%. True, if we remove the periods when it was turned off by the “big saw filter” (“small saw filter” does not turn off exactly this system) and 25.02-25.03, when I turned off all trading

    Memories of the future

    Again, the theoretical yield for the year was +29.7%. Not bad, is it really the “grail”? And here it is not. Here is the result of the same system in 2010-2014

    Memories of the future

    The filter, however, reduced the loss to 16.7%, but still – 5 years at a loss. And the profit in 2012-2014 was obtained from systems that “hit” in February 2022. What to do? Unclear. Apparently, so far there is only one and non-systemic solution: it was necessary to turn off trading on February 21, since the recognition of the DPR and LPR was already a fait accompli.

    Well, or buy on the morning fall on February 24 with free funds (and they were, since the described system was not included and real “shoulders” could still be taken on futures), as the president of our company did on October 28, 1997 and how it could be done on September 17. 2008 (the news about Leman’s bankruptcy came at night) and sell everything for 15% more on the next trading day: both 10/29/1997, and 09/19/2008, and 02/25/2022, prices allowed. But on September 17, 2008, I was completely out and did not dare to take this adventure, just like on February 24, 2022.

    I look at the authors of the comon who did not go long on February 22 in stocks and RI and I see that almost all of them were short or out before the 22nd and did not break into longs on the 22nd, like my system. And of course, the biggest profit of such authors is long Si, transferred from 25.02. But this is a different story, the story of the non-systemic closing of the long Si 25.02. However, with the share of Si at face value of only 25% of the NAV, I would not have recaptured the loss from other positions, except that I would have reduced by 5-7 percent, if we talk about the system and the portfolio as a whole.

My profession is a journalist, but my hobby for 8 years has been studying Forex investing and trading. During this time, I managed to gain extensive experience in investing and trading cryptocurrencies and double my capital in the Forex market. To be the author of this magazine, the site owners invited me to participate in one of the 2020 trading webinars, and I will try to reveal the most relevant crypto market news for you.

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