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  • #81
  • Mar 25, 2018 10:10am Mar 25, 2018 10:10am
Quoting Samson85
{quote} I hope everything is good with the Eur/USD forum haven't been in there in a while. I hope you like this image for eur/USD. I think eur will bully the usd this week. {image}
1.2800
WaBaS Where are Buyers and Sellers
  • #82
  • Mar 25, 2018 10:52am Mar 25, 2018 10:52am
Quoting Feliks
{quote} Examining technical side of the market is easier than fundamental one. Because no one knows how people will react to that, especially press conferences (answer-question part). But you can find an "answer" in technical side almost always.
Well I do not quite agree with this point that you made.

While I do agree that technicals are easier to learn than fundamentals (thats why we have degree programs for economics and finance and none for technical analysis). My problem is seeing how watching technical levels could provide any clue as to what an outcome of a press conference or related news will be.

Central bankers speak as they like, they most likely have an agenda when answering questions. But i cant see how price will reflect the words that will come out of their mouth. In fact, I would actually argue that during such events, technicals should largely be ignored. As the primary catalyst of markets will simply be the words coming out of the central bankers mouth.
I look for value wherever it can be found
  • #83
  • Mar 25, 2018 1:49pm Mar 25, 2018 1:49pm
Quoting synicz
{quote} Well I do not quite agree with this point that you made. While I do agree that technicals are easier to learn than fundamentals (thats why we have degree programs for economics and finance and none for technical analysis). My problem is seeing how watching technical levels could provide any clue as to what an outcome of a press conference or related news will be. Central bankers speak as they like, they most likely have an agenda when answering questions. But i cant see how price will reflect the words that will come out of their mouth....
I never care about what they will tell. The most important part for me what kind of pattern will be formed before or after that event. Because i think traders look for such events for accumulated volatility, not for what will be talked about. I watched several times how the positive speech moved the market in a certain way for a while, then sharply engulfed by next movement. The only thing matter in this field is market behavior and your personal habitual financial skills. Markets force that guys to change their policy not vice versa. I think fundamentals vs technical battle was explained better than ever by Jesse Livermore.
Think like an investor, Act as a speculator. Ferid H.
  • #84
  • Mar 25, 2018 3:42pm Mar 25, 2018 3:42pm
Quoting Samson85
{quote} I hope you caught the brexit news early morning on Monday which caused the rally? I managed to get the pull back on gbp/nzd and hedged the trade vs gbp/aud just in case the rbnz minutes flopped the trade. {image}

Could you break down the process in how you hedged the trade? Do you mean buying both the GBP/NZD and GBP/AUD?
To Pipccess and Beyond
  • #85
  • Mar 25, 2018 7:42pm Mar 25, 2018 7:42pm
Quoting forexin101
{quote} Could you break down the process in how you hedged the trade? Do you mean buying both the GBP/NZD and GBP/AUD?

I bought gbp vs aud and rbnz.

The reasons were because rbnz minutes/interest rate release was happening that week and if they were bullish it would have killed my trade hence why I took a position against the aud also as security to prevent overall losses and gain profits also just in case rbnz flopped.

I didn't do it against the cad because nafta news would have killed my trade potentially and jpy is used for safe havens constantly by traders.

Ideally you should hedge every time you trade as that's what the professionals do to prevent heavy losses.

For example if I know the eur is super bullish then I should buy it against two pairs rather than one. Let's say I buy eur/USD and something positive happens America then my eur/USD position will sell off but if I had also bough eur/aud for example then I'd still have one profitable trade in play.
  • #86
  • Mar 25, 2018 7:46pm Mar 25, 2018 7:46pm
Quoting Feliks
{quote} I never care about what they will tell. The most important part for me what kind of pattern will be formed before or after that event. Because i think traders look for such events for accumulated volatility, not for what will be talked about. I watched several times how the positive speech moved the market in a certain way for a while, then sharply engulfed by next movement. The only thing matter in this field is market behavior and your personal habitual financial skills. Markets force that guys to change their policy not vice versa. I...
There is some rationale behind the notion that it is not what central bankers say, but how markets react to it.
However it is defnitely a bold claim to say that market force them to change their policies. I would disagree with this part.

By Jesse Livermore do you mean this particular quote from the book Reminiscence of a Stock Operator? "The reason for what a certain stock does today may not be known for two or three days, or weeks, or months. But what the dickens does that matter? Your business with the tape is now - not tomorrow."

