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Diversified Trend Trading Approach

  • #4,521
  • Jul 26, 2021 11:22am Jul 26, 2021 11:22am
Quoting Copernicus
It's great to be a part of the Top Traders Unplugged crew. Such a privilege. Looking forward to more sessions and bringing different perspectives into the discussion on Trend Following. https://www.toptradersunplugged.com/...uly-25th-2021/ {image}
A Star is Born ...
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Master Your Setup, Master Your self. (NQoos)
  • #4,522
  • Jul 26, 2021 11:30pm Jul 26, 2021 11:30pm
Quoting bassramy
{quote} A Star is Born ... https://www.youtube.com/watch?v=nSbzyEJ8X9E
Cheers Bass. ........and it all started from this forum. Amazing how things turn out. The many paths of a possible future. I just better ensure that I continue to burn as an infant star and don't turn into an arrogant black hole. :-)
  • #4,523
  • Jul 27, 2021 2:45pm Jul 27, 2021 2:45pm
Quoting Copernicus
{quote} Cheers Bass. ........and it all started from this forum. Amazing how things turn out. The many paths of a possible future. I just better ensure that I continue to burn as an infant star and don't turn into an arrogant black hole. :-)
Just remember us when u start to mingle with Jerry Parker, Ray Dalio, George Soros and James Simmons, i don't think you would but just try .

Master Your Setup, Master Your self. (NQoos)
  • #4,524
  • Jul 27, 2021 6:35pm Jul 27, 2021 6:35pm
Quoting bassramy
{quote} Just remember us when u start to mingle with Jerry Parker, Ray Dalio, George Soros and James Simmons, i don't think you would but just try . ...
I will not let you down my lord. The Death Star is coming along nicely :-)

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  • #4,525
  • Jul 28, 2021 4:54am Jul 28, 2021 4:54am
Quoting Copernicus
It's great to be a part of the Top Traders Unplugged crew. Such a privilege. Looking forward to more sessions and bringing different perspectives into the discussion on Trend Following. https://www.toptradersunplugged.com/...uly-25th-2021/ {image}



Bam! Good stuff, congrats. Well deserved. Keep on.

Nice picture - seeing pure joy of trendfollowing.
  • #4,526
  • Jul 28, 2021 7:30am Jul 28, 2021 7:30am
Quoting 21vs7
{quote} Bam! Good stuff, congrats. Well deserved. Keep on. Nice picture - seeing pure joy of trendfollowing.
Cheers J :-)
  • #4,527
  • Jul 28, 2021 11:47am Jul 28, 2021 11:47am
prediction vs trading in the now as Ed Seykota likes to say about trend trading
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Price itself it's an indicator
  • #4,528
  • Jul 28, 2021 6:55pm Jul 28, 2021 6:55pm
Quoting m3rlin
prediction vs trading in the now as Ed Seykota likes to say about trend trading {image}
LOL. Love it M. Long time no hear. I hope all is well mate :-)
  • #4,529
  • Jul 29, 2021 1:19am Jul 29, 2021 1:19am
Quoting Copernicus
{quote} Hi J. I have all but given up.on intraday timeframes with full automation. The only method that tends to endure with intraday are relative momentum methods where I regularly replace momentum strategies before they start to go belly up. So much more joy on D1 and longer with trend following methods...so I tend to stick with these. Hope all is well mate. Cheers C
Can you give a few examples of trend following on higher TFs that you employ?
Thank you!
  • #4,530
  • Jul 29, 2021 2:10am Jul 29, 2021 2:10am
Quoting oohoo
{quote} Can you give a few examples of trend following on higher TFs that you employ? Thank you!
We tend to adopt an array of different type of trend following system for a particular market all operating off the D1 timeframe with a broad array of different look-backs (indicator parameter settings). You have to be very patient with these models and they are quite volatile....but deliver king hits when they latch onto outliers.

So let's say that we trade EURUSD as one market in our portfolio. It will comprise a breakout system (such as a Donchian breakout) to catch all possible Outliers.....and then an array of different trend following systems such as Moving average crossover system, congestion breakout systems etc that all obey the Golden Rules of Trend Following....small bet size....one entry one stop and one trailing stop and normalised across markets using ATR.

The different systems give us entry diversification into an Outlier, but the initial and trailing stop adopt ATR multiples for each system. The specific details are reserved for our members.

Below is a walkthrough of EURUSD using a suite of different TF systems such as that described above over a 50 year backtest.

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  • #4,531
  • Jul 29, 2021 2:21am Jul 29, 2021 2:21am
Quoting Copernicus
{quote} Cheers J :-)








Rich,

yeah, good point on the "inflation-deflation" study(size sample - only a factor) You then explain the equilibrium through mechanics..




transitionary environment vs equilibrium. Can you point us towards your past comments of false equilibrium. Or some additional explanation.


