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Systematic Trend Trading

  • #381
  • Sep 12, 2018 6:04am Sep 12, 2018 6:04am
Quoting Alseonbang
{quote} I'm trying break even at 2R and trailing 2R behind from 5R. Consequently been stopped out several times though with 3R...a bit worried these wins wont cover all the losses.
Whats your win:lose ratio at the moment? What R is your SL? 3R is a nice minimum win but only makes sense in context with how many losses and how much each is....
  • #382
  • Sep 12, 2018 6:08am Sep 12, 2018 6:08am
Quoting 60minuteman
{quote} Actually 5,6,7R are all good but at some point you need to hang your hat on one option or another. There is no problem with updating your choice when you have overwhelming evidence to suggest it is wise, and in fact that is exactly what we should do. What we should not do is make changes based on small data samples. We are very skilled at looking at events like the last few days and quickly deciding that we have found a better strategy - but it is very rarely the case if we dig a bit deeper into the data.
Just going off the trades posted since the beginning of this thread it seems that 5/6/7R is hit quite often? Do you do backtesting or just forward? Just asking because you seem to have confidence and discipline to take losses and hitting 5-7R and happy to see it hit full SL but based on what?
  • #383
  • Sep 12, 2018 8:22am Sep 12, 2018 8:22am
Quoting Alseonbang
{quote} I'm trying break even at 2R and trailing 2R behind from 5R. Consequently been stopped out several times though with 3R...a bit worried these wins wont cover all the losses.
Well you need to gather a lot of data first and then make an assumption based on that wether the wins will cover the loss. What I have found with systems that move to break even quickly is: low drawdowns, very long periods of essentially going nowhere and then sudden bursts of big profits. Anyway as I said, what does your data say first.
tradewith60
  • #384
  • Sep 12, 2018 8:45am Sep 12, 2018 8:45am
Quoting 60minuteman
I'm always banging on about luck but never that good at explaining why it is important.... thankfully someone has done it for me https://www.collaborativefund.com/blog/ironies-of-luck/
Kaboom. Thanks for this 60. :-)
  • #385
  • Edited 9:18am Sep 12, 2018 8:49am | Edited 9:18am
Quoting CandleSurfer
{quote} Just going off the trades posted since the beginning of this thread it seems that 5/6/7R is hit quite often? Do you do backtesting or just forward? Just asking because you seem to have confidence and discipline to take losses and hitting 5-7R and happy to see it hit full SL but based on what?
Huge amounts of backtest data, different markets, different timeframes, different entry techniques, different trend identifiers. Then simulations of 1000's of runs with random generated data (how much variance to expect if the wins and losers come in different orders) and lastly evidence from traders who have survived and prospered over long time horizons.

When you put this all together you have a better idea (but not a guarantee) of what elements are important and what really make little difference at all. So for example I would arrive at assumptions like:

1.The exact entry pattern or trend identifier make very little difference.
2.RR seems to have a strong effect on returns, 4R up appears to be best and continues to very extreme levels - but you have to note the drawdowns as well and adjust for them with position sizing. Therefore there is no optimum but a range of possible choices.
3. Trailing stops almost always show better returns over the long run
4. Results will almost always vary going forward regardless of how much data you collect. So you have to adopt this mindset of playing defence, I don't know if I will make 20% or 100% this year but it would require insane bad luck and the most bizarre market conditions I have ever seen for me to blow up. The probabilities are that most years I will make some profit but my returns will yoyo up and down a lot throughout the year. If I just put together consistent year on year profits, with compounding I can make huge returns. So my strategy is aimed at achieving that, very slim chance of ever blowing up but quite high chance of returning some profits every year. It's the opposite mindset of looking for precision

For me trading is rolling a dice, If I roll a 6 im getting 6-10R returns and the rest Im losing 1R. if I had 100 rolls I wouldn't be that confident of making money, if I had 1000 rolls my confidence would go up dramatically, so I just need to make sure I can do those 1000 rolls. If I can keep rolling forever.....
tradewith60
  • #386
  • Sep 12, 2018 8:52am Sep 12, 2018 8:52am
Quoting Copernicus
{quote} Kaboom. Thanks for this 60. :-)
I'm really enjoying where you are going with your new thread but I am unable to contribute. Some of it is admittedly over my head but I get where you are going with it.

