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Trend following system results

  • #61
  • Sep 7, 2012 11:59am Sep 7, 2012 11:59am
Quoting driven18
HB, how much of the sample data, i e, how many trades you have in your testing for this technique?

If large enough, what are the stats?
This is sort of answered above and I'm not giving stats out just yet but I can say that I am expecting a drawdown of between 20 and 30% and a return of between 20 and 80%.
  • #62
  • Sep 7, 2012 5:37pm Sep 7, 2012 5:37pm
I have attempted to put together a portfolio backtest from 2005 to now. It won't be exact because the EA works on 1% per trade and obviously trading all pairs together would lead to more compounding so I believe the result would have actually been better but here it is.
Attached File(s)
File Type: xls Collated Portfolio Backtest 2005 to Present.xls   207 KB | 427 downloads
  • #63
  • Sep 8, 2012 4:06am Sep 8, 2012 4:06am
Quoting Hugh Briss
I have attempted to put together a portfolio backtest from 2005 to now. It won't be exact because the EA works on 1% per trade and obviously trading all pairs together would lead to more compounding so I believe the result would have actually been better but here it is.
It's worth pointing out that the worst it went backwards by was 27%. It is also worth mentioning that it took nearly three years before it broke into substantial profit. Fortunately we are living in volatile times and I seem to have caught a few good trades from the start.

I am in the process of doing some backtesting with a different broker who offers a lot more instruments. If I can build a different portfolio with a bigger range of instruments to even out the profit and loss then I will do so.
  • #64
  • Sep 8, 2012 4:37am Sep 8, 2012 4:37am
Interesting portfolio result, the one thing that still concerns me is what would happen if all these instruments went in a draw dawn at the same time as you would then end up with a much larger draw dawn. That didn't happen in your backtest but could it happen?

I like the first 3 years and I believe most people would probably stop trading that strategy after the first few months!

You've started some nice trend trading threads and I've just started reading that book from that author mentioned somewhere in this thread. I think I'll have to do some backtesting although it's a pain as it takes so much time but I think these strategies are great for people like me who:
- have a full time job
- have a rather small capital to which they had every month and the aim is not to get rich quick but to use compounding to build capital over a number of years.

Thanks once again and I will contribute if I have any ideas.

Guiom
  • #65
  • Sep 8, 2012 6:18am Sep 8, 2012 6:18am
Quoting Guiom
Interesting portfolio result, the one thing that still concerns me is what would happen if all these instruments went in a draw dawn at the same time as you would then end up with a much larger draw dawn. That didn't happen in your backtest but could it happen?

I like the first 3 years and I believe most people would probably stop trading that strategy after the first few months!

You've started some nice trend trading threads and I've just started reading that book from that author mentioned somewhere in this thread. I think I'll have to do...
The "perfect storm" scenario would see them all drawing down at the same time. Remember though that the 1% per trade would be reducing the size of each loser as the drawdown got deeper so the impact would be somewhat less but I understand your concern. I think you have to have faith in your testing, realise that it's not always going to hoover money from the market and just stick with it through thick and thin.

Also I have as you say I have other systems that I am running alongside this so I can afford to be patient while the equity builds.
  • #66
  • Sep 8, 2012 7:32am Sep 8, 2012 7:32am
Quoting Guiom
Interesting portfolio result, the one thing that still concerns me is what would happen if all these instruments went in a draw dawn at the same time as you would then end up with a much larger draw dawn. That didn't happen in your backtest but could it happen?

I like the first 3 years and I believe most people would probably stop trading that strategy after the first few months!

You've started some nice trend trading threads and I've just started reading that book from that author mentioned somewhere in this thread. I think I'll have to...
A good way to go around it is to pick 2-3 strategies with different length of investment period e.g. short, medium and long term. 55 day CB is definitely long term.
  • #67
  • Sep 10, 2012 3:21pm Sep 10, 2012 3:21pm
The latest sp500 trade got stopped out for a small loss. Not too much of a surprise. Everything else ticking over fine.
  • #68
  • Sep 11, 2012 7:20am Sep 11, 2012 7:20am
Hi Hugh,

I stumbled across this while 'googling' for Donchian Channel information and seeking confirmation on strategy.

Can you believe I started looking into trading as a result of Eve Online (the space based MMO)! I was incredibly unsuccessful in trading the Donchian Channels in its virtual market, but it got me looking at Forex.

I've bitted and bobbed around low timeframes and I contribute to testing in the Experts Tool Box thread. In the last few days I've loaded up a demo account with 55/20 Donchian Channels on daily charts, and I'm patiently waiting for an entry to start my journey!

Wish me luck!

Regards
Ath
  • #69
  • Sep 11, 2012 7:32am Sep 11, 2012 7:32am
Quoting Athravan
Hi Hugh,

I stumbled across this while 'googling' for Donchian Channel information and seeking confirmation on strategy.

Can you believe I started looking into trading as a result of Eve Online (the space based MMO)! I was incredibly unsuccessful in trading the Donchian Channels in its virtual market, but it got me looking at Forex.

I've bitted and bobbed around low timeframes and I contribute to testing in the Experts Tool Box thread. In the last few days I've loaded up a demo account with 55/20 Donchian Channels on daily charts, and I'm patiently...
Hi Ath,

Do some back testing first. Not all pairs are very profitable when traded this way and the ones that are will have slightly different stop loss requirements. Also how you enter and exit is important, just trading the break of the level is not necessarily the best way, wait for the candle to close.

Good luck with your testing and trading, it is the answer if you keep asking enough questions of it.
  • #70
  • Edited 7:39am Sep 13, 2012 7:28am | Edited 7:39am
I have a few floating trades:

2 positions on EURUSD
2 positions on GBPUSD
1 position on USDCAD
2 positions on USDCHF
1 position on USDJPY

It's a strange feeling logging in once in the evening and once in the morning just to watch what its doing...

