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Diversified Trend Trading Approach

  • #3,201
  • Apr 17, 2018 10:24am Apr 17, 2018 10:24am
Quoting Copernicus
{quote} 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...
Yep, strong arguments to diversify with us.
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,202
  • Apr 17, 2018 7:54pm Apr 17, 2018 7:54pm
A philosophical musing that stands the test of time. Kierkegaard and the three stages of a fulfilling life.....from Mike Sturm.

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  • #3,203
  • Edited Apr 18, 2018 12:23am Apr 17, 2018 9:08pm | Edited Apr 18, 2018 12:23am
An example of a risk event. It is not what you expect. :-)

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  • #3,204
  • Apr 18, 2018 7:24am Apr 18, 2018 7:24am
Aluminium getting to the moon = SDC 1/2

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Nickel too

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,205
  • Apr 18, 2018 7:26am Apr 18, 2018 7:26am
Quoting Ramadas
Aluminium getting to the moon = SDC 1/2 {image}
Reminds me of a song :-)

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  • #3,206
  • Apr 18, 2018 7:28am Apr 18, 2018 7:28am
Quoting Copernicus
{quote} Reminds me of a song :-) https://www.youtube.com/watch?v=DtVBCG6ThDk
When will you back from these holidays, where one cannot reach you by phone, email or social media and you are lost to the cannibals?
I know that some AI is posting in your name... I hope you will be back soon healthy and fine.
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,207
  • Apr 18, 2018 7:31am Apr 18, 2018 7:31am
Strategy is telling me to go short volatility....I don't know about that..... I will probably delete this market.....
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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,208
  • Apr 18, 2018 7:31am Apr 18, 2018 7:31am
Quoting Ramadas
{quote} When will you back from these holidays, where one cannot reach you by phone, email or social media and you are lost to the cannibals? I know that some AI is posting in your name... I hope you will be back soon healthy and fine.
Any moment now. Just waiting for FedEx. My knowledge of ancient shipping lanes tells me Sunday :-)

PS I sent you a message in a bottle earlier. Check your rubbish bin.

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  • #3,209
  • Apr 18, 2018 7:33am Apr 18, 2018 7:33am
Quoting Ramadas
Strategy is telling me to go short volatility....I don't know about that..... I will probably delete this market..... {image}
Yep....the Donchian has only recently moved up. Reset to a more comfortable position. I tend to lock in the pending orders based on the Donchian plus ATR at the exit of the previous trade. That way I stay conservative.
  • #3,210
  • Apr 18, 2018 7:37am Apr 18, 2018 7:37am
What is bugging me that Clenow in his portfolio when trading currencies, all were quoted in USD (I know, I know... because they are futures), so the correlation was crazy when something was happening with dollar.

Correlation is a bitch: today's case of GBP which was going strongly up.

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,211
  • Apr 18, 2018 7:40am Apr 18, 2018 7:40am
Quoting Copernicus
{quote} Yep....the Donchian has only recently moved up. reset to a more comfortable position. I tend to lock in the pending orders based on the Donchian plus ATR at the exit of the previous trade. That way I stay conservative.
Could you please explain it to me as if I was 5? Abbreviation is ELI5. There is Reddit group with such questions:
https://www.reddit.com/r/explainlikeimfive/

Reset? If I had no previous trade?
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,212
  • Apr 18, 2018 7:43am Apr 18, 2018 7:43am
Quoting Ramadas
What is bugging me that Clenow in his portfolio when trading currencies, all were quoted in USD (I know, I know... because they are futures), so the correlation was crazy when something was happening with dollar. Correlation is a bitch: today's case of GBP which was going strongly up. {image}
I hear you mate....but correlation can be good when you pick the right direction. Let Fred's Portfolio heat be your measure to say when enough is enough. When the **** hits the fan given these correlated markets these days....the impact is going to felt across asset classes and you want to be on them if possible. Gone are the days of low correlation across asset classes. In this new world order of HFT and intervention....we just gotta adapt to it.

To overcome this symptom of the markets.....we need to work further on system diversification which specifically addresses this issue.....but the palms are swaying....the birds are calling and a mermaid is beckoning me at the moment. :-)
  • #3,213
  • Apr 18, 2018 7:52am Apr 18, 2018 7:52am
Quoting Ramadas
{quote} Could you please explain it to me as if I was 5? Abbreviation is ELI5. There is Reddit group with such questions: https://www.reddit.com/r/explainlikeimfive/ Reset? If I had no previous trade?

I could use a picture book. Have you drunk your milk yet......*sniggers*...."You asked for it" :-)

Have a look at the Donchian on your chart of VOLX. It has been compressing lately in say the last day or so. To stay conservative and assuming you have not previously traded the instrument .......... I would look at the Donchian's position over the past week and set your pending's at the most conservative level. The 2000 Donchian is meant to be a long term indicator....and as such has more meaning if you treat the lowest level across the last 2000 bars as the basis for your pending order entries.

If you have prior trades as a basis for decision making then set the pending order for your next trade based on the positioning of the Donchian on your exit condition of your last trade. That way you know you have conservatively positioned your next entry at more extreme price movements.

If you don't understand that then wait till your father gets home. See if the crack of his belt makes you understand better :-)
  • #3,214
  • Apr 18, 2018 7:53am Apr 18, 2018 7:53am
Quoting Copernicus
{quote} I could use a picture book. Have you drunk your milk yet......*sniggers*...."You asked for it" :-) Have a look at the Donchian on your chart of VOLX. It has been compressing lately in say the last day or so. To stay conservative and assuming you have not previously traded the instrument .......... I would look at the Donchian's position over the past week and set your pending's at the most conservative level. The 2000 Donchian is meant to be a long term indicator....and as such has more meaning if you treat the lowest level across the last...
Well explained, sir! Thanks!
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,215
  • Edited 8:11am Apr 18, 2018 7:55am | Edited 8:11am
Quoting Ramadas
{quote} Well explained, sir! Thanks!
Mum has just spring me posting on this forum.....looks like you have got me in trouble now. Thanks a lot R :-)

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  • #3,216
  • Apr 18, 2018 8:21am Apr 18, 2018 8:21am
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  • #3,217
  • Apr 18, 2018 9:23am Apr 18, 2018 9:23am
Silver vs EUR:

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I am also in Silver vs USD...
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,218
  • Apr 18, 2018 9:59am Apr 18, 2018 9:59am
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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,219
  • Edited 9:32pm Apr 18, 2018 9:13pm | Edited 9:32pm
The power of coherent thinking. A Loop Quantum Gravitist's view of classical complexity. We do not need to step into multiverses or quantum theory to explain the current unexplainable. How about we first navigate our own back yard first and interrogate the complexity of this wonderful classical universe before we get to those exotic options? Freedom to choose from an ensemble of choices is embedded in our classical systems.

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Markets are classical and not quantum. Probability exists from lacking perfect information. We simply cannot predict with fidelity the behaviour of all participants hence we use statistical tools to describe average behaviour. In doing so we must accept that probability enters the equations because of the lack of complete information.

Simple as that. No need for woo science....indicators from the Large Hadron Collider.......planetary alignment and golden ratio's. Just a need for coherent thought and a bit of an understanding of complex systems and their nature.
  • #3,220
  • Apr 19, 2018 9:11am Apr 19, 2018 9:11am
Ha! Same market, 2 brokers, but different Donchian 2000 channels. One is breaking out and second not. UK100 index.

Anybody will guess where is the problem? I know the answer...

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