Diversified Trend Trading Approach | Page 190 | Forex Factory

Options

Go to
Permalinks
Print Thread

Similar Threads

Is Grid Trading (combined trend following and counter trend) Profitable? 3 replies

Making a good diversified portfolio 10 replies

Diversified EA Money Management Code 10 replies

HAMA PAD - A Simple Trading Approach 7 replies

Trading a (semi) automatic approach...but want more 11 replies

Attachments: Diversified Trend Trading Approach
Exit Attachments

Diversified Trend Trading Approach

  • #3,781
  • May 27, 2018 3:18am May 27, 2018 3:18am
"We shall not cease from exploration...
And the end of all our exploring
will be to arrive, where we began.
And to know the place, for the very first time."
~T.S. Elliot

Attached Image (click to enlarge)
Click to Enlarge Name: journey.jpg Size: 360 KB


"The day you finalized the fruition of a titanium solid trading system,
is the day you have gained enough wisdom, to know, not to automate it."
~CrucialPoint
  • #3,782
  • May 27, 2018 3:29am May 27, 2018 3:29am
This is how much diversified systematic divergent trading pays:

Attached Image (click to enlarge)
Click to Enlarge Name: 9HMwx38.png Size: 909 KB


https://www.standard.co.uk/business/...-a3848516.html
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
  • #3,783
  • May 27, 2018 3:37am May 27, 2018 3:37am
Quoting CrucialPoint
"We shall not cease from exploration... And the end of all our exploring will be to arrive, where we began. And to know the place, for the very first time." ~T.S. Elliot {image} "The day you finalized the fruition of a titanium solid trading system, is the day you have gained enough wisdom, to know, not to automate it." ~CrucialPoint

Welcome back CP. You and I both have the same problem. We just cannot get rid of FF from our lives LOL

BTW: I have no idea what your post means or whether it was directed towards me :-

EDIT: to know, not to automate it.".... I understand what you mean now. Sorry, it's 1:40am here. Mine is not fully automated. My EA (by design) will blow the account if left untouched over the weekend. And, by design, it has no input parameters. I manually edit them and compile several times every day (and/or remotely manage) the hard-coded settings. Steal-proof baby!
Staying in my lane...
  • #3,784
  • Edited 5:51am May 27, 2018 4:31am | Edited 5:51am
Quoting CrucialPoint
"We shall not cease from exploration... And the end of all our exploring will be to arrive, where we began. And to know the place, for the very first time." ~T.S. Elliot {image} "The day you finalized the fruition of a titanium solid trading system, is the day you have gained enough wisdom, to know, not to automate it." ~CrucialPoint
Nice TS Elliot quote CP. If I don't plough on with my journey into full automation....and possibly back again to discretionary as may be the case....I wouldn't get the significance of the TS Elliot post. Well pointed out.

Good to have you in here It is so far a pleasant thread to chew the fat and hope to have more great contributions from you in here to keep me honest :-)
  • #3,785
  • May 27, 2018 4:32am May 27, 2018 4:32am
Quoting Ramadas
This is how much diversified systematic divergent trading pays: {image} https://www.standard.co.uk/business/...-a3848516.html
Hear hear Mr Speaker. Winton is a flagship of the CTA empire. :-)
  • #3,786
  • May 27, 2018 4:33am May 27, 2018 4:33am
Quoting VEEFX
{quote} Welcome back CP. You and I both have the same problem. We just cannot get rid of FF from our lives LOL BTW: I have no idea what your post means or whether it was directed towards me :- EDIT: to know, not to automate it.".... I understand what you mean now. Sorry, it's 1:40am here. Mine is not fully automated. My EA (by design) will blow the account if left untouched over the weekend. And, by design, it has no input parameters. I manually edit them and compile several times every day (and/or remotely manage) the hard-coded settings. Steal-proof...
Hehehehehe, Now even more reasons to stay V. We own you buddy......and don't you forget it. Prepare to be assimilated :-)
  • #3,787
  • May 27, 2018 4:41am May 27, 2018 4:41am
Quoting VEEFX
FYI I know you would disagree C but I also had to detox some of the trading stat analysis-paralysis behavior from my habit routine. It is just another type of "performance bias" that should not have any effect on future actions.
All good mate. Individual data stats don't mean much to me. I am a much more visual person who get's so much more from data sets themselves such as the behaviour of equity curves.....so really no need to the distracting paralysis of other analysis for me.
  • #3,788
  • May 27, 2018 5:54am May 27, 2018 5:54am
Quoting VEEFX
{quote} Welcome back CP. You and I both have the same problem. We just cannot get rid of FF from our lives LOL BTW: I have no idea what your post means or whether it was directed towards me :- EDIT: to know, not to automate it.".... I understand what you mean now. Sorry, it's 1:40am here. Mine is not fully automated. My EA (by design) will blow the account if left untouched over the weekend. And, by design, it has no input parameters. I manually edit them and compile several times every day (and/or remotely manage) the hard-coded settings. Steal-proof...
"My EA (by design) will blow the account if left untouched over the weekend. And, by design, it has no input parameters. I manually edit them and compile several times every day (and/or remotely manage) the hard-coded settings. Steal-proof baby!"

