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  • #281
  • Sep 30, 2015 5:26pm Sep 30, 2015 5:26pm
Quoting Atokys
{quote} The point im trying to make is that it is not risk free even though it seems to be. On the surface it looks that way but on the portfolio level you are undertaking more potential volatility. Personally, the test that I would use would be to assume entering the initial trade at the max pyramid size. If this size is too risky for you then you should not consider pyramiding to this size. Of course, this is just a respectful suggestion. If you understand the implications and you are OK then more power to you.
Atokys,

Perhaps you can use the trading template example in post #46 to explain what you are saying. The last entry in that pyramid is for 6.23 standard lots.
In the example, I started with a $10k account. With a modest s/l of 200 pips that would represent a $12K risk to my balance. I obviously would not be able to open a position of that size under those circumstances. However, in the context of pyramiding that series there was no danger to my account balance, only floating profit to that point.
  • #282
  • Oct 1, 2015 6:07am Oct 1, 2015 6:07am
Aud/Jpy series closed out.
  • #283
  • Oct 1, 2015 8:11am Oct 1, 2015 8:11am
Quoting spyderman
{quote} Atokys, Perhaps you can use the trading template example in post #46 to explain what you are saying. The last entry in that pyramid is for 6.23 standard lots. In the example, I started with a $10k account. With a modest s/l of 200 pips that would represent a $12K risk to my balance. I obviously would not be able to open a position of that size under those circumstances. However, in the context of pyramiding that series there was no danger to my account balance, only floating profit to that point.
Assuming that you are trailing your stops to secure profit and pouring that profit back into the trade; you are increasing your potential profit while maintaining a constant risk amount at the expense of your position in a trade. If the trade goes against you at any point during the pyramid you are losing more than you would have loss if you had not pyramided.

In the context of one trade in a vacuum, it looks harmless. But in the context of a portfolio you are really doing the opposite of diversification by increasing your correlated risk. In this scenario, you stand to win big from extreme trends but the cost is more equity volatility in the absence of such outliers.
  • #284
  • Oct 1, 2015 2:45pm Oct 1, 2015 2:45pm
Quoting Atokys
{quote} But in the context of a portfolio you are really doing the opposite of diversification by increasing your correlated risk. In this scenario, you stand to win big from extreme trends but the cost is more equity volatility in the absence of such outliers.
Couldn't agree more with that. However diversification isn't my goal here...catching the extreme trends is. I understand that many of my entries are extremely correlated, but, as the saying goes, you miss 100% of the shots you don't take. I can't risk not being in on the series that hits the big trend.

For example last year on our E/U template there were no doubt many Eur and Usd crosses that were correlated with the Eur/Usd, but it was the E/U that hit the tradeable trend while others may have fallen short (I didn't study all crosses during that time period though)
  • #285
  • Oct 8, 2015 12:49pm Oct 8, 2015 12:49pm
Hi Spyderman

I notice that UJ has just opened on your TE. It looks as if the entry was on a H4 DC cross. I thought that for the first position in a new series price needed to cross the W DC?
  • #286
  • Oct 8, 2015 4:41pm Oct 8, 2015 4:41pm
Quoting Koglkama
Hi Spyderman I notice that UJ has just opened on your TE. It looks as if the entry was on a H4 DC cross. I thought that for the first position in a new series price needed to cross the W DC?

No you can use the aggressive H4 to jump on board as long as the daily hasn't been violated in the opposite direction. That series has been rolling along and we're just looking for a spot to get in.

Now if the daily DC would have been violated then that would "end" the series and you would need to wait for a daily dc break in the same direction to start a new series or a weekly dc break in the opposite direction to start a new series.
  • #287
  • Oct 8, 2015 4:44pm Oct 8, 2015 4:44pm
Quoting spyderman
{quote} No you can use the aggressive H4 to jump on board as long as the daily hasn't been violated in the opposite direction. That series has been rolling along and we're just looking for a spot to get in. Now if the daily DC would have been violated then that would "end" the series and you would need to wait for a daily dc break in the same direction to start a new series or a weekly dc break in the opposite direction to start a new series.