You may like this blog I follow:

Flirting with Models https://blog.thinknewfound.com/trend-following/
tradewith60
  • #387
  • Sep 12, 2018 8:56am Sep 12, 2018 8:56am
Quoting 60minuteman
{quote} I'm really enjoying where you are going with your new thread but I am unable to contribute. Some of it is admittedly over my head but I get where you are going with it. You may like this blog I follow: Flirting with Models https://blog.thinknewfound.com/trend-following/
Cheers 60. You have been one of the guys that have really helped steer me down this particular path mate (without probably realising it)....so I take the compliment, but give a bigger one back to you mate.
  • #388
  • Sep 12, 2018 9:35am Sep 12, 2018 9:35am
Quoting CandleSurfer
{quote} Whats your win:lose ratio at the moment? What R is your SL? 3R is a nice minimum win but only makes sense in context with how many losses and how much each is....
I haven't collected enough data yet as I've only started going for +5R since first reading this blog about 2 months ago. I use a slightly different entry technique to 60 whereby I just draw two lines for support and resistance on the 4H chart either side of current price and take momentum entries through these (seems to be about 2 or 3 trades a week). Over 2 months price has gone to 5R about 4 or 5 times, but rarely 6 and never 7R. I move to break even at 2R and trail when it gets to 5R with a 2R gap. I usually get stopped out which nets me 3R. Minus the losses with R being 1% I'm up 10% in 2 months...

Based on the very short term data I'm thinking TP should maybe be 5R. I'm sure 60 would say I need many months more data in order to make this decision and he'd be right. It's great that I can come here and see how we each perform with our slightly different approaches which are all in line with 60's approach to some degree.

Please share your results everyone!
  • #389
  • Sep 12, 2018 9:38am Sep 12, 2018 9:38am
I would also like to add ive NEVER been up this much in 2 months....I've always lost money and for the first time ever I'm making gains. I may still be on the wrong track until I've got enough data but overall I've completely changed my strategy to not get hung up on the entry and focus on bigger gains and trade management.
  • #390
  • Sep 12, 2018 9:51am Sep 12, 2018 9:51am
Quoting Alseonbang
I would also like to add ive NEVER been up this much in 2 months....I've always lost money and for the first time ever I'm making gains. I may still be on the wrong track until I've got enough data but overall I've completely changed my strategy to not get hung up on the entry and focus on bigger gains and trade management.
I think you're completely on the right track... but get that data, if nothing else it will cement some confidence in the system. Your entry system is logical, simple and importantly your own. Your trail sounds fine too, it will feel that you are giving more back than you can expect to make from the few big runs you will catch but get the data and compare, you may be surprised.
tradewith60
  • #391
  • Sep 12, 2018 11:10am Sep 12, 2018 11:10am
Quoting Alseonbang
{quote} I haven't collected enough data yet as I've only started going for +5R since first reading this blog about 2 months ago. I use a slightly different entry technique to 60 whereby I just draw two lines for support and resistance on the 4H chart either side of current price and take momentum entries through these (seems to be about 2 or 3 trades a week). Over 2 months price has gone to 5R about 4 or 5 times, but rarely 6 and never 7R. I move to break even at 2R and trail when it gets to 5R with a 2R gap. I usually get stopped out which nets...
In my case data (thousands of trades) makes me very accustomed to my setup and I am able to quickly identify my setup (one or two seconds), not much thinking while trading thus less confusion and frustation

Without data you don't know what will be the most efficient method and you will be very quickly changing your system based on small sample of data (curve fitting), this last several month market movement has been quite wide (look at ATR on Daily), esp the JPY crosses making like >100pips a day which is good for any momentum based strategy and sucks for range based or top bottom pick based strategy, try your momentum strategy when its just making about 40 pips you might not be as confident

As a naturally creative person, I was very guilty of curve fitting, but now at least when I thought of some changes I go backtest it, if its not beneficial I'll scrap it
In the end its just a stupid numbers game
  • #392
  • Sep 12, 2018 1:03pm Sep 12, 2018 1:03pm
Quoting danzka
{quote} In my case data (thousands of trades) makes me very accustomed to my setup and I am able to quickly identify my setup (one or two seconds), not much thinking while trading thus less confusion and frustation Without data you don't know what will be the most efficient method and you will be very quickly changing your system based on small sample of data (curve fitting), this last several month market movement has been quite wide (look at ATR on Daily), esp the JPY crosses making like >100pips a day which is good for any momentum based strategy...
wanted to like your post but commercial members are not allowed too, even if it's their own thread!... so here it is, LIKE!

By the way I come from more creative industries, helps in some ways and not in others. Wish I had more solid math's to back up the creative ideas.
tradewith60
  • #393
  • Sep 12, 2018 2:49pm Sep 12, 2018 2:49pm
Quoting 60minuteman
{quote} Huge amounts of backtest data, different markets, different timeframes, different entry techniques, different trend identifiers. Then simulations of 1000's of runs with random generated data (how much variance to expect if the wins and losers come in different orders) and lastly evidence from traders who have survived and prospered over long time horizons. When you put this all together you have a better idea (but not a guarantee) of what elements are important and what really make little difference at all. So for example I would arrive...
60

your head is so in the right place and it’s so refreshing to converse with someone who actually knows what they’re doing for once! Rock solid analysis there as always.

