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Diversified Trend Trading Approach

  • #801
  • Apr 9, 2016 2:22am Apr 9, 2016 2:22am
Quoting Copernicus
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. https://www.youtube.com/watch?v=QGpgAz__uXs March 2016 Summary Trade results {image} Detailed trade results are attached as...
Bravo, great job, keep it up, we r learning so much from ur detailed and disciplined approach to the business of trading .
Master Your Setup, Master Your self. (NQoos)
  • #802
  • Apr 9, 2016 2:32am Apr 9, 2016 2:32am
Quoting bassramy
{quote} Bravo, great job, keep it up, we r learning so much from ur detailed and disciplined approach to the business of trading .
Cheers Bass. I never did the mowing by the way......I had to hit the sack after the webinar and didn't rise until my dear wife's piercing screams at me, woke me from my 'filthy' dreams.
  • #803
  • Apr 9, 2016 2:56am Apr 9, 2016 2:56am
Quoting Copernicus
{quote} Cheers Bass. I never did the mowing by the way......I had to hit the sack after the webinar and didn't rise until my dear wife's piercing screams at me, woke me from my 'filthy' dreams.
I'm sure it was worth it.
Master Your Setup, Master Your self. (NQoos)
  • #804
  • Apr 9, 2016 3:54am Apr 9, 2016 3:54am
Quoting Copernicus
{quote} Hi vasily.....welcome to the thread. :-) Your description very accurately describes my overall trading philosophy. Pretty well spot on mate. {quote} 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...
hi again you are smart and wise and diciplined and ................ ı take my hat of.
ı first say no ego in this talk.ı am not trying to prove anything and not want you to prove sometihng.ı just want to talk to improve on both sides.ı am sure we can make some exchange.
ı use linear regression channell insted of standart deviation.ı have my reasons for that as you do.ı had worked on your way of trading with using mechanical swing channells and was ok.and then ı met with a guy at twtr and started to work on algorithm trading.basicly finding a algorithm and jump on with price and momentum.so basicly trade with relativley bad rr according to your system cuz there is no pullback.this system was always ı wanted to trade with.ı hate waiting for pullback even if ı know entry must be done with it.the best with algo system is ı have rock solid exit rules.even if ı want to ı cant cheat myself.and when ı read some of your posts ı ask myself why ı didnt combine both and make better one with having advantage of good sides of both idea.maybe we can discuss further later.ı trade manually but with help of coded robot to print charts as needed.ı am programmer and ı have my twtr frined that we worked on algo system together he is also good coder where he coded algo system and ı buy it while it was his idea.
ı actually trade with price direction but ı can never trade with pending order,stop order,cuz ı open trade with bar close,by the way the reason ı read your thread is your post about tick data back test and bar open backtest.ı never use tick data cuz its too curve fitted.bar open is enough rough to create anti curve fitted system.if ı am not wrong you are on the same idea.end of by the way.... so ı wanted to know if you enter with breaks how you use stop orders or am ı missing sometinhg
  • #805
  • Apr 9, 2016 4:41am Apr 9, 2016 4:41am
Quoting Copernicus
{quote} Cheers Bass. I never did the mowing by the way......I had to hit the sack after the webinar and didn't rise until my dear wife's piercing screams at me, woke me from my 'filthy' dreams.

Lol..

Agree with Bass mate....and your detailed reports for your Monthly and other period metrics keeps setting the bench mark for us all..

the tunes aren't bad either..


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Memories caught in time but never forgotten
  • #806
  • Apr 9, 2016 5:23am Apr 9, 2016 5:23am
Cheers to you all guys. You always give me a lift with your comradery. Great to know you all. :-)
  • #807
  • Edited 7:10am Apr 9, 2016 5:42am | Edited 7:10am
Quoting vasily
{quote} just want to talk to improve on both sides.ı am sure we can make some exchange.
No probs Vas. I am all ears with possible improvements.

Quoting vasily
{quote} I hate waiting for pullback even if ı know entry must be done with it.
Me too. Waiting for pullbacks has it's downside despite the potential for a better entry with increased position sizing. The biggest downside is that I have missed a few great trades this way. I haven't done the stats on evaluating the pullback versus the breakout....but it is more a psychological thing combined with the fact that I actually hate watching my trades play out as it makes for a very boring day and possibly increases the stress level as well. In the bad old days that is what I used to do....and doing so just brings back bad memories and gave me opportunities to override my rules.

I therefore prefer to plan my trading hours around the decision making processes for setups and then once my pending orders are set, I let the system do it's thing while looking for other opportunities.

Quoting vasily
{quote} the best with algo system is ı have rock solid exit rules.even if ı want to ı cant cheat myself.and when ı read some of your posts ı ask myself why ı didnt combine both and make better one with having advantage of good sides of both idea.maybe we can discuss further later.ı trade manually but with help of coded robot to print charts as needed.ı am programmer and ı have my twtr frined that we worked on algo system together he is also good coder where he coded algo system and ı buy it while...
I hear you Vas and agree with your logic in these matters.


