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Diversified Trend Trading Approach

  • #2,581
  • Dec 3, 2017 3:55am Dec 3, 2017 3:55am
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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,582
  • Dec 3, 2017 3:58am Dec 3, 2017 3:58am
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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,583
  • Dec 3, 2017 11:34am Dec 3, 2017 11:34am
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Good luck trading the news.
I am not even surprised.

http://deadline.com/2017/12/abc-news...ng-1202218992/

http://www.zerohedge.com/news/2017-1...ll-flynn-story
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,584
  • Dec 4, 2017 5:14am Dec 4, 2017 5:14am
The Dow (DJ30) is going parabolic. What goes up must come down. You just know it's going to get ugly soon. C'mon volatility....I know you are just lurking.

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  • #2,585
  • Dec 4, 2017 5:43am Dec 4, 2017 5:43am
Dang.... for DJI I would need 9600 eur.

Hindsight bias: probably tax cuts for corporations made this (bill passed on weekend).
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,586
  • Dec 4, 2017 6:38am Dec 4, 2017 6:38am
Quoting Ramadas
Dang.... for DJI I would need 9600 eur. \
Yeah.....the last few months have seen a windfall in equities momentum.....without them my test results would be looking pretty meager. I feel your pain R but with more capital and greater cross-asset exposure I think you will fly :-)
  • #2,587
  • Edited 7:36am Dec 4, 2017 6:49am | Edited 7:36am
Time to chill :-)

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  • #2,588
  • Dec 4, 2017 1:03pm Dec 4, 2017 1:03pm
Quoting Copernicus
Using the Weekend to slow things down, review pending orders and plan to prevent overtrading As followers of this thread probably recognise by now, the propensity to overtrade on the EDTT is a big issue when dealing with the heat of the market. It often pays on the weekend or after a nasty trade week to examine your pending order schemata using a multi-timeframe analysis as this method of review assists in: 1. Ensuring that the logic applied to breakouts on M30 is embedded in longer term market structure; 2. Analysing what possibly went wrong with...
But..... but..... when you did the 7 years tests, you were looking only at 30M..... So we don't know how looking at all other TF would change the results.....Am I right?
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,589
  • Dec 4, 2017 3:44pm Dec 4, 2017 3:44pm
Quoting Ramadas
{quote} But..... but..... when you did the 7 years tests, you were looking only at 30M..... So we don't know how looking at all other TF would change the results.....Am I right?
Damn you Poirot. :-)

You know you are right.....however what I was finding when comparing my forward testing with my back-testing was that there was a tendency under live trade conditions to bring those pending orders in to catch the action. Probably attributed to a bias from looking at too many of your great trades where I thought I was missing out on the action. The reconfiguration on the weekend brought back my pending's to be more in line with my backtesting and also clearly demonstrated a couple of trades to me that I would never have placed in backtesting but unfortunately was suckered into on the walk forward simply by not clearly thinking of the logic of what I was doing.

Now the question is what would the impacts on the backtesting have been had we done this using MTF. My gut tells me it may have been even better......significantly better even.....but until I test it, this is an assumption.....however the thoughts of a grueling 7 year backtest using the simulator with MTF which will slow things down is a dread thought.............The Horror

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  • #2,590
  • Dec 4, 2017 4:15pm Dec 4, 2017 4:15pm
Quoting Copernicus
{quote} Damn you Poirot. :-) You know you are right.....however what I was finding when comparing my forward testing with my back-testing was that there was a tendency under live trade conditions to bring those pending orders in to catch the action. Probably attributed to a bias from looking at too many of your great trades where I thought I was missing out on the action. The reconfiguration on the weekend brought back my pending's to be more in line with my backtesting and also clearly demonstrated a couple of trades to me that I would never have...
EDTT as it is now is very simple. One TF, two entries. Minimum discretion.

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I think adding MTF will not make it simpler and will not solve the problem of wanting action...

I don't know about my great trades.... markets are the heros.... I try to have as much plugs into different countries as my broker allows. SEK, NOK, SGD, MXN, TRY, so if anything will happen creating mispricings in these countries, I will take advantage...

I think I will help you by posting only bad trades from now on.... ;P

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,591
  • Dec 4, 2017 4:55pm Dec 4, 2017 4:55pm
Quoting Ramadas
{quote} EDTT as it is now is very simple. One TF, two entries. Minimum discretion.

