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Diversified Trend Trading Approach

  • #2,181
  • Edited 10:43am Oct 2, 2017 10:32am | Edited 10:43am
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"CTAs are less risky (as measured by standard deviation) than a typical
investment into equity markets."

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In attachment.

Attached File(s)
File Type: pdf 66aa74ef-78ca-46e8-8adf813e90e766b3.pdf   6.4 MB | 375 downloads
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,182
  • Oct 3, 2017 1:09am Oct 3, 2017 1:09am
False or real break? Today should be clear

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Two orders coming up

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,183
  • Oct 3, 2017 5:10am Oct 3, 2017 5:10am
Quoting Ramadas
{image} "CTAs are less risky (as measured by standard deviation) than a typical investment into equity markets." {image} In attachment. {image}
Cheers R. Thanks very much for this. It goes into the best sellers list of the Copernican Library
  • #2,184
  • Oct 3, 2017 5:28am Oct 3, 2017 5:28am
The Equities are picking up some juice. Is this the final hoorah!!!!

About to be snicked on a momentum burst on DJI....still it was nice while it lasted, Hopefully at around the open it picks up more steam :-)

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DAX is still soaring and about to touch 2.5xR where I narrow my SDC to 0.5.

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Nikkei following suit. :-)

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  • #2,185
  • Oct 3, 2017 5:30am Oct 3, 2017 5:30am
Quoting Ramadas
False or real break? Today should be clear {image} Two orders coming up {image}
Cheers mate. Thanks for the heads-up. :-)
  • #2,186
  • Oct 3, 2017 10:20am Oct 3, 2017 10:20am
Dear C

As you have mentioned, a very good degree of diversification can be achieved through system(s) diversification so that to be well positioned both in trading or ranging markets.
Can you please elaborate on the system(s) you have in mind to address ranging markets?

Thanks in advance

T
Enter Signature
  • #2,187
  • Oct 3, 2017 10:46am Oct 3, 2017 10:46am
Quoting Copernicus
The Equities are picking up some juice. Is this the final hoorah!!!!
WaBaS Where are Buyers and Sellers
  • #2,188
  • Oct 3, 2017 11:03am Oct 3, 2017 11:03am
Quoting Copernicus
The Equities are picking up some juice. Is this the final hoorah!!!! About to be snicked on a momentum burst on DJI....still it was nice while it lasted, Hopefully at around the open it picks up more steam :-) {image} DAX is still soaring and about to touch 2.5xR where I narrow my SDC to 0.5. {image} Nikkei following suit. :-) {image}
So this is basically 1 position in equity markets x 3?
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,189
  • Oct 3, 2017 12:36pm Oct 3, 2017 12:36pm
Reast in Peace Tom ...
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  • #2,190
  • Edited 4:52am Oct 4, 2017 4:38am | Edited 4:52am
Quoting thomasK
Dear C As you have mentioned, a very good degree of diversification can be achieved through system(s) diversification so that to be well positioned both in trading or ranging markets. Can you please elaborate on the system(s) you have in mind to address ranging markets? Thanks in advance T
Hi T

That is a work in progress mate. Trading sideways congestion is perhaps the hardest nut to crack in the composite. The very nature of sideways congestion itself is one of general randomness within support and resistance constraints. In applying a principle of trading within the congestion zone using BB's or methods of mean reversion, so far we have not been very successful. Acceptable but not great............ I think that R is finding that currently as we are both trying to crack that nut.

It is an easier ask at least in my experience to find great solutions for momentum or mean reversion trades outside of periods of sideways congestion ....which is not a problem provided that you restrict your trading to these conditions. The key then lies in determining what filters to apply to avoid the sideways condition.

Still....the riddle remains but it doesn't mean we shouldn't continue investigating it.....for if you can find a solution that lies within the congestion zone that offers an edge and complements the overall portfolio.....then you have a portfolio for all seasons.

