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Diversified Trend Trading Approach

  • #1,661
  • Jul 15, 2017 5:34am Jul 15, 2017 5:34am
Quoting Ramadas
{quote} The earlier you start with even little real capital, the better. The longer track history, the better.
I hear you R. It's a bit different with my plans...but yes in general you need a substantiated track record.:-)
  • #1,662
  • Jul 15, 2017 5:43am Jul 15, 2017 5:43am
Quoting Ramadas
{quote} The earlier you start with even little real capital, the better. The longer track history, the better.
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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #1,663
  • Jul 15, 2017 6:05am Jul 15, 2017 6:05am
Quoting Ramadas
{quote} {image}
LOL. I'm following you....I just need someone to pour some ice cold water over me. It's getting hot in here. :-)
  • #1,664
  • Jul 15, 2017 9:50pm Jul 15, 2017 9:50pm
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  • #1,665
  • Edited 10:36pm Jul 15, 2017 10:21pm | Edited 10:36pm
DTTR is having a tough time

Despite the stronger performance of the breakout strategies described in this thread, the retracement entry version (DTTR) is struggling. After a great start following commencement, times have got particularly tough since March 2016 with building drawdowns. Still early days with this strategy but it reflects the fairly low correlation this strategy has with the breakout versions. Despite the recent poor performance, the fairly low correlation between the DTTR and breakout techniques augers well for a blended portfolio that offers superior risk-weighted returns.

Base Model (Conservative position sizing)
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Unrealised Trades - Base Model
Despite the building drawdown, I am not so worried given the level of unrealised profit sitting in the portfolio.

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Moderate Risk Model - 2 x position sizing of Base Model
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Aggressive Model - 4 x position sizing of Base Model
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What's Trending with this Model?
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Time for a trip to the Adriatic.....Rimini here I come. :-)
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  • #1,666
  • Jul 16, 2017 4:07am Jul 16, 2017 4:07am
Let me present once more Joe with his sindicate .... modern SMS techniques in music...
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  • #1,667
  • Jul 16, 2017 5:45am Jul 16, 2017 5:45am
Quoting BlackNapkins
Let me present once more Joe with his sindicate .... modern SMS techniques in music... https://www.youtube.com/watch?v=ps79OUXDYZY
Mate.....that was great. I wish I was at that concert. Top choice for a Sunday evening
  • #1,668
  • Jul 16, 2017 6:01am Jul 16, 2017 6:01am
Quoting Copernicus
DTTR is having a tough time Despite the stronger performance of the breakout strategies described in this thread, the retracement entry version (DTTR) is struggling. After a great start following commencement, times have got particularly tough since March 2016 with building drawdowns. Still early days with this strategy but it reflects the fairly low correlation this strategy has with the breakout versions. Despite the recent poor performance, the fairly low correlation between the DTTR and breakout techniques augers well for a blended portfolio...
d issue w d retracement entry is d win rate. while u r system based on low win rate n high RR, "low win rate of retracement" + "low win rate of original idea" might not end up well
WaBaS Where are Buyers and Sellers
  • #1,669
  • Edited 6:40pm Jul 16, 2017 7:43am | Edited 6:40pm
Quoting mr.brown
{quote} d issue w d retracement entry is d win rate. while u r system based on low win rate n high RR, "low win rate of retracement" + "low win rate of original idea" might not end up well
Hi Mr B. I will play it out and see how it goes. The fat lady hasn't sung yet.......and I have a good war chest in unrealised profit....plus what is more important to me is how it plays out as a component of a portfolio with the breakout systems. Give me a bit more time Mr B before you say "I told you so Copper Knickers" :-)

PS There is a direct correspondence between win rate and the volatility of returns. Low win rate systems (such as traditional trend following systems) inevitably have a higher volatility of returns as the probability of a serial sequence of losses is far higher than high win rate systems (eg. mean reversion systems). Lot's have been written on how trend following systems must expect higher volatility than mean reversion systems attributed to this feature. The way to remove the inherent volatility of returns of any traditional trend following system is through diversification. That is one of the major reasons why the successful trend followers are heavily diversified across markets, timeframes and systems.
  • #1,670
  • Jul 16, 2017 7:49am Jul 16, 2017 7:49am
Quoting Copernicus
{quote} Hi Mr B. I will play it out and see how it goes. The fat lady hasn't sung yet.......and I have some a good war chest in unrealised profit....plus what is more important to me is how it plays out as a component of a portfolio with the breakout systems. Give me a bit more time Mr B before you say "I told you so Copper Knickers" :-)
good luck
WaBaS Where are Buyers and Sellers
  • #1,671
  • Jul 16, 2017 10:37am Jul 16, 2017 10:37am
Jerry Parker has portfolio of 120 markets+, so it means it is better than 40 on this chart.