My Alpari UK demo account only gives me forex, so I've picked the eight most liquid pairs to play with.

Any advice on other brokers who give broader instrument access?

^^Ignore the stupid question - I didn't see the Vantage link at the top!

Regards
Ath
  • #71
  • Sep 13, 2012 10:00am Sep 13, 2012 10:00am
Quoting Athravan
I have a few floating trades:

2 positions on EURUSD
2 positions on GBPUSD
1 position on USDCAD
2 positions on USDCHF
1 position on USDJPY

It's a strange feeling logging in once in the evening and once in the morning just to watch what its doing...

My Alpari UK demo account only gives me forex, so I've picked the eight most liquid pairs to play with.

Any advice on other brokers who give broader instrument access?

^^Ignore the stupid question - I didn't see the Vantage link at the top!

Regards
Ath
I'm looking into a few different brokers who offer cfd's but most of them are market makers. I like vantage because they are STP.
  • #72
  • Sep 13, 2012 9:29pm Sep 13, 2012 9:29pm
Another sp500 add on, let's see if it survives this time.
  • #73
  • Sep 13, 2012 9:52pm Sep 13, 2012 9:52pm
Quoting Hugh Briss
Another sp500 add on, let's see if it survives this time.
You add-on to your position each time a last bar criteria is met? And you follow rejection rule for each new position? Seems like it.. pretty smart!

I can see that you don't adjust your sp500 SL to the last bar. I assume this gives you opportunity to run extra mile for sp500 once a 55 day breakout is confirmed. very interesting twist!
  • #74
  • Sep 13, 2012 10:24pm Sep 13, 2012 10:24pm
Equity up 50% already!!! Great going Hugh.
  • #75
  • Sep 14, 2012 12:05am Sep 14, 2012 12:05am
Quoting victoryong
You add-on to your position each time a last bar criteria is met? And you follow rejection rule for each new position? Seems like it.. pretty smart!

I can see that you don't adjust your sp500 SL to the last bar. I assume this gives you opportunity to run extra mile for sp500 once a 55 day breakout is confirmed. very interesting twist!
I add on to some pairs when the 55 is broken but only after it has been flat for a certain period.

The ea trails behind the 20 donch channel by a certain amount for each pair. Sometimes this lags a little, it should move the stops up on Sunday night.
  • #76
  • Sep 14, 2012 12:06am Sep 14, 2012 12:06am
Quoting taw
Equity up 50% already!!! Great going Hugh.
Not bad for less than 2 months but I want to stress that you should never look at the highest equity. The nature of the system is that it will give some profit back when the trend finally does reverse.
  • #77
  • Sep 14, 2012 11:25am Sep 14, 2012 11:25am
Quoting Hugh Briss
Not bad for less than 2 months but I want to stress that you should never look at the highest equity. The nature of the system is that it will give some profit back when the trend finally does reverse.
Of course trend systems are suppose to get the mid chunk of the trend. Even if your postitions stop out I guess you will still have +30%, atleast. Which is also very good return in 2 month.
  • #78
  • Sep 15, 2012 4:22am Sep 15, 2012 4:22am
Hello Hugh

I just wanted to thank you for this thread and congratulate you on the results so far. This has given me an idea that has worked quite well in the last week - its a bit of a variation on your method. I use the DC median line for reference and RSI for confirmation. Last week netted 215 pips with 545 pips still in open orders. Back testing a few pairs for about a year and a half also looked good. Thanks again.
AndyG
  • #79
  • Sep 15, 2012 9:17am Sep 15, 2012 9:17am
Hi all,

Not sure if its appropriate to put this in your thread Hugh, but if you want me not to do so in future, then just let me know - I won't be offended!

I've messed around with EAs and small timeframes since I started demo-ing forex in March without any real success. I've since turned my attention to Daily charts and have been inspired by the Turtle's mechanical system.

As such, on Wednesday 12th Sept, I started trading the top 8 forex pairs using breakouts of the 55 Donchian Channel. I check the charts twice a day (what a relief to trading M15!) and look to open, close or add-on to trades. SL is set to 2 x ATR (20) for pair, and add-ons come when price moves 1/2 x ATR(20) in my favour (I also move SL of older trades to match new ones at this point).

See attached EURUSD as example...

On this one I have set SL to breakeven of first order entered when price reached 2.5 x ATR(20).

I had USDJPY turn against me after two day and go to SL for a loss of 137 pips, but I have 4 pairs carrying trades of 1071 pips into next week.

Things I'm struggling with:

1. Placing pending orders with accuracy - for some reason I can't place pending orders without errors, so I have to place actual orders manually, which means they're not exactly 1/2 x ATR(20). I would love a decent script for this if anyone could suggest one!

2. Take Profit - is this a bone of contention or what? I believe the Turtle's original intention was to let trades run their course without setting TP. I've chickened out and moved one order to breakeven at 2.5 x ATR(20). Any thoughts here? Trailing Stop? Let them run?

3. Diversity of instruments - I have an Alpari UK account which only allows me access to forex, so I have opened a Vantage UK account to try Oil/Gold/SP500 etc... I will launch this on Sunday night.

Regards
Ath
Attached Image (click to enlarge)
Click to Enlarge Name: eurusd.jpg Size: 88 KB
  • #80
  • Sep 15, 2012 4:24pm Sep 15, 2012 4:24pm
Quoting taw
Of course trend systems are suppose to get the mid chunk of the trend. Even if your postitions stop out I guess you will still have +30%, atleast. Which is also very good return in 2 month.
Yep, the meat in the middle. I'm happy with that!
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