Diversified Trend Trading Approach

It's interesting that a thread about trend trading has very little talk about actual trading.Funny thing is that this, for me, is exactly the right way to trade. Lots of time doing nothing/very little while the passing of time either costs me money eventually or grows my positions.

The only thing I don't subscribe to is the diversification aspect. I actually concentrate on the market at the time, which, based on my protocols have the most potential to give the highest return. Diversification, whether market/timeframe/system etc may work for all the money managers out there, who are really interested in smooth equity curves and keeping their millions in fees from their funds even if they make small gains or losses, but not for me.

As a private trader I trade for risk adjusted returns not for fees.

Back to waiting. Good trading.

I have just come to that same conclusion last night. I am a slow learner.

I am going to step right back now just posting aimless things that interest me and might interest others and socially chat while I tick away with some like minded traders going forward. I am so over detailed explanations as you start feeling that perhaps you are on trial at the end end of it all. It is a real drag on the resources and a pretty pointless exercise anyway. We all have our own ways and our paths are based on that we experience and pick up along the way.

Time to take Alan Watts a bit more seriously and start 'playing' a lot more. It was previously getting to be a bit of a drag. :-)

Diversification with Sound

So much talk about price or time and what is important. We can often find ourselves getting into knots. Perhaps it is just a matter of perspective (aka observer dependent).



In 4D spacetime all observers agree of the speed of all things....which always is C.

In 3D and 1T we need to take vectors to resolve this 4D symmetry. That means that for all massive objects a portion of travel is diverted through space and a portion of travel is diverted through time. For massless objects, they simply travel through space with no vector assigned to travelling through time.....hence they are timeless and don't age and always travel at c.

Under special relativistic conditions (inertial) you can perform the same physical experiments and they don't change irrespective of the relative inertial speed taken. You can play ping pong in a lunar module traveling at half the speed of light versus ping pong on this earth and get the same results (without an accelerated reference frame). What creates this co variance between physical situations is this symmetry relationship in spacetime. It is how we slice spacetime that creates this perceived difference and the associated biased slice seen from one vantage (aka observer dependent). Unfortunately we are all embedded in a 3D and 1T model hence cannot appreciate what spacetime is visually....that's what happens when the observer is embedded in the system. Only gods that exist outside the system can see the entire setup.

To demonstrate the illusion of perspective we can Lorentz transform the entire physical situation of two observers that have different perspectives to demonstrate how both physical situations exactly agree. For example Observer A sees a rocket going at velocity x across time from his vantage and draws that relationship on a graph showing a straight line ascending through his space and time at a certain rate of ascent. Unfortunately Observer B who is moving at a different inertial velocity to Observer A sees the rockets motion as possessing a different velocity and draws his interpretation on his graph with axes of space and time. Both are right but they are viewing the entire context from a different vantage.

To arrive at a common agreement under special relativity and eliminate the discrepancy of perspective where velocity from both observers agree, you need to rotate the space and time coordinates of Observer A's graph to allow the graph of motion to exactly align with Observer B's graph. Hey presto that's why both situations perfectly agree. You must Lorentz transform the entire mapping coordinates of the experiment to reveal the underlying trickery.

It gets trickier when you try to include all forms of motion in your setup including acceleration....but the same principle applies. One inertial observer maps an accelerating object to have an exponentially rising curved slope...but another accelerated observer maps the relationship to the object to be a linear ascending line from his vantage. How do you get a straight line on a graph to agree with a curved line on a graph? We undergo a diffeomorphic transformation of the entire setup where we curve the paper holding the graphs to exactly align a straight line with a curved one. We therefore curve spacetime. Hence acceleration is an equivalent expression of gravity (the equivalence principle). An accelerating observer in flat space versus an inertial observer in a gravitational field (curved space). There is no physical experiment you can perform that can distinguish between the two. They are just different symmetrical expressions of the same thing in spacetime.

Neat eh!!!!

