Diversified Trend Trading Approach | Page 40 | Forex Factory

Options

Go to
Permalinks
Print Thread

Similar Threads

Is Grid Trading (combined trend following and counter trend) Profitable? 3 replies

Making a good diversified portfolio 10 replies

Diversified EA Money Management Code 10 replies

HAMA PAD - A Simple Trading Approach 7 replies

Trading a (semi) automatic approach...but want more 11 replies

Attachments: Diversified Trend Trading Approach
Exit Attachments

Diversified Trend Trading Approach

  • #781
  • Mar 28, 2016 6:16pm Mar 28, 2016 6:16pm
Quoting jmn5611
{quote} What I think we are all trying to find is whether there is a static formula to tell us quickly when something is amiss.
You are not wrong. If only we could put our fingers on that formula.....then it would be hasta la vista baby....off to Santa Cruz we go.
  • #782
  • Apr 1, 2016 7:39pm Apr 1, 2016 7:39pm
Sorry for the long hibernation.
Quoting Copernicus
I agree. You get two bites at the risk management cherry with diversified trend following. Diversification itself helps dilute any negative impacts associated with a flash crash event that you simply cannot passively ride as a trend follower (such as the 'almost' instantaneous Swissy event) PLUS trend following itself ensures that you trade on the correct side of any sustained protracted price movement. You certainly cover your risk management bases with this philosophy and is why IMO this technique reigns supreme in the world of trading. It is...
The way I look at it, there is no alternative other than following trends. Not even non-participation. When a mania grips the world price will travel along the path of least resistance and the only prudent choice is to be a speculator who gets in not too early and gets out not too late (and not too prematurely either). Any other class of player will lose either money or opportunity.
Quote
This uncertainty in any nested open system/s actually guarantees that there will be periods of sustained asymmetrical anomaly that can be exploited by those that simply follow price and flies in the face of normal distributions that are an artifact of simplified mathematics and not representative of the reality of open/nested systems. Thermodynamic fact (the second Law): Any theoretical closed system will over time obey principles of entropy and tend toward equilibrium. Any open or nested system will never achieve equilibrium (effective random fully...
I am reminded of Jesse Livermore's exploits where he would be contracted by company directors to do a mass sale for a block of stock that had no marketability. He entices the market and manages to run up the price purely through strategic buying and selling of his own stock before making a killing by selling off at top prices. Lead into Gold.

The best part is that there was no need for him to spread rumours or tips or even advertise the stock. The news media and financial writers would do it on their own accord responding to public demand for explanations regarding the stock's recent activity. There you go; fundamentals.
Quoting Copernicus
{quote} I agree mate. I think it is as simple....or as hard....as your philosophy suggests. If you can be around to take advantage of this simplicity in an inefficient market then that's all there is to it... :-)
Or perhaps an inefficient species.
  • #783
  • Apr 1, 2016 8:08pm Apr 1, 2016 8:08pm
Quoting Atokys
Sorry for the long hibernation
Morning A. I don't think you missed much on FF while you were away.

Quoting Atokys
The way I look at it, there is no alternative other than following trends. Not even non-participation. When a mania grips the world price will travel along the path of least resistance and the only prudent choice is to be a speculator who gets in not too early and gets out not too late (and not too prematurely either). Any other class of player will lose either money or opportunity.
I agree mate. Simply follow price (a step behind) but keep the powder dry till the inevitable occurs.

Quoting Atokys
Or perhaps an inefficient species.
LOL......inefficient species. I concur.

Aveagreatweekend mate :-)
  • #784
  • Apr 3, 2016 5:22pm Apr 3, 2016 5:22pm
Strategy Development with Perry Kaufman

A new episode from Better Systems Trader featuring Perry Kaufman centering on his latest book "A Guide to Creating a Successful Algorithmic Trading Strategy".

The discussion focuses on how to achieve system robustness and how the development of a logical premise/s is a necessary precursor before embarking on system development. His methods for selecting for robustness offers great food for thought for the system developer.

Perry is well known for his comprehensive description of a vast description of trading strategies defined in his treatise "Trading Systems and Methods" (now at the fifth edition)......and he knows what he is talking about. The book is a magnificent reference tool for the system developer. You name the system, and there is a good chance it is described and has been comprehensively tested by Perry in his book.

