{quote} Very interesting C, thanks for the links and info.
Diversified Trend Trading Approach
- #481
- Nov 9, 2015 3:04pm Nov 9, 2015 3:04pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
- #482
- Nov 10, 2015 4:53am Nov 10, 2015 4:53am
- Joined Apr 2011 | Status: Cut Your Losses, Ride Your Winners. | 2,914 Posts
Master Your Setup, Master Your self. (NQoos)
- #483
- Nov 10, 2015 5:07am Nov 10, 2015 5:07am
- | Commercial User | Joined Apr 2013 | 4,366 Posts
While we are talking about diversification this may help. http://www.toptradersunplugged.com/w...lie-Morris.pdf
- #485
- Nov 12, 2015 6:44pm Nov 12, 2015 6:44pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
Rob Carver has written an excellent book whose basic tenets fit right into the mould of the underlying philosophy of this thread.
For those interested, here is a podcast that is very worthwhile listening to.
For those interested, here is a podcast that is very worthwhile listening to.
Interesting latest podcast from the perspective of a specialist short trader, Laurent Bernut.
Just wanted to say thanks for this podcast. Interesting stuff for sure. I think it's great watching or listening to professional traders from time to time, and the bonus is that as well as the juicy content they all seem to be really nice people! The sort you wouldn't mind sitting next to at a wedding reception or on a long-haul flight...
Cheers,
NT
You reap what you sow.
- #488
- Nov 13, 2015 7:20pm Nov 13, 2015 7:20pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
{quote} Hey C, Just wanted to say thanks for this podcast. Interesting stuff for sure. I think it's great watching or listening to professional traders from time to time, and the bonus is that as well as the juicy content they all seem to be really nice people! The sort you wouldn't mind sitting next to at a wedding reception or on a long-haul flight...
It really helps me if I continuously re-listen to these podcasts as an occassional statement or two will often lead me to something fruitful. Fortunately my primary place of work is a long way from my residence which means it gives me an ideal clear and uninterrupted space of time to listen to them.
I wish these guys got together from time to time at working conferences like the theoretical physicists do. There would be some great robust but fun debates.
Cheers NT.
C
- #489
- Nov 14, 2015 7:36am Nov 14, 2015 7:36am
- Joined Jan 2009 | Status: Learning life... | 8,355 Posts
Memories caught in time but never forgotten
- #490
- Nov 14, 2015 7:42am Nov 14, 2015 7:42am
- | Commercial User | Joined Apr 2013 | 4,366 Posts
{quote} I really liked the Rob Carver Interview, Although there are still some discretionary parts to my model I still very much like the idea of systemizing as much as my model as possible. Robs philosophy with regards to a simple yet robust set of rules sits with me very well too.. Nice post mate, Ill prob buy the book ..
- #491
- Edited 5:07am Nov 15, 2015 3:16am | Edited 5:07am
- | Commercial User | Joined Apr 2013 | 4,366 Posts
Guys
I have had a couple of requests to consider keeping the analysis going on the various approaches described by this thread and I have managed to resurrect the approach on MT4 to allow this to continue. Previously the approach was running on IG Markets Proreal time platform. Fortunately Avatrade offers the same suite of instruments so it allows me to continue tracking performance with a bit of minor tweaking. I did mention that I would track the various approaches for a while to get a sufficient sample size to deliver a verdict on the most robust approach...so will continue on for a while.
Here is an update up to 31 Oct 2015 of the various approaches. Interestingly when taking drawdowns into account the old DTT is significantly outperforming the EDTT and EDTT1. So far DTT for 2015 has produced a 10.3% return for 10 months but only a 3.13% max drawdown. You could scale this up approx 3x to be equivalent to the drawdowns of EDTT and EDTT1 of approx 8-9% to produce a return of >30% for the 10 months. The minimal drawdown for the 2013 and 2014 calendar years was a big plus for the DTT but still produced handsome returns. I may find I have to eat my words with the other approaches. Also the DTT is far more manageable given the fact it restricts trading to one timeframe only.
In a nutshell since the August result which assisted in eliminating all drawdowns, September was a pretty subdued result for all approaches and October brought a bit of positive performance associated with increased volatility. November so far is shaping up as a good month but it is to soon to call it at the moment.
In general, the 2015 calendar year has been a tough road for the approaches. While 2014 and 2013 were crackers, it just goes to show you how you can never rest on your laurels and assume that great performance will continue. Still, despite the hard yards for 2015 it is faring well against the CTA community who have had a miserable 2015 so far.
....anyway as per usual here is some electronica (Crazy P) to get your toes tapping. I love the lady.......who says old farts can't jump.
