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Systematic Trend Trading

  • #781
  • Jul 27, 2019 6:51am Jul 27, 2019 6:51am
Quoting 60minuteman
Yesterday closed bullish, so I had a stab at a long before bed last night and looks like another set up forming this morning. That is all I am doing. Then I just let the winners run and milk them for as much as possible. Luck has a lot of say in the outcomes so it is really important I can keep going for a long time...RISK, keep your position size on the smaller size. The only thing missing is diversification, I get this by running a few different versions with different parameters, I will get to them next. It's simple but the ideas behind it are...
Waiting patiently for your posts on diversification...
  • #782
  • Jul 27, 2019 8:29am Jul 27, 2019 8:29am
Quoting djo
{quote} Waiting patiently for your posts on diversification...
4 more weeks to go on this thread - I said I would do a year so best to see it out.

I think one of the simplest ways to diversify is to have equal allocations to 1.wide trailing, 1.medium trail, and 1.tight trail - this works very well and the tight trail will give you a constant trickle of winners to ease the psychological burden... Simply put, split your account into sections running at different speeds. You could of course split an individual trade and have 3 different trails but I think having 3 different entries adds some timing diversification too.
tradewith60
  • #783
  • Jul 27, 2019 11:37am Jul 27, 2019 11:37am
Quoting 60minuteman
{quote} 4 more weeks to go on this thread - I said I would do a year so best to see it out. I think one of the simplest ways to diversify is to have equal allocations to 1.wide trailing, 1.medium trail, and 1.tight trail - this works very well and the tight trail will give you a constant trickle of winners to ease the psychological burden... Simply put, split your account into sections running at different speeds. You could of course split an individual trade and have 3 different trails but I think having 3 different entries adds some timing diversification...
Interesting perspective...

I was thinking more in terms of trading the same strategy on different timeframes - the hourly chart taking trend direction from the daily, the 4H from weekly, and D1 from MN. What think ye?

But like you said, let's wait till the live test is over at the end of the year, before talking about diversification in details.
  • #784
  • Jul 27, 2019 11:52am Jul 27, 2019 11:52am
Quoting djo
{quote} Interesting perspective... I was thinking more in terms of trading the same strategy on different timeframes - the hourly chart taking trend direction from the daily, the 4H from weekly, and D1 from MN. What think ye? But like you said, let's wait till the live test is over at the end of the year, before talking about diversification in details.
That would work too. Really anything is better than just a single set of parameters. I have some good research papers I will try and find the links for you
tradewith60
  • #785
  • Jul 28, 2019 4:54am Jul 28, 2019 4:54am
Why i stopped using my eyes to trade,

This is a black and white picture (with coloured lines)

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tradewith60
  • #786
  • Jul 28, 2019 9:35am Jul 28, 2019 9:35am
...and converting your prior post to trading price action.......here are some examples of randomly generated charts. You can profit from these price movements, but your profit is merely a random happenstance.

Your inability to visually define between random patterns and non-random patterns is why you need to trade systematically. Your ability to define an edge versus random luck is only validated through the Law of Large Numbers....and still there is no guarantee.

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...and an example of the long term equity curve of a mean reverting system....but you can avoid those sharp downturns....can't you?????....or do you need a crystal ball?

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These are examples of the reality of trading....and why so few are successful over the long term.

....and all this heartache and years of gazing at screens could be avoided if the trader took the simple step of first undertaking due diligence and a bit of research to explore the valid audited performance results that can be substantiated from the professional fund managers to understand what techniques the professionals are using and why so many of them are systematic diversified trend following outfits.
  • #787
  • Jul 28, 2019 10:23am Jul 28, 2019 10:23am
Quoting Copernicus
...and converting your prior post to trading price action.......here are some examples of randomly generated charts. You can profit from these price movements, but your profit is merely a random happenstance. Your inability to visually define between random patterns and non-random patterns is why you need to trade systematically. Your ability to define an edge versus random luck is only validated through the Law of Large Numbers....and still there is no guarantee. {image} {image} {image} {image} ...and an example of the long term equity curve of...
great post Copernicus, particularly the last section. Not sure if you have read 'Bursts'....

Bursts
The Hidden Patterns Behind Everything We Do, from Your E-mail to Bloody Crusades
Albert-Laszlo Barabasi

Can we scientifically predict our future? Scientists and pseudoscientists have been pursuing this mystery for hundreds and perhaps thousands of years. But now, amazing new research is revealing that patterns in human behavior, previously thought to be purely random, follow predictable laws. Albert-Lszl Barabsi, already the world's preeminent researcher on the science of networks, describes his work on this profound mystery in Bursts, a stunningly original investigation into human behavior. His approach relies on the way our lives have become digital. Mobile phones, the Internet, and e-mail have made human activities more accessible to quantitative analysis, turning our society into a huge research laboratory. All those electronic trails of time- stamped texts, voice mails, and searches add up to a previously unavailable massive data set that tracks our movements, our decisions, our lives. Analysis of these trails is offering deep insights into the rhythm of how we do everything. His finding? We work and fight and play in short flourishes of activity followed by next to nothing. Our daily pattern isn't random, it's "bursty." Bursts uncovers an astonishing deep order in our actions that makes us far more predictable than we like to think. Illustrating this revolutionary science, Barabsi artfully weaves together the story of a sixteenth-century burst of human activity-a bloody medieval crusade launched in his homeland, Transylvania-with the modern tale of a contemporary artist hunted by the FBI through our post-9/11 surveillance society. These narratives illustrate how predicting human behavior has long been the obsession, sometimes the duty, of those in power. Barabsi's wide range of examples from seemingly unrelated areas includes how dollar bills move around the United States, the pattern everyone follows in writing e-mail, the spread of epidemics, and even the flight patterns of albatross. In all these phenomena a virtually identical bursty pattern emerges, a reflection of the universality of human behavior. Bursts reveals where individual spontaneity ends and predictability in human behavior begins. The way you think about your own potential to do something truly extraordinary will never be the same.
tradewith60
  • #788
  • Jul 28, 2019 10:25am Jul 28, 2019 10:25am
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tradewith60
  • #789
  • Jul 28, 2019 11:51am Jul 28, 2019 11:51am
Quoting 60minuteman
{quote}Not sure if you have read 'Bursts'.... Bursts The Hidden Patterns Behind Everything We Do, from Your E-mail to Bloody Crusades Albert-Laszlo Barabasi
Cheers 60. Looks like a good read. I will get my hands on it :-)