Rather than reinvent the wheel, just draw from the systems described in his book that fit your trading profile and select those that offer non-correlated return distributions over a significant sample size to achieve sufficient diversification and voila....there is a good chance that you will be on the road to 'robustness'.

Enjoy

C
  • #785
  • Apr 6, 2016 9:14pm Apr 6, 2016 9:14pm
Avoiding Catastrophic Risk Through Trend Following

You gotta love Covel...he doesn't pull any punches.

Have a great giggle with the following podcast and look at this post for a context to the historical share price of Valeant. Whether or not they are the next Enron......you gotta laugh at the blatant stupidity of greedy investors or fund managers with ticket's on themselves (including Ackman).

Enjoy

C
  • #786
  • Apr 7, 2016 7:22am Apr 7, 2016 7:22am
After a pretty miserable March.....finally things are starting to cook with gas on the trend front with the Yen pairs in particular.

AUDJPY
Attached Image (click to enlarge)
Click to Enlarge Name: AUDJPY.JPG Size: 283 KB


CADJPY
Attached Image (click to enlarge)
Click to Enlarge Name: CADJPY.JPG Size: 281 KB


EURJPY
Attached Image (click to enlarge)
Click to Enlarge Name: EURJPY.JPG Size: 283 KB


NZDJPY
Attached Image (click to enlarge)
Click to Enlarge Name: NZDJPY.JPG Size: 264 KB


USDJPY
Attached Image (click to enlarge)
Click to Enlarge Name: USDJPY.JPG Size: 291 KB



Ride em' cowboys :-)

C
  • #787
  • Apr 7, 2016 8:25am Apr 7, 2016 8:25am
Jerry Parker talks with Aaron Fifield


Attached Image (click to enlarge)
Click to Enlarge Name: Capture.JPG Size: 109 KB


Chesapeake has had a long track record of steady returns. The only material changes made to the core strategy since inception is that variables have been progressively tuned towards the longer term time-frames to deal with increasing market noise.

Attached Image (click to enlarge)
Click to Enlarge Name: Capture2.JPG Size: 104 KB


Attached Image (click to enlarge)
Click to Enlarge Name: Capturez.JPG Size: 68 KB


Attached Image (click to enlarge)
Click to Enlarge Name: Capture1.JPG Size: 129 KB


Attached Image (click to enlarge)
Click to Enlarge Name: Capture3.JPG Size: 66 KB



Recent performance (post 2002) however has been fairly subdued.

Attached Image (click to enlarge)
Click to Enlarge Name: Capture4.JPG Size: 84 KB
  • #788
  • Edited 8:44pm Apr 7, 2016 8:14pm | Edited 8:44pm
Why I am a Generalist and Not a Specialist

There are two broad philosophies with Technical Analysis that govern how you approach trading the markets and while each have their own merits, the result is a diametrically opposed way of doing things. In fact, you will never achieve consensus between these two broad schools of thought.

The first is the market specialist. Traders that belong to this camp have an underlying philosophy that an instument (market) has their own distinctive characteristics and market profile. As a result, to trade the instrument in the most efficient manner, the proponents of this camp adhere to principles that the distinctive personality of the instrument leads to trading strategies that capitalise on this distinctive personality. The philosophy therefore raises the following arguments:
1. That a discretionary approach to trading is the way to capitalise on this distinctiveness;
2. That patterns are complex, restricted to a particular instrument and can only be traded by a nimble mind as opposed to a simple EA;
3. That EA's never work and are not sufficiently empowered or as competent as the brain to trade this distinctive flavour;
4. That recurrent patterns are the way to identify this market distinctiveness and that these patterns will hold throughout the life of the instrument;
5. That you should master an individual instrument and focus on 'sticking to knitting' as opposed to diversifying trades across other instruments;
6. That reading price action is the secret to success and statistical tools, indicators or lagging tools are a fools game;
7. That you can predict future price action with reliability if you can 'listen to the market';
8. That traders either have it or don't....Using this philosophy it is almost impossible to transfer trading skills to another trader. The skills are a result of direct experience trading the market; and
9......and probably a host of other views that are a direct manifestation of this philosophy.