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #1,672
  • Edited 6:21pm Jul 16, 2017 5:47pm | Edited 6:21pm
Quoting Ramadas
Jerry Parker has portfolio of 120 markets+, so it means it is better than 40 on this chart. {image}
Morning R :-)

In general, the greater the diversification the greater chance that the return distributions produced by the blend produce an improved equity curve with less volatility. However IMO the raw number of return distributions that compile to produce a portfolio equity curve is probably not the most important feature. For example 6 highly correlated markets are probably less valuable in delivering that free lunch than 2 non-correlated markets.

More important is the degree to which these return distributions offer correlation offsets. As markets are progressively becoming more correlated these days, the number of markets traded is becoming less effective. The way around this dilemma is to focus on system diversification as opposed to market or timeframe diversification.
  • #1,673
  • Edited 5:05pm Jul 17, 2017 6:19am | Edited 5:05pm
Afternoon, C,

I don't know if you are aware, but there are shortcuts to improve the speed of working with your system.

Hold Alt + sequentially press I then C then S
or Alt + I then L then T

Also holding CTRL when you have trendline selected will clone this trend line. Hold CTRL and move the trendline with a mouse.

Every 2 hours during London/US session I look at charts and it takes me 15-20 minutes to adjust everything on 20 screens of DTT and 20 screens of DTTR.
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #1,674
  • Jul 17, 2017 5:02pm Jul 17, 2017 5:02pm
Quoting Ramadas
Afternoon, C, I don't if you are aware, but there are shortcuts to improve the speed of working with your system. Hold Alt + sequentially press I then C then S or Alt + I then L then T Also holding CTRL when you have trendline selected will clone this trend line. Hold CTRL and move the trendline with a mouse. Every 2 hours during London/US session I look at charts and it takes me 15-20 minutes to adjust everything on 20 screens of DTT and 20 screens of DTTR.
Thanks for these shortcuts R. I will test them out tonight. :-)
  • #1,675
  • Edited 5:44am Jul 18, 2017 4:49am | Edited 5:44am
Caught moves on AUDNZD and AUDUSD because of hawkish minutes out of Australia, but forgot to put a buy order on AUDJPY.... these are the mistakes robots will not do.

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and this is how caught move looks like:

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #1,676
  • Jul 18, 2017 5:35am Jul 18, 2017 5:35am
Quoting Ramadas
Caught moves on AUDNZD and AUDUSD because of hawkish minutes out of Australia, but forgot to put a buy order on AUDJPY.... these are the mistakes robots will not do. {image} and this is how caught move look like: {image}
Well done R. I feel your pain with AUDJPY but there is always another day
  • #1,677
  • Jul 18, 2017 5:46am Jul 18, 2017 5:46am
DTTR 4h/1h on EUR USD looking good.

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #1,678
  • Jul 18, 2017 5:47am Jul 18, 2017 5:47am
....as is GBP AUD DTTR 4h/1h

Bad CPI data out of UK did this.

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #1,679
  • Jul 18, 2017 6:02am Jul 18, 2017 6:02am
You are nailing it R. Looking great. I have a good feeling that the surf is definitely picking up this month. Long may it last.
  • #1,680
  • Jul 18, 2017 8:05am Jul 18, 2017 8:05am
Concerning the alerts and the need to be at the computer for entry for discretionary systems.

In some post you wrote that we don't need to be exact and that entries don't matter so much in trend following.

So the conclusion is that we set up the buy/sell pending order with approximate stop loss according to width of SDC in recent history and voila. No need to be nervous about alarms going off... It will not be exact, but it will get us in a trend.

This happened with AUD USD trade I am now in. Buy order was triggered when I slept....

No need for team of traders.... Or am I missing something?
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
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