How do these counter measures work?

The 1st one is a booby trap? The 2nd one-I mean they can still look under the hood? How does the 2nd designed to work?

Sorry VEE, don't know much about the coding aspect, apologize for any dumbo questions.

Thanks
  • #3,789
  • May 27, 2018 5:57am May 27, 2018 5:57am
Quoting CrucialPoint
"We shall not cease from exploration... And the end of all our exploring will be to arrive, where we began. And to know the place, for the very first time." ~T.S. Elliot {image} "The day you finalized the fruition of a titanium solid trading system, is the day you have gained enough wisdom, to know, not to automate it." ~CrucialPoint

Crucial Point,

"The day you finalized the fruition of a titanium solid trading system,
is the day you have gained enough wisdom, to know, not to automate it."

Could you please state the reasoning as to, why one should not automate the system?


Thanks
  • #3,790
  • May 27, 2018 8:37am May 27, 2018 8:37am
Quoting CrucialPoint
"The day you finalized the fruition of a titanium solid trading system, is the day you have gained enough wisdom, to know, not to automate it." ~CrucialPoint
Will it be ok just to sell it?
  • #3,791
  • May 27, 2018 11:10am May 27, 2018 11:10am
The Case for KAMA Steroids on M5

Thanks to Pip we have recently turned our attention to watch for autocorrelated return streams in our testing. In some strategies it is noticeably absent....but in others it is noticeably present.

Here is a ghastly return stream of a divergent system where it is present.

Attached Image (click to enlarge)
Click to Enlarge Name: Capture.JPG Size: 54 KB


When you get such a ghastly return distribution....sometimes you might be lucky and the autocorrelation sequences within it can turn a nightmare into a bonanza.

Here is how we turn such a nightmare into a return stream that comprises divergent and convergent autocorrelated signals.

Attached Image (click to enlarge)
Click to Enlarge Name: Capture2.JPG Size: 64 KB


But it gets even better than that with a bit of extreme outlier risk management.

Attached Image (click to enlarge)
Click to Enlarge Name: Capture3.JPG Size: 73 KB


Now we have a pretty robust performer that is fully automated and has a nice sample size of 5,092 trades under the belt and is both convergent and divergent in nature with powerful positive skew,

Houston...we might just have a robust performer for the portfolio blend that produces excellent risk weighted returns and fantastic correlation benefits to EDTT.

Who says you need to be discretionary?

Cheers

C

PS.....Now we need to hit this solution with as much market data as we can to see how it stacks up.
  • #3,792
  • May 27, 2018 11:23am May 27, 2018 11:23am
Update on 6000 trades across 24 instruments - The same Fixed Portfolio as EDTT

Date range: 1 August 2017 to 30 April 2018

Attached Image (click to enlarge)
Click to Enlarge Name: Capture4.JPG Size: 68 KB
  • #3,793
  • May 27, 2018 11:27am May 27, 2018 11:27am
Quoting Copernicus
{quote} Nice TS Elliot quote CP. If I don't plough on with my journey into full automation....and possibly back again to discretionary as may be the case....I wouldn't get the significance of the TS Elliot post. Well pointed out. Good to have you in here It is so far a pleasant thread to chew the fat and hope to have more great contributions from you in here to keep me honest :-)
Frankly I did not get the Elliot quote at all :-(

I am scratching my head here wondering if detoxification is making me go dumb lol
Staying in my lane...
  • #3,794
  • May 27, 2018 11:32am May 27, 2018 11:32am
Quoting VEEFX
{quote} Frankly I did not get the Elliot quote at all :-( I am scratching my head here wondering if detoxification is making me go dumb lol
He came to the thread from the astral plane and was doing that Zen stuff again. I think I nutted it out....as my gut was telling me it was a stab in the eye to systematic trading.

