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Diversified Trend Trading Approach

  • #3,901
  • May 30, 2018 5:20pm May 30, 2018 5:20pm
Quoting VEEFX
{quote} I can write a 10-page article (from a quantitative analysis POV) that what I have underlined in your post is 100% inaccurate. VeeFX: Market condition on both Entry and Exit will NEVER EVER be exactly the same. There is ZERO edge in entries based on "market conditions" resulting from price alone or time alone or price and time
V,

all I can say is that if you want to be successful in trading; you have to accept the adage "you don't know what you don't know".

if you are saying what you are saying based on your own research; then I suggest you do your research again

A well known example; of an edge that works from market conditions only; is tringular arbitrage. (PS: don't get me started on transaction cost. You can find market conditions edges that covers the transaction cost).
  • #3,902
  • May 30, 2018 5:35pm May 30, 2018 5:35pm
Quoting alphadude
{quote} V, all I can say is that if you want to be successful in trading; you have to accept the adage "you don't know what you don't know". if you are saying what you are saying based on your own research; then I suggest you do your research again A well known example; of an edge that works from market conditions only; is tringular arbitrage. (PS: don't get me started on transaction cost. You can find market conditions edges that covers the transaction cost).
There we go head-butting again. Forget the transaction costs....try exploiting arb opportunities in retail SPOT FX and see if your broker will honor your withdrawal request. Everything I say about my research is related ONLY to Retail Spot FX Trading and primarily within the scope of 28 currency pairs and crosses. across USD, JPY, EUR, GBP, AUD, NZD, CHF and CAD and outside of tick charts. I have done zero research on tick price movements.

Common/logical/sensible reasoning dictates... if anyone is successful with any such "well know example", they will be RICH beyond anyone's wildest imaginations in a 5 Trillion/day currency exchange market.
Staying in my lane...
  • #3,903
  • Edited May 31, 2018 1:56am May 30, 2018 5:38pm | Edited May 31, 2018 1:56am
Great stuff Guys

I will add a Crucial Point *like* mind teasing image here..... (I always need to remember to remind folks there is only one original Crucial Point). All others including me are charlatans and should be flogged to death.

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This is the sort of debate we need.

We have got a central problem here. Do you need to be precise with your entries and exits or do you need to be precise about the market condition?

The debate is whether the market is right or whether your system is right. The latter falls into curve fitting and a misnomer....the former falls into 'the market decides what it gives you'.

Can your system make money when no market opportunity exists? The answer is no if you don't believe in perpetual motion machines or if you trade divergence.

So let's back it back. Do we all agree that the market is a complex system?

If we do...then perhaps we could rephrase the question.....when is the best point to jump into and out of the rain? The argument then becomes non-sensical about the preciseness. The answer is that we could jump in and out of the rain only when it is raining as it is nonsensical to jumping in and out of the rain when it is not raining. With a forward looking divergent statement we can never hope to keep dry in anticipating a rain event but we simply take note when we are wet. With a backwards looking convergent statement we trick ourselves into staying completely dry by timing the entries and exits with precision.

So when you are on the right hand side of the chart and we cannot predict the future it is the market condition that defines when we jump in or out....not a precise here and now statement for a complex system.

To benefit from the market condition, you are not after precise entries or exits....you just need to know the market condition. There are only two types....divergent and convergent so rather than pin pointing with preciseness with our system the rule of when to jump in and out...our system simply is used to detect when the condition is present and ride that condition. This therefore takes us away from the correct timeframes to trade to a question of the condition itself that will be represented across all timeframes while the condition exists.

If your system rides the market and you trade divergence....then the entry condition and exit condition should be the same as you are not dictating terms to the market....but vice versa. It needs to be symmetrical to ride the market condition otherwise it is imposing some of it's will on the market. In doing so...your risk builds to be both market and system risk....whereas you want to keep it clean and just deal with market risk. Ensure that the system designer does not add unnecessary added risk into the equation.

