Diversified Trend Trading Approach

Quoting Ramadas

Disliked

{quote} When I was new to this strategy, I also was drawing SDCs everywhere and entered quickly. A lot of trades and not profitable. Now I wait for price to breakout from local highs/lows. Since GU did 100 pips and 110 is average daily, today is Friday, I would assume that's all for today and we will see on Monday/Tuesday if bullish pressure will continue. {image}

Ignored

Quoting Ramadas

Disliked

Hi C, Did you think about volatility parity position sizing for portfolio as Mr. Clenow is suggesting here? Or SDC is taking care of it? Or it would be too complicated? http://www.followingthetrend.com/201...ll-the-chimps/ Maybe area to improve the results, (which are already stellar) is to look into portfolio construction/rebalancing/resetting etc than convergent sorcery?

Ignored

Quoting Bluesky8635

Disliked

Hi, Dear C How to calculate the Return? See pic below. Thanks! {image}

Ignored

Quoting Copernicus

Disliked

{quote} Hi Blue Nice stuff Once you have the monthly return like you have in the table in the post above, what you then want to do is create another table that uses that monthly return in calculating your equity. What you do is set your beginning equity at time 0 as say $1. You then look to month 1 and take the monthly return (say 0.19) and multiply this return against your beginning equity balance using a formula (beginning equity X (1 + monthly return). In this example we take $1 x (1.19) = $1.19. The $1.19 is your ending equity for...

Ignored

Quoting Bluesky8635

Disliked

{quote} Dear C, Sorry for my poor english. I want to know how to calculate monthly return of one currency. In this example how to calculate 0.19 the monthly return of CADJPY? It is profit monthly/Initial Cap? Thanks for your reply.

Ignored

Quoting Copernicus

Disliked

{quote} That's it mate....you have got it. Take the profit/(Loss) for the month and divide by the opening equity balance. Say your profit is $2000 for the month based on a capital allocation on commencement of $20,000 for the portfolio. The monthly return is therefore $2,000/$20,000 = 0.10 or 10%. If it was a loss of $2000, then the monthly return is -0.10 or -10%.

Ignored

Quoting Bluesky8635

Disliked

{quote} sorry I am not understand yet. Because in your excel the profit of CADJPY at Jan 2010 is $369.17. if according to what you said above, the monthly return should be 369.17/200000=0.001846, not 0.19. see pic below. Thanks again. {image}

Ignored

Quoting Copernicus

Disliked

{quote} Hi Blue Please refer me to the post with the data you are referring to and I will look at it. What you are saying is correct. I may have led you astray with my prior examples. It is probably 0.19% or 0.0019 with rounding on a $200K account and not a $20K account in my example above. Have a look at the profit result of CADJPY on the tab 'Profit Dump' and then divide this by $200,000. I am not sure which spreadsheet you are referring to because at the moment my October update (attached below) is as follows. {image} CADJPY for the month of...

Ignored

Quoting Bluesky8635

Disliked

{quote} Dear C I download the data excel at #post 1947. According to the Trade Detail, it is also $369.17 profit CADJPY for the month of Jan 2010 Your said 292.3626 is including the Commission and SWAP?? Best Regards! {image} {file}

Ignored