Your detox is a great idea mate. I need to do the same thing. Health farm it is for me.../tic :-)
  • #3,795
  • May 27, 2018 11:32am May 27, 2018 11:32am
Quoting Copernicus
The Case for KAMA Steroids on M5 Thanks to Pip we have recently turned our attention to watch for autocorrelated return streams in our testing. In some strategies it is noticeably absent....but in others it is noticeably present. Here is a ghastly return stream of a divergent system where it is present. {image} When you get such a ghastly return distribution....sometimes you might be lucky and the autocorrelation sequences within it can turn a nightmare into a bonanza. Here is how we turn such a nightmare into a return stream that comprises divergent...
Could you please highlight the difference between strategy/parameter optimization versus equity curve optimization or equity curve fitting ? Isn't what you are doing same or similar to "trading the equity curve" in a conventional sense if you know what I mean?
Staying in my lane...
  • #3,796
  • Edited 11:52am May 27, 2018 11:40am | Edited 11:52am
Quoting VEEFX
{quote} Could you please highlight the difference between strategy/parameter optimization versus equity curve optimization or equity curve fitting ? Isn't what you are doing same or similar to "trading the equity curve" in a conventional sense if you know what I mean?
The baseline strategy is built from logic alone. No optimisation and applied universally to every instrument. The baseline strategy is searching for a feature of the markets being 'autocorrelated signals' from your return streams produced by the strategy that stand out from what is interpreted as noise that nails both the divergent or convergent trader.....so the strategy design is free of constraining variables such as stops or other variables that we might use to manage risk or return....as these tend to get us into knots in curve fitting.

If it detects auto-correlation it looks at its most recent trade history and flips it's sign if that recent history is a net loss...or alternatively stays the same as the baseline strategy if recent history is profitable. It is therefore relying on the principle of strings of wins or strings of losses to dictate it's directional sign.

You can only apply this principal however if you are diversified as the solution is looking for those rare events and is located well away from the normal day to day churn. As a single system single instrument trader...you cannot achieve this. You then try to overcompensate by leverage or some other drastic measure to get the returns that satisfy you....but at a cost of risk and possibly account blowup.

Given this particular strategy's universal *agnostic* application and design to capture both autocorrelated divergent and convergent market behaviour we can confidently assume it is not a curve fit solution for the date range tested....but I need to really put it through the clappers over as many different market conditions as possible before we can assume within tight confidence intervals that this actually might be the the case. Just to note that this strategy is 'turned on' all the time and does not attempt to predict market conditions by an on/off switch. It is just monitoring the trade history sequence to either flip or not.

What will defeat it is uncorrelated results attributed to 'noise'...so we design it to attempt to overcome this obstacle for this strategy.
  • #3,797
  • May 27, 2018 11:50am May 27, 2018 11:50am
Quoting Copernicus
{quote} He came to the thread from the astral plane and was doing that Zen stuff again. I think I nutted it out....as my gut was telling me it was a stab in the eye to systematic trading. Your detox is a great idea mate. I need to do the same thing. Health farm it is for me.../tic :-)
Okay..so this is for you and CP.. I did not want to get too personal in my long post so here it is...I will delete this one.

As you may know by now, my background is in computer science engineering. I have a post graduate from one of the topmost universities (I won't mention which country). So I don't have a keen and deep desire to rip things apart and put things back in place (but not in a physical manner... I suck at being a handyman but I have worked for days and weeks working with my mentor and professor assembling mainframes and supoercomputers apart and putting things back together. If I don't understand, I either ignore or do a deep dive to the extent that I cannot pull myself back up from. Forex has done the same to me in my life. After repeat failures for the first five years of my journey which simply began as a hobby, a casual endeavor to see if this could be a side income at a time of my life when I really just did not need it and I still don't need FX nor will I ever need to depend on FX) I make tremendously amount of income from my primary job and what I have invested thus far since 2006 is a tiny miniscule amiunt...Less that 0.05% of my combined income from 2006. So I am not a loser by any means but I am a big fat loser for losing so much time and energy and hence this is my last attempt to not give enough effort for years and decades to come...hence the automation. But there is another huge motivation behind building a tangible work product that I can pass on as inheritance to my wife and kids or to have a safety net as a approach retirement age (still got 20 yrs so retirement is far but quiting the workplace and travel the world is very near). Automation is mainly my means to allow me to not do what I do for work...to free myself from the chair and desk . I have spend less than 10 hours this month on trading and I have met my objectvie. Sorry I will be hiring my very old friend who is facing some hard times to monitor my trading connectivity remotely which having access to my terminal. My automation will do l dead if it does not meet over 100+ creteria that only I know and soon my son and daughter would know too. It is all part of grand design.