Ifness versus Isness. How it is the questions we ask that arises in the 'things'. Context perhaps really does matter :-)

Inserted Video

See ya later guys

I have finally had enough of FF. It took some time!!!!!!!!

I had found that I was just not enjoying myself as much anymore and so without further ado....I am off to greener pastures. I'm sad to say that I am on my way :-)

It was great getting to know many of you folks and thanks for the many conversations.

All the best :-)

Cheers

C

THANK YOU C!

Good luck, C ... Will surely miss your music postings ...

sad to see you go C.
you put soooooo much into your threads.
hope you find lush, green grass somewhere else.
wish you all the best.

You will find greener pastures..... I can predict that with a 99.8% probability.. ;-)

A big thank you for all the interesting stuff and especially your kindness you brought to this place over the years.

Cheers, Hudi

I'm going to miss your positive vibe C, in my 7 years on here I haven't met a nicer fellow. Greener pastures may you find.

hi C,

just saw your post. What's going on man; the new hyperloop train (diversified portfolio thread) was going at full speed. Keep it going.

sometimes posting on forums does take all your energy away from R&D; but it is also a good reflection; and helps organize your thought processes.

happy trading.

pyramids

https://martinkronicle.com/building-...445.1538944666

My first logon in months.
So, you have had enough of FF ? That pretty much makes 2 of us.

A sincere thanks for all your interesting & eye opening posts.
Farewell my friend, wish you plenty of pips, good energy & karma.



LuXing

Farming, or carpentry, compared to trading, is a walk in the park. Trading, successfully or not, is hard, very hard, on the human psyche. It's a continous dance with fear and uncertainty. The only time it's easy, is if you're an unscrupulous money manager, who doesn't care about clients, as long as fees accrue to you.
The folks that taught me about markets, lived in perpetual fear of losing clients money, because they were honorable. Profits are nice, they said, but not losing the stake is nicer. No matter how well designed your systems or methodology, they were still subject to factors beyond your control. In fact, even if you implemented rigorous risk control, you could still be wiped out. And if trading your own money, it doesn't get any easier. Trading is analogous to living, the best you can do, is avoid fatal accidents as best as you can, still doesn't prevent accidents, but at least, minimizes the risk of being caught up in one.
Carpenters and farmers have it easier, much easier!
Another danger in trading, is when you're doing really well, you're most vulnerable to catastrophic mistakes, and when having a bad run, most vulnerable to analysis paralysis, afraid to pull the trigger on fantastic opportunities.
So what did the old timers do, they mechanised their decision making, and disciplined themselves, to stay true to their systems. Now, markets may, and do change, which might render previously working systems inoperative and so, back to the drawing board, to figure out what changed, and how to adapt.

Pay attention to Price, it's the most honest indicator of popular sentiments. While doing that pay attention to RISK, it's the most honest indicator of delusions and whie doing that pay attention to Capital Allocation it's the most honest indicator of prudence. After doing all this, rest. You don't know tomorrow.

Every bull market creates overly aggresive traders who crash out once things stop going their way. Some people think they are geniuses for being aggresive when things are going up, only to fail out whent it stops. There are also the smug bearish types who have that "told you so" personality and miss out big. To be successful you have to be able to switch and constantly reevaluate.

Trading is a human game, as a result emotions affect prices as much as or perhaps more than the news and price movments themselves affect future price movments. Think about how others are feeling ( doesn't matter if they are long, short or even if they don't have a possition in that market) beacuse feelings affect prices and ath the end prices affect the feelings, behaviour and even the actions they will do.

and for the trend trading crowd: breakouts from consolidation are powerful indicators of potential trend change or continuation and just because "false breakouts" exists you should not become ignorant or act like you don't care. The longer it takes to form the consolidation, the bigger the expected move to follow. A breakout on daily is more powerful that a breakout on 15 min chart and a breakout on weekly even more powerful.

