Cheers Le Metier. :-)
Diversified Trend Trading Approach
- #4,482
- Jun 18, 2021 7:57am Jun 18, 2021 7:57am
- Joined Dec 2010 | Status: Foook Bollinger-dr.Kegel knows! | 9,794 Posts
hey C...been on 1y quest of finding win percantage over 60% on 1:3 RR on lower TFs. Negative result. Frustrating to waste a year, again 
(picture added)
...moving out of weekly and daily statistics to 30 minute territory was brutal. Have some strategies with 1,8 PF, waiting to blow.
Sadly the "slow" plays on larger TFs continue to work, but unfortunately the focus was elsewhere.
Carry on.
(picture added)...moving out of weekly and daily statistics to 30 minute territory was brutal. Have some strategies with 1,8 PF, waiting to blow.
Sadly the "slow" plays on larger TFs continue to work, but unfortunately the focus was elsewhere.
Carry on.
- #4,483
- Edited 8:55am Jun 18, 2021 8:36am | Edited 8:55am
- | Commercial User | Joined Apr 2013 | 4,366 Posts
hey C...been on 1y quest of finding win percantage over 60% on 1:3 RR on lower TFs. Negative result. Frustrating to waste a year, again
Hope all is well mate.
Cheers
C
- #4,488
- Jun 19, 2021 6:32am Jun 19, 2021 6:32am
I am now fully systematic with algos.
All I cared about was new highs or new lows. I didn't use news or traditional support/resistance etc. Cheers Le Metier :-)
- #4,493
- Jun 20, 2021 1:28am Jun 20, 2021 1:28am
{quote} Difficult to automate. Detecting material swing highs and swing lows is difficult from which you then draw the SDC plots as you cannot simply assign a standard look-back to determine these levels. The look-backs can vary dependent on price volatility :-)
Thanks for the replies.
- #4,495
- Jun 23, 2021 6:31pm Jun 23, 2021 6:31pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
I have looked into this before as have a few guys in the industry. The smaller scale fund manager can be demonstrated to possess lower returns on average over the long term with available data.
Here is a listing of long term funds by type captured by IASG.
The relative abundance of each type can be partly attributed to 'survival bias' over the long term. Most of the successful FM's are systematic and not discretionary.
You will notice that the Discretionary Trader Index possesses smaller CAROR over the long term than say the CTA Index or the Trend Following Index. This index typically comprises the smaller FM with low AUM. Many in the list of 66 Funds are very small funds with AUM of approx $1M.
It would be great if you could obtain info from the Prop firms to see if this is a valid assumption :-)
Here is a listing of long term funds by type captured by IASG.
The relative abundance of each type can be partly attributed to 'survival bias' over the long term. Most of the successful FM's are systematic and not discretionary.
You will notice that the Discretionary Trader Index possesses smaller CAROR over the long term than say the CTA Index or the Trend Following Index. This index typically comprises the smaller FM with low AUM. Many in the list of 66 Funds are very small funds with AUM of approx $1M.
It would be great if you could obtain info from the Prop firms to see if this is a valid assumption :-)
- #4,496
- Jun 23, 2021 7:33pm Jun 23, 2021 7:33pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
What is clear for all of the most successful FM's in the world such as the most successful trend followers and the likes of Buffett, Soros etc. is that if you exclude the outlier trades from their performance, then overall performance reduces to a less than break-even result. This at least suggests to me that ALL the performance returns of a complex adaptive system such as these financial markets can be attributed to the Non Linear nature of outlier moves.
All the trades that occur outside these 'non linear' structural events can be effectively described within a random distribution.
I did a post the other day on Twitter about this and we can achieve a similar result, no matter which FM we choose (not restricted to Trend Following)..
"Let's eliminate the top 10% of months in the BTOP 50 Index. The impact of excluding outlier impact months on the performance results is about as material as it gets. It reduces a profitable long term Index into a less than breakeven proposition."
"Now let's look at this impact by viewing a comparison of monthly returns. The yellow months are the excluded 'outlier months'. But now lets focus on the other 90%. Look how they range in value from +ve to -ve. Not Performance Dispersion...Simply the symptom of Randomness."
In other words what we feel are non-random performance results on a month by month basis for >90% of all trades actually turn out to be very natural variances attributed to randomness alone.
The real drivers of 'total return performance' are outlier events of which none of us can predict in advance. The only way to capture them is by wide diversification which can only be achieved by high AUM . Buffett is actually diversified in his performance returns as his success is depicted by 5 major outliers in an investment portfolio that has spanned hundreds of marginal performers....while he might not like to admit it.
So where do retail traders fit into all this? They actually don't as this is a story that can only be told through a very long term track record, large $AUM and extensive diversification....and there are simply no retail traders with a sufficient long term track record that I can find in the literature to demonstrate this.
All the trades that occur outside these 'non linear' structural events can be effectively described within a random distribution.
I did a post the other day on Twitter about this and we can achieve a similar result, no matter which FM we choose (not restricted to Trend Following)..
"Let's eliminate the top 10% of months in the BTOP 50 Index. The impact of excluding outlier impact months on the performance results is about as material as it gets. It reduces a profitable long term Index into a less than breakeven proposition."
"Now let's look at this impact by viewing a comparison of monthly returns. The yellow months are the excluded 'outlier months'. But now lets focus on the other 90%. Look how they range in value from +ve to -ve. Not Performance Dispersion...Simply the symptom of Randomness."
In other words what we feel are non-random performance results on a month by month basis for >90% of all trades actually turn out to be very natural variances attributed to randomness alone.
The real drivers of 'total return performance' are outlier events of which none of us can predict in advance. The only way to capture them is by wide diversification which can only be achieved by high AUM . Buffett is actually diversified in his performance returns as his success is depicted by 5 major outliers in an investment portfolio that has spanned hundreds of marginal performers....while he might not like to admit it.
So where do retail traders fit into all this? They actually don't as this is a story that can only be told through a very long term track record, large $AUM and extensive diversification....and there are simply no retail traders with a sufficient long term track record that I can find in the literature to demonstrate this.
- #4,498
- Edited 8:09pm Jun 23, 2021 7:48pm | Edited 8:09pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
{quote} I don’t have access to prop data. But I suspect this is the best match if we want to compare apples with apples. I also found this data (image below) at IASG. I do not know the lifespan of these funds. {image}
Purple Valley has a CAROR or 17.73% and its last years return has dominated it's performance. This is an outlier event...which dominates the performance results. Apart from this event, the result of the results can be described by a normal distribution.
PS It is also systematic despite its fairly low $AUM
- #4,499
- Jun 23, 2021 7:52pm Jun 23, 2021 7:52pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
AIS is also defined by its outliers. CAROR over its lifetime is pretty low at 8.81%
You can see what I mean by the effect of outliers on performance :-)
You can see what I mean by the effect of outliers on performance :-)
- #4,500
- Jun 23, 2021 7:59pm Jun 23, 2021 7:59pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
Glenhaven Capital....ouch
Probably no need to go on...but it at least demonstrates how the long term fortunes are dictated by Outliers. The rest is just noise...in the scheme of things :-)
Probably no need to go on...but it at least demonstrates how the long term fortunes are dictated by Outliers. The rest is just noise...in the scheme of things :-)