Enjoy C
I have had a couple of requests to consider keeping the analysis going on the various approaches described by this thread and I have managed to resurrect the approach on MT4 to allow this to continue. Previously the approach was running on IG Markets Proreal time platform. Fortunately Avatrade offers the same suite of instruments so it allows me to continue tracking performance with a bit of minor tweaking. I did mention that I would track the various approaches for a while to get a sufficient sample size to deliver a verdict on the most robust approach...so will continue on for a while.
Here is an update up to 31 Oct 2015 of the various approaches. Interestingly when taking drawdowns into account the old DTT is significantly outperforming the EDTT and EDTT1. So far DTT for 2015 has produced a 10.3% return for 10 months but only a 3.13% max drawdown. You could scale this up approx 3x to be equivalent to the drawdowns of EDTT and EDTT1 of approx 8-9% to produce a return of >30% for the 10 months. The minimal drawdown for the 2013 and 2014 calendar years was a big plus for the DTT but still produced handsome returns. I may find I have to eat my words with the other approaches. Also the DTT is far more manageable given the fact it restricts trading to one timeframe only.
In a nutshell since the August result which assisted in eliminating all drawdowns, September was a pretty subdued result for all approaches and October brought a bit of positive performance associated with increased volatility. November so far is shaping up as a good month but it is to soon to call it at the moment.
In general, the 2015 calendar year has been a tough road for the approaches. While 2014 and 2013 were crackers, it just goes to show you how you can never rest on your laurels and assume that great performance will continue. Still, despite the hard yards for 2015 it is faring well against the CTA community who have had a miserable 2015 so far.
....anyway as per usual here is some electronica (Crazy P) to get your toes tapping. I love the lady.......who says old farts can't jump.
Enjoy C
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- #492
- Nov 15, 2015 6:04am Nov 15, 2015 6:04am
- Joined Jan 2009 | Status: Learning life... | 8,355 Posts
Guys I have had a couple of requests to consider keeping the analysis going on the various approaches described by this thread and I have managed to resurrect the approach on MT4 to allow this to continue. Previously the approach was running on IG Markets Proreal time platform. Fortunately Avatrade offers the same suite of instruments so it allows me to continue tracking performance with a bit of minor tweaking. I did mention that I would track the various approaches for a while to get a sufficient sample size to deliver a verdict on the most robust...
she can sing too.. here's a big-up for the over 40's
DTT has performed well, with a little over 3% DD thats good going, even if you scaled up x2 thats pretty good returns..
Have a good Week.
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Memories caught in time but never forgotten
- #493
- Nov 15, 2015 6:21am Nov 15, 2015 6:21am
- | Commercial User | Joined Apr 2013 | 4,366 Posts
{quote} she can sing too.. here's a big-up for the over 40's
Inserted Video
Like a good wine they just keep getting better.
PS Thanks for the Moby track Ja. Another skilled veteran. :-)
Couldn't help myself. Here is another. You need to crank it up a bit.
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Hi C,
Been a busy period for me, with the year end / new year just around the corner. But just dropping a note to thank you for keeping the thread alive, and all the valuable resources shared. Plus of course updates on the approaches.
One thing I'm still learning (among all others) from the DTT approach is the need for discipline since the entry is very discretionary. There are many occasions where I see the "clear blue sky" to be 200-300 pips away, and I was tempted to go in "right now" anyway, giving myself some reason that a breakout pattern has already formed. These often turned into not so ideal results.
But well, I believe it's all part of learning. I just hope we can all fully master it one day.
Been a busy period for me, with the year end / new year just around the corner. But just dropping a note to thank you for keeping the thread alive, and all the valuable resources shared. Plus of course updates on the approaches.
One thing I'm still learning (among all others) from the DTT approach is the need for discipline since the entry is very discretionary. There are many occasions where I see the "clear blue sky" to be 200-300 pips away, and I was tempted to go in "right now" anyway, giving myself some reason that a breakout pattern has already formed. These often turned into not so ideal results.
But well, I believe it's all part of learning. I just hope we can all fully master it one day.
Guys I have had a couple of requests to consider keeping the analysis going on the various approaches described by this thread and I have managed to resurrect the approach on MT4 to allow this to continue. Previously the approach was running on IG Markets Proreal time platform. Fortunately Avatrade offers the same suite of instruments so it allows me to continue tracking performance with a bit of minor tweaking. I did mention that I would track the various approaches for a while to get a sufficient sample size to deliver a verdict on the most robust...
- #497
- Nov 25, 2015 10:00pm Nov 25, 2015 10:00pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
some would argue that if there is a clear trend in play - why wait? he who hesitates is lost...
Below is a summarised snapshot of backtest results representing all closed trades from all approaches since 1/1/2013 to today (excluding current open trades of approx 15R).
67% of total profit relating to the strategies were attributed to trends of >2R representing only 88 trades of a total 1103 trades. All these trades were winners.
33% of total profit contribution related to trends of <=2R and amounted to 1015 trades of which 544 were losers and 471 were winners.