If im not wrong, this phrase was in the earlier phase of his trading life, when he was still ripping bucket shops. He eventually still came to study fudamentals of a companies to capture the "big moves". In fact, I would argue that this was back nearly a century when news and information were not so easily available to the public.
It does make sense that tape reading is able to "predict" price movements back then because not everybody is doing it, and when you are using a lesser known technique, you have an edge. In modern times, with the advert of HFTs, information readily available to everybody and certain regulations in place. It would have made such an edge redundent.
I look for value wherever it can be found
  • #87
  • Edited 8:53pm Mar 25, 2018 8:13pm | Edited 8:53pm
Na....It's behavioral. Information itself cannot provide any systematic advantage. We or our bots don't act on information....but on the way we interpret it.....and much of that information may not even be true. Market fundamentals may provide the building blocks that impact on our understanding....but how we act on this information relates to the information's relevance and credibility. A "market" leads to the world of marketing. And that is where you would be well placed to study consumer behaviour and learn how to follow price as opposed to predict it.

Just have a look at the audited track records of the long standing professional trading funds on Barclay Hedge (https://www.barclayhedge.com/) or IASG (https://www.iasg.com/en-us/) (eg. from 2000 to today) and look at the established track records of those that simply follow price (eg. the trend followers) versus those Fund Managers who attempt to predict it such as the fundamental strategies. It is quite enlightening.

An interesting read. (http://www.thisisinsider.com/normal-distribution-versus-fat-tails-2016-10)
  • #88
  • Mar 25, 2018 9:07pm Mar 25, 2018 9:07pm
Quoting Samson85
Hi, I just thought I would share this as I find it amazing how many people purely focusing on technicals rather than finding out what sentiment is driving the market. The reason why retail traders lose money is because they are not sailing their trades in the same direction as the big institutions. The big institutions only use technicals for point of entry or to close a trade. They would never use technical indicators to run a trade as they are trading billions on behalf of their clients. I use a professional news feed called Ransquawk which lets...
Interesting topic.Based on when you joined FF 2017 I will speculate your forex experience is limited.Its not all about fundamentals or all about technical.Its fusion of both.
Buy low sell high applies question for you to know what is low and what is high.THat's the ultimate challenge for every trader.I found my Edge and happy with it.
It looks like you don't have enough trades/experience to make such controversial heading.Each his own but you are wrong on your heading.
regards
In trading, you have to be defensive and aggressive at the same time
  • #89
  • Mar 25, 2018 9:40pm Mar 25, 2018 9:40pm
Quoting Copernicus
Na....It's behavioral. Information itself cannot provide any systematic advantage. We or our bots don't act on information....but on the way we interpret it.....and much of that information may not even be true. Market fundamentals may provide the building blocks that impact on our understanding....but how we act on this information relates to the information's relevance and credibility. A "market" leads to the world of marketing. And that is where you would be well placed to study consumer behaviour and learn how to follow price as opposed to predict...

Agree that momentum in assets (aka trend) is an exploitable anomaly which classical finance and economics has struggled to explain for decades. From what I know it is explained by a cognitive bias - herd mentality.

However, I don't think it is fair to represent all TA strategies through the performance of a specific style of systematic trading. Especially one that has been extensively studied and proven to work.

Your post did bring up another interesting topic, which is the long-run performance of CTAs versus Hedge Funds.
I cant seem to go back further than 2014 for the historical Hedge Fund performances so I cant really compare.
But from the limited years that I have, it seems that Hedge Funds have outperformed CTAs. I understand that its too small a sample to draw concrete conclusion. Maybe you have access to further historical performances of Hedge Funds?
I look for value wherever it can be found
  • #90
  • Edited 10:06pm Mar 25, 2018 9:51pm | Edited 10:06pm
Quoting synicz
{quote} I would actually dispute the bulls and bears notion of EMA. My guess is that the EMA has its roots in time series analysis. Something called exponential smoothing. Its purpose is to filter out noise and only show the main trend of price. If im not wrong its mostly just for a general sense of where price is likely to trend towards. And shouldn't be use as a trigger to buy/sell. The EMA which trading platforms offers are kind of limited in a way. The statisticians are able to adjust something called the "alpha", which basically determines...
No one said a trader should use an EMA as a trigger. I thought we were talking about sentiment. If a trader uses an EMA as a trigger when the market evolves into a trading range they will be sliced to bits. I just would use an EMA to tell me where we are in the market cycle.
If you are good at something, never do it for free--Joker
  • #91
  • Mar 25, 2018 9:55pm Mar 25, 2018 9:55pm
Quoting synicz
{quote} Agree that momentum in assets (aka trend) is an exploitable anomaly which classical finance and economics has struggled to explain for decades. From what I know it is explained by a cognitive bias - herd mentality. However, I don't think it is fair to represent all TA strategies through the performance of a specific style of systematic trading. Especially one that has been extensively studied and proven to work.
It was more a subtle dig at the definitive nature of the thread title "Fundamental Trading Always beats Technical Trading 100%"......There are a lot of traders who have different styles and to state that one is more definitive than another is a bit misleading. :-)