Then there is the market generalist. Traders in this camp (and I must admit I belong here) have an underlying philosophy that there is no specific pattern that distinguishes one instrument from another. This philosophy is based on the following arguments:
1. There are only 3 broad directional price moves that exist among all instruments. It either goes up, down or sideways;
2. Breakouts or mean reversions are the only two common recurrent patterns of substance that exist across all liquid instruments;
3. Price action or distinctive patterns are virtually meaningless and simply a consequence of market noise in a complex market;
4. You cannot predict with certainty future price action, you simply recognise that price periodically moves in non-random serially correlated ways;
5. Diversification is the method to trade this philosophy as 'real' opportunities seldom arise frequently in a single instrument;
6. Simple strategies are the only way to trade a diversified list of instruments as any pattern may contain non-random directional kernels of price movement. A complex strategy will significantly reduce the ability of price to freely move in a general direction and significantly reduce the sample size;
7. Fully automated strategies are the way to trade this philosophy where possible;
8. No single EA will work but a suite of systems will over the long term;
9. Risk management needs to be equally applied across all instruments;
10. The key to surviving in the market is by simply surviving as unpredictable price moves will occasionally come your way which you can capitalise on...provided you are around to participate in the opportunity.
11. Statistics speaks louder than price action;
12....and probably a host of other views that are symptomatic of the underlying trading philosophy.


So who is right..........well both......but the important question is who will win in the long term............well my bets are with the generalist simply by virtue of the fact that market conditions for a particular instrument change over time. The specialist may reap rewards above and beyond the generalist in the short term....but over the long term, the generalist will generally leave the specialist in their wake....unless the specialist can quickly adapt. That's because the generalist is better equipped to deal with market uncertainty. Success in this market is not about rates of return, it is about risk management. Rates of return are simply a positive symptom of sound risk management.
  • #789
  • Edited 3:42am Apr 8, 2016 12:51am | Edited 3:42am
Quoting 21vs7
{quote} I see. better. ok, semi automated?..Downloaded bunch of Linear regression / standard deviation tools. Manually user defines how many candles back it will be calculated. - so the starting point. Or there is some XX number that mainly is used as 100 MA 50 MA or some other?
Carrying on from your queries on Bass's thread.

I define major pivot points before I extend my Standard deviation Channels (SDC's). For example take the following example.

Below is a raw monthly chart of USDJPY.

Attached Image (click to enlarge)
Click to Enlarge Name: USDJPY MN Raw.JPG Size: 102 KB


Step 1 - Visually identify major pivot points on the chart (highest highs and lowest lows).

Attached Image (click to enlarge)
Click to Enlarge Name: USDJPY MN Pivot.JPG Size: 99 KB


Step 2 - Now draw SDC channels of 1 standard deviation width between pivot points. That defines the overall linear regression of price movement between these points. Then extend linear lines from the lower SDC (if long) or higher SDC (if short). These lines represent you trailing stop or when according to this definition the trend ends. It is critical that you lock in the commencement point of the SDC from these points. Do not allow for the SDC to roll forward.

Now you can see that you have formally defined your trend and it's projections and everyone will draw the same thing if this definition is adopted.

Attached Image (click to enlarge)
Click to Enlarge Name: USDJPY MN Trend Definition.JPG Size: 148 KB


Have a good look at where price plots within the SDC channels. If you like to enter trends on retracements, then when price moves into overbought or oversold zones of the channels, you can define where your high probability trades with good risk to reward lie.....but you may miss some great trades doing so. My mantra is that I never miss a good trade so i simply trade breakouts (higher highs or lower lows).

I simply trade breakouts, but with a bit more finesse you could probably improve results if you restrict your trade entries on lower timeframes to when price enters these retracement zones on the MN chart.

Look closely where price currently sits on the right edge of the chart. Clearly we have a reversal of trend in place as price is now well below the lower SDC of the previous bull trend. In fact it signalled a trend end 2 months back.

Now when price makes new lower lows you extend the right hand SDC to that new low so on the right hand edge of the chart you have rules for how and when to extend the new SDC. Do not extend if price has not reached a lower low or higher high from the last pivot.

At the moment if you wanted to get in short on the new trend, you would wait until price retraced into the upper (higher) channel of the SDC.When this occurs you would then slip down into lower timeframes and draw your SDC's on that timeframe and identify where the highest probaility trades lie. Clearly things are a bit oversold at the moment so an entry now would be a bit pointless.

Provided (for this example) the overall slope of the linear regression for the relevent timeframe is down and provided that price has not broken your 1 SDC, the trend is still short. If not, then a new trend direction on that timeframe needs to be drawn and the associated pivot point for commencement identified. This way you can then trade in-trend and also counter trend moves (of longer timeframes). My countertrend trades occur on M30, H1 and H4 usually.

