Diversified Trend Trading Approach
- #2,602
- Dec 7, 2017 1:33pm Dec 7, 2017 1:33pm
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
Anyone in silver? Short term SDC already 0.5 and now almost aligned with long term...:
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #2,603
- Dec 7, 2017 2:32pm Dec 7, 2017 2:32pm
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #2,604
- Dec 8, 2017 4:27am Dec 8, 2017 4:27am
- | Commercial User | Joined Apr 2013 | 4,366 Posts
Anyone in silver? Short term SDC already 0.5 and now almost aligned with long term...: {image}
Also in Gold but that's about it from me.
- #2,605
- Dec 8, 2017 4:52am Dec 8, 2017 4:52am
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
{quote} About to trigger into Silver now R :-) {image} Also in Gold but that's about it from me. {image}
USD SEK also triggered
USDJPY should trigger today, unless sp500 will tank
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #2,608
- Dec 8, 2017 12:13pm Dec 8, 2017 12:13pm
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #2,609
- Dec 8, 2017 12:28pm Dec 8, 2017 12:28pm
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #2,610
- Edited 8:17pm Dec 8, 2017 6:36pm | Edited 8:17pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
- #2,612
- Edited Dec 9, 2017 5:52pm Dec 8, 2017 7:30pm | Edited Dec 9, 2017 5:52pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
Monthly Performance Review - November 2017 - EDTT
.....continued from post 2563....
EDTT
Following the great month of October where the equity indices (particularly DJI30, ASX200 and CAC40) with some support from forex pairs (eg. USDNOK) powered ahead with bullish momentum and any signs of a drawdown in the portfolio vapourised....we have had to eat a little humble pie for November and have given back about half of the prior months offering.......and back comes the drawdown.
It was the month for the flying sumos whereby of the 24 instruments maintained in the watchlist, only 5 of them offered a positive return. Notable offenders for the period were USDNOK, EURUSD, AUDCAD and ASX200 where we were caught with our pants down as mean reversion snuffed out any signs of momentum charge.
General stats are as follows:
We now have 1267 trades under our belt, the Pwin is 41.7% and the Return to Risk Ratio is 2.27x. The average hold is sitting steady at approximately 11.56 days duration. With a 4x multiplier to position size in isolation (or 1.0% trade risk) the CAGR between 1 Jan 2010 to 30 Nov 2017 is 27.5% with a max drawdown over the period of 10.7%.
The strategy offers excellent positive skew at 0.99 demonstrating it's divergent nature. For a better understanding of what 'divergent' means...refer to R's excellent post from Kathryn Kaminski.
The current drawdown of the EDTT portfolio is 4.9%.
Summary compounded results are as follows.
You can see that it has been quite an effort in the 2017 calendar year of trying to keep our head above water. Anyway....you can't win them all. When volatility picks up....we will have the last laugh and in the meantime we have kept our powder dry and have defended our capital base.
Cheers guys
C
.....continued from post 2563....
Inserted Video
EDTT
Following the great month of October where the equity indices (particularly DJI30, ASX200 and CAC40) with some support from forex pairs (eg. USDNOK) powered ahead with bullish momentum and any signs of a drawdown in the portfolio vapourised....we have had to eat a little humble pie for November and have given back about half of the prior months offering.......and back comes the drawdown.
It was the month for the flying sumos whereby of the 24 instruments maintained in the watchlist, only 5 of them offered a positive return. Notable offenders for the period were USDNOK, EURUSD, AUDCAD and ASX200 where we were caught with our pants down as mean reversion snuffed out any signs of momentum charge.
General stats are as follows:
We now have 1267 trades under our belt, the Pwin is 41.7% and the Return to Risk Ratio is 2.27x. The average hold is sitting steady at approximately 11.56 days duration. With a 4x multiplier to position size in isolation (or 1.0% trade risk) the CAGR between 1 Jan 2010 to 30 Nov 2017 is 27.5% with a max drawdown over the period of 10.7%.