Just as a reminder, I'm also using the ichimoku cloud as a series close in concert with the daily DC. So same would apply to it.
  • #288
  • Oct 8, 2015 6:11pm Oct 8, 2015 6:11pm
Thanks Spyderman

Could you list the positions you have entered and exited for this UJ series, including the entry/exit prices and dates? It it's to much trouble that is OK.
  • #289
  • Oct 8, 2015 6:51pm Oct 8, 2015 6:51pm
Quoting Atokys
{quote} Assuming that you are trailing your stops to secure profit and pouring that profit back into the trade; you are increasing your potential profit while maintaining a constant risk amount at the expense of your position in a trade. If the trade goes against you at any point during the pyramid you are losing more than you would have loss if you had not pyramided. In the context of one trade in a vacuum, it looks harmless. But in the context of a portfolio you are really doing the opposite of diversification by increasing your correlated risk....
Great piece of logic in action there A.
  • #290
  • Edited 8:55pm Oct 8, 2015 7:01pm | Edited 8:55pm
Quoting spyderman
{quote} Couldn't agree more with that. However diversification isn't my goal here...catching the extreme trends is. I understand that many of my entries are extremely correlated, but, as the saying goes, you miss 100% of the shots you don't take. I can't risk not being in on the series that hits the big trend. For example last year on our E/U template there were no doubt many Eur and Usd crosses that were correlated with the Eur/Usd, but it was the E/U that hit the tradeable trend while others may have fallen short (I didn't study all crosses during...
I would seriously look at diversification spyderman. What is hampering your results currently is not your pyramiding but your entries. It is a symptomatic problem associated with trading a single instrument. To avoid the chop you need to actually reduce trade frequency on a single instrument by a selection of conditions that prevents the ability to overtrade and try to only act on trades that scream out at you. It is best to therefore be late in trend entry than early and ensure that you only trade trends of substance. What I mean here is that you need to place your trade entries in zones that reflect the 'fat tails of gaussian distributions' as that is where the intense trends of duration lie. They are infrequent but you overcome this by broad diversification. If you attempt to trend trade within the zones of normal distribution you will die.

This is where diversification comes in as trade frequency can be restored by widening your investment universe. The principle is based on a feature of markets in that trends of substance are an anomaly and irregular in nature that can never be predicted but when crisis events occur, market behaviour becomes directional in nature due to market divergence. For example in the equity market the entire asset class turns red as does forex to a lesser extent when the USD is hit which in turn creates market divergence in the majority of this asset class. This is where you can with confidence trade a trend as opposed to the illusion of a trend. The best trends to trade are few and far between but by spreading the joy to other instruments and in particular non-correlated liquid instruments, then you improve the probability of regularity of occurrence of trends of significance. What Atokys says then would apply in that the need for extensive pyramiding actually enhances risk via correlation so you could then decrease the extent of pyramiding and preserve more 'locked in profit per trade'.

Personally I don't pyramid with diversification as it compromises my equity curve by exacerbating drawdowns. I put all the 'punching power' into a single entry on a single instument when it screams at me and then I just let it go with a trailing stop positioned at the boundaries of volatility. Your pyramiding technique however for a single instrument is particularly powerful when a trend of significance is underway.....however it might not be quite enough for positive expectancy. Only time will tell i s'ppose. :-)
  • #291
  • Oct 8, 2015 7:47pm Oct 8, 2015 7:47pm
Quoting Koglkama
Thanks Spyderman Could you list the positions you have entered and exited for this UJ series, including the entry/exit prices and dates? It it's to much trouble that is OK.

