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Diversified Trend Trading Approach

  • #2,401
  • Edited 5:40am Nov 6, 2017 5:26am | Edited 5:40am
Quoting Ramadas
What I noticed on different markets in forward testing and now in GBP USD. Ranging markets are widened by less than half ADR at a time. Limit orders against breakouts (buying cheap, selling expensive) are waiting there, it seems. {image}
Yep R.......I have noticed that to lately when ranging between pending orders......however.

If we start a new system that trades ranging conditions between the boxes or pending orders of EDTT, it is not necessarily going to give us any correlation benefit with our EDTT. The reason for this is that the ranging system trades when the EDTT doesn't. It will generate it's own equity curve which may not necessarily give us any drawdown benefit to our primary system.

What we need to look for is a system that is 'switched on' and 'switched off' at the same time as EDTT yet is a mean reverter (or convergent system) as opposed to a divergent system (aka EDTT). When EDTT fails, the alternate system wins and vice versa. If both systems then can offer a slight positive edge then we have a dual system that suppresses the volatility of the combined equity curve.

If we simply trade within the range when the EDTT is switched off, then even if it has a positive edge, there may be times when the dual systems may compromise the great results of the EDTT in isolation dependent on the profile of the equity curve generated by the latter system compared with the equity curve of the EDTT.

So......let's assume we use the SDC for both systems and have the pending order entry set of divergent trades (like we are doing currently with EDTT) and convergent trades (eg. reverting back to the centre line of the SDC). The latter system will have a high win rate of say 65+ % (given that the EDTT win rate is approx 40%) but the Risk:Reward will be approx 2:1 or 3:1). We need to test it out....but it may produce the offset we need to reduce our drawdowns during the ugly non trending periods of mean reversion.

Sooner or later I will start testing a few options on our backtest model......but I don't have much available time at the moment.
  • #2,402
  • Nov 6, 2017 11:39am Nov 6, 2017 11:39am
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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,403
  • Nov 6, 2017 7:07pm Nov 6, 2017 7:07pm
Hey R. I noticed your new account 'Futures Sumo'. Is that what I think it is? If so, that could be a great solution for what we were talking about in the last few posts where we launch a few flying sumo trades on breakouts to catch the mean reverters. :-)

Ideally we want those mean reverting trades that catch the mid range of the SDC on exit (call them half flying sumos) and don't go all the way to the trailing stop of the EDTT. We want to avoid the neutrality of hedging during entry which won't achieve anything for the portfolio. We will win a lot of 'half' flying sumos and also have the ability to get some wins on EDTT for those that do a partial sumo and then take on the momentum burst of breakout.
  • #2,404
  • Nov 7, 2017 1:18am Nov 7, 2017 1:18am
Quoting Copernicus
Hey R. I noticed your new account 'Futures Sumo'. Is that what I think it is? If so, that could be a great solution for what we were talking about in the last few posts where we launch a few flying sumo trades on breakouts to catch the mean reverters. :-) Ideally we want those mean reverting trades that catch the mid range of the SDC on exit (call them half flying sumos) and don't go all the way to the trailing stop of the EDTT. We want to avoid the neutrality of hedging during entry which won't achieve anything for the portfolio. We will win a...
Hey C,

Futures sumo is normal EDTT on exotic futures (orange juice, gilts) and single stocks. I am trying trading markets which are not open 24h and are open in different times.

I plan to test convergent parameters on the weekend.
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,405
  • Nov 7, 2017 1:25am Nov 7, 2017 1:25am
Quoting Ramadas
{quote} Hey C, Futures sumo is normal EDTT on exotic futures (orange juice, gilts) and single stocks. I am trying trading markets which are not open 24h and are open in different times. I plan to test convergent parameters on the weekend.
Cheers mate. I can't wait to see how it performs over the longer haul. I reckon it's a good choice.