Back to my background, I do not believe in agorithmic trading or quant even after having developed large and complex mission critical systems for large multinational corporations. If not did, I would have gone into algorithmic trading in the 90s and not wait for over two decades of screen time. Experience is no replacement in this field but I will say, human eye and screen time is not an avenue to complete understand the inner workings of market behavior.
Staying in my lane...
  • #3,798
  • May 27, 2018 11:55am May 27, 2018 11:55am
Quoting VEEFX
{quote} Okay..so this is for you and CP.. But there is another huge motivation behind building a tangible work product that I can pass on as inheritance to my wife and kids or to have a safety net as a approach retirement age (still got 20 yrs so retirement is far but quiting the workplace and travel the world is very near). Automation is mainly my means to allow me to not do what I do for work...to free myself from the chair and desk . I have spend less than 10 hours this month on trading and I have met my objectvie. Sorry I will be hiring my very...
I am with you on this mate. I suck as a discretionary trader and cannot trust my innate biases....but where I disagree is that I believe in quant....at least for the future when they start modelling better systems with less dodgy assumptions about 'efficient' market behaviour. If there was no useful information in that data my game would be up....and it is now getting a bit beyond a lucky random sequence of events :-)
  • #3,799
  • May 27, 2018 12:06pm May 27, 2018 12:06pm
Quoting Copernicus
{quote} The baseline strategy is built from logic alone. No optimisation and applied universally to every instrument. The baseline strategy is searching for a feature of the markets being 'autocorrelated signals' from your return streams produced by the strategy that stand out from what is interpreted as noise that nails both the divergent or convergent trader.....so the strategy design is free of constraining variables such as stops or other variables that we might use to manage risk or return....as these tend to get us into knots in curve fitting....
I understand now but are you (or have you) tried "If it detects auto-correlation it looks at its most recent trade history and flips" in realtime environment in a living and breathing market or do you do this on weekends or in backtests/modelling only? I could be wrong or please correct me... I think you are trying disprove my Newton's law of Every Action has a every and opposite binary reaction. No matter how you flip it, it will have some other un-intended or undesirable consequence elsewhere in the portfolio. Trying to trade all market conditions across a set of independently running strategies is a quick-sand approach to watch and protect from ..... just from what I have experienced.
Staying in my lane...
  • #3,800
  • Edited 12:25pm May 27, 2018 12:14pm | Edited 12:25pm
Quoting VEEFX
{quote} I understand now but are you (or have you) tried "If it detects auto-correlation it looks at its most recent trade history and flips" in realtime environment in a living and breathing market or do you do this on weekends or in backtests/modelling only? I could be wrong or please correct me... I think you are trying disprove my Newton's law of Every Action has a every and opposite binary reaction. No matter how you flip it, it will have some other un-intended or undesirable consequence elsewhere in the portfolio. Trying to trade all market...
This autocorrelation system is just a new kid on the block on trainer wheels mate. It hasn't been put through the riguour to get into the portfolio yet. After a lifetime of unsuccessful soul searching....I have cheated ........and have simply jumped on the back of those FM's that have an audited track record of 20 - 40 years. This has meant that I have let my ego behind and have simply learnt how to invest via a portfolio solution....not trade per se. This isn't a cashflow game as you know....it is a wealth creation game.

The game changer for me was the recognition that the variables are the things that get you in the end of any strat....so they need to be as variable free as possible to mimic the market as opposed to force a solution to the market. This suddenly makes the simplest systems accessible to the portfolio that simply couldn't be considered without diversification.....that was my Kaboom 'lightbulb' moment. It is simply ups and downs mate...but we make it so complicated through our different life objectives.

It comes back to the physics thing. There are a few different interpretations to this market that all work (different approaches)..but only through diversification..as some interpretations fare better than others at different times..however most traders fail to see this principle. I personally have never heard of or seen a successful single system or single instrument trader who has traded over the years successfully. I have heard about them on this forum for example...being 'hearsay' but have never actually come across these pink unicorns. I have however heard of and have demonstrated proof of a myriad of successful longstanding FM's who dabble across asset classes including FX and have brought extreme wealth to their investors. I make the game easier for myself by following their lead.

Cheers V....my bedtime :-)
1 trader viewing now