QED
  • #3,904
  • Edited May 31, 2018 2:53am May 30, 2018 5:50pm | Edited May 31, 2018 2:53am
Quoting Copernicus
Great stuff Guys I will add a Crucial point mind teasing image here..... {image} This is the sort of debate we need. We have got a central problem here. Do you need to be precise with you entries and exits or do you need to be precise about the market condition? The argument is whether the market is right or whether your system is right. The latter falls into curve fitting and a misnomer....the former falls into 'the market decides what it gives you'. Can your system make money when no market opportunity exists? The answer is no if you don't believe...
I am amazed at your level of tolerance to let me participate here LOL
Staying in my lane...
  • #3,905
  • Edited 11:44pm May 30, 2018 5:57pm | Edited 11:44pm
Quoting VEEFX
{quote} I am amazed at your level of tolerance to let me participate here LOL This is what I am saying. Any entry that is DEPENDENT on a specifc market condition (primary trending or ranging) is a failed entry based on the FACT that you can only determine market condition during or AFTER the fact but never at the start or end of change in market condition. Market conditions are determined based on Price and Time (i.e. on a chart). My entries does not depend on what Price did, what price is doing or what price will do. There is no curve fitting involved...
Mate.....isn't that exactly what Alphadude is saying? Maybe I am the thick one here...reading all this. We need to be preemptive with our system to let it ride the market condition. The decision to jump on board will always be lagging by it's nature and we will be wet with the rain before we know it is raining....however if our system is configured for divergence with the same entry and exit....we will ride the divergent condition....but if our system is configured for convergence then we need to be precise about the beginning and end of the rain event. :-)
  • #3,906
  • May 30, 2018 6:00pm May 30, 2018 6:00pm
Quoting Copernicus
{quote} Mate.....isn't that exactly what Alphadude is saying? Maybe I am the thick one here...reading all this :-)
That's okay. I am like this in the early mornings too :-)
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Staying in my lane...
  • #3,907
  • May 30, 2018 6:05pm May 30, 2018 6:05pm
I give up....I'm going back to bed....you baaaaaastards *sniggers* :-)

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  • #3,908
  • Edited May 31, 2018 2:54am May 30, 2018 6:09pm | Edited May 31, 2018 2:54am
Deleted because of too much personal information....my apologies
Staying in my lane...
  • #3,909
  • May 30, 2018 6:13pm May 30, 2018 6:13pm
Quoting VEEFX
My live account which I funded yesterday just before London open. We had a discussion on frequent profit taking versus frequent loss-taking I don't believe in applying filters in account history (as i annoys me when anyone does that) I have 34 open running in loss and waiting for tokyo to arrive on the scene. Balance curve depicts my drawdown manager getting triggered. EDIT: Sorry/ the drop in balance curve was from the deposit I did in 2016... which is the only amount I have blown as part of testing my automation for the very first time. I was...
Awesome mate. Just watching it from here. Heheheheheh

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  • #3,910
  • May 30, 2018 7:09pm May 30, 2018 7:09pm
Quoting Copernicus
{quote} Mate.....isn't that exactly what Alphadude is saying? Maybe I am the thick one here...reading all this. We need to be preemptive with our system to let it ride the market condition. Which condition you are rising will always be lagging by it's nature and we will be wet with the rain before we know it is raining....however if our system is configured for divergence with the same entry and exit....we will ride the divergent condition....but if our system is configured for convergence then we need to be precise about the beginning and end of...
And although implied in my messaging.... I am also saying this with specificity:

Any entry setup that does not work during Red News (or tries to avoid fundamental news) is also a failed approach. Why? Because we live in a fake news and twitter era. Someone farts and market can move 100s of pips. How can one trade such a dynamic environment just by reading price or analyzing "Market Conditions" ? Look at what is going on with Italy. There is no way for us to trade a globally inter-connected foreign-enchange market when shit can go wrong at minute of any day. You HAVE to factor volatility in your equation. Avoiding it will simply not work in the long run. This is what happens if you let one research aspect lead you to the next step in your journey :-)
Staying in my lane...
  • #3,911
  • Edited 11:09pm May 30, 2018 7:28pm | Edited 11:09pm
Quoting VEEFX
{quote} And although implied in my messaging.... I am also saying this with specificity: Any entry setup that does not work during Red News (or tries to avoid fundamental news) is also a failed approach. Why? Because we live in a fake news and twitter era. Someone farts and market can move 100s of pips. How can one trade such a dynamic environment just by reading price or analyzing "Market Conditions" ? Look at what is going on with Italy. There is no way for us to trade a globally inter-connected foreign-enchange market when shit can go wrong at...
Exactly V ..........and why your robust systems need to be turned "on" all the time. Filters are a fools errand or a type of filter where you try to predict when to turn your system on or off........as are broad brush stop statements...... These all are forms of you attempting to dictate terms to the market.