You might have some ideas of your own to throw into the mix T in relation to the application of trading systems designed for congestion or you might want to join us in testing. The theoretical key at least lies in defining your support and resistance zone and placing your stop outside this zone and let price wander within the zone until a profit target is hit....it's just that there is not much alpha to be squeezed from this solution.

I'm sure many traders on this forum have some good techniques for this form of trade. We need to test them:-)
  • #2,191
  • Oct 4, 2017 4:42am Oct 4, 2017 4:42am
Quoting Ramadas
{quote} So this is basically 1 position in equity markets x 3?
Not really mate....Perhaps 1.7x. If we were trading trends of longer duration it might be an issue of close to 3x but for example my DJI short term momentum is over and I am now riding the longer term momentum swing while the Nikkei short term momentum trade is still rocking. The slight differences in price action can lead to significant differences in correlation in the equity curves produced. This is especially applicable for our form of momentum trade that leaves little room to breath and strictly accords to keeping the momentum going. :-)
  • #2,192
  • Oct 4, 2017 7:55am Oct 4, 2017 7:55am
Quoting Copernicus
{quote} You might have some ideas of your own to throw into the mix T in relation to the application of trading systems designed for congestion or you might want to join us in testing. )
Dear C

The reason I stay in the sidelines most of the time is that I trade a somehow different system and I don't want to confuse anyone with my -different than yours - charts.
I trade live, I also trade 24 instruments (the 21 combinations of all majors excl CHF, plus Gold, DJ and FTSE). Of course I trade breakouts (or else what am I doing here) but instead of SD channels I use Donchian channels. I believe we agree that SD channels contain a slight degree of human error upon drawing, so I prefer Doncian where everyone sees things the same way. I actually trade 48 charts since I use two time frames. The results of the system are more than satisfying!

For system diversification I also trade options on about 25 US stocks and ETFs, always selling premium.

Concerning ideas during congestion periods, theoretically a good way to approach them would be a moving average system as seen below.
The problem is that it increases the number of trades by a lot and it is very hard to be simultaneously implemented in 24 or 48 charts!

I am not willing to even try..

tk
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  • #2,193
  • Oct 4, 2017 12:31pm Oct 4, 2017 12:31pm
Interesting video how corrupt is retail trading industry, brokers and "educators".

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I don't endorse Anton Kreil, because he is also running some "school" in Thailand...
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,194
  • Oct 5, 2017 12:46am Oct 5, 2017 12:46am
Quoting thomasK
{quote} Dear C The reason I stay in the sidelines most of the time is that I trade a somehow different system and I don't want to confuse anyone with my -different than yours - charts. I trade live, I also trade 24 instruments (the 21 combinations of all majors excl CHF, plus Gold, DJ and FTSE). Of course I trade breakouts (or else what am I doing here) but instead of SD channels I use Donchian channels. I believe we agree that SD channels contain a slight degree of human error upon drawing, so I prefer Doncian where everyone sees things the...
Nice stuff T and thanks for the suggestions.

Despite the slight difference in approach used, the balance of the stuff on portfolio management is what I think is key to this game. The technique itself is just a risk management mechanism to obtain your equity curves with slight alpha. You say Potato and I say Tomato...you say Donchian and I say SDC......we know both work and provide sufficient alpha to work with. The rest of the secret sauce is how you blend it all :-)
  • #2,195
  • Oct 5, 2017 12:53am Oct 5, 2017 12:53am
Quoting Ramadas
Interesting video how corrupt is retail trading industry, brokers and "educators". https://www.youtube.com/watch?v=L7G0OfJUON8 I don't endorse Anton Kreil, because he is also running some "school" in Thailand...
I like the guy in that he is brutal in routing out the amateur behaviour in his traders. Million Dollar Traders was a thoroughly enjoyable documentary. I also think that a mentor such as Anton is a fantastic leg up to assist you in the journey and if he makes a living from educating others...so be it. There is no free ride off the coat tails of others in this game :-)
  • #2,196
  • Edited 4:42am Oct 5, 2017 2:42am | Edited 4:42am
Quoting Copernicus
{quote} Nice stuff T and thanks for the suggestions. Despite the slight difference in approach used, the balance of the stuff on portfolio management is what I think is key to this game. The technique itself is just a risk management mechanism to obtain your equity curves with slight alpha. You say Potato and I say Tomato...you say Donchian and I say SDC......we know both work and provide sufficient alpha to work with. The rest of the secret sauce is how you blend it all :-)
Hey C

Just one quick glimpse in one of my charts

With arrows you see the entry (long) - close - new entry (short) - close.