I hope this makes sense. This thread delves into this topic in more detail, so if you have a *long* read you should be able to nail the process.


Quoting 21vs7
{quote} with so many trades in place in-out what is your average holding period in general 1h,4h,1d system? At 3% you stop that would mean around...
The structure of the SDC for each timeframe varies as on each timeframe you identify your pivot points and draw your SDC's. As a result, your SDC scales to each timeframe and your trailing stops and position sizes are defined for each timeframe. What you actually find by trading multiple timeframes this way is that you capture both trends and swing trades of longer trends (from lower timeframes).

Below is a snapshot of the 6 timeframes I trade and the SDC's for each timeframe. As you get deeper into profit you need to reduce the SDC width to encapsulate historic price movement on that trend. By doing this you optimise your exit and do not leave much profit on the table when the trend for that timeframe ends.

Attached Image (click to enlarge)
Click to Enlarge Name: USDJPY status.JPG Size: 291 KB


You can see that I have trades on M30 (deep in profit) at 0.25% trade risk, H1 (good profit) at 0.25% trade risk, H4 (just below entry) at 0.25% trade risk, D1 (deep in profit) at 0.5% trade risk, W1 (yet to enter as configured with pending order to enter at 110.095 at 0.50% trade risk), and MN( yet to enter as pending order set at 104.600 at 0.50% trade risk). Once MN and W1 are entered I will not add any further trades. If lower timeframes get stopped out I will re-define pending orders at lower breakouts when or if the trend resumes.

Note how I am staggering entries onto different time frames only when all trades have reached worst case break-even. That is how I control not getting too overexposed with portfolio heat.


Addendum. If you use the trade logic that the highest timeframe is driven by fundamentals (eg. MN) and that you only want to trade when the MN trend confirms a valid entry zone then this can act as a very good filter across your diversified portfolio. Only consider entry into lower time frames when price on the MN timeframe confirms the best risk to reward potential. At all other times you simply shut down trading that instrument. This way you can keep watch over 60 to 100 instruments and be selective in entry based on fundamental drivers of trends as opposed to simply market noise.



Cheers 21vs7

C
  • #790
  • Apr 8, 2016 2:02am Apr 8, 2016 2:02am
@ 21vs7

As far as your query regarding average holding periods for the discretionary systems described in the prior post, here are my stats for the discretionary systems used in this thread since 1/1/2015:

M30 Timeframe - Trade frequency since 1/1/2015 = 551 - Average Hold per Trade = 5.16 days
H1 Timeframe - Trade Frequency since 1/1/2015 = 311 - Average Hold per Trade = 9.31 days
H4 Timeframe - Trade Frequency since 1/1/2015 = 136 - Average Hold per Trade = 19.5 days
D1 Timeframe - Trade Frequency since 1/1/2015 = 77 - Average Hold per Trade = 41.12 days
W1 Timeframe - Trade Frequency since 1/1/2015 = 15 - Average Hold per Trade = 124.27 days (insufficient sample size to have meaning)
MN Timeframe - Trade Frequency since 1/1/2015 = 8 - Average Hold per Trade = 165 days (insufficient sample size to have meaning)
  • #791
  • Apr 8, 2016 2:20am Apr 8, 2016 2:20am
Quote
.... My mantra is that I never miss a good trade so i simply trade breakouts (higher highs or lower lows). I simply trade breakouts, but with a bit more finesse you could probably improve results if you restrict your trade entries on lower timeframes to when price enters these retracement zones on the MN chart. Look closely where price currently sits on the right edge of the chart. Clearly we have a reversal of trend in place as price is now well below the lower SDC of the previous bull trend. In fact it signalled a trend end 2 months back. Now...

Thanks C, for yet again extended translation of the system. Im interested in this principle. Have printed out the .pdf and introductional commentary.
Will definately read about that and get some idea going forward. As said, i will try to implement linear regression on my currency index story.

One technical question. As Im not a programer, I have a contracter who works for me on MQ4 stuff. The problem with multicurrency, multitimeframe backtesting in MT4 environment is known. Have you stumbled on any tool which offers good environment on multicurrency (atm 21 pairs) and multitimeframe Forex?

I am planning to set up my own database in mysql - im recording the mt4 from feb16. And from there Ill try to connect all this data to R or Phython. Thats the idea, but all this Ill have to get good minds together and pay the people not a problem, just exploring if there is another way out of this.