But mate....that fake news fart is a market condition. You need to handle it and the way you do this is trade all the news farts including the real news. Understanding the market condition is not about analysis mate. It is simply about designing a system to be divergent to capture any favorable divergent condition....without having to know the cause of it.

So the question then turns to if your system is turned 'on' all the time then how do you float to catch the divergence? A Donchian or these types of indicators is a form of filter but a different type of filter to others. It is a filter that evaluates when a market is divergent in character or not....and includes news farts. It is not to be confused with a prescriptive filter about price itself which our minds may fall into the trap of thinking.

If your system is turned on all the time then it simply needs to register when the market condition is favorable and then you simply let your system ride the price volatility with as little constraints applied as possible. You do this again and again whenever those conditions are present. Many will be fleeting moments of divergence and in those you take the small hit....but some of them will be enduring moments....where you take the bonanza.

If it is brown and smells a convergent trader will avoid it as they have already decided it is a dog turd. A divergent trader will embrace it even if it is a dog turd...but it may also be a truffle. A divergent trader smells a bit but is wiser for it :-)

Those who follow the philosophy of divergence (follow the trend) are robust m********* who have gone through the school of hard knocks and embrace volatility in our return distributions. We are not prissies who try and avoid the puddles at all costs....cause we know we can get that beautiful equity curve at the portfolio level. Look at every beautiful straight feature in nature....then drill down to the detail where chaos reigns. We are no different.....but our clever egos think we are.

Man can construct straight lines but nature or any complex system can't but it can fool you into thinking it can...but when you bury down into the details...you soon realise who has been fooled. Complex systems grow from emergence over time....man designs systems that are constructed from putting straight lines and defined shapes together. Nature or complex systems do not work that way. Humans grow from an embryo...they are not constructed from putting together parts in an assembly line. We are designers but not necessarily clever designers.

Complex systems have no access to rulers...in complex systems everything is relative and scale doesn't matter...the best nature or any complex system can do into the future is grow by serial repetition the most economical shape available to it again and again.....namely the energy efficient fractal which is an efficient resonant *vibrational* pattern of divergence and convergence (of ups and downs but more descriptively away from and back towards)....and these as a composite can in the big picture look like they are straight and fool us all. The scale of things within the system is determined by what the system can deliver...not what we decide it should be. It ultimately boils down to information...but let us stop at energy for the moment to understand it. In a riverine ecology, the scale of things is defined by resource availability. Limited resources of energy means small things....large amount of resources mean you can have large things.....everything is relative and the system (riverine ecology) defines that relationship.

Moral of the story: Don't F.... with the system and think you are cleverer than it with your contrivances as being part of a system yourself as a participant in it ....you will be F'd over..... in the long run. It is just a matter of timing of the "when" :-)
  • #3,912
  • May 30, 2018 8:13pm May 30, 2018 8:13pm
Quoting Copernicus
Great stuff Guys I will add a Crucial point mind teasing image here.....
Good pointers but seriously most stuff here are way above my head.
Hence, I just try to use the simple things I found here. Just 1 pair, can't afford to diversified, and obviously not 400:1.

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  • #3,913
  • May 30, 2018 8:30pm May 30, 2018 8:30pm
Quoting VEEFX
{quote} ... Any entry setup that does not work during Red News (or tries to avoid fundamental news) is also a failed approach. Why? ...
I beg to differ;

Market conditions can be divided onto regimes (of our choice); i.e. ranging vs trending, volatile vs calm, etc.

Most of regime changes occur during economic events, or catastrophic events (war, tsuname, Trump tweets, etc).

From a risk management perspective, it is better to avoid major economic events.
  • #3,914
  • Edited May 31, 2018 6:01am May 30, 2018 8:44pm | Edited May 31, 2018 6:01am
Question

The chart below provides one possible solution to an infinite range of solutions of a future and the channels are divergent plots (of future means or equilbria) with the moves within the channels being convergent activity back to a past mean (equilibria)

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If we are on the left hand side of the chart at a 'now moment' defined by the 'we are here statement'......what is the most efficient philosophy to take to get the most alpha meat out of an unpredictable future?