Quoting synicz
{quote} Your post did bring up another interesting topic, which is the long-run performance of CTAs versus Hedge Funds. I cant seem to go back further than 2014 for the historical Hedge Fund performances so I cant really compare. But from the limited years that I have, it seems that Hedge Funds have outperformed CTAs. I understand that its too small a sample to draw concrete conclusion. Maybe you have access to further historical performances of Hedge Funds?
The long standing CTA's are in a class of their own. I study fund performance across the board quite extensively and I haven't come across trading styles that match their performance.

Here is the top 54 of the CTA's since 2000.

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...and here is the Top 10 in terms of risk weighted returns. To boast a 9.72% CAGR with a max draw of 7% for the last 18 years or so is an impressive feat.

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  • #92
  • Mar 25, 2018 10:01pm Mar 25, 2018 10:01pm
Quoting jmn5611
{quote} No one said a trader should use an EMA as a trigger. I thought we were talking about sentiment. If a trader uses an EMA as a trigger when the market evolves into a trading they will be sliced to bits. I just would use an EMA to tell me where we are in the market cycle.
Haha Im not accusing anyone. It was just my opinion that retail traders tend to use EMAs or any MA crossovers as trigger to enter trades. I remembered when I first started FX and toyed around with MAs, I thought that I had found the "holy grail" setting. If im not wrong its 71 EMA or around there. Oh how niave of me
I look for value wherever it can be found
  • #93
  • Mar 25, 2018 10:08pm Mar 25, 2018 10:08pm
Quoting synicz
{quote} Haha Im not accusing anyone. It was just my opinion that retail traders tend to use EMAs or any MA crossovers as trigger to enter trades. I remembered when I first started FX and toyed around with MAs, I thought that I had found the "holy grail" setting. If im not wrong its 71 EMA or around there. Oh how niave of me
We all have been down that road.
If you are good at something, never do it for free--Joker
  • #94
  • Mar 25, 2018 10:16pm Mar 25, 2018 10:16pm
Quoting Copernicus
{quote} It was more a subtle dig at the definitive nature of the thread title "Fundamental Trading Always beats Technical Trading 100%"......There are a lot of traders who have different styles and to state that one is more definitive than another is a bit misleading. :-) {quote} The long standing CTA's are in a class of their own. I study fund performance across the board quite extensively and I haven't come across trading styles that match their performance. Here is the top 54 of the CTA's since 2000. {image}
That is a very cool study you have there!

Just a few questions regarding your research:

Nothing big but I noticed there is 2 rows for the year 2008. Although one of it stated 0% return. Is that a error or was it intentional?

It is interesting to see the "clumpy" returns. Specifically in 2008 where we had the financial crisis.

This is just my opinion, but by using the top 54 CTAs, you may have introduced a form of "surviviorship bias". This means that it should be expected that the top CTAs will outperform the S&P500.
May I suggest a more fair way of comparison would be to randomly select CTAs irregardless of performance(which means you have equal chance of selecting a good performing or poorly performing CTA) or to simply create an aggregate of all CTAs.
Also, if possible, you may want to include the 90s periods whereby the S&P performed well.

Overall, that is some neat work you have there! Thanks for sharing!
I look for value wherever it can be found
  • #95
  • Edited 10:47pm Mar 25, 2018 10:27pm | Edited 10:47pm
Quoting synicz
{quote} That is a very cool study you have there! Just a few questions regarding your research: Nothing big but I noticed there is 2 rows for the year 2008. Although one of it stated 0% return. Is that a error or was it intentional? It is interesting to see the "clumpy" returns. Specifically in 2008 where we had the financial crisis. This is just my opinion, but by using the top 54 CTAs, you may have introduced a form of "surviviorship bias". This means that it should be expected that the top CTAs will outperform the S&P500. May I suggest a...
Well spotted. A residual impact from another study....D'oh :-)

Below is the amended performance chart.

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In regards to survivorship bias....it is almost impossible dredging up performance returns from 2000 to current day using any other method due to survivorship bias.....(PS I have been tracking these 54 funds for the past decade or so)....here is the result of a fund of funds structure if you rotated you selection into the best performing risk weighted CTA's of the year and added a touch of leverage given that these guys are diversified and sustainable beasts in their own right. This method avoids any form of hind site bias. A CAGR of 8.91% and max draw of 18.77% (the issues of fund rotation and re-balancing do chomp into the performance metrics a bit).