Quoting Copernicus
@ 21vs7 As far as your query regarding average holding periods for the discretionary systems described in the prior post, here are my stats for the discretionary systems used in this thread since 1/1/2015: M30 Timeframe - Trade frequency since 1/1/2015 = 551 - Average Hold per Trade = 5.16 days H1 Timeframe - Trade Frequency since 1/1/2015 = 311 - Average Hold per Trade = 9.31 days H4 Timeframe - Trade Frequency since 1/1/2015 = 136 - Average Hold per Trade = 19.5 days D1 Timeframe - Trade Frequency since 1/1/2015 = 77 - Average Hold per Trade =...
Thanks for that. Interesting, it says a lot.

What is your level to say that sample/result is relevant or insufficent as in W1 and MN periods?
  • #792
  • Edited 3:21am Apr 8, 2016 2:32am | Edited 3:21am
Quoting 21vs7
{quote}One technical question. Have you stumbled on any tool which offers good environment on multicurrency (atm 21 pairs) and multitimeframe Forex? I am planning to set up my own database in mysql - im recording the mt4 from feb16. And from there Ill try to connect all this data to R or Phython.
At the moment I have elected to do all my portfolio backtesting using MS Excel. It has been a bit of effort getting the models automated but well worth it as like you, I am not a proficient programmer.....but I really need to know what is going on so that's my path at the moment. Excel with MSAccess is a pretty powerful combined system and I have yet to incur any obstacles or limitations if you know what you are doing and have some VB skills up your sleeve (or a friend who has those skills).

If I had to choose between systems for solid backtesting with portfolio's I would suggest Amibroker or even better still TradingBlox. TradingBlox 'professional' does not require extensive programming experience if you opt for simple robust systems.....and wow is it powerful......but it is quite exxy......

Quoting 21vs7
{quote} What is your level to say that sample/result is relevant or insufficent as in W1 and MN periods?
The more the merrier. No strict rules in force here but in general terms, sample sizes of >200 are going to be far more meaningful than the current numbers I have on W1 or MN.



....anyway this thread is getting far too serious. It's Friday night downunder.......time to party.

Inserted Video
  • #793
  • Apr 8, 2016 3:02am Apr 8, 2016 3:02am
Time to put on the flares and mosey on down to the hacienda :-)


Inserted Video
  • #794
  • Apr 8, 2016 3:05am Apr 8, 2016 3:05am
Quoting Copernicus
{quote} At the moment I have elected to do all my portfolio backtesting using MS Excel. It has been a bit of effort getting the models automated but well worth it as like you, I am not a proficient programmer.....but I really need to know what is going on so that's my path at the moment. Excel with MSAccess is a pretty powerful combined system and I have yet to incur any obstacles or limitations if you know what you are doing and have some VB skills up your sleeve (or a friend who has those skills). If I had to choose between systems for solid backtesting...
ok, i know you already talked about that connection mt4-excel-msacces. ill find it. When time is right ill need more about that

Inserted Video


ya, somewhere there is always time for vino or gintonic ! cheers
  • #795
  • Apr 8, 2016 3:12am Apr 8, 2016 3:12am
Quoting 21vs7
{quote} ok, i know you already talked about that connection mt4-excel-msacces. ill find it. When time is right ill need more about that https://www.youtube.com/watch?v=6EsfztAmcJY ya, somewhere there is always time for vino or gintonic ! cheers
Paul Oakenfold....nice mate. :-)

Have a great weekend.

Attached Image
  • #796
  • Apr 8, 2016 4:02am Apr 8, 2016 4:02am
Quoting Copernicus
Whether or not they are the next Enron......you gotta laugh at the blatant stupidity of greedy investors or fund managers with ticket's on themselves (including Ackman). Enjoy C
Enron is just a relatively recent New Haven.

From Reminiscences:
"Of Course, the classic example is the New Haven. Everybody knows today what only a few knew at the time. The stock sold at 255 in 1902 and was the premier railroad investment of New England...

...But when a new and aggressive president was placed in charge by Mr. Morgan and the debacle began, it was not clear from the first that the new policies would land the road where it did...