Yeah you can just go to the trade explorer to the closed trades and sort on the instrument field. That will put them all in order.
  • #292
  • Oct 12, 2015 8:08am Oct 12, 2015 8:08am
Well it looks like the markets may well be flipping over on trend changes. A lot of pairs are stuck in the cloud. Guess I'll sit on my hands for a while.
  • #293
  • Oct 27, 2015 10:45am Oct 27, 2015 10:45am
Hi Spyderman, Good to see your still sticking to plan, this is a good example for me and the more I read its the only way. Hoping you will catch a big one shortly.

Just one thought for you to ponder I remember you saying a while ago about being up 100's of pips only to see it all come back on you and stop you out for a loss. Since risk is a major issue whilst balancing this with catching that big trend have you thought about splitting your position in to two entries and once you have gone 1R you bank this and you then have then a risk free (apart from gaps or major slippage) even if you don't move your stop to break even at that time. I realize the compromise is that your position size is then halved if price goes in your favour but I like the idea that the risk is taken care of and of course you still addon to the position.

I think I saw this on a thread by Peter Crown years ago?
  • #294
  • Oct 28, 2015 9:43pm Oct 28, 2015 9:43pm
Quoting silverpuma
Hi Spyderman, Good to see your still sticking to plan, this is a good example for me and the more I read its the only way. Hoping you will catch a big one shortly. Just one thought for you to ponder I remember you saying a while ago about being up 100's of pips only to see it all come back on you and stop you out for a loss. Since risk is a major issue whilst balancing this with catching that big trend have you thought about splitting your position in to two entries and once you have gone 1R you bank this and you then have then a risk free (apart...

SP,

Thanks for the idea. That's definitely worth thinking about. I'll kind of watch some current entries and see what develops. Typically if price moves far enough (say 2-300 pips) to close 1/2 and cover the other then price would have moved to BE at that point. But it would be nice to book some profit in case in retraces.
  • #295
  • Oct 29, 2015 5:12pm Oct 29, 2015 5:12pm
spyderman,

I look at your description in the first post of this thread: low risk, high return.

This system was up a lot at the start because of the China scare. How much was it.......30-40%?
Now its down with a DD of over 30%: a difference of 60-70%.
I think the idea should be to cut the losses fast and let the profits run.
The stellar runs are not there very often.
The weekly focus might be too long-term: perhaps scale in faster and get out earlier on daily TF.
it doesn`t matter if after a retrace you will be sometimes without positions: as soon as the trend continues, you`ll be back in.
Do you think that this system is nimble enough in adverse conditions?
  • #296
  • Oct 31, 2015 12:18pm Oct 31, 2015 12:18pm
Quoting yonnie
spyderman, I look at your description in the first post of this thread: low risk, high return. This system was up a lot at the start because of the China scare. How much was it.......30-40%? Now its down with a DD of over 30%: a difference of 60-70%. I think the idea should be to cut the losses fast and let the profits run. The stellar runs are not there very often. The weekly focus might be too long-term: perhaps scale in faster and get out earlier on daily TF. it doesn`t matter if after a retrace you will be sometimes without positions: as soon...

Yes the emphasis is on low risk/high return
As far as risk goes, as I stated on the E/U template we were using a 1% risk to achieve a 420% return. However, as I mentioned in post #55, I would like to be below that 1% on my initial risk, more down toward 1/4%. As I also mentioned in that post, I started this with a relatively small account which will not allow for that small of % risk for the size of s/l we're using. Looking at the TE we've had about 70 trades with 33 of them losing over 1%...some above 3%. So that drastically inflates the risk factor.
With that in mind, I'm totally happy with the amount invested thus far, especially considering the flatness of the markets Aug-Oct. The lot sizes I'm having to use would be more in line with a $3K account. From that standpoint we're at a 10%DD.

As far as any "initial" success or the system being up at the beginning, I would say that it has had no "success" as of yet, at least not in relation to "high returns". We haven't even got to a 3rd addon position on any pairs, again due to the nature of the markets of late.
I "wish" that wasn't the case, but I can't say I'm surprised. The very nature of what we're trying to capture insures it is not going to transpire often. As said before...I just want to be there when it does.
  • #297
  • Nov 22, 2015 4:13pm Nov 22, 2015 4:13pm
Well it's been over 3 weeks since my last post here. Not because I haven't wanted to, but because the markets haven't warranted it...
I've been placing orders, as you may have observed, but market movement hasn't allowed for so much as 1 addon entry in that period.
So we have to keep waiting.

