Diversified Trend Trading Approach

But what if the circuit is just the way of complexity?. We may be right all the time and still follow this path between spectral extremes? Does this universe do that as well? TS Elliott's thought bubble may just have been a deep awareness of how complex systems dynamically swing from order to disorder and then back again.

Maybe there is no solution in this circular journey and you just need to accept the 'now' as a beautiful moment....indeed every 'now' as there is no beginning or end.

Hello VEEFX, its great that you're handing out a few things for us to chew on. I just need you verify one thing for me.

Regardless the number of trades you have running and their time-frames, profit, drawdown, margin...etc, do you ALWAYS CLOSE ALL positions before the weekend (Saturday [00:00])?


Great Thread you've got going C.

Yep. I close out every position on a specific time after London Close on Thursday and one hour before NYSE (stock market) close on Friday. Depending on the week news on Wed/Thurs/Fri, I go into Engine Idling mode closing out my positions at breakeven + TradingCostMultiple as they move inch by inch in my direction.... reducing as much exposure as I can until I am forced to do a close all.... I will delete this post so please do not quote or copy.

Sorry C. I know I am driving you nuts. My apologies. MY long weekend is coming to a close so need to get as much out from my mind that I had plans to share.


For those who rely on charts for analysis, Chart Zooming capability has a tremendous affect on our focal interpretation. Zooming affects our understanding and folks don't even realize. Trust me on this. Optical Illusion is the biggest trickster. I had posted my performance chart a while ago.

China came online (thank you Jesus!) and now my equity look like this. Do you see the difference charting scaling and zooming can do to you to our eyes and what meaning our brain can interpret?

Edit: Screenshot deleted

Freakin' stop apologizing V. I want your stuff here :-) This thread is for all of us....but I just may dominate at time with my own noise. Provided this thread stays active it won't disappear into the void of FF yesterdays hero's if you know what I mean.

The only criteria you need to be here is goodwill and a curious and open tolerant mind....and on this thread you have it in spades mate. :-)

PS I want this thread of goodwill to infect all other threads like a virus.....where we are all civilized human beings working together as comrades in arms not competitors against the other slime mould of this market being the 'manipulators'.

Thanks. Dumb question (hey! I am part of Dumb Money too :-)...

This is about connectivity Risk, I know when FXCM was around, they had a phone number to call in case I needed assistance with my trades. I have used IBKR's helpdesk also many times. Thinking about my EA and having 50+ positions open, do retail brokers offer this type of service? I am sure many do but more importantly, Can they take commands like "Close all profitable trades or losing trades or close all etc etc) or do they require instructions on a ticket by ticket basis? My offshore scam broker does not offer which I found out just today :-(

Not sure mate....but it is a risk with your margin maxxed out technique that you need to resolve. Under EA full automation you can have global variables to close all....but you also always need a contingency plan for those extraordinary times when you are left stranded on the beach naked and disconnected from the server :-(

The principles of trading are in that whipsaw song.


It can be very expensive to try to convince the markets you are right. -Ed Seykota

Spot on RR. It is fed to the audience on a gold plated spoon with banjo...but what the F would he know.....*heheheheheh*. The cryptic riddles continue. The edge is in there for everyone....and then to become the best you just need a cold stone to sharpen it slightly......ever so slightly.

Divergent Strategy Design Considerations by Visual Examination

1. Step 1 - The raw baseline with only entry and exit condition on M5. This provides the characteristics of what the market delivers to a divergent strategy over the period on M5. Any difference to that signature is a result of system constraint as opposed to market condition.

Here is what the market delivers in terms of divergence. Sure it is a negative result....but that was the result of market conditions on M5 for that time? For that you need a benchmark and we use the professional diversified trend following CTA's to tell us that answer.



It was an honest result and this diversified strategy performance fell in line the FM trend following index...but we are not trying to impose our own pithy expectations on the market. We are just participants that take what the market delivers by price following as opposed to predicting.



2. Step 2 - The placement of a hard stop by the system and it's impact on the market condition.



It sux doesn't it. The beneficial times when the raw equity curve shines is diluted from how that constraint influences the raw market data.