Damn.....but......but.....Ok you have made a good point......you win :-)

But something we need to address is how we can manage our propensity to over trade. This is definitely our weak spot at the moment. The only area left for discretion is our pending order placements and this is the bane of my existence at the moment. We need to eliminate discretion through the use of measures to assess momentum quality and avoid the noise of the daily churn.

Hopefully this issue will be resolved to a degree when we incorporate the Momentum Quality ranking system we have been talking about.
  • #2,592
  • Edited 9:39am Dec 5, 2017 9:28am | Edited 9:39am
Nothing is trending.... I am flat.... but gold seems to accelerate down:

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,593
  • Edited 1:16pm Dec 5, 2017 11:49am | Edited 1:16pm
Interesting....

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https://www.reuters.com/article/us-c...-idUSKBN1DY1AS
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,594
  • Dec 5, 2017 1:22pm Dec 5, 2017 1:22pm
What if we treat equities and indexes as long only? I noticed in the 7 years test, that it would bring better results.....

So I would not enter short here.... on ASX200. Jerry Parker would enter short indexes, but Clenow would not. Conundrum, really.

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.... but then I read this.... and I have to go short....

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https://alphaarchitect.com/2017/01/1...naged-futures/
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,595
  • Dec 5, 2017 1:33pm Dec 5, 2017 1:33pm
Close encounters of the 3rd kind with flying sumo

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,596
  • Dec 5, 2017 2:19pm Dec 5, 2017 2:19pm
Since you are putting up a lot of music videos, I would like to put one also:

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,597
  • Edited 3:48am Dec 6, 2017 2:45am | Edited 3:48am
Quoting Ramadas
What if we treat equities and indexes as long only? I noticed in the 7 years test, that it would bring better results..... So I would not enter short here.... on ASX200. Jerry Parker would enter short indexes, but Clenow would not. Conundrum, really. {image} .... but then I read this.... and I have to go short.... {image} https://alphaarchitect.com/2017/01/1...naged-futures/
Clenow is right in the equities space.....but Kaminski is right overall across asset classes. Our preference should be both long and short if dabbling in momentum or trend following to ensure an uncorrelated offerring to more traditional investment styles plus it helps ensure positive skew.

The reason I am long only in the mean reverting strategy is because it is not the primary strategy and is just used to fill the gaps of EDTT. Note that the combined strategy has very strong positive skew. Mean reverting strategies are almost always negative skew and playing the short side can accentuate this effect.
  • #2,598
  • Dec 6, 2017 2:49am Dec 6, 2017 2:49am
Quoting Ramadas
Since you are putting up a lot of music videos, I would like to put one also: https://www.youtube.com/watch?v=6vcxsJVBqIo
Thanks for this R. I luv KK. I will have a good listen tonight. :-)
  • #2,599
  • Dec 6, 2017 5:11am Dec 6, 2017 5:11am
Hi – I'm reading "Unholy Grails - A New Road to Wealth" by Nick Radge and wanted to share this quote with you.

"A key element of failure is discarding a long term strategy experiencing short term difficulties. Amateurs want a strategy that’s always working, always profitable, and are very quick to jump from one strategy to another chasing performance. In professional money management circles the term ‘style drift’ refers to a manager changing strategy during a poor performance period. It’s considered taboo by institutional investors. A manager with style drift is a red flag. Think of it another way. If owning an airline becomes a tough business, would it be acceptable for Qantas to move into iron ore or gold mining? Of course not. During the Tech Boom in the late ‘90s, did BHP Billiton join the frenzy of internet and communications technology? Absolutely not. If Warren Buffett was unable to find value investing opportunities would he get into high frequency trading? No. Yet this is what amateurs do. The focus is usually based on a very small subset of the total possible outcomes, known as sample bias, so they never allow a strategy to do what it’s designed to do over the longer term. On the other hand, professionals understand that patience is a hallmark of success. They understand the short term idiosyncrasies of the markets or of a strategy and will not be swayed by short term emotions.

“Whenever we get a period of poor performance, most investors conclude something must be fixed. They ask if the markets have changed. But trend following presupposes change.” John W. Henry"
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #2,600
  • Dec 6, 2017 3:59pm Dec 6, 2017 3:59pm
USD MXN maybe tomorrow will trigger

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
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