Diversified Trend Trading Approach

Cheers R. That will do the trick :-)

By end of weekend, let me remind one of the most beautiful music pieces ever ....

Cheers BN. Have a great week ahead mate :-)

Have a great week guys. :-)

I root for Fed to increase rates and for higher inflation.

Interesting R. Is that from Kaminski?

Yes, sir.

EDTT - Preliminary Results of Medium Range Tests - Discretionary Systems

.......continued from post 2019

Well.....I am starting to go cross-eyed with the backtesting. One of the reasons I do it is to establish a rhythm that will assist in taking this approach live. It is the process that matters as opposed to the outcome and the best way of in-graining a process into the thick skull when dealing with discretionary strategies is to backtest.....backtest....backtest and backtest.

When conducting extensive backtesting on strategies such as these.....when you arrive at a screen ready to live trade....you instinctively refer to your backtests to understand the rhythm of the instrument that you are trading. Without a backtest as a guide, it is inevitable that you start off your live trading experience experiencing loss after loss until that rhythm is obtained.

What is also worth doing when going live is to continue to run your backtests in parallel with your live trading. The two methods should be identically applied. Also during your live test phase you continue to run backtests to ensure the consistent application of your processes.

.....anyway without getting too hocus pocus abracadabra doo.......we look back at our portfolio blend created so far and see how adding to the blend is not necessarily materially affecting the underlying performance metrics.....this is a good sign that you have avoided overfitting.......while there is little change to performance, what is being achieved in this technique is a growing sample size, increased trade frequency and a commensurate reduced trade risk % ........plus this process of diversifying the blend has built our confidence levels in recognizing that this technique is applicable to any liquid instrument. As a result, we do not need to worry that our instrument choice reflects selection bias.

We still have a few more instruments to go because at the end of this process I will be deliberately diluting our performance metrics further to reduce our drawdown profile within acceptable CAGR/Drawdown limits. The reason I do this is to ensure that this portfolio blend has longevity and reduce stress levels and anxiety when commencing live trading. If we reduce our losses to gnat bites....we will not be tempted to compromise our process when live trading......

The backtests tell us we have an edge and these results have been derived from adopting a boring repetitive process. We can therefore forget about the outcome and focus on the boring repetitive processes.........and you wonder why I love my music. It is my release from applying boring repetitive processes over and over again and again.



So since our last portfolio update I have added 3 further instruments to the blend:

1. NZDJPY;
2. USDCAD; and
3. GBPUSD

Here are the results of the most recent portfolio update.


Annual Results

Summary



Portfolio Composition Return Profiles




Stay tuned...... :-)

18 instruments down now only 6 to go.......*yawns*.....This is getting tough!!!!!


C

Congestion boxes everywhere. Markets are waiting for Draghi and Bank of Canada statements...

I found this in today's mail.....

Results are poor:

http://www.dualmomentum.net/2015/04/...ative-and.html

Its like being in the doldrums with no albatross about :-)

Enjoy the read. He got my back up a bit in his flippant discussion about the trend following community....but apart from that there is some great discussion about momentum in general and it is packed full of great research :-)

I hope we don't have to eat our words. I had a bad night last night testing CAC. It was almost reading my mind and nailing me with whipsaws at every opportunity. My mood went from surprised....to frustrated.:-)

Every opinion is important, always biggest issue is language, am I able to understand everything author wrote? ... gave up Douglas in half way as terminology he used was to difficult for me ... will see ... at the moment I am reading "Chimp paradox", book written with plain English...

I hope you get through it ok. I admire your multilingual skill set BN. It's a great skill to have :-)

What lucky people we are living on this awesome planet :-)

Interesting new idea to backtest maybe.... Often it happens, that breakout is false...

http://www.thetrendfollower.com/2017...anagement.html