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Diversified Trend Trading Approach

  • #3,321
  • Apr 29, 2018 4:02am Apr 29, 2018 4:02am
Quoting Ramadas
{image}
Heheheheheheheh :-)
  • #3,322
  • Apr 29, 2018 4:10am Apr 29, 2018 4:10am
Risk cannot be destroyed....only transformed :-)

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  • #3,323
  • Apr 29, 2018 5:35am Apr 29, 2018 5:35am
Quoting Copernicus
Visual Thought for the Day Why a Systematic Diversified Approach works in the divergent space....and why our human biases are not equipped to deal with it. Do you have what it takes to catch that fine line between alpha and beta? To achieve this {image} You have to endure this. {image} Think about it. Cheers C
covering losers n trading costs [spread+commission] takes d big portion of profit. when those covered rest is profit. there cutting losers n riding winners is essential for retail traders

for human its hard to manage bunch of losers while having/riding rare winners. d most hard part is where to exit in profit while u have no clue how far it can go or when to reverse n take stop loss. that needs trading data analyses to manage or bust imminent.

my2pips
WaBaS Where are Buyers and Sellers
  • #3,324
  • Apr 29, 2018 6:25am Apr 29, 2018 6:25am
Quoting mr.brown
{quote} covering losers n trading costs [spread+commission] takes d big portion of profit. when those covered rest is profit. there cutting losers n riding winners is essential for retail traders for human its hard to manage bunch of losers while having/riding rare winners. d most hard part is where to exit in profit while u have no clue how far it can go or when to reverse n take stop loss. that needs trading data analyses to manage or bust imminent. my2pips
Spot on Mr B :-)
  • #3,325
  • Apr 29, 2018 7:40am Apr 29, 2018 7:40am
Quoting Copernicus
{quote} Spot on Mr B :-)
assuming u r pro n have d resources, why using excel d most simple tool n why not using variety of other complicated tools?
WaBaS Where are Buyers and Sellers
  • #3,326
  • Apr 29, 2018 7:49am Apr 29, 2018 7:49am
Quoting mr.brown
{quote} assuming u r pro n have d resources, why using excel d most simple tool n why not using variety of other complicated tools?
I'm old school Mr B. In my opinion the best way to understand something is to work from ground up. The more modern analytical tools tend to come at a cost....and that usually is the inability to dig deep into the back-end to understand what really is going on. It meets my needs and until the day I find it doesn't then I will look for new tools. Excel and Access/SQL are pretty grunty when you know what you are doing.:-)
  • #3,327
  • Apr 29, 2018 7:54am Apr 29, 2018 7:54am
Quoting Copernicus
{quote} I'm old school Mr B. In my opinion the best way to understand something is to work from ground up. The more modern analytical tools tend to come at a cost....and that usually is the inability to dig deep into the back-end to understand what really is going on. It meets my needs and until the day I find it doesn't then I will look for new tools. Excel and Access/SQL are pretty grunty when you know what you are doing.:-)
thank u
WaBaS Where are Buyers and Sellers
  • #3,328
  • Apr 29, 2018 8:01am Apr 29, 2018 8:01am
Quoting Copernicus
{quote} I'm old school Mr B. In my opinion the best way to understand something is to work from ground up. The more modern analytical tools tend to come at a cost....and that usually is the inability to dig deep into the back-end to understand what really is going on. It meets my needs and until the day I find it doesn't then I will look for new tools. Excel and Access/SQL are pretty grunty when you know what you are doing.:-)
one last question. until d next one

u set channels manually n trading accordingly. how is it possible to back test d logic? not a tricky Q or jaundiced eye, just wondering?
WaBaS Where are Buyers and Sellers
  • #3,329
  • Apr 29, 2018 8:03am Apr 29, 2018 8:03am
Quoting Copernicus
Visual Thought for the Day Why a Systematic Diversified Approach works in the divergent space....and why our human biases are not equipped to deal with it. Do you have what it takes to catch that fine line between alpha and beta? To achieve this {image} You have to endure this. {image} Think about it. Cheers C
Some thoughts about this post.

When talking about an edge in efficient markets....it really is a very small sliver of total action. It works like compound interest over a time series giving the impression at the end of the day that it is much larger than it actually is in reality.

Given that the majority of your effort in tackling trends/momentum is to preserve you capital (say 90% of your effort).....then rather than thinking in terms of those profits....what are other ways to achieve your edge the easier way?.

What component of your trade between entry and exit is related to price movement that is beneficial to your strategy versus price movement that is effectively noise to your strategy? What is the most effective way given the frictional costs of trading to capitalise on the signal as opposed to the noise? How does that influence the 90% of your effort?

What do we mean by trade efficiency? Is it the entry, the exit or is it the entire trade management process between entry and exit?
  • #3,330
  • Edited 7:09pm Apr 29, 2018 8:10am | Edited 7:09pm
Quoting mr.brown
{quote} one last question. until d next one u set channels manually n trading accordingly. how is it possible to back test d logic? not a tricky Q or jaundiced eye, just wondering?
The channels utilise the regression line over the time series with standard deviation channels on either side. They are automatically defined by the data series. The discretion occurs in the decision regarding where the SDC channel starts. All other aspects are purely systematic...except for also the selection of the universe for the portfolio.