Here is a another excellent read for those lazy weekends: Adaptive Markets: Financial Evolution at the Speed of Thought

Andrew's hypothesis looks at the mix of efficiency and inefficiency that exists in modern markets and offers a more realistic viewpoint to understanding the markets.
  • #790
  • Jul 28, 2019 2:41pm Jul 28, 2019 2:41pm
Quoting 60minuteman
{quote}4. Additional entries If you are already in a trade do not add positions until the trade has been exited. (stop or trailing exit) If a new week begins and you are still holding trades continue to add positions in line with rule 1 & 2
Hey 60mm. I’ve been catching up on the thread as I have time, great stuff! One question I have: what is your thought process with respect to adding positions? In your post above, you say not to add positions. However, in posts that show the results from your system (such as the attached example), it seems pretty clear that you do add to open positions.

I’m sure there’s a good reason (maybe that you shouldn’t worry about adding as a beginner, but you can as you get more advanced), but I just wanted to get your thoughts on it.
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  • #791
  • Jul 28, 2019 7:13pm Jul 28, 2019 7:13pm
Quoting relyt
{quote} Hey 60mm. I’ve been catching up on the thread as I have time, great stuff! One question I have: what is your thought process with respect to adding positions? In your post above, you say not to add positions. However, in posts that show the results from your system (such as the attached example), it seems pretty clear that you do add to open positions. I’m sure there’s a good reason (maybe that you shouldn’t worry about adding as a beginner, but you can as you get more advanced), but I just wanted to get your thoughts on it. {image}
Hi Relyt, good question and the answer is, depends. On this strategy you are holding winning trades for a long time (7R) so if you use a model of enter wait for exit then enter again you can miss the best trading environments. When price does trend for multiple days you want to have more than a single trade - last week was a good example. With a tighter trailing stop a model of enter, exit, enter may be preferable.

One thing I am sure of is that adding to trades is psychologically challenging and where there is discomfort there is usually an edge.
tradewith60
  • #792
  • Jul 28, 2019 9:29pm Jul 28, 2019 9:29pm
Quoting 60minuteman
{quote}One thing I am sure of is that adding to trades is psychologically challenging and where there is discomfort there is usually an edge.
So true.
  • #793
  • Jul 29, 2019 11:09am Jul 29, 2019 11:09am
A good choice may go unrewarded for a long time. The best choices tend to provide exponential returns and a hallmark of any compounding process is that the greatest rewards are delayed. Things don't really take off until years later. Keep working. Be patient.

James Clear 'Atomic habits'
tradewith60
  • #794
  • Jul 29, 2019 11:28am Jul 29, 2019 11:28am
follow the price, risk small chunks and let them run...

GU H4 trades
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tradewith60
  • #795
  • Jul 29, 2019 12:26pm Jul 29, 2019 12:26pm
Quoting 60minuteman
follow the price, risk small chunks and let them run... GU H4 trades {image}
patients is money in multification
  • #796
  • Jul 29, 2019 3:42pm Jul 29, 2019 3:42pm
A Lévy flight, named for French mathematician Paul Lévy, is a random walk in which the step-lengths have a probability distribution that is heavy-tailed.
tradewith60
  • #797
  • Jul 29, 2019 4:07pm Jul 29, 2019 4:07pm
In financial markets, the so-called signal-to-noise ratio is low, meaning outcomes aren’t particularly predictable. If they were active, managers would consistently outperform their benchmarks.

https://www.institutionalinvestor.co...orph-Into-Dogs
tradewith60
  • #798
  • Jul 29, 2019 4:16pm Jul 29, 2019 4:16pm
"In the 14th century, William Occam came up with the principle that a theory should not be any more complex than necessary, later dubbed "Occam's Razor". 600+ yrs later, he still nailed it."
tradewith60
  • #799
  • Jul 30, 2019 1:12am Jul 30, 2019 1:12am
Quoting 60minuteman
follow the price, risk small chunks and let them run... GU H4 trades {image}
Hi Darren,

Can i check with you for the 18 July short trade, why is it a short? The previous day and week were green. By the way for the Eurjpy H1, i am manually counting to see if it makes a difference when the trade is entered before and after the London/US opening, for my sleeping time and also to see if it makes any differences.
  • #800
  • Jul 30, 2019 2:38am Jul 30, 2019 2:38am
Quoting mi5mi6
{quote} Hi Darren, Can i check with you for the 18 July short trade, why is it a short? The previous day and week were green. By the way for the Eurjpy H1, i am manually counting to see if it makes a difference when the trade is entered before and after the London/US opening, for my sleeping time and also to see if it makes any differences.
Hi mi5, I knew I would confuse things posting the GU trade, but it was such a nice runner I couldn't resist. The 4 hour trades are the same system but use different settings. Direction using a slow SMA and it uses a tighter trailing stop. Same, same but different.

On the other point, you will find a difference using different start and end times for entries but not significant as the sample gets bigger.
tradewith60
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