Of course, the first to see breakers ahead were the insiders. They became aware of the real condition of the company and they reduced their holdings of the stock. On their selling as well as on their non-support, the price of New England's giltedged railroad stock began to yield. Questions were asked, and explanations were promptly forthcoming. "Prominent insiders" declared that there was nothing wrong that they knew of and that the decline was due to reckless bear selling. So the "investors" of New England kept their holdings of New York, New Haven & Hartford Stock. Why shouldn't they? Didn't insiders say there was nothing wrong and cry bear selling? Didn't dividends continue to be declared and paid?

That historic break from $255 to $12 a share never was and never could have been a bear drive."

Remember folks, when things go South and the news starts blaming the "reckless professional speculators" you have been / are being duped.

Quoting Copernicus
Why I am a Generalist and Not a Specialist There are two broad philosophies with Technical Analysis that govern how you approach trading the markets and while each have their own merits, the result is a diametrically opposed way of doing things.
A lot of Forex Factoricians operate as 'Specialists' but with less than a Generalist's level of expertise.
  • #797
  • Edited 10:06pm Apr 8, 2016 6:29am | Edited 10:06pm
An Introduction to Peter Brandt

Looking forward to his upcoming webinar today (or at sparrow fart tomorrow morning for us from downunder).

Cheers

C

PS. Have watched the introductory free seminar. Sounds like the ride with Peter will be very worthwhile as he plans to download his experience to his members in the next 3 or so years before he retires from public life.
  • #798
  • Edited Apr 9, 2016 12:05am Apr 8, 2016 8:56pm | Edited Apr 9, 2016 12:05am
Monthly Performance - March 2016 - Discretionary Systems

The following is a performance update for the month of March 2016 for the discretionary systems described in this thread. Namely the DTT, EDTT and EDTT1 approaches. Results for the fund managers are still to be collated so performance results of the fully automated systems for March 2016 will be posted on this thread at a later date.

Enjoy with a chill pill.

Inserted Video



March 2016 Summary Trade results
Attached Image


Detailed trade results are attached as excel files.

DTT Historic Performance To-Date
Attached Image (click to enlarge)
Click to Enlarge Name: March 2016 DTT Historic Performance.JPG Size: 72 KB


EDTT Historic Performance To-Date (multi-timeframe)
Attached Image (click to enlarge)
Click to Enlarge Name: March 2016 EDTT Historic Performance.JPG Size: 75 KB


EDTT1 Historic Performance To-Date (multi-timeframe excludes counter-trend trades)
Attached Image (click to enlarge)
Click to Enlarge Name: March 2016 EDTT1 Historic Performance.JPG Size: 74 KB


System Comparison
Scaled results apply the same drawdown to each scenario and gives a comparative risk/reward performance measure. In a nutshell, the strong lead of DTT was whittled away by EDTT for March. Not surprising considering the level of counter-trend and trend reversal activity in the month.

Attached Image (click to enlarge)
Click to Enlarge Name: March 2016 Discretionary Comparative Historic Performance.JPG Size: 70 KB



Outlook for April 2016
The month has had a cracker of a start with trend activity in the Yen pairs and also notable contributions from the Singapore dollar.

April 2016 Interim Results - Closed Trades
Attached Image


April 2016 Unrealised Valuation of the Portfolio
Attached Image (click to enlarge)
Click to Enlarge Name: April 2016 Interim Unrealised Valuation of Portfolio.JPG Size: 168 KB


Have a great weekend guys. Let's hope April continues to be a volatile month on the trend front.

C
Attached File(s)
File Type: xlsx Discretionary Systems - Monthly Summary April 2016 - Interim Results.xlsx   32 KB | 223 downloads
File Type: xlsx Discretionary Systems - Monthly Summary March 2016.xlsx   34 KB | 196 downloads
  • #799
  • Apr 8, 2016 10:52pm Apr 8, 2016 10:52pm
hi @copernicus some way ı didnt find your thread earlier cuz ı read ff before ı become member short time ago.
my english not so good so be careful
ı read some of your posts not much 4-5 and ı come to a result how you trade in generel.ı wan to put my findings here and pls correct me after you read.
your number of loses must be bigger then your winner trades.ı say win/loss rate
trading with good rrr
monthly weekly chart trades including more fundumental analyses,ı can say you dont trade fundumental directly but its working back in your mind
daily and smaller are more rr based trades.better the rr corolated with higher tf positioning is the better entry rather then anything
greenpips
  • #800
  • Edited 11:49pm Apr 8, 2016 11:13pm | Edited 11:49pm
Quoting vasily
hi @copernicus some way ı didnt find your thread earlier cuz ı read ff before ı become member short time ago. my english not so good so be careful ı read some of your posts not much 4-5 and ı come to a result how you trade in generel.ı wan to put my findings here and pls correct me after you read.
Hi vasily.....welcome to the thread. :-)

Your description very accurately describes my overall trading philosophy. Pretty well spot on mate.