These guys have almost zero correlation to equities and bonds....hence when the markets go awry....these guys tend to prosper (referred to as the CTA smile (https://books.google.com.au/books?id=zvNjBAAAQBAJ&pg=PT42&lpg=PT42&dq=the+cta+smile&source=bl&ots=q1wQNVVEOH&sig=9QiXhsw29ZZGFwsyKWbUHaMdYIY&hl=en&sa=X&ved=0ahUKEwjJkryYoonaAhVGTLwKHRSjBB8Q6AEIUDAK#v=onepage&q=the%20cta%20smile&f=false)).

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Still produces a very strong result that dwarfs what I can achieve in other Fund of Fund models.

PS Thanks for the scrutinizing eyes....how embarrassment :-(
  • #96
  • Mar 25, 2018 10:54pm Mar 25, 2018 10:54pm
Quoting Copernicus
{quote} Well spotted. A residual impact from another study....D'oh :-) Below is the amended performance chart. {image} In regards to survivorship bias....it is almost impossible dredging up performance returns from 2000 to current day using any other method due to survivorship bias.....(PS I have been tracking these 54 funds for the past decade or so)....here is the result of a fund of funds structure if you rotated you selection into the best performing risk weighted CTA's of the year and added a touch of leverage given that these guys are diversified...
This is very interesting. And it certainly does add support to the asset momentum anomaly.

Just to clarify, the leverage level is 1.6? And you had subtracted 3 x 3 Mo T-Bill annually to simulate interest payment?

It certainly makes one wonder why such a lucrative edge has not been arbitraged away!
I look for value wherever it can be found
  • #97
  • Mar 25, 2018 10:59pm Mar 25, 2018 10:59pm
Quoting synicz
{quote} This is very interesting. And it certainly does add support to the asset momentum anomaly. Just to clarify, the leverage level is 1.6? And you had subtracted 3 x 3 Mo T-Bill annually to simulate interest payment? It certainly makes one wonder why such a lucrative edge has not been arbitraged away!
Yep....This is the rate that you could obtain for over the counter margin lending from these low risk examples. $1 equity to $0.60 cents debt. Interest is deducted from the fund return after all fees.

Regards longer term examples....here are some charts I was able to dredge up from IASG.

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  • #98
  • Mar 25, 2018 11:02pm Mar 25, 2018 11:02pm
Quoting synicz
{quote} This is very interesting. And it certainly does add support to the asset momentum anomaly. Just to clarify, the leverage level is 1.6? And you had subtracted 3 x 3 Mo T-Bill annually to simulate interest payment? It certainly makes one wonder why such a lucrative edge has not been arbitraged away!
In regards to arbitrage...The returns from these CTA's are essentially made when the market capitulates....at all other times they tend to churn and defend their capital base....so it is difficult to see this actually being arbitraged away. One of the benefits of trading the fat tails (https://www.forexfactory.com/showthread.php?p=9414532#post9414532)...so to speak.
  • #99
  • Mar 25, 2018 11:13pm Mar 25, 2018 11:13pm
Quoting Copernicus
{quote} Yep....This is the rate that you could obtain for over the counter margin lending from these low risk examples. $1 equity to $0.60 cents debt. Interest is deducted from the fund return after all fees. Regards longer term examples....here are some charts I was able to dredge up from IASG. {image} {image} {image}
Thanks for all those illustrations! And very interesting thread you have there!

I can certainly tell that you are no regular retail trader! Much of what you post are more towards the advanced side of trading.
And it is fairly obvious that you have done your research.

Keep this up! I believe it will benefit the retail trading community as a whole!
Thanks for all those illustrations!

I can certainly tell that you are no regular retail trader! Much of what you posts are more towards the advanced side of trading.

Keep up your fantastic research!
I look for value wherever it can be found
  • #100
  • Mar 25, 2018 11:32pm Mar 25, 2018 11:32pm
Quoting synicz
{quote} There is some rationale behind the notion that it is not what central bankers say, but how markets react to it. However it is defnitely a bold claim to say that market force them to change their policies. I would disagree with this part. By Jesse Livermore do you mean this particular quote from the book Reminiscence of a Stock Operator? "The reason for what a certain stock does today may not be known for two or three days, or weeks, or months. But what the dickens does that matter? Your business with the tape is now - not tomorrow." If im...
I could tell for an example Jesse's Palm Beach trade where everyone was arguing with him why he did that. Because he made that deal against "good economic results". If you look at the Charles Dow's price movement diagram, you can see that When people are more convicted with great enthusiasm about Bull market (by the way it means all fundamental indicators firing on all cylinders) Bears start to sell and when Pessimism covered whole the market with bad data Bulls start coming up.
Think like an investor, Act as a speculator. Ferid H.
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