Range and Trend Transitions

I have strong interest in fully automated systems trading 24 hours a day with no manual intervention whatsoever. But we all know the issues when it comes to such systems since the fully automated system needs to successfully transition to and from range and trend.

I prefer ranging and choppy markets so to push things and test robustness, I've applied the prototype to GBP pairs since pairs like the GBPNZD tend to go into scary trends.

I'm opening this thread to discuss and develop various methods of transitioning between the two market conditions.

Hi, NPSystems,

There are many methods. One that comes to mind is to apply ADX to the price chart. The indicator tends to show when the market is trending or not trending.

A more complicated method is to apply a moving average to the Return-By-Trade# equity curve. (A very good coder can do this). When the equity curve is below its moving average, stop trading the strategy. Or better still, keep on trading but reverse the strategy's entry buy-sell direction. Then (based on your plot) the profit Return% will likely produce way more average profit per trade while the market is Trending, than the profit per trade while the market is Ranging, Choppy, Etc.

BillW

The FF Trade Graph is already plotting the return by trade. It would be nice if an MA could be applied to it to test out the idea before coding. FF might consider that feature request.

Hi NPS,

Instead of hoping and waiting for FF to add features, or actually coding to test the idea I described, one could export the trade list from your trade history into an Excel spreadsheet. Plot the cumulative P/L therefrom, and then the moving average of that equity plot using Excel functions. Adjust the MA lookback period to visually see what parameter would work best for that system. I hope you have that certain skill with using Excel, or know someone who can help you.

Good trading, Bill