Quoting vasily
your number of loses must be bigger then your winner trades.ı say win/loss rate trading with good rrr monthly weekly chart trades including more fundumental analyses, ı can say you dont trade fundumental directly but its working back in your mind daily and smaller are more rr based trades.better the rr corolated with higher tf positioning is the better entry rather then anything greenpips
Winning trades are a lot less frequent than losing trades. To keep me less stressed, I only risk a very small % of trade capital (between 0.25% and 0.5% per trade). That way a loss is a pin prick and I can afford to never focus on a single trade. Having such small losses allows me to focus on the next thousand trades. This way I more align my psychology with the overall statistics and not the individual trade.

The fewer wins (letting the profits run) require a much larger average $win to keep my head above water, but the statistics are on my side provided you have diversification....... so that is my aim.

I aggressively manage trades from entry to exit using the standard deviation channels as my guide in my discretionary systems which is unlike my fully automated approaches that let price breathe much more. The results are suggesting that the entire process of the trade from beginning to end needs to be managed to achieve reduced variability of returns.

To deal with the very low individual trade results, I need to increase trade frequency to make my average returns. The statistics of my approaches tells me that a single instrument might only have a very few large wins in any year (and sometimes not at all). It therefore necessitates that I must diversify across a broad range of instruments if I want to increase my frequency but at the same time be selective in only picking those trades which have a good risk to reward ratio.

Not only does diversification increase trade frequency (diversification in instruments and across timeframes), but probably even more important is that diversification flattens my equity curve and reduces the volatile swings in my return profile that is typical for a trend trader. The discretionary approaches described in this thread currently significantly outperform the fully automated approaches in terms of return to drawdown ratio and I put this down to the diversification across time-frames and the very selective nature of taking trades. In general the lower trade frequency per instrument, the better the results, so to allow for this I must diversify my instrument selection as much as possible.

While I don't predict price I do base my overall price direction in the future towards the longest timeframes as my philosophy tells me that over the long term, economics drives the big directional moves (serially correlated news events over time). The rest is just too complex for me to predict so I refer to this complexity as 'noise' in terms of how it relates to my trade strategies. With this in mind, I use the longer term timeframes as a guide to when opportunities with the greatest probability of a higher r: r ratio might be prevalent. That's when my interest picks up in a particular instrument and I focus on trade opportunities on lower timeframes with the largest timeframe in mind.

Furthermore I ring fence every timeframe and every instrument with pending orders well beyond current volatility in the event we have a breakout more of substance that I might want to catch a ride on. That way I never miss a trend or momentum based move of substance.

Because I trade multiple timeframes on a single instrument, correlation is a factor that must be addressed across instruments so I need to progressively scale into trades across multiple timeframes to manage the correlation risk beast. For example the prior post shows current open trades. Many are in the same instrument. To reduce portfolio heat from correlation I progressively scale into M30 then H1 then H4 then D1 etc etc etc only when the previous timeframe has reached max breakeven. If you look at the unrealised returns of each instrument in he table on the prior post, you will see what I mean.

While I describe some of my approaches as discretionary, the trade mechanics from entry to exit are 100% mechanical and can be fully automated. The discretion lies in the setup or decision to trade which is based on where I place pending orders for entry, where I define my pivot points for SDC regression to commence and how the lower timeframes look from the perspective of higher timeframes in terms of r:r. That is where the real work lies. I have tried to fully automate, but the considerations for entry are simply too vast and fluid to ever be successfully coded. It is a great shame it can't be fully automated as that's where my preference lies. It can be taught however in general terms which would be sufficient if a group of traders wanted to trade these techniques with 24/5 coverage.....but that is a less than ideal solution given the risks associated with human error. So if push comes to shove, I would trade this technique 24/5 with very loud alerts and worry about sleep....and the rest of the family's sleep later /tic.

I hope this all makes sense.....but you actually did a better job in describing my philosophy in less words than I can clearly do with a long winded explanation.

Cheers V

C
0 traders viewing now