Using the logic above, if you stretched the SDC to bite into some of the profit of the 88 good trend trades then you would be far better off as you would avoid the crap and you would commit far lower capital (margin) with these trades allowing you to diversify further across instruments and only take the choicest of trends.
What this is suggesting is that overtrading is your enemy with this style of trend trading and it is better to delay the entry until a trend is more fimly developed (albeit sacrificing a portion of possible profit) as opposed to trading any possible trend that emerges.
Expand your diversification of instruments to increase trade frequency by only tackling the very obvious trends as opposed to attempting to trade too much on a single instrument.
Does this make sense Fred or am I missing something ?????
C
Thanks C for the sound advice. I realize trend followers like me need encouragement every now and then so as not to completely lose faith in the system during non-trending periods. I've only recently started actual trading on the EDTTI approach, and must have hit a period of rough patches, as the breakouts I went in have mostly retraced. They haven't closed yet so if there is indeed some substance to the trend, it should recover back to the direction I wanted them to be.
By the way, have you considered increasing the 0.5% risk on the MN and W1 orders? I find that the orders on the MN and W1 tend to have much smaller lot sizes compared to the D1 order (i.e. 0.08 lots on the D1, but 0.04 and 0.02 lots respectively on the W1 and MN). This is due to having wider stop loss as the SDC channel are farther back on these chart, so the lots I've computed will be smaller. I'm thinking of increasing this to 0.75% or even 1%, and I couldn't think of any major issues they would have on the system. But I'm not sure if I'm missing something here.
I've only recently started actual trading on the EDTTI approach, and must have hit a period of rough patches, as the breakouts I went in have mostly retraced. They haven't closed yet so if there is indeed some substance to the trend, it should recover back to the direction I wanted them to be. By the way, have you considered increasing the 0.5% risk on the MN and W1 orders? I find that the orders on the MN and W1 tend to have much smaller lot sizes compared to the D1 order (i.e. 0.08 lots on the D1, but 0.04 and 0.02 lots respectively on the W1 and MN). This is due to having wider stop loss as the SDC channel are farther back on these chart, so the lots I've computed will be smaller. I'm thinking of increasing this to 0.75% or even 1%, and I couldn't think of any major issues they would have on the system. But I'm not sure if I'm missing something here.
{quote} Hey G Totally understand your thoughts about the need for discipline. I always have to keep in the back of my mind that it is preferable to catch a trend late than have an itchy trigger finger. In a nutshell it is only a few great trades that pay for the multitude of lesser trades so if it helps I actually continually adjust and stretch out the pending orders in the direction of the overall primary trend on the MN or W1 timeframe until it literally screams at me to jump in. This way I avoid overtrading which to a trend trader is your worst...
- #499
- Nov 28, 2015 6:18am Nov 28, 2015 6:18am
- | Commercial User | Joined Apr 2013 | 4,366 Posts
Thanks C for the sound advice. I realize trend followers like me need encouragement every now and then so as not to completely lose faith in the system during non-trending periods.
In a nutshell do what you feel comfortable with. There is no right or wrongs with this approach provided you don't overexpose the entire portfolio.
The reason I only risk such small % on each timeframe is that my aim is to stagger entries, a bit like pyramiding on trades but with each position taken working on the price data of that timeframe. I therefore tend to let a small .25% trade off on the M30 timeframe and wait for a period and check if the same trend is registered on ther H1 timeframe and if the M30 trade is reaching it's breakeven. If so, then I let another 0.25% rip on the H1.....and then focus on the H4 timeframe......D1 timeframe....W1 timeframe and lastly MN timeframe. The approach allows me to build into a trend with minimal risk exposure and hopefully have all guns blazing if a good trend emerges.
What I often find is that this sequence alters as a retracement may knock out the M30 and leave the others alive and therefore if it resumes in trend I just need to find an entry point on the M30 to bring it back in trend.
With the trends of substance I often find I get all 6 timeframes cooking which therefore represents a total theoretical exposure on the instrument of 0.25+0.25+0.25+0.5+0.5+0.5 = 2.25%....however the way I pyramid them, rarely do I get a total exposure to the cumulative stop losses of >0.5% on an instrument. This way I avoid increasing correlation on the entire portfolio.
The MN and W1 timeframes are laboriously slow in delivering so I simply get a few trades happenning in this timeframe to add to the mix as they are as valid as any other timeframe to trade (provided your intent is to stay for the very long haul). They are not the workhorse components of the strategy like D1, H4, H1 and M30 are.
G.....do you have much diversification from your broker outside of forex? If you can get a broker that gives you a wide investment universe to pick from (provided they are liquid instruments) then you can become much more selective in the trends you take and perhaps reduce your timeframes a bit if you think 6 is too much to manage. For example Avatrade offers a great range all tradable through MT4. You could get benefits of instrument diversification to bring you back to say the D1 timeframe and above to make life more enjoyable than sitting in front of the screen all day.