The discretion comes from eyeballing the chart to define logical swing highs and swing lows to commence the SDC from. It is a simple practice in visualisation but a hard nut to crack with an algo.

I am still working on fully automating a possible solution. Yes....it is possible given the gaps allowing for discretion to bluff the results....but I am working on totally eliminating any potential of that ........as I know what dastardly biases exist in all of us and our propensity to curve fit.

....and yes...a dynamic portfolio would also solve the potential to curve fit results from asset selection.....which is another project in train.

But in the event that it can't be automated.....then there are literally thousands of other divergent strategies that can be deployed which can be fully automated...provided that you treat diversification seriously. So despite the efficiency of this technique it is not a one trick pony :-)
  • #3,331
  • Apr 29, 2018 10:09am Apr 29, 2018 10:09am
Quoting Ramadas
{image}
That actually describes me as i am holding a big position expecting a gap down. Lol i haven't been able to stop checking after hour prices.
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  • #3,332
  • Apr 29, 2018 1:01pm Apr 29, 2018 1:01pm
Quoting Copernicus
{quote} The channels utilise the regression line over the time series with standard deviation channels on either side. They are automatically defined by the data series. The discretion occurs in the decision regarding where the SDC channel starts. All other aspects are purely systematic...except for also the selection of the universe for the portfolio. I am still working on fully automating a possible solution. Yes....it is possible given the gaps allowing for discretion to bluff the results....but I am working on totally eliminating any potential...
I found this

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WaBaS Where are Buyers and Sellers
  • #3,333
  • Edited 7:00pm Apr 29, 2018 5:34pm | Edited 7:00pm
Quoting mr.brown
{quote} I found this https://youtu.be/Y8EZJeXtqik
You are a legend and a scholar Mr B. I watched it through to the end. It took off when the instrument started to trend. Very interesting approach.

Thanks very much for the lead. I have tracked it through to a Mr Steve Walker on twitter, Linked In and a blog. I can't seem to find an article on his approach yet but have lots of examples to interrogate......but it seems right down my alley. I will investigate further. :-) Cheers C

EDIT: I have been able to get a bit more info from his approach and it is very interesting with lots of good ideas that I am keen to test. His process involves the definition of multiple SDC draws on the same chart using different timeframes to determine non-stationary support and resistance in accordance with his interpretation of 'trend'. He then trades according to the anticipated move in relation to these trendlines in terms of a breakout or breakdown.

In looking at this it has given me a great idea in relation to defining divergent and convergent zones which could be fully automated in an 'all-in-one' solution that spans the timeframes. A possible ideal solution under diversification to provide system diversification and timeframe diversification on the same instrument. I am going to get my teeth stuck into this. It also solves the problem under automation of how to define the swing highs and swing lows to commence the SDC from as the multi-timeframe approach solves this dilemma. Cheers Mr B
  • #3,334
  • Apr 29, 2018 7:18pm Apr 29, 2018 7:18pm
LOL :-)


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  • #3,335
  • Edited 9:34am Apr 30, 2018 9:16am | Edited 9:34am
Hello new high on USD SEK:

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hello new low on NZD CAD:

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hello new high on USD CHF:

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CAD CHF or EUR CAD are possible.

USD JPY short SDC was shot for 1% profit and second still in the wild.

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Hello new low on NZD USD, short SDC murdered for 0.4%.

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Look how many pips I have on EUR SEK! Just teasing people calculating in pips as if it is some universal unit for every market .

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Cocoa just refuses to die:

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,336
  • May 1, 2018 1:39am May 1, 2018 1:39am
Quoting Ramadas
Hello new high on USD SEK: {image} hello new low on NZD CAD: {image} hello new high on USD CHF: {image} CAD CHF or EUR CAD are possible. USD JPY short SDC was shot for 1% profit and second still in the wild. {image} Hello new low on NZD USD, short SDC murdered for 0.4%. {image} Look how many pips I have on EUR SEK! Just teasing people calculating in pips as if it is some universal unit for every market . {image} Cocoa just refuses to die: {image}
Today is the same story with new highs and lows and no need to post same charts....
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,337
  • May 1, 2018 1:45am May 1, 2018 1:45am
Quoting Ramadas
{quote} Today is the same story with new highs and lows and no need to post same charts....
Yep. We are experiencing some good moves at the moment. Blessed be the volatility :-)
  • #3,338
  • May 1, 2018 4:50am May 1, 2018 4:50am
Two Centuries of Momentum

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  • #3,339
  • Edited 4:09pm May 1, 2018 6:51am | Edited 4:09pm
Trying building some towers not pyramids. It should not be big complication if there is only 2 same parts. This case is USD NOK....

Using distance between first and second entry of 0.5 daily ATR.

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Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,340
  • May 1, 2018 3:57pm May 1, 2018 3:57pm
Jerry Parker quoted:

"Additional assets and a more diversified risk budget consistently generate higher risk-adjusted returns. Diversification, in all its forms, allows trend following CTAs to harvest returns with reduced exposure to idiosyncratic asset shocks."

from

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File Type: pdf Diversifying Managed Futures_GSAM.pdf   296 KB | 403 downloads
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
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