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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
Disliked{quote} That hits the nail on the head. We are very alike H....not in technique but mindset :-) The best any of us have are simply models that attempt to mimic the reality. The models get better over time as they are put to progressively more rigorous tests but they are never complete. They just are applicable to a progressively wider domain of enquiry. It is exactly the same for the pursuit of science. There never is any truth statements where the observer (participant) is embedded in a complex system and cannot step outside the complex system...Ignored
Disliked{quote} As unhelpful as it sounds, you are going to have to test it out on your markets and find which are better suited to your strategy's approach as you actually need to ensure that your strategy is curve fit to most recent market conditions.
Of the majors, crosses and spot metals in the FX space, the markets that have delivered the most joy for me as a trend follower over the past 20 years from backtests are: EURUSD, GBPJPY, GBPUSD, EURJPY, AUDNZD, CADJPY, XAUUSD, XAGUSD, EURCAD, GBPAUD, AUDJPY, EURNZD. Cheers mate :-)Ignored
Disliked{quote} I enjoy quietly reading your posts but.....I really have to disagree with those lines. Those are the definition of curve fitting and curve fitting will sooner or later kill you in this business.You don't want to curve fit your strategy to the recent market conditions but what you want is a robust system that can endure changing market conditions(because markets stay the same as they are always changing) and will work for as long as free markets exist...with no curve fitting. You also want systems that work relatively similarly over any market...Ignored
Disliked{quote} Yep...convergent is not my cuppa tea...and I understand what you are talking about...but I am finding that you can supplement divergence with convergence provided that divergence is the dominant part of the portfolio. You don't have to throw the baby out with the bathwater. :-) For example, have a look at the chart below. {image} This represents a portfolio suite of of 10 EA's tested across GBPJPY that comprises core divergent (trend following) design logic for each EA (cuts losses short and let's profits run) but also includes an entry...Ignored
Disliked{quote} My bad. All I know is trend following. I know nothing of reversion to the mean systems. Apologies.Ignored
DislikedI like to use the word "optimization" in regards to my approach... as my systems work with several parameters, on several insruments etc... but don't worry, I don't mind if you call it curve fitting lolIgnored
DislikedRoll up....roll up.....get it while it's hot. Haven't read it yet but have pre-ordered on kindle. If it is like his past 2 books it will be a cracker :-) Trading Evolved: Anyone can Build Killer Trading Strategies in Python {image}Ignored
Now despite this awareness of the philosophies and practices that shape the systematic trend following mindset, it is tempting to conclude that we throw away all statistics that are representative of more ‘normal market conditions’ and only use exotic mathematics of chaos theory that are more appropriate for adaptive non-linear market conditions.
Well the problem is that no one understands how to apply these peculiar and complex adaptive models and we shy away from any purported mathematical process that seeks to ‘enshrine’ the future in certainty.
We don’t however throw standard statistics out with the bath water. ‘Au contraire’ my friends. Standard statistical treatment defines a population of market participants that like to play in the safe fictional world of certainty and immediacy…….and we like to eat them…..for they are tasty.
Rather we use standard statistical treatment to define what are regarded as ‘normal’ market conditions or standard Gaussian behaviour and use them to draw a line in the probability sand of participants where we define a safe predictable world as lying within and a hostile uncertain scary world as lying without. The majority of participants lie within but the real ugly weirdos lie outside that line in the sand.
We flip the statistics on their head using the Yin Yang of it all and simply use it to define that region where traders like to think they have a grip on a complex system and that region where ‘most traders’ fear to tread.
DislikedRoll up....roll up.....get it while it's hot. Haven't read it yet but have pre-ordered on kindle. If it is like his past 2 books it will be a cracker :-) Trading Evolved: Anyone can Build Killer Trading Strategies in Python {image}Ignored
Disliked{quote} C, thanks a lot for recommending this book! Been looking for something like this quite a while! Cheers SIgnored