The strategy offers excellent positive skew at 0.99 demonstrating it's divergent nature. For a better understanding of what 'divergent' means...refer to R's excellent post from Kathryn Kaminski.
The current drawdown of the EDTT portfolio is 4.9%.
Summary compounded results are as follows.
You can see that it has been quite an effort in the 2017 calendar year of trying to keep our head above water. Anyway....you can't win them all. When volatility picks up....we will have the last laugh and in the meantime we have kept our powder dry and have defended our capital base.
Cheers guys
C
- #2,615
- Dec 8, 2017 10:05pm Dec 8, 2017 10:05pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
Food for Thought
- Don’t Mistake Style for Skill
- The Case for Liquid Alternative Investments
- Convergent and Divergent Strategies: A New Perspective for Evaluating Alternative Investments
- “Risk of a Rapid Repricing in Global Markets” – (ECB) With this Narrative, Investors Need Strategies that Generate Portfolio Gamma
- All of the World’s Money and Markets in One Visualization
- Wisdom 'State of the Trend'
- Momentum and Market Anomalies
- Why Crypto Will Kill Cash (and probably governments too)
- For most stock-market investors, a simple portfolio may also be the best
- ‘Alt beta’ disrupts hedge funds
- What to Worry About in This Surreal Bull Market
- Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance - Thanks to Bass for this :-)
No interesting podcasts of note this week picked up on my radar.....just the same ol' regurgitation.
Enjoy
C
Inserted Video
- #2,616
- Edited 8:39am Dec 9, 2017 8:28am | Edited 8:39am
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
Monthly Performance Review - November 2017 https://www.youtube.com/watch?v=l98y...MoQgyM51lo8Rlx EDTT Following the great month of October where the equity indices (particularly DJI30, ASX200 and CAC40) with some support from forex pairs (eg. USDNOK) powered ahead with bullish momentum and any signs of a drawdown in the portfolio vapourised....we have had to eat a little humble pie for November and have given back about half of the prior months offering.......and back comes the drawdown....
My monthly results:
Unfortunately DD is slipping away from institutional grade level of 10%:
I am back to choosing exposure based portfolio with uncorrelated instruments and adding Reverter. I was burned by USD moves there and back. Instead of 0.5%-1% risk I got 5% risk because of exposure to USD.
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #2,618
- Dec 9, 2017 10:16am Dec 9, 2017 10:16am
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #2,619
- Dec 9, 2017 12:48pm Dec 9, 2017 12:48pm
Hi C,
I have been backtesting your strategy manually on different pairs, as I mentioned earlier I was looking for something where there is the least discretion of trader to trade, so I picked it up. Your system is good and combined with a strong diversified portfolio it can definitely generate consistent profits.
But my original trading system I had only one problem that it's mostly dependent on traders discretion. I can't find anything which works 90% of the time like my current selection i.e volume spread and volume zone analysis (VSA/VZ). 90% yes in past at least but in real trading, it is reduced by some percent cause of discretion.
so instead of working on myself, I have been searching for the true mechanical system and anything isn't matching my personality after trading VSA/VZ.
I have decided to work on myself and stay with my current trading system.
One thing I am taking away from your system and your approach is building a strong portfolio.
Will hop in again to say hello
I have been backtesting your strategy manually on different pairs, as I mentioned earlier I was looking for something where there is the least discretion of trader to trade, so I picked it up. Your system is good and combined with a strong diversified portfolio it can definitely generate consistent profits.
But my original trading system I had only one problem that it's mostly dependent on traders discretion. I can't find anything which works 90% of the time like my current selection i.e volume spread and volume zone analysis (VSA/VZ). 90% yes in past at least but in real trading, it is reduced by some percent cause of discretion.
so instead of working on myself, I have been searching for the true mechanical system and anything isn't matching my personality after trading VSA/VZ.
I have decided to work on myself and stay with my current trading system.
One thing I am taking away from your system and your approach is building a strong portfolio.
Will hop in again to say hello
Holy Grail - Patience and Acceptance
- #2,620
- Edited 5:23pm Dec 9, 2017 4:57pm | Edited 5:23pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts