ETMA_The Evolution

Like i said all the CTA'S Hedge funds were caught long USD but economic data disappointed which made the Fed postpone the Rate hike From June to September which made the USD collapse, one lead to another, business as usual.

Since these CTA's are like titanics, it's difficult for them to jump ship or turn course whenever there is a small correction in the market that's why these results occurred, expect the next 2 -3 months to have solid gains specially if the US Data improved, after all it's the end of the Year that counts (Long Term Profits) not 1 month, i'm sure they will rebound.

As for me i had a good April Month a kind like saxon's but May seems to be promising with a 15.01 % realized profits t'il date and another 4% unrealized, being small i have the advantage for being quick in and out that lead to superior profits percentage wise but also to overtrade thus more commissions and expenses.

How is yours doing ?
Trade well, Best.

B.R.

April was a negative month for me Bass and May so far isn't reversing the fortunes. The key for me is to avoid over trading during these times and remain patient. It sounds like may deliver good results for you Bass. Well done.

Hey C, I hope all is well with you. These past few months have been brutal for trend traders. I was reading somewhere that one of the older trend trading hedge funds actually closed its doors the past month or so because of todays market conditions are so choppy.

Here is a except from one

"TigerShark, Tiger Consumer and JAT Capital Management are just three examples among a recent wave of hedge funds that have closed their doors to investors in the face of choppy markets. They are a reminder that the hedge fund industry is not all spectacular returns."

They sold in May and went away

Hey Sis. I suspected things may have been difficult for other trend traders. Thanks for the heads up . To give me a bit of much needed confidence during these times I refer back to the long term performance results of the CTAs where you find a bad string of results is fairly commonplace. This is when you need to repeat the mantra that it is the next 10000 trades that really matter. :-)

All Trend Traders should buckle up and sit tight, this had happened often in the past and will happen again in the Future, that should not make you change your strategy, absolutely not, sit tight and the markets will trend again as soon as the Fed begin to tighten, we will see a dollar rally and huge trends.

Do i need to remind you of Seykota's Whipsaw song or Rules or maybe i should.



Ed Seykotas 6 Rules from the Whipsaw Song.

That been said, 2 Rules come to mind :
1. Do not be overly concerned about whipsaws a good trend pays for them all.
6. When you get a drawdown (or series of losses), stick to your plan and pull the trigger on your entry signals.

Finally, in a period of whipsaws scale down your positions sizing to protect your capital, i would recommend the smaller possible because u can always pyramid your positions or scale in a new trend periods.

I know that it is easier said than done but with time and practice u can reach this much important trading goal.

Best,
B.R.

Thank you Mr. Market for such as usual Volatile Friday, come on, all of them are speaking in the same day, its like its not enough that today is Friday.
Day Traders Beware, trend Traders pay a little more than once a day look @ your portfolio.

FED, ECB, BOE, BOJ Governors are all speaking today, Draghi and Carney are even speaking twice, God help us.

Best,
B.R.

STATE OF TREND FOLLOWING: DOWN IN APRIL

Very Detailed stats of the Biggest Hedge Funds in the world with full lists of systems used and Liquid Futures traded in the portfolio.

STATE OF TREND FOLLOWING, DOWN IN MAY.

MAY 2015: TREND FOLLOWING DOWN - 2.67% YTD: + 4.99%


The downward consolidation continues in May with a negative month. The index still stays positive Year-To-Date.
Below is the full State of Trend Following report as of last month.
Performance is hypothetical. Chart for May:

http://www.wisdomtrading.com/wp-cont...05-Index-1.png

And the 12-month chart:

http://www.wisdomtrading.com/wp-cont...x-12months.png

This is a link for the whole stats with each system individual contribution :
http://www.wisdomtrading.com/state-t...May15+State+TF

The DX (USD) Seems vulnerable .
The DAX, on the verge of something big, a crossroad.
The EU recovering .
The Yen, continuation of the UJ bull trend.
GU, also trying to recover.

Now we know why the CTA's are struggling.

RICHARD DONCHIAN TWENTY GUIDES TO TRADING
APRIL 2, 2015IGOR MARINKOVIC

​http://tradingwisdoms.com/wp-content...rdDonchian.jpg

Richard Donchian first compiled these “Twenty Trading Guides” in 1934 to helpstock traders. He unearthed a complete copy of the rules again in 1966, and he found that most of them applied to commodities as well as to stocks & that all 20 of them had maintained their usefulness & validity. The “Twenty Trading Guides” will probably survive & prove valid for the next 75 years as well. They still make sense.
Richard Donchian General Guides:

1. Beware of acting immediately on widespread public opinion. Even if correct, it will usually delay the move.
2. From a period of dullness & inactivity, watch for & prepare to follow a Move in the direction in which volume increases.
3. LIMIT LOSSES, ride profits- irrespective of all other rules.
4. Light commitments are advisable when a market position is not certain. Clear defined moves are signaled frequently enough to make life interesting, & concentration on these moves to the virtual exclusion of others will prevent unprofitable “whipsawing”.
5. Seldom take a position in the direction of an immediately preceding three-day move. Wait for a one-day reversal.
6. Judicious use of stop orders is a valuable aid to profitable trading. Stops may be used to protect profits, to limit losses & to take positions from certain formations such as triangular foci. Stop orders are apt to be more valuable & less Treacherous if used in proper relation to the chart formation.
7. In a market in which upswings are likely to equal or exceed downswings, a heavier position should be taken for the upswings for percentage reasons.
8. In taking a position, price orders are allowable. In closing a position, use “market” orders.
9. Buy strong acting, strong background commodities & sell weak ones, subject To all other rules.
10. Moves in which rails (now the Transportation Index) lead or particular strongly are usually worth following more than moves in which rails lag.
11. A study of the capitalization of a company, the degree of activity (a varying factor), and whether an issue is a lethargic truck horse or a spirited, volatile race horse is fully as important as a study of reports.

Richard Donchian Technical Guides
All 9 of these technical guides apply equally well to major & minor formations.

1. A move followed by a sideways range often precedes another move of almost equal extent in the same direction as the original move. Generally, when the second move from the sideways range has run its course, a counter –move approaching the sideway range may be expected.
2. Reversal or resistance to a move is likely to be encountered (a) on reaching Levels at which the commodity has fluctuated for a considerable length of time within a narrow range in the past or (b) on approaching previous highs or lows.
3. Watch for good buying or selling opportunities when trend lines are approached, especially on medium or dull volume. Be sure such a line has not been hugged or hit too frequently.
4. Watch for “crawling along” or repeated bumping of minor or major trend Lines & prepare to see such trend lines broken.
5. Breaking of minor trend lines counter to the major trend gives most other important position-taking signals. Position can be taken or reversed on stops at such places. (This is possibly the most important of all the technical guides).
6. Triangular of either slope may mean either accumulation or distribution, Depending on other considerations, although triangles are usually broken on the flat side.
7. Watch for volume climax, especially after a long move.
8. Don’t count on gaps being closed unless you can distinguish between breakaway gaps, normal gaps & exhaustion gaps.
9. During a move, take or increase positions in the direction of the move at the market the morning following any one-day reversal, however slight the reversal may be, especially if volume declines on the reversal. (This has proved to be very valuable guide).

THE MOST IMPORTANT RULE PAUL TUDOR JONES
OCTOBER 28, 2013 IGOR MARINKOVIC


“The most important rule of investing is to play great defense, not great offense. Every day I assume every position I have is wrong. Always question yourself and your ability. Don’t ever feel that you are very good. The second you do, you are dead. Always maintain your sense of confidence, but keep it in check.”

–Paul Tudor Jones

http://tradingwisdoms.com/wp-content...s2-198x300.jpg

https://pbs.twimg.com/media/CGqgW-NU8AAwkNf.jpg

Are wizards really worth their fees?

You know the concept: you have some Cash saved up, you give it to one of the Trend Following Wizards, they give you a very decent return over the long run and take their share of the cake in return for it: EVERYBODY’s HAPPY!

Or are they you?…

Let’s explore the impact of fees charged by Fund Managers on the overall long-term return on your money. This is a question you might want to ask yourself before venturing in building automated trading systems (i.e. from a business point of view: would I spend a large number of man-days building a system that might barely achieve a better return than an established and succesful fund manager).

The assumption is that Trend Followers exhibit similar performance (for similar leverage). This can be verified when looking at the historical performance of the wizards. That can be explained by the fact that there is no “rocket science” approach to trend following. It boils down to getting on the trend as it starts and riding it until the end (when it bends…). For a given timeframe, any indicator you use would most likely identify the same trends.

To simplify, we will assume that a trend following fund manager achieves 20% per year and charges 1/20 fees (1% of AUM and 20% of performance).
Is it worth investing many hours in building a system yourself – or are you better off sending a cheque to John Henry, Dave Harding or Ed Seykota?
A gross return of 20%, after fees of 1% and 20% gives a net return of 0.99 x (20% x 0.8) = 14.84%.
Turns out to be quite a difference!

By extrapolating and running a year by year comparison of gross return vs. net return we can see how the difference stacks up:

Assuming that you have managed to build a system that produces the gross return above, we can see that keeping the fees for yourself (ie running the system) has quite an effect on the long-term return on your capital (compared to getting a fund to manage your capital):
After 3 years, you would already have gained one year compared to the managed fund approach (i.e. same capital but a year earlier). After 13 years, you are 4 years ahead!
And this is without considering you now have the option of raising external money to manage and earn your own fees (which you can only do if you run your own system)!
The example above illustrates the power of compounding and how small differences can end up making big numbers – which justifies putting the efforts to manage your own capital.

Love your thread Bassramy. My buddy C brought me here. I too am a fan of the classic turtle system. I have done some analysis on it that shows when the Turtle System will succeed to follow a trend and when it will fail based on time. Whenever I am free and can compile all the data I will share it with you, I may post it here if I want to share with everyone but I think you would find the information quite useful. Keep up the posts man. Always a good read to be had in here!

P.S. I really like your template. It is not to harsh on the eyes and the colors look nice.

Thank you S., i try my best to alienate myself from all the bullshit on FF and follow the path of the greats ( Gann, Jesse Livermore, Baruch, Wyckoff, Donchian, Dennis, Eckhardt, Seykota, Soros, Paul Tudor Jones, Kovner, O’Neil etc ...) i am really convinced that this is the simplest way to be a good Trader.
I am very serious about trading and my extensive 12 - 13 Years of Research lead me to the Real Deal = Trend Following, Trend Following with a twist suites my personality, its that simple and Powerful thus make it very easy for me to trade, now that makes it Simple + Easy how much more can i ask for.

I will be honored if you choose to post your Reseach compilation here, i'm always willing to learn new things, day and Night.
If you need a much comprehensive information about the Donchian Turtles Systems Just ask.

As for the templates these are my Ninja Futures Templates as you can See.

Best,
B.R.

Why isnt "Turtle System One" (1984) profitable?

Post by sluggo Thu Feb 25, 2010 8:54 am


Jas-105 posts: What do you think has made Turtle System One lose its profitability , how have the markets changed ? Is it just more short-term volatility or "noise" or has it been an increase in trading systems that pick-off longer-term systems , or something else ?

Anthony Garner has a nice article in the Feb 2010 issue of Active Trader magazine which discusses this: "Tuning up the Turtle System". He suggests a few modifications to the system, which result in a much improved equity curve post-1993. His modifications include

1. Widening the Donchian (breakout) channels
2. Widening the initial stop
3. Enlarging the portfolio
4. (To go with the bigger portfolio): install Max Sector Risk and Max Portfolio Risk limits
5. Switching from scaling-in ("pyramiding") to scaling-out ("profit target exits")
6. Adding a Very-Long-Term-trend filter which only permits trades in the direction of the VLT trend

Unfortunately, it appears Active Trader makes .pdf reprints available on their website approximately 3 months (!) after publication in the magazine.

There have been lots of discussions here about "what happened to the Turtle System's performance" and/or "have the markets changed". Here are a few of the threads to get you started. You can find many more by performing a little Google-Fu (in Advanced Search, fill in the bottom box "Search within a site or domain" with tradingblox.com)

http://www.tradingblox.com/forum/viewtopic.php?t=5428

http://www.tradingblox.com/forum/viewtopic.php?t=3637

http://www.tradingblox.com/forum/viewtopic.php?t=3779

http://www.tradingblox.com/forum/viewtopic.php?p=40810

Blox simulation of Turtle System One

Turtle System One
Blox simulation of Anthony's modified system

Enjoy you Turtle Lovers.

Best,
B.R.

The Modified Parameters :

Main parameters used were as follows:
Portfolio – well over 100 diversified futures
LMA: 300
SMA: 50
Trade Direction: Trade All
Risk Per Trade:1%
Entry Breakout Days: 90
Exit Breakout Days: 45
ATR Days: 20
ATR Stop: 5
ATR Profit Target: 10
Target Reduction Amount: 50%
Max Sector Risk: 10%
Max Total Risk: 40%

The Backtested and Optimized or Tuned System.

From the Author :

One point I ought perhaps to have made clear in the article is that back testing can often carry one away on a flight of fantasy. The test results shown in the article were designed to make a point and I believe I did that. Most of the assumtions I made were, I believe, realistic. One assumtption was not: the assumption that I could buy or sell however many contracts I liked in whatever futures market I cared to trade. When I amend the Global Parameters so that a futures market must have a 5 day moving average of 1,000 contracts traded a day and so that I may trade no more than 5% of the market on any given day, the figures look slightly less exotic. Solid nonetheless but a little less enticing.

Hmm there is so much that all those exciting trading system promotions DON'T tell you!

That's why we all need something like Trading Blox and a set of transparent (rather than rose tinted) spectacles.

The Annual breakdown of the tuned Turtle system results and the Stats :

For the sake of completeness here is Turtle 1970 to end 1990. Again using the same settings except for the end date of the test.

Trend Following Wizards – May

Mixed results, slightly negative for the month but slightly positive for the year. This is, in a nutshell, the summary for the Wizards as of end of May.