A breakout from a quarterly chart or even from a yearly chart is the most powerful, it's signaling some major fundamental change in that market and no hedge fund can corner or manipulate that market. even for central banks is very hard.

To Munchie

Hi M. Just thought I would post a response to your queries in my shouts here. I am trying to keep away from this addiction mate....so hope this suffices.

I use both EA studio and Strategy Quant for data mining efforts.

EA studio has a powerful workflow process and it's speed is facilitated from simply spitting out strategies that operate off the open bar condition. As a result, I tend to reserve it's use for longer timeframe strategies such as H4 and D1. It now has the ability to accept longer range data....hence with a solid remote server chugging away constantly....can generate hundreds of robust strategies over time under 24/7 processing. I use it to crunch as much data as I can get my hands on....as I am looking for robust strategies that can survive across a broad range of market condition.

For any queries regarding EA studio.....then use this forum https://forexsb.com/forum/ and ask. They are a helpful bunch here especially the developer Popov.

While Strategy Quant X is still in Beta mode...I restrict my testing to Strategy Quant version 3.8.2. SQX is going to be an amazing piece of testing software when complete...but it is too buggy at the moment to rely on....so stick with version 3.8.2. It is very worthwhile signing up for the Quastic Algo-Trading Course run by Zdenek Zanka as he navigates you through the necessary steps to take into account in testing for robustness.

https://quastic.com/courses/algo-trading-course/

In addition, for further assistance...keep your eyes peeled for member Geektrader on this forum and others. He knows what he is doing and has some very good ideas on what is required for workflows with a range of different data mining products such as EA Studio and SQ etc.

In regards to how I use them at the moment........my preference is to use them to simply supplement my divergent EA's which have been developed to target momentum and trend following. The core of my portfolio is based on logical design designed to simply capture fat tailed moves which under diversification are much more prevalent than you might think. This core portfolio of systems when compiled together offer stunning returns under favorable volatile conditions but the flip side is that they also possess drawdown signatures that need to be filled when conditions are unfavourable.

Now given my penchant for divergence and my distaste of convergence or mean reversion, I use the data mining solutions to find other divergent solutions that fill the gaps. Now the trick for those in the know....is that they do exist using different timeframes, instruments and systems.....but you need to design your workflow within a 'logic space' to find them. Effectively you constrain your solutions through design parameters to fit within criteria needed to 'fill the weak spots of the portfolio.

Mate....don't expect success overnight. It takes quite some time to sort the chaff out from the wheat with these techniques but it sounds like you are on the right path.

In regards to 'when do you take these systems live'.....here are some key things to note.
1) You need very broad diversification using these systems and lot's of them. In playing the Law of Large numbers you need to behave accordingly. Ideally you have hundreds of different strategies using very low trade risk per strategy allocated to your finite capital. For example if you allocate $200K of capital towards the portfolio....think in terms of 0.5% trade risk per strategy....that way any failure element has only a very marginal impact on your overall result.
2) Given the vast number of strategies that can be developed very quickly...do not get attracted to the strategy itself. Simply look at how it assists the overall portfolio. If it does not assist in improving the risk weighted return of the overall portfolio....then drop it like hot cakes and choose another.
3) Given that you have tested your strategies over very long time horizons, then speed of implementation is not advised. Put the strategy on demo account from 6 months to a year before considering live implementation. It it fails in demo....then drop it. Do not be sucked in to performance over short term time horizons. Market conditions change....and you do not want to be left holding a strategy with negative skew.
4) You will also need to test your strategy in the live environment with a very small capital allocation to ensure it operates in a similar manner to the demo environment recognizing that slippage and variations in spread now enter the equation. You need to parallel test over both demo and live trade environments.
5) If it still stacks up and assists the overall portfolio then commit to an allocation towards it....but monitor, monitor and monitor using your backtest as a blueprint to navigate future uncertainty.

I hope this helps mate....now I better leave this infernal addictive forum for good...... *sniggers*....."as if"

Cheers

C