I am about to start trading a trend following system that reassuringly sounds very similar to what you say above

Easily Recognisable price action pattern
Two lots, cumulatively 1 or 2% of available equity (will back test and tweak this)
close first lot at 2R (again may look at 3-4R too)
move stop on second lot to 1R
trail stop at recent swing lows

clearly need to test the numerous variables and see how each would make me feel etc. but gives me confidence that many of the attributes are shared with your separate conclusions

Big pippin
  • #394
  • Sep 12, 2018 2:54pm Sep 12, 2018 2:54pm
Quoting Alseonbang
{quote} I haven't collected enough data yet as I've only started going for +5R since first reading this blog about 2 months ago. I use a slightly different entry technique to 60 whereby I just draw two lines for support and resistance on the 4H chart either side of current price and take momentum entries through these (seems to be about 2 or 3 trades a week). Over 2 months price has gone to 5R about 4 or 5 times, but rarely 6 and never 7R. I move to break even at 2R and trail when it gets to 5R with a 2R gap. I usually get stopped out which nets...
Thanks for sharing. Sounds like you need a bit of time to see how different TP and trail triggers affect long term results

could you maybe demo trade a couple of different variables alongside the live account and see the monthly weekly yearly differences in dd profit win rate etc etc?

back testing also has its uses in suppose

not sure if it’s appropriate to post my results here as I’m not trading this strategy but am being systematic
  • #395
  • Sep 12, 2018 2:58pm Sep 12, 2018 2:58pm
Quoting CandleSurfer
{quote} 60 your head is so in the right place and it’s so refreshing to converse with someone who actually knows what they’re doing for once! Rock solid analysis there as always. I am about to start trading a trend following system that reassuringly sounds very similar to what you say above Easily Recognisable price action pattern Two lots, cumulatively 1 or 2% of available equity (will back test and tweak this) close first lot at 2R (again may look at 3-4R too) move stop on second lot to 1R trail stop at recent swing lows clearly need to test the...
thanks for the words of support Candlesurfer. Your plan sounds good, just look very carefully at how your trail compares with giving it just another R or two before moving to b.e.

Here is 7 years of GOLD with with b.e at 1R and trail at 3 or b.e at 3R and trail at 5R (no compounding).... Over years with compounding the difference in returns would be huge

Attached Image
tradewith60
  • #396
  • Sep 12, 2018 5:13pm Sep 12, 2018 5:13pm
Quoting 60minuteman
{quote} thanks for the words of support Candlesurfer. Your plan sounds good, just look very carefully at how your trail compares with giving it just another R or two before moving to b.e. Here is 7 years of GOLD with with b.e at 1R and trail at 3 or b.e at 3R and trail at 5R (no compounding).... Over years with compounding the difference in returns would be huge {image}
Thanks very useful

couldn’t help but notice the difference in number of trades that suggests a different entry parameters for each? In any case I get the point and yes those figures on losing periods etc are not to be underestimated so as not to be uncomfortable trading the system
  • #397
  • Sep 12, 2018 5:19pm Sep 12, 2018 5:19pm
Quoting CandleSurfer
{quote} Thanks very useful couldn’t help but notice the difference in number of trades that suggests a different entry parameters for each? In any case I get the point and yes those figures on losing periods etc are not to be underestimated so as not to be uncomfortable trading the system
the difference in trade numbers is due to the tighter trail getting stopped out on the trail and re-entering whilst the wider trail is still open and did not re-enter.
tradewith60
  • #398
  • Sep 12, 2018 5:24pm Sep 12, 2018 5:24pm
Quoting 60minuteman
{quote} the difference in trade numbers is due to the tighter trail getting stopped out on the trail and re-entering whilst the wider trail is still open and did not re-enter.
  • #399
  • Sep 12, 2018 9:24pm Sep 12, 2018 9:24pm
Quoting 60minuteman
{quote} wanted to like your post but commercial members are not allowed too, even if it's their own thread!... so here it is, LIKE! By the way I come from more creative industries, helps in some ways and not in others. Wish I had more solid math's to back up the creative ideas.
LIKE accepted

sometimes its hard to trade when you have so much ideas
In the end its just a stupid numbers game
  • #400
  • Sep 13, 2018 2:56am Sep 13, 2018 2:56am
this one's for the retail crowd who think you just need to keep studying charts and practising and you will improve

Attached Image (click to enlarge)
Click to Enlarge Name: Screen Shot 2018-09-13 at 08.53.29.png Size: 87 KB


https://www.trendfollowing.com/white..._an_expert.pdf
tradewith60
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