Diversified Trend Trading Approach

Now i have to find time to read whole thread.

It seems it is improvement of Turtles method by Richard Dennis? http://turtletrader.com
Or I am mistaken?

Pretty much R

The thread originally was dedicated to discussing a discretionary breakout trading system (similar to the Turtles strategy) but has taken a life of it's own. Nowadays it focuses on trend trading in general and specifically deals with methods of diversification and system design....with a liberal garnish of music at any opportunity. I pity anyone reading this for the first time. My suggestion would be to window shop and read what catches your eye. :-)

C

I am reading....

Meanwhile did you consider using currency indexes for analysis? Here are daily (left) and hourly (right) indexes of currencies. Strength is calculated from 27 pairs.

Here is full size:

http://i.imgur.com/jriCQNq.png

preview:



for example NZD is topping on daily and GBP is raising from the dead on daily. So we can expect GBP NZD uptrend. Today's BOE announcement helps.

Also is my USD MXN short correct?

http://i.imgur.com/MyQfPWP.png

Thanks for this R. I have tended to shy away from measures of relative strength as I am aiming for maximum diversification but if I need to get more selective in choosing instruments to trade, I would definitely consider these filters. I will check it out more :-)

C

Wow....USDMXN is a nice trending instrument. I might need to include it in my watchlist. What a great history. This just demonstrates what Perry Kauffman reminds us of....that is the more exotic instruments that are prone to be less efficient and have a greater propensity to trend with less noise.....as opposed to the highly liquid mature markets which have more noise and less quality momentum moves.

With regards to your charts...they look pretty good to me :-)....There is no right or wrong R and you will need to check it out yourself however I tend to use the following guide.

1. If possible, ensure that each timeframe has different SDC characteristics (eg. choose a different swing high/low point to commence from) that is relevant for that timeframe.
2. Get more granular as you get to lower timeframes. You get nice momentum bursts (swing moves) on the M30, H1 and H4 timeframes. D1 and upwards tend to be reserved for the longer term trends. The idea is that you scale up from M30 to the higher timeframes in a progressive order. Therefore on M30/H1/H4 the trends tend to be more swing moves in the context of the longer term trend.

Here is how I probably would have plotted my SDC's on USDMXN...but once again, this is discretionary....and this is just what I am used to doing. I hope this makes sense.

Cheers C













Have a look at them now as a composite. We have enjoyed a nice long trend on the longer term timeframes of MN, W1 and D1 but now it appears that the trend is about to end. Under traditional trend following models this is where we miss the $ at the end of the trend when it bends and unrealised profits are taken off the table. However now refer to the shorter term timeframes of H4, H1 and M30 where we are short riding the countertrend. These are helping to flatten the equity curve of the composite as the money these short term trends are making are subsidising the losses of the trend end phase on D1, W1 and MN. If you treat the EDTT as a portfolio blend where you trade multiple timeframes, you enjoy further benefits of timeframe diversification.

Continuously keep in your mind that the power of this approach (EDTT) lies in diversification across instruments and timeframes as opposed to the technique applied to a single timeframe. You can only see this in action when you track historical performance and compare what is delivered by a single timeframe versus what is delivered by a composite of timeframes.

Thank you for nice answer.

Which system do you use mostly now?

DTT
EDTT
EDTTIT

?

To be perfectly honest I am deep in research and testing mode at the moment looking at various fully automated portfolio blends that have a heavy dose of trend following in them but are also supplemented my other styles (eg. countertrend) etc. to flatten the equity curve. I am not trading at the moment and simply post the results of the discretionary systems under forward test to keep me a bit active with screen time.

The EDTT (Breakout entry) plus the DTTR (retracement entry) when combined give excellent performance metrics and cleans up on the trends and swing moves. If I was trading the discretionary systems, I would be using elements from each of these. For example trading M30, H1 to H4 on breakouts (EDTT) and D1 on DTTR.

Oh noes! I thought you are trading for a living? What is wrong with discretionary? This is the edge we have over machines....

GBP USD doing good with +169 pips since yesterday....

AUD NZD +60 pips since yesterday and SL to BE.

According to relative daily strength, NZD is falling.

I am not totally lost to discretionary but as you dig deeper into portfolio management you start to see the wood for the trees. Unfortunately diversification in the true sense of the word means you need to adopt the systematic path.

Join me on the dark side Luke. Together we can annihilate these pathetic humans. :-)

Woohooo. Ride em' cowboy

Food for Thought

Attached Image

1. MarketLife Ep 41 Randomness: why it matters and how to understand it
2. Is it Real, or is it Randomized?: A Financial Turing Test
3. Damned Lies and Statistics
4. Diversification without some pain is not diversification
5. Something doesn't smell right. Sharpe Ratio of 8.12...yeah right...Let's see how long this lasts
6. Volatility and Mean Reversion
7. Episode #59: Radio Show: The Death Of Value Investing
8. Getting Funded To Trade Futures
9. 098: Starting To Trade Professionally With $300,000
10 131: Strategy developmentpowered by machine learning w/ Morgan Slade
11. 103: A brand new, more responsive indicator with John Ehlers
12. WP Style Factors - Don’t Mistake Style for Skill (attachment);
13. Is this time different? Trend following and financial crises (attachment);
14. Convergent & Divergent Strategies (attachment);
15. Better Systems Trader - Ultimate Guide to Trading Books (attachment);
16. ctmag_1209 -The Turtle System: Forex Performance Analysis (attachment).


Enjoy C

thanks C. ....

Cheers BN. What a workout. That impro rhythm blew me off my chair. Joe was one of those rare artists that just got better as he aged. :-)

OK, then. I started to read from the back, since I noticed how much progress you did and to avoid getting outdated information.

Since you are in research mode and you like simplicity, then could you please put into your strategy tester machine strategy in attached PDF? Please disregard the theme of images and name... a lot of people by many years also found this ultra simple method profitable. However it cannot be automatized... Author said he tried and it did not work, some discretion is still needed.

I know of such results only:

http://i.imgur.com/fZ0ibSn.png



But trader/author Andy Perry is trading for a living off of it for over ten years and such are the parameters of trading:

0. Risk is 1-2 % of account.
1. Only one trade per day
2. 6 forex instruments to choose from (4 majors and 2 crosses).
3. Risk is divided to 2 positions usually - one with RR 1:1 to 1:2 and second with no TP.

Maybe it will help somehow... Thank you in advance