Diversified Trend Trading Approach

New traders' expectations vs reality:

https://twitter.com/SJosephBurns/sta...38797923618816

Possible template of Jerry Parker.... Only Donchian, ATR and no MAs. From his tweet.

https://www.barchart.com/futures/quo...hart?id=528436

Nice R. I wouldn't be surprised if his strategies were exceptionally simple as he strongly diversifies...and the simpler the strategy in that context, the better :-)

Platinum in nice downtrend. Too bad not enough capital for 2 positions.

Long runner USD TRY



EURMXN almost shot

Nice R. Are you at 0.25 SDC yet?

It is still alive despite the previous sumo move. :-)

I need 1760 pips. Almost there.

From William Eckhardt:

Don’t Set Your Trading Size at the Optimized Setting

1. On the subject of bet size, if you plot performance against position size, you get a graph that resembles
   one of those rightward-facing, high-foreheaded cartoon whales. The left side of the graph, corresponding to relatively small position size, is nearly linear; in this range an increase in trading size yields a proportionate increase in performance. But as you increase size beyond this range, the upward slope flattens out; this is because increasingly large drawdowns, which force you to trade smaller, inhibit your ability to come back after strings of losses. The theoretical optimum is reached right about where the whale’s blowhole would be. To the right of this optimum, the graph plummets; an average position size only modestly larger than the
   theoretical optimum gives a negative performance
2. Trading size is one aspect you don’t want to optimize. The optimum comes just before the precipice. Instead, your trading size should lie at the high end of the range in which the graph is still nearly straight.

Do you have such graph of positions size vs performance for EDTT?

After changing to Donchian 2000, capacity of EDTT increased +100% to 25 million:



Of course if we would need larger capacity, we would move from 30m to 1h?

Hi R. Bill is totally right. Do you remember when we were adjusting our position sizing (fixed fractional) to meet our desired drawdown tolerance in our portfolio creation exercise in prior posts? The relationship between position sizing aka trade risk % and performance is almost linear.....but not quite.

For example let's assume that over a 10 year timeframe our max drawdown is say 10% with a CAGR of say 8% with a trade risk of say 1% of equity. Now if you double your trade risk % to say 2% of equity you would think that the corresponding CAGR would be 16% with a max draw of 20%. Now this is almost correct...however at low trade risk levels it is deceptive because this varies slightly from CAGR of 16% and Max draw of 20% due to the sequence of losses that led to that max drawdown and the impact it has on the fixed fractional method of position sizing.

When you up the ante...this marginal difference compounds in nature and at a particular point (usually at levels where the max draw reaches 40-50% falls off a cliff).

You can see this by applying a multiplier to position sizing on your backtest results and this could be plotted graphically. I will do this one day and post it in this thread.

Sorry if it is difficult understanding this but if you do the exercise....you will see it in practice. The sequence of losing trades that leads to the max drawdown is the culprit and why it is not an exact linear relationship.

PS....the method we used to determine our position sizing from our backtest sample is spot on mate.....and is directly related to our drawdown tolerance.

Nice mate. That works to our advantage......plus the further out we stretch price....the improved win rate. It just means we need to diversify more to lift trade frequency if we stretch it :-)

This haunts me, send help I don't want to be finished Now I monitor all markets brokers have. Also from Eckhardt.

Hehehehehe. That is my worst nightmare as well. The case of the missed trade that turns into the hay-maker :-)

Case in point....the silver trade you would have lived to regret.

Faith in Humanity. Sometimes you need to take stock of what a human being should strive for :-)

https://dms.licdn.com/playback/C5105...j855ctwjbALFTE

Power of 0.75 ADR

Gold to EUR

Weekend is coming soon ... this one is for relax, guys

Nice BN. This is where my wife would have to drag me away by my knuckles to complete her shop. Have a chilled weekend mate :-)