Do we trade countertrend or mean revert based on a past state of market condition with preciseness....or do we follow the trend and catch most of the meat of the future state but just not all of it?

If we trade divergent styles of 'floating' do we survive and for how long?

If we trade convergent styles of 'controlling'...do we survive and for how long?

As a divergent trader should we be long, short or both long and short?

How much alpha does the market make available on MN....and can we make more through leverage and trickery or are we fools to think so?

Do we worry about news events or do we just trade it all (as that future trajectory on MN includes those news events)?

What is the simplest most economical trading philosophy to adopt to catch the alpha on MN of the ups and downs of uncertainty?.....For example.....is it cut your losses short and let your profits run?

In this case the market shows flat 0 beta but there is more than enough alpha to go around. Do we need to be rocket scientists to understand where the opportunity lies?
  • #3,915
  • May 30, 2018 9:56pm May 30, 2018 9:56pm
The good thing with this thread as despite the batterings along the way of discourse...we are all slowly getting to sing the same tune and I think it is making us all better traders.

Thanks guys for the conversations :-)

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  • #3,916
  • Edited 11:15pm May 30, 2018 10:07pm | Edited 11:15pm
Quoting VEEFX
{quote} ( I will have to delete this post as it ties everything I have shared in bits and pieces here, there and everywhere till date)
But then there will be that great helpful guy on this forum....that never was. I do wish you would reconsider.

V....if there is one true certainty in life it is that this shit can't be replicated. It must oooze from the self. Do you really think they will steal your edge? Methinks you crazy mate. That edge is your mind. :-)

There will always be mimics....but they will be stuck in a rut of mimicry. The challenge faced by the participant in dynamic complex markets is adaptability that comes from the creative mindset. AI has got such a long way to go to defeat the mind. We still have the edge. The bots don't fool us quite and I don't think we need to be scared of them. They are still a tool for us...and as such we use their strengths with the controller being our creative minds.

Let *the mob* steal a wave or two and make them better surfers. There will always be better waves. Let the open tolerant mind however get a leg up on their journey.

The journey is a journey of the mind. The mind grows and then it reverts and so does the circle of life but when it reverts, we are suddenly so very aware of it....*adaption of TS Elliott*. CP sent us on this small journey of the past few pages. Life is a massive mind F**k which you can only experience yourself :-)
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  • #3,917
  • May 30, 2018 10:28pm May 30, 2018 10:28pm
Quoting VEEFX
{quote} I said this to Mr. Brown via email. My options being in the USA are very limited because this strategy will NOT work with FIFO brokers. I simply cannot hop from broker to broker like you guys can. so yeah... I do have my concerns. Besides, I have already shared everything with my code examples over the past 6-month period. I have hidden nothing my friend. If I had to, I would only become like our friend CP and generate a far greater following.. which you know I am dead against. I have borrowed space from other thread to avoid just that.
He is a tough one that V....what if I prod him here *sniggers* :-)

I too have left my splattered mind on this thread....but am confident that *most* will slip on it :-)
  • #3,918
  • May 30, 2018 11:00pm May 30, 2018 11:00pm
Quoting Copernicus
{quote} He is a tough one that V....what if I prod him here *sniggers* :-) I too have left my splattered mind on this thread....but am confident that *most* will slip on it :-)
If I was worried others would put my strategy together, I would not share anything at all. Most will only understand 5% of what I do as it will require atleast 2 years of investigation to get to where I am (with a few exceptions and I know who they are hehe)
Staying in my lane...
  • #3,919
  • May 30, 2018 11:20pm May 30, 2018 11:20pm
Quoting Copernicus
The good thing with this thread as despite the batterings along the way of discourse...we are all slowly getting to sing the same tune and I think it is making us all better traders. Thanks guys for the conversations :-) https://www.youtube.com/watch?v=uS2nWLz-AbE
Thank you C, and all other for the ride!

The Moody Blues - Ride My See-Saw

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  • #3,920
  • May 30, 2018 11:28pm May 30, 2018 11:28pm
Quoting 3ndlessHope
One more thing to consider: addig to a position on lower highs/higher lows when the market favors us. This way we could maximize profits in long trends
Not so sure 3. There are swings and roundabouts with pyramiding as we just don't know when riding a trend how long it will last. I have done a lot of testing on this and can't seem to make it work for me. You get some pearlers but you also get lots more added costs when the trend dissipates.

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