3. Step 3 - The placement of extreme outlier stops of last resort

Wow....the best of all worlds. No negative influences on the raw market data....and an improved result using the same derivative signature. I wonder how this now compares with the CTA's? Remember you need some form of benchmark to do this exercise otherwise you are going to throw this strategy in the bin with your unrealistic expectations.



No optimisation.....just logic to ensure that the system captures the best of the market condition and doesn't try to make the market meet its own rules.

Now you just have to ask yourself the question how would this strategy perform over extended market conditions of negative convergent condition or noise.....and how would it perform over extended divergent market conditions of windfall? You see with a complex system with multiple variables you could never answer this question as you would need to know what were the results attributed to the system design versus what were the results attributed to the market condition. There lies the rub with curve fit solutions.

If you look at January 2017 for example, you can see the impact of positive beneficial divergent conditions and during the balance of the period, you can see the impact of convergent or noisy conditions.....OF THE MARKET ITSELF as the equity curve is a derivative of the market from your system.

Without any more tampering and using very simple solutions such as this....what would happen under more diversification? Can you see how that bias in divergence from cutting losses short and letting profits run makes this whipsaw song work?.....or are you too interested in shaping your own expectations on the market in your over-fit design and latest holy grail?

Cheers

C

Tip:
Lesson from parsimony. KISS. You system needs to be as simple as logic allows....but not too simple. How this is all managed is NOT AT THE SYSTEM LEVEL.....but at the PORTFOLIO LEVEL. Your system is simply the method to ensure the market condition is captured with fidelity and not what is imposed by the participant.

There are only two types of system which nearly all systems can be categorized into. Divergent systems or Convergent systems. You need to understand what these principles mean...and then you can design a billion different systems that all work in tandem at the portfolio level to get access to the secret sauce of the FREE LUNCH.

Next Tip:
There is market risk and there is system risk, Don't confuse the two. Market risk is inherent in the market itself and captured by the drawdown signature of an unconstrained system inside that market context. System risk and market risk depart from each other through adding system constraints whereby the risk signature of the market versus the risk signature of the system depart from each other. Very rarely is there a positive improvement to the raw market condition by the system itself....and it is almost always an inevitable fault of the system designer.....not the market. Test all your design assumptions against the market itself.

You throw a feather into a river and it marks out the risk signature of the river by your feather floating freely on it. You throw a heavy metal boat into the river and it marks out the risk signature of both the river and the design of the boat. The boat does not float on the river but forces it's bow through the water. There is additional risks and forces to consider about the boat that is doing this.

And the Next Tip:
If the sequence of return streams from the market display the orange volatile line in the curve below....and your system equity curve displays the linear line of ascending growth.....you are the patsy in the equation and you are being hoodwinked by your ego......furthermore you are sailing on the Titanic destined for that iceberg. It is the same trap we find in physics from those that think they have found perpetual motion machines.



However.....and here is the kicker....this linear line can be achieved BUT ONLY AT THE PORTFOLIO LEVEL. The FM's know it....but perhaps us retail traders don't know it quite yet.....given the number of linear equity curves I have perused on this forum from gurus offering single systems....aka the mythical holy grails. Heads up folks......YOU CANNOT PREDICT THE MARKET. The best you can do is mimic it like a shadow by following it.....and yes there will always be tracking error...but keep it small.

Such trades pay for all the losers and then some. In this case cause is political anti-EU situation in Italy. I don't have access to Italian bonds, but German is next best thing.

KABOOM. There you go again R.... *Copernicus sobs hysterically over his piss ant portfolio*

I read this ancient Chinese book and there is this quote:



https://thehedgefundjournal.com/tren...itigates-risk/

Sorry. Was that Chinese or Sanskrit? It just doesn't make sense......tic :-)

Also some kaboom over in Cotton:

Tell me, C, am I crazy enough in my uncorrelated diversification?

Not bad for a start. Looking forward to when you become diversified.

Actually we hit limit up on Cotton. First in my life limit up or down in futures:

Better than the pokies, I will add some effects and notify the FF community. Well done R

Does anyone know of a service or broker that connects MT4 via DMA to US stock market? (Not CFDs and not via US based brokers) I want to try my strategies without FIFO restriction but via centralized stock exchange (US or FTSE or any legit centralized exchanges). Even Demo is fine