I will start putting the thinkers on about how we can catch those flying sumos :-)
  • #2,406
  • Nov 7, 2017 4:47am Nov 7, 2017 4:47am
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  • #2,407
  • Nov 7, 2017 6:48pm Nov 7, 2017 6:48pm
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  • #2,408
  • Nov 8, 2017 3:15am Nov 8, 2017 3:15am
Re post #2343
Attached File(s)
File Type: mq4 DTT Trade Manager_v1.2.mq4   567 KB | 279 downloads


Another update, you can now choose colours of the bars and It now plots a fib to give you your 2.5 RR level when a trade is opened.

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  • #2,409
  • Nov 8, 2017 6:38am Nov 8, 2017 6:38am
Quoting Moof
Re post #2343 {file} Another update, you can now choose colours of the bars and It now plots a fib to give you your 2.5 RR level when a trade is opened. {image}{image}
Cheers M. That is going to be very handy :-)
  • #2,410
  • Nov 8, 2017 6:15pm Nov 8, 2017 6:15pm
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  • #2,411
  • Nov 9, 2017 2:50am Nov 9, 2017 2:50am
Time for a mean reversion back to a fun life :-)

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  • #2,412
  • Nov 9, 2017 12:04pm Nov 9, 2017 12:04pm
Quoting Ramadas
{image}
Hey man, how r u doing ?

sorry for the question, but if you don't think that markets are predictable why are you trading ?
I don't know of any non predictive trading

btw, just for fun... and to practice some English

here's an update of my account

Everything was just fine, then I opened a huge position on GU, because I was anticipating a downtrend. (note I didn't say predicting).

later I closed that position in loss, God knows why.
I was wrong in closing that position, so out of revenge I opened another huge position on the USDCHF.. the USDCHF! I mean I found myself trapped in a never ending consolidation.

my IQ dropped from 200 to 50.
so I went from $600 to $10,

backup plan

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This is what I call "tradingambling!", mostly "gambling like an idiot!".
  • #2,413
  • Nov 9, 2017 12:10pm Nov 9, 2017 12:10pm
Quoting HeyYou
{quote} Hey man, how r u doing ? sorry for the question, but if you don't think that markets are predictable why are you trading ? I don't know of any non predictive trading btw, just for fun... and to practice some English here's an update of my account Everything was just fine, then I opened a huge position on GU, because I was anticipating a downtrend. (note I didn't say predicting). later I closed that position in loss, God knows why. I was wrong in closing that position, so out of revenge I opened another huge position...
Yeah, good luck!

Predicting means that someone will give prediction that in 1 month oil will be at 70 USD or 20 USD. This is what talking head do all day long on CNBC and Bloomberg TV. It doesn't make sense, since prediction results from the last decade show that you would be more successful throwing coin.
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,414
  • Nov 9, 2017 1:14pm Nov 9, 2017 1:14pm
Quoting Ramadas
{quote} Yeah, good luck! Predicting means that someone will give prediction that in 1 month oil will be at 70 USD or 20 USD. This is what talking head do all day long on CNBC and Bloomberg TV. It doesn't make sense, since prediction results from the last decade show that you would be more successful throwing coin.
Idk about long term predictions.. when you backtest something it's because you predict that it will work in the future, as simple as that.
anticipating is another thing, that is when I always lose, when I try to "guess" the next move.

Did I learn once and for all to not anticipate price ? after this madness I guess YES lol

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  • Nov 9, 2017 7:21pm Nov 9, 2017 7:21pm
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  • #2,416
  • Nov 9, 2017 7:53pm Nov 9, 2017 7:53pm
Hi C,

Highly appreciate the effort and time that you have contributed to system and thread.
I have just finished reading the recap and browsing some charts posted in recent weeks.
I believe that only skill needed here is to draw SDC correctly, so only discretionary part. rest looks to be pretty amazing as its all about following the rules.
Regarding drawing SDC I will draw SDC on some pairs and share here so someone can review and suggest if that's the right way.

On the other hand, the system looks really amazing (in theory for me yet) as it has all those things covered which I have been looking for.
The best part is that one system that can trade smaller and higher TF, no manual risk or profit management required all is taken care by SDC.
And much more that I will share after I calibrate it with trading system requirements that I already have.

