Performance Summary - Discretionary Systems - Trend Following Retracement Entry Technique (DTTR)
Overview
This portfolio crawls along when compared to the multi-timeframe discretionary breakout strategies. The very selective trade entries combined with the restriction to the D1 timeframe results in few and far between trades, but what a breath of fresh air. This strategy reminds me of some of my favourite long term wealth building techniques like DIBS and the Equity Millipede. We could be holding some of these positions for years providing that market structure is maintained.
Despite the apparent inactivity and low trade activity, unrealised profit is progressively ratcheting upwards so now we are sitting on a great nice war chest. This just goes to demonstrate that we really don't need to trade lower timeframes. A far more peaceful and profitable trading life can be enjoyed out in the longer term timeframes. This is also evident when looking at the most successful CTA's in the industry (eg. Dreiss and DUNN) who trade the weekly timeframes. Once again, it demonstrates that over-trading is the greatest enemy for the trader. It unnecessarily introduces drawdowns into the system and also significantly increases the trading cost base associated with trade frictional costs (spread, SWAP and slippage).
Given the mean reversion nature of this strategy back into the primary trend, it is anticipated that this system will prove a useful addition to the discretionary system portfolio arsenal which so far is focused on trend breakout strategies. When trend breakouts are few and far between, this strategy is anticipated to shine attributed to mean reversion activity.
Trade Statistics - Closed Trades
There is not sufficient data to make any informed decision relating to trade statistics. The low Pwin% of 28.4% YTD is very deceptive as the strategy only commenced in late April and as a result, the statistics associated with closed trades only relate predominantly to losing trades as the majority of profitable trades currently are still open and not currently reflected in the results. Closed trades for the month of August have resulted in s small residual drawdown but given the unrealised profit sitting in the portfolio, there is no reason for concern at this stage.
Equity Performance & System Health
Currently with the limited trade history, not many conclusions can currently be drawn regarding equity performance or system health. Needless to say, things appear to be tracking Ok.
Trade Highlight
Nothing to report for August so will simply focus on the good result achieved recently with Silver which has enjoyed a nice bull run and has allowed us to take half our position off the time with a nice profit of 3xR. The remaining position is maintaining it's value and we have have the ability to benefit from any additional upside.
For those who do not like seeing their unrealised profits vapourising away before their eyes as the trend 'bends' then this is an option to ease the pain somewhat. While in the long term this will probably be detrimental to our overall returns, the benefits to cashflow for such a long term strategy need to be considered.
Current Open Positions
Good unrealised profit is currently sitting in the portfolio allowing us to maintain an active aggressive stance in the market and not be concerned with portfolio heat.
What's Trending According to this Technique
GBPUSD
CADJPY
AUDJPY
NZDUSD
That's it for the week. A detailed spreadsheet of analytics is attached.
Best of trading for next week.
Cheers
C
Inserted Video
Overview
This portfolio crawls along when compared to the multi-timeframe discretionary breakout strategies. The very selective trade entries combined with the restriction to the D1 timeframe results in few and far between trades, but what a breath of fresh air. This strategy reminds me of some of my favourite long term wealth building techniques like DIBS and the Equity Millipede. We could be holding some of these positions for years providing that market structure is maintained.
Despite the apparent inactivity and low trade activity, unrealised profit is progressively ratcheting upwards so now we are sitting on a great nice war chest. This just goes to demonstrate that we really don't need to trade lower timeframes. A far more peaceful and profitable trading life can be enjoyed out in the longer term timeframes. This is also evident when looking at the most successful CTA's in the industry (eg. Dreiss and DUNN) who trade the weekly timeframes. Once again, it demonstrates that over-trading is the greatest enemy for the trader. It unnecessarily introduces drawdowns into the system and also significantly increases the trading cost base associated with trade frictional costs (spread, SWAP and slippage).
Given the mean reversion nature of this strategy back into the primary trend, it is anticipated that this system will prove a useful addition to the discretionary system portfolio arsenal which so far is focused on trend breakout strategies. When trend breakouts are few and far between, this strategy is anticipated to shine attributed to mean reversion activity.
Trade Statistics - Closed Trades
There is not sufficient data to make any informed decision relating to trade statistics. The low Pwin% of 28.4% YTD is very deceptive as the strategy only commenced in late April and as a result, the statistics associated with closed trades only relate predominantly to losing trades as the majority of profitable trades currently are still open and not currently reflected in the results. Closed trades for the month of August have resulted in s small residual drawdown but given the unrealised profit sitting in the portfolio, there is no reason for concern at this stage.
Equity Performance & System Health
Currently with the limited trade history, not many conclusions can currently be drawn regarding equity performance or system health. Needless to say, things appear to be tracking Ok.
Trade Highlight
Nothing to report for August so will simply focus on the good result achieved recently with Silver which has enjoyed a nice bull run and has allowed us to take half our position off the time with a nice profit of 3xR. The remaining position is maintaining it's value and we have have the ability to benefit from any additional upside.
For those who do not like seeing their unrealised profits vapourising away before their eyes as the trend 'bends' then this is an option to ease the pain somewhat. While in the long term this will probably be detrimental to our overall returns, the benefits to cashflow for such a long term strategy need to be considered.
Current Open Positions
Good unrealised profit is currently sitting in the portfolio allowing us to maintain an active aggressive stance in the market and not be concerned with portfolio heat.
What's Trending According to this Technique
GBPUSD
CADJPY
AUDJPY
NZDUSD
That's it for the week. A detailed spreadsheet of analytics is attached.
Best of trading for next week.
Cheers
C
Attached File(s)
Discretionary Systems - Retracement Strategies - Monthly Summary.xlsx
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