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Diversified Trend Trading Approach

  • #3,181
  • Edited 7:26am Apr 16, 2018 7:15am | Edited 7:26am
Cocoa doing new highs.... Why I wasn't stopped out on the lines? Only recently I noticed I was 2R in profit...and changed the SDC to 0.5.... Stuff happens. Automatic tool would take me out 0.5 % lower.

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Also Aluminium

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,182
  • Apr 16, 2018 8:40am Apr 16, 2018 8:40am
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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,183
  • Apr 16, 2018 8:59am Apr 16, 2018 8:59am
Quoting Ramadas
{image}
Nice find R. Thanks for that :-)

With regards to our backtest....on a universe of 24 instruments we were heat agnostic and we took every trade signal. At times we had up to 10 instruments firing so in practice we know that we could sustain a heat of 10% with a 1% trade risk.

Heat becomes very important as our universe expands so I am thinking we could absorb a 10% max portfolio heat. Your thoughts?
  • #3,184
  • Edited 10:09am Apr 16, 2018 9:52am | Edited 10:09am
March Results - EDTT

A good result for March on the Dukascopy Portfolio attributed to volatile markets up to 19 March....and then the vol tap was turned off. Despite the strong result we had 11 consecutive losses between 19 March to 27 March.

The monthly return of 13.64% on the Dukascopy portfolio was attributed to EURCAD with support from GBPAUD.

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The equity curve highlights what a bit of vol and market divergence delivers. Hasta La Vista drawdown.

Tomorrow I will do a bit of blending with the reverter :-)
  • #3,185
  • Edited 10:07am Apr 16, 2018 9:56am | Edited 10:07am
Quoting Copernicus
{quote} Nice find R. Thanks for that :-) With regards to our backtest....on a universe of 24 instruments we were heat agnostic and we took every trade signal. At times we had up to 10 instruments firing so in practice we know that we could sustain a heat of 10% with a 1% trade risk. Heat becomes very important as our universe expands so I am thinking we could absorb a 10% max portfolio heat. Your thoughts?
According to Tharp we could have 25% easily. So 10% should be OK.

Another thing to consider after reading Definitive positions sizing is scaling in.... Rich Dennis, Eckhardt, Ed Seykota all are scaling in to reduce drawdowns... smoothen the curve....

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Ed Seykota's site: http://www.seykota.com/tribe/risk/index.htm

And another from seykota.com

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Tip: if you want to search for anything on seykota.com then put into Google: search term site:seykota.com
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,186
  • Apr 16, 2018 10:04am Apr 16, 2018 10:04am
Quoting Ramadas
{quote} According to Tharp we could have 25% easily. So 10% should be OK. Another thing to consider after reading Definitive positions sizing is scaling in.... Rich Dennis, Eckhardt, Ed Seykota all are scaling in to reduce drawdowns... smoothen the curve.... {image} {image} {image}
Yep....KK and Neils were also referring to it, but they did stress that many CTA's choose not to do so........but......but......is it necessary given our testing......and remember we are much shorter term than those guys and our efforts are dedicated to trade efficiency with our definition of momentum. We go for the linear move without pull-backs where scaling in (pyramiding) is applied. I will need to backtest a scenario but my gut strongly tells me not to do it.

.....let's bash the idea around a bit first.
  • #3,187
  • Apr 16, 2018 10:12am Apr 16, 2018 10:12am
Quoting Copernicus
March Results - EDTT A good result for March on the Dukascopy Portfolio attributed to volatile markets up to 19 March....and then the vol tap was turned off. Despite the strong result we had 11 consecutive losses between 19 March to 27 March. The monthly return of 13.64% on the Dukascopy portfolio was attributed to EURCAD with support from GBPAUD. {image} {image} {image} The equity curve highlights what a bit of vol and market divergence delivers. Hasta La Vista drawdown. Tomorrow I will do a bit of blending with the reverter :-)
EUR CAD? Damn, I did not have it in my static portfolio.

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But now I am monitoring all markets [insert diabolical laugh] and not one trend will run away....

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,188
  • Apr 16, 2018 10:13am Apr 16, 2018 10:13am
Quoting Ramadas
{quote} EUR CAD? Damn, I did not have it in my static portfolio. {image} But now I am monitoring all markets [insert diabolical laugh] and not one trend will run away.... {image}
LOL....Exxxxccccccelllllent Smithers :-)
  • #3,189
  • Apr 16, 2018 10:18am Apr 16, 2018 10:18am
Quoting Copernicus
{quote} LOL....Exxxxccccccelllllent Smithers :-)
However, because I am now fully loaded (10% risk on whole portfolio) - no more open positions allowed. So some trends can run away.

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,190
  • Apr 16, 2018 10:23am Apr 16, 2018 10:23am
Quoting Ramadas
{quote} However, because I am now fully loaded (10% risk on whole portfolio) - no more open positions allowed. So some trends can run away. {image}
Yeah....I think it is wise to be prudent with a large universe. When I played around with the EA using an ultra large universe my greed kicked in and I got severely slapped on the wrist with correlation :-(

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  • #3,191
  • Apr 16, 2018 8:04pm Apr 16, 2018 8:04pm
Have I posted this before?....... Mark Humphries takes us on a joy-ride into the science behind deja vu :-)

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  • #3,192
  • Apr 17, 2018 1:05am Apr 17, 2018 1:05am
nice thread guys, i really like what both of you are doing here. and i really apreciate it because you two are approacing the markets from a scientific/statistical angle. just remember that everything is subjective/relative like in life or love (yes you backtest a system/strategy, at the end you are picking the system that has an edge is profitable but in the same time you pick that system because you belive in it, in that approach to the markets).