The interim has given rise to the opportunity for me to study more charts and improve on the system.
Two areas I'd like to improve on are:
1. Capturing more longer term trend series
2. Reducing entries getting stopped out in ranging markets.

As mentioned I've studied many more charts including commodities and indices and have come up with some refinements.
1. Dropping the ichimoku cloud. It doesn't seem to add much to the back end and gets a bit messy up front (beginning of series)
2. Dropping the weekly series start signal. Won't need it with the change on the daily DC.
3. Changing the series signal start and the series end to a 55 period on the daily DC. This greatly expands the number of potentially profitable
series that are available to us. Notice the attached Gbp/Jpy chart which offers a 4,450 series using the 55 DC. At the same time it doesn't kill us on
the retracement of our Eur/Usd series that I've been using as a template. Notice again on the attached chart that the switch only changed the E/U
series from 2,450 pips to 2,250 pips. A good tradeoff I think.
4. Changing the s/l and trail to a 35 period on the H4 DC. Again this should help curtail some of the whipsaw action that's taking us out of trades.
5. Not using the aggressive H4 entry after a previous H4 entry gets stopped out. If we get an H4 stop out, whether at a loss or BE, we will wait for
a new 55 period daily DC entry to resume the series. This would apply whether or not we have any remaining entries open that are trailing at the 55 daily
DC.
6. Moving the entries trailing at the 35 H4 DC to trailing at the 55 daily DC as soon as practicable. This really isn't a change as I've mentioned this
before, but I am refining how I'm planning to go about it. Difficult to explain without live examples so we will be exploring this as the opportunities unfold.

Well, that's about it for now. We'll see where this takes us.

Attached Image (click to enlarge)
Click to Enlarge Name: GBPJPYiDaily.png Size: 49 KB


Attached Image (click to enlarge)
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  • #298
  • Nov 23, 2015 11:30am Nov 23, 2015 11:30am
Spyderman

Thanks for the update. I am sure these changes will improve the system and look forward to seeing how they work going forward. Also look forward to seeing how you will be changing from the H4 DC to the D DC trailing stop.
  • #299
  • Nov 24, 2015 6:35am Nov 24, 2015 6:35am
Quoting Koglkama
Spyderman Thanks for the update. I am sure these changes will improve the system and look forward to seeing how they work going forward. Also look forward to seeing how you will be changing from the H4 DC to the D DC trailing stop.

Thanks K...

Let's hope the markets cooperate and start moving so we can test some of this out.
  • #300
  • Dec 22, 2015 8:23pm Dec 22, 2015 8:23pm
Okay,

So we have a bit of market movement going on and I have several positions running at BE or better. A few are getting into position to put some addon trades forward.

In reviewing the thread it seems that I've deviated a bit in what I set out to do in respects to s/l trailing. I mentioned at the get go that I'd move my stop to BE at an "appropriate" time, but after getting taken out at BE a couple of times I started trailing. I just can't see the wisdom of allowing a trade to go over 100 pips in profit and not move to BE. So I'm reverting to a discretionary move to BE for the time being. I'm going to stick with the 20 H4 DC to set my initial stop and trail with that until such time I feel I should move to BE.

So on with the addon.

Usd/Cad

The Cad dollar has definitely been showing weakness and with the dollar strength, we've had a nice move on this pair. I'm sitting at 456 pips profit on my initial .01 lots. I'm placing a new pending buy stop at 1.4010 with the stop at 1.3850 for 160 pips. I will lock in 387 pips profit which will allow me to place another .01 lot entry using 50% or less of that locked profit.

Attached Image (click to enlarge)
Click to Enlarge Name: USDCADiH4.png Size: 57 KB
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