I wish things where always that easy...

Blending the above for 24 instruments and two time frames (actually the correct expression would be two entry/exit levels...) is done 100% according to the methods and ideas presented here for which I am grateful to you and please accept my sincere thanks and gratitude.

T

PS
I was wondering. What signals has your M30 SDC produced in comparison with my example?
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  • #2,197
  • Edited 5:40am Oct 5, 2017 5:25am | Edited 5:40am
Quoting thomasK
{quote} Hey C Just one quick glimpse in one of my charts With arrows you see the entry (long) - close - new entry (short) - close. I wish things where always that easy... Blending the above for 24 instruments and two time frames (actually the correct expression would be two entry/exit levels...) is done 100% according to the methods and ideas presented here for which I am grateful to you and please accept my sincere thanks and gratitude. T PS I was wondering. What signals has your M30 SDC produced in comparison with my example? {image}
Damn....that is one instrument that isn't in my watchlist......however visually you probably enter a bit earlier than me and you have more room to breathe on the position but probably with lower position size. Your technique fits fairly and squarely in the Trend following camp whereas the SDC demands more linear momentum with tighter constraints applied to price volatility around the mean.

I have provided an example below of the way I probably would have attacked it on H4....round abouts. You would have had two profitable trades to my one.

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Here are the results of a few Donchian traders I have tested under full automation. Your timeframe however is far smaller than mine as all these examples operate off D1. I was finding in my testing that the sweet spot is more longer term in nature.....but I never did test under H4 :-)

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  • #2,198
  • Edited 8:38am Oct 5, 2017 8:11am | Edited 8:38am
What is happening? Selling GBP and buying USD works today... risking 0.25% per position.

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I was -0.5% yesterday for all time and today is:

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but if this reverses, I will be again in red....

Big swings because of high correlations...

I need other strategy to diversify....
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,199
  • Oct 5, 2017 8:43am Oct 5, 2017 8:43am
Quoting Ramadas
What is happening? Selling GBP and buying USD works today... {image} I was -0.5% yesterday for all time and today is: {image} but if this reverses, I will be again in red.... Big swings because of high correlations... I need other strategy to diversify....
Mate I reckon you are doing great guns. I reckon you are just experiencing the churn. Wait till the **** hits the fan and you will clean up. Provided you have preserved your capital you will be in a great position to capitalise when and if these events arrive. I will hopefully post the results of the CTA's up to September which should give you some piece of mind. The last few months as you know haven't been exceptional by any means for these guys. We both personally on our watchilists have had some good runs on some instruments but it is the churn that is killing these opportunities. I reckon you should considering pushing your entries further away to force reduced trade frequency and wait for things to heat up and market conditions to change. :-)
  • #2,200
  • Oct 5, 2017 9:00am Oct 5, 2017 9:00am
Quoting Copernicus
{quote} Mate I reckon you are doing great guns. I reckon you are just experiencing the churn. Wait till the **** hits the fan and you will clean up. Provided you have preserved your capital you will be in a great position to capitalise when and if these events arrive. I will hopefully post the results of the CTA's up to September which should give you some piece of mind. The last few months as you know haven't been exceptional by any means for these guys. We both personally on our watchilists have had some good runs on some instruments but it is...
I noticed from back tests and live trading that putting stop order in distance of 0.5 of Average daily range (14) after last significant high/low works well in avoiding fake breakouts... At least 10 was avoided during this month.
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
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