I have two questions,
1. I am looking through the thread and I hope I will find some long-term trading results of the system. But if you or someone else can share his/her 1-2 years trading results, that would be great.
2. Are there any major changes after the recap was written? if yes then please point to those or to the posts which I must read.
Holy Grail - Patience and Acceptance
  • #2,417
  • Edited 8:48pm Nov 9, 2017 8:36pm | Edited 8:48pm
Quoting bluesoul
1. I am looking through the thread and I hope I will find some long-term trading results of the system. But if you or someone else can share his/her 1-2 years trading results, that would be great.

2. Are there any major changes after the recap was written? if yes then please point to those or to the posts which I must read.
Hi Blue :-)

I love your comments regarding the SDC. It is a great all-in-one-tool for trading momentum.

Have a look at this post here which gives performance results for the EDTT applied to the M30 timeframe since 1 Jan 2010 to 31 Oct 2017.

Mate FYI....we now trade the EDTT on the M30 timeframe and use two momentum swings (a short term and long term) to catch momentum bursts. The back test above relates to this particular variant. The reason we have switched down to M30 is to reduce SWAP costs of holding, increase cashflow and have some fun actively managing a portfolio across 24 instruments. This is currently my preferred variant.

There is a comprehensive walkthough here that describes how we now deploy the EDTT. It is still the same applied technique that you have already read.....but now includes two bites at the momentum cherry and also significantly reduces the probability of being caught in false breakouts.

What we need to realise however is that while the EDTT is an efficient way to catch momentum, there are many different strategies that can do this. However I feel that the EDTT is perhaps more efficient than the alternatives......but keep in the back of your mind that the system itself is merely the process of trading momentum....what is actually delivering the great performance returns is the method of diversification. For a full understanding of how to construct your portffolio you can follow the portfolio posts backward till the beginning by clicking on the 'continued from post XXXX" links commencing at the beginning of relevant posts. The portfolio construction guidance commences on post 1932.

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I hope this helps mate. Great to have you on board :-)

Cheers

C
  • #2,418
  • Nov 9, 2017 10:36pm Nov 9, 2017 10:36pm
My first attempt to draw SDC.
Here is Gold and SDC drawn from recent low
Potential Entry @ 1292.50
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Holy Grail - Patience and Acceptance
  • #2,419
  • Nov 9, 2017 10:37pm Nov 9, 2017 10:37pm
Quoting Copernicus
{quote} Hi Blue :-) I love your comments regarding the SDC. It is a great all-in-one-tool for trading momentum. Have a look at this post here which gives performance results for the EDTT applied to the M30 timeframe since 1 Jan 2010 to 31 Oct 2017. Mate FYI....we now trade the EDTT on the M30 timeframe and use two momentum swings (a short term and long term) to catch momentum bursts. The back test above relates to this particular variant. The reason we have switched...
Thanks a lot,
I am on it. digesting all that you have referred
Holy Grail - Patience and Acceptance
  • #2,420
  • Edited 11:11pm Nov 9, 2017 10:48pm | Edited 11:11pm
Quoting bluesoul
My first attempt to draw SDC. Here is Gold and SDC drawn from recent low Potential Entry @ 1292.50 {image}
Perfect SDC draw Blue :-) Both long term and short term meet the criteria for an entry.

Don't forget to superimpose projection lines over the top of the SDC to define your trailing stop from entry.

Now all you have to do once you have got the hang of this is to look at where you define your pending order entries, where you place your initial stops and what position size to adopt. That green line (as you have identified at 1292.50) is a good place for a pending entry as it lies in blue sky a good distance away from the prior high......just remember that I am less aggressive and would probably place my pending even a bit further away. The advantage of this is that you have more bars/candles to define your short term and longer term momentum trajectory and also avoid the inevaitable false breakouts if you are too close to a prior swing high/low.......... and remember to continue to build your SDC's to ensure they stay suitable for entry up to the bar (candle) immediately prior to entry. Where you have them now however is perfect if your next bar/candle executes your proposed entry. On that prior bar/candle you also finally confirm your initial stops and position sizing for each momentum trade.....so you would do this now and then adjust if there are more bars to the entry level.

PS..I am away from my trade platform at the moment but in the next few hours I will jump on it and post your setup and manage the trade with you so we can complete a walk through together.
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