Systematic Trend Trading

Trade 86 stopped

Trade 87 EJ short

Trade 87 stopped

Trade 88 Long

Trade 88 stopped

Trade 89 short

Trade 89 stopped

Trade 90 EJ long

http://www.collaborativefund.com/blog/tails-you-win/

Trade 90 stopped

Trade 91 EJ long

Trade 91 stopped

Trade 92 EJ long

Quite long drawdown, 7 weeks now.

Results:
Week 1 +4R
Week 2 -14R
Week 3 -2R
Week 4 -3R
Week 5 +3R
Week 6 +4R
Week 7 -7R
Week 8 -10R

Sir 60

Long time, no see! Do you still go to Thailand?

It is always great to see your research. I was over on Walter's forum for a while and saw a bit of it. I cannot help but wonder how this MM approach would work with the Type 2 entry from Buy/Sell Line Trading. Say, with an R:R of 5:1. But I assume you believe the edge used here is > that of the Type 2 entry and the engulf entry.

Best

California

36 Obvious investment truths
Posted June 24, 2018 by Ben Carlson
1. If you need to spend your money in a relatively short period of time it doesn’t belong in the stock market.
2. If you want to earn higher returns you’re going to have to take more risk.
3. If you want more stability you’re going to have to accept lower returns.
4. Any investment strategy with high expected returns should come with the expectation of losses.
5. The stock market goes up and down.
6. If you want to hedge against stock market risk the easiest thing to do is hold more cash.
7. Risk can change shape or form but it never really goes away.
8. There’s no such thing as a perfect portfolio, asset allocation or investment strategy.
9. No investor is right all the time.
10. No investment strategy can outperform at all times.
11. Almost any investor can outperform for a short period of time.
12. Size is the enemy of outperformance.
13. Brilliance doesn’t always translate into better investment results.
14. “I don’t know” is almost always the correct answer when someone asks you what’s going to happen in the markets.
15. Watching your friends get rich makes it difficult to stick with a sound investment plan.
16. If you invest in index funds you cannot outperform the market.
17. If you invest in active funds there’s a high probability you will underperform index funds.
18. If you are a buy and hold investor you will take part in all of the gains but you also take part in all of the losses.
19. For buy and hold to truly work you have to do both when markets are falling.
20. Proper diversification means always having to say you’re sorry about part of your portfolio.
21. Day trading is hard.
22. Outperforming the market is hard (but that doesn’t mean it’s impossible).
23. There is no signal known to man that can consistently get you out right before the market falls and get you back in right before it rises again.
24. Most backtests work better on a spreadsheet than in the real world because of competition, taxes, transaction costs and the fact that you can’t backtest your emotions.
25. Compound interest is amazing but it takes a really long time to work.
26. Investing based on what every billionaire hedge fund manager says is a great way to drive yourself insane.
27. It’s almost impossible to tell if you’re being disciplined or irrational by holding on when your investment strategy is underperforming.
28. Reasonable investment advice doesn’t really change all that much but most of the time people don’t want to hear reasonable investment advice.
29. The best investment process is the one that fits your personality enough to allow you to see it through any market environment.
30. Successful investing is more about behavior and temperament than IQ or education.
31. Stock-picking is more fun but asset allocation will have more to do with your overall performance.
32. Don’t be surprised when we have bear markets or recessions. Everything is cyclical.
33. You are not Warren Buffett.
34. The market doesn’t care how you feel about a stock or what price you paid for it.
35. The market doesn’t owe you high returns just because you need them.
36. Predicting the future is hard.

Trade 93 stopped

Trade 94 EJ long

hey Cali... been a long time, great to hear from you again.

Really this is just to show that if you just use something simple like a single MA and high RR you can make money if you take enough trades and set your position size correctly. I'm taking it slightly to the extreme here but I am looking for some extreme returns to make a point - the drawdowns will be lengthy and scary, but again that is just a case of setting position size correctly.

The one thing I'm pretty sure of is that the precise entry pattern has the least effect and often the simplest entry trigger will outperform over a long sample.

Trade 94 stopped

Trade 95 EJ long

Trade 95 moved to b.e

Trade 96 EJ long

Crumbs.....I wish I had found your thread before D.

It is so refreshing to hear about the simple truths of the systematic application of trend following.

Thanks very much for imparting your wisdom and deep experience in this little ol' forum :-)

I wouldnt say I have any wisdom, but I do believe that simple high RR strategies work, the downside is that there will be a lot of consecutive losers, deep drawdowns and no guarantees. Im trading a 5-10R trade management and this is a journal to see what you could expect.... Im nearly a 100 trades in now and Im in a drawdown, well past where most of us throw the towel in... but not where a lot of funds who have some of the best results in history. It will be interesting to see where we are at after 200,500,1000 trades.

I should add that I am not advocating this as the best or a great way to execute this type of trading - but it is a good way of exploring an idea - taking stuff to an extreme.

96,97 and 98 stopped

Trade 99 EJ short

Yep...most of the systematic trend following CTA's are reaching max drawdown territory at the moment (Refer to TF60 Index below - comprising 60 long standing systematic trend following funds) . Times have been a bit ugly since 2010 with only a few bright moments in an otherwise mean reverting market condition.

The beauty of trend following is that the drawdowns make it very unappealing and hard to handle from a psychological perspective....but that is probably the very reason for it's persistent performance over the past 100 years or so, and why an 'edge' remains with this trading philosophy. Most who take up the challenge just can't handle it. When looking for high rewards to risk comes volatile return streams as the king hits are few and unpredictable.....which is just a feature you have to live with if you want to play this game....but is there really any other long term game in town? If you are on the bad side of mean reversion....then watch out :-)

Trade 99 and 100 stopped

Trade 101 EJ short

Just in case you are not familiar with 60 - after seeing him take these losses in his test of 5-10R trades - i happened to see his trade explorer once back in 2012 or 2013. He did not offer to show me, i just happened to see it on his profile. At the time, i was scalping for 1R on M5 and showing trades on his absolutely xlnt "Buy/Sell Line Trading" thread here at FF.

I think he wanted to just check that out, so his explorer was for M5 scalping. Well, the explorer showed an 87% win rate with - and this is the unusual thing for a system with a win rate this high - the avg win > avg loss

Best trading to all from California