now on pyramiding, of course you do some backtesting and you select something that is doing ok like adding positions in turtle way,
my subjective opinion is that another concept can be used, like buiding a tower, risking same amount on every trade. (this way you incorporate market structure and volatility to build the pyramid). as the percived trend is developing volatility is also changing from low to high to high to low. as soros is saying "If you are right in a position, you can never be big enough". so i took my liberty to add to a winning positions as much as 20 times. if i have signal in a market i will risk 1% divided to 20 for first position and for the next legs.
p.s. my englis is not so good, i hope it make sense.
Price itself it's an indicator
  • #3,193
  • Edited 2:07am Apr 17, 2018 1:30am | Edited 2:07am
Quoting m3rlin
nice thread guys, i really like what both of you are doing here. and i really apreciate it because you two are approacing the markets from a scientific/statistical angle. just remember that everything is subjective/relative like in life or love (yes you backtest a system/strategy, at the end you are picking the system that has an edge is profitable but in the same time you pick that system because you belive in it, in that approach to the markets). now on pyramiding, of course you do some backtesting and you select something that is doing ok like...
Cheers M. Great stuff. Good to have a veteran keeping us honest :-). We will have a good absorb of what you say and dig into a bit of research on the subject. I like the sounds of it particularly with respect to capitalising on market structure.

One of the benefits of this short term breakout approach is that we have the ability to re-enter multiple times on the short term momentum break provided the longer term momentum definition is still in tact. It follows more of a multiple bites at the cherry on the short term swing as opposed to an accumulation of position size on the same trade. This is not reflected in the testing but we are developing the strategy down this road.

Let us mull it over a bit. I previously was a big fan of a multi-timeframe approach to capturing momentum moves which allowed multiple positions on the same instrument across timeframes in accordance with market structure.....but given recent mods of the strategy and our testing we seem to be capitalizing on a bit of a niche in the diversified systematic space that may be to our advantage.

Great to have your input......much more please M. This thread at the moment is a bit of a two way diatribe :-)
  • #3,194
  • Apr 17, 2018 1:41am Apr 17, 2018 1:41am
thankyou for being here
I'm going back to reread a few threads
this being one, Davits another and aliens
ATM dealing with anxiety issues (hence not trading after killing an A/c)
I'll just thankyou for words of wisdom posted recently and when I become more balanced I hope to contribute more than praise of the thread
I will get my head around this, but always can be wrong
  • #3,195
  • Apr 17, 2018 1:59am Apr 17, 2018 1:59am
Quoting nimtrader
thankyou for being here I'm going back to reread a few threads this being one, Davits another and aliens ATM dealing with anxiety issues (hence not trading after killing an A/c) I'll just thankyou for words of wisdom posted recently and when I become more balanced I hope to contribute more than praise of the thread
Cheers N. I hope all is ok mate. I am still on a break and I can't tell you what a relief it is just chilling out and smelling the roses. Sometimes that is the best tonic for anxiety. No people....no distractions....just peace.


Stay safe :-)
  • #3,196
  • Apr 17, 2018 4:01am Apr 17, 2018 4:01am
"The sufficient condition for success is to possess the discipline to stay the course. Stay disciplined and avoid the consequences of the dreaded investment disease known as recency. Don't abandon your well-thought-out investment plan because of poor recent performance."

From Jerry Parker's tweet
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,197
  • Apr 17, 2018 4:04am Apr 17, 2018 4:04am
Quoting Ramadas
"The sufficient condition for success is to possess the discipline to stay the course. Stay disciplined and avoid the consequences of the dreaded investment disease known as recency. Don't abandon your well-thought-out investment plan because of poor recent performance." From Jerry Parker's tweet
Amen

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  • #3,198
  • Apr 17, 2018 4:13am Apr 17, 2018 4:13am
Here we go R

Reverter results updated to 31 Mar 2018. Not too bad with a positive return for March.

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.

Stats as follows

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So now to the blend.

EDTT in isolation at 1% trade risk
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Reverter in isolation at 1% trade risk
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System Blend: EDTT at 1.10% trade Risk and Reverter at 0.45% trade risk


.....drum roll please.............

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Kaboom!!!!!!

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  • #3,199
  • Apr 17, 2018 10:04am Apr 17, 2018 10:04am
Quoting Copernicus
Here we go R Reverter results updated to 31 Mar 2018. Not too bad with a positive return for March. {image}. Stats as follows {image} So now to the blend. EDTT in isolation at 1% trade risk {image} Reverter in isolation at 1% trade risk {image} System Blend: EDTT at 1.10% trade Risk and Reverter at 0.45% trade risk .....drum roll please............. {image} Kaboom!!!!!! https://www.youtube.com/watch?v=1rJ7Qqi-W98
2015 and 2016 were almost flat. I wonder how would you fare with your new portfolio in Pepperstone? If you would have copper and cocoa these years would be also Kaboom!
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,200
  • Apr 17, 2018 10:18am Apr 17, 2018 10:18am
Quoting Ramadas
{quote} 2015 and 2016 were almost flat. I wonder how would you fare with your new portfolio in Pepperstone? If you would have copper and cocoa these years would be also Kaboom!
I haven't had a chance yet to punch out that new 'Clenow' universe. I will get cracking as soon as I am back......but it's going to take some time with EDTT. The reverter however is a breeze to test.

What is interesting is the low level of correlation with the CTA's and also the S&P500TR. Refer to the correlations on the performance charts in the prior performance post. This augers very well for future allocations if it proves to hold up......which you and I both know it will.....but as they say pride comes before a fall.

I should have the fund results for March soon....just waiting for Dreiss Research and a few others to come in. The CTA's languished in March....unlike our beast :-)

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