Concerning CHF ...thanks for the info. Still, probably you didnt have a position on EURCHF? as there were no mechanical market structure to system entry(capped price)...but on USDCHF or GBPCHF or others? ...and yes, trending upwards with "great" spike down...no trending system was long CHF that time, only perhaps some monthly calc. - hot potato/dumping risk (aka SL)



additional question - how do you tackle a problem of entering the markets when there is market "break" - after US, where spreads are higher - this is my entries as I close daily candle. Obviously broker prices are important and probably did find one of the good ones, but how do you handle this? - especially if we like small Stops to trade frequantly. Have lots of problems on this one..(specifically FX)
  • #4,532
  • Jul 29, 2021 2:31am Jul 29, 2021 2:31am
Quoting 21vs7
{quote} Rich, yeah, good point on the "inflation-deflation" study(size sample - only a factor) You then explain the equilibrium through mechanics.. transitionary environment vs equilibrium. Can you point us towards your past comments of false equilibrium. Or some additional explanation. Concerning CHF ...thanks for the info. Still, probably you didnt have a position on EURCHF? as there were no mechanical market structure to system entry(capped price)...but on USDCHF or GBPCHF or others? ...and yes, trending upwards with "great" spike down...no trending...
Hi J

Transitionary mechanics relates to 'divergent' methods whereas methods that exploit equilibrium relate to 'convergent techniques'. More here. We use data minming as a basis to define where the Normal Distribution plots and then trade outside that plot with our models. That way we filter our trades to only focus on possible outliers as opposed to trends that might reside in the distribution of returns where noise and mean reversion dominates.

I was in USDCHF using my EDTT and was long when the 'floor fell out of it'. I wrote about in on FF back in the day. It was a nasty slippage but the small bet size saved me.

We now trade off signals once per day 30 minutes after the open on all our algo's. Because we have such long term holds and given the moves that we are chasing are outliers, then swap and spread are fairly insignificant in the scheme of things. It becomes an issue if we navigate down to smaller timeframes where the materiality of trading costs becomes a far bigger deal.
  • #4,533
  • Jul 29, 2021 2:32pm Jul 29, 2021 2:32pm
Quoting Copernicus
{quote} LOL. Love it M. Long time no hear. I hope all is well mate :-)
Hi Copernicus, yes mate all good. Hope you are good as well.

I just took a break from here because i needed to look after myself and figure out what is wrong with me.

I made some mistakes in my judgement and let my emotions took over my trading. I was taking positions in the market even if my approach didn't generate any signal. The strange thing was that i knew i was doing the wrong thing, i was sure all of this bets will be losers, i knew it will make me fell bad and i still was opening positions like that. No i wasn't a masochist i didn't want to fell bad or to lose money, i really hated the felling of both. I just wanted to take the trades i did i wanted to break some rules. What rules?!

Funny thing: my approach to markets in fact has this rule as well "Sometimes break the rules". And here lies the problem: i didn't define "sometimes" and what "rules" to be broken. Now after all of this months i did define "sometimes", now i know when to break the rules. I need to figure out what rule/rules to break. I will not break my rules on risk control, money management or trade management.

The only thing that i was doing correctly was to respect risk (i was risking same % as i do all the time).
Another funny thing: every time i did open a trade like that, i was checking the market after few hours, next day and on third day. Every time i did have even a small lose on it i was cutting back some contracts from that position. By the third day or 4 i was closing the trade.

Have fun guys and...don't forget from time to time to make something wrong so you have the opportunity to learn something new about yourself
Price itself it's an indicator
  • #4,534
  • Jul 29, 2021 3:04pm Jul 29, 2021 3:04pm
Quoting Copernicus
{quote} Hi J. I have all but given up.on intraday timeframes with full automation. The only method that tends to endure with intraday are relative momentum methods where I regularly replace momentum strategies before they start to go belly up. So much more joy on D1 and longer with trend following methods...so I tend to stick with these. Hope all is well mate. Cheers C

Same conclusion, i don't trade intraday anymore. I still allow myself to pyramid intraday in a long term trend sometimes: only if i already have a profit, already have another profitable pyramid in that asset and only if: something big happened in the world in that day and the price of the asset is going in the same direction as the perceived long term trend. I risk a small % of the open profit i have from the second pyramid.

Same thing for commodities and weather patterns.
Price itself it's an indicator
  • #4,535
  • Jul 29, 2021 7:49pm Jul 29, 2021 7:49pm
Quoting m3rlin
{quote} Hi Copernicus, yes mate all good. Hope you are good as well. I just took a break from here because i needed to look after myself and figure out what is wrong with me. I made some mistakes in my judgement and let my emotions took over my trading. I was taking positions in the market even if my approach didn't generate any signal. The strange thing was that i knew i was doing the wrong thing, i was sure all of this bets will be losers, i knew it will make me fell bad and i still was opening positions like that. No i wasn't a masochist i didn't...
Thanks for sharing M. What doesn't kill us makes us stronger.......
  • #4,536
  • Aug 4, 2021 12:06pm Aug 4, 2021 12:06pm
The Systematic Investor #151 | feat. Moritz Seibert

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  • #4,537
  • Aug 4, 2021 4:23pm Aug 4, 2021 4:23pm
Quoting Copernicus
It's great to be a part of the Top Traders Unplugged crew.
Congratulations Rich! Looks like you are on your way to become famous... ... totally well deserved.

Good luck and cheers.
Hudi
  • #4,538
  • Aug 4, 2021 6:57pm Aug 4, 2021 6:57pm
Quoting HudithePfupf
{quote} Congratulations Rich! Looks like you are on your way to become famous... ... totally well deserved. Good luck and cheers. Hudi
Cheers Hud. I still have my trainer wheels on with the group...but it's great to be a part of the discussion :-)
  • #4,539
  • Edited 8:51am Aug 7, 2021 1:48am | Edited 8:51am
Let's go Non Linear with Outliers :-)

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https://atstradingsolutions.com/lets...-case-example/
  • #4,540
  • Aug 8, 2021 9:58pm Aug 8, 2021 9:58pm
Another great episode. Lots' to get the teeth stuck into :-)

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