Quoting vasily
{quote} ı actually trade with price direction but ı can never trade with pending order,stop order,cuz ı open trade with bar close,by the way the reason ı read your thread is your post about tick data back test and bar open backtest.ı never use tick data cuz its too curve fitted.bar open is enough rough to create anti curve fitted system.if ı am not wrong you are on the same idea.end of by the way.... so ı wanted to know if you enter with breaks how you use stop orders or am ı missing sometinhg
For all my fully automated systems I prefer to trade on the open of the day.....or the close. The key requirement is that the exit and entry is kept clear of any possibility for a single price bar to contain both entry and exit. That way significant slippage is avoided or worse still, an entry or exit is not actioned. Also I tend to find on the balance of probability that if a signal to exit occurs on a bar, then more often that not, the signal doesn't carry over to the open for the next day. Cesar Alvarez did some very heavy duty analysis on this....which I have drawn the logic from as it also agrees with my anecdotal gut feel from experience.

For the discretionary system, the exit rules are a bit different and this is not for any other reason than it simply keeps me away from the trade execution screen. I prefer to use trade by chart functionality for the discretionary systems where exits are 'exactly' aligned with the SDC channel. I use a trailing stop from entry which follows the SDC channel like a glove. If the channel is touched, I am out. This way I can use trade by chart functionality to do this all for me without having to interfere.

Before a clever guy programmed me a line trader EA for MT4 which has since made my life easy, I used to use IG Markets ProReal time as my trading platform as trade by chart functionality was built into that platform.

......anyway, I don't think you are going to be worse off...and you probably would be better off if like the automated systems, you made your trade decisions on either the open or close of a bar. I just don't have the patience to sit at the screen and manage all this. Also with a large diversified portfolio, you can find at times that you need to be an octopus to manage it all in quick time if your prefer to manually trade. The key pre-requisite for me is automation where possible....even at the expense of a few pips of profit here and there. I find there is more than enough fat in this system, to allow for a few personal trader preferences.

PS Vas......I think that there are further opportunities to extend this general theme to fractal wave trading (without having to digress fully into Elliot Wave Theory) as it appears you may be heading down that track. I have attached two doc's that discuss how Bill Dreiss from Dreiss Research flavours his trend trading systems with some inspiring techniques surrounding fractal waves and how to measure what is noise and what is not. I need to get my head deeper into this as at first glance it is quite appealing and has been very successful in delivering excellent returns for his fund over the last 30 or so years with very little change.
Attached File(s)
File Type: pdf Bill Dreiss - Automating the Dow Theory Oct90.pdf   1.3 MB | 606 downloads
File Type: pdf Bill Dreiss - Measuring Market Choppiness Oct93.pdf   3.6 MB | 478 downloads
  • #808
  • Apr 9, 2016 6:28am Apr 9, 2016 6:28am
Quoting Copernicus
Cheers to you all guys. You always give me a lift with your comradery. Great to know you all. :-)
Getting sentimental
Attached Image
Master Your Setup, Master Your self. (NQoos)
  • #809
  • Apr 9, 2016 7:01am Apr 9, 2016 7:01am
Quoting bassramy
{quote} Getting sentimental {image}

mmmmmmmmmmm

Forget the sentimentality. It's time to buff up

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Your post reminded me of my dream today.

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  • #810
  • Apr 9, 2016 7:44am Apr 9, 2016 7:44am
Quoting Copernicus
{quote} mmmmmmmmmmm Forget the sentimentality. It's time to buff up {image} Your post reminded me of my dream today. {image}
Before or after you mowed the loan.
Watching Arsenal - West Ham in the premier league.
Master Your Setup, Master Your self. (NQoos)
  • #811
  • Apr 9, 2016 10:25am Apr 9, 2016 10:25am
Quoting bassramy
{quote} Before or after you mowed the loan. Watching Arsenal - West Ham in the premier league.
watched only second half, was excellent game!

Quoting Copernicus
excel :-)
hey C,
thanks for uploading one of your excels..looked at it and the logic in it is simple. its true its only a report.

I have several strategies in excel myself but only simple strategy.

have two questions to start with:
1: how do you battle big files with big data? For one of my latest strategy if i do 1month i get 500mb file...plus there is no trading logic in...only red/green solutions when to trade or not -its true that is 21 pairs

2: how do you program logic inside the excel, or in MS acces? Or maybe you program it in mt4 and then move it in excel?

My view is that if I dont establish myself a testing ground i better stop doing this on forward testing only.

I appreciate
  • #812
  • Edited 11:10am Apr 9, 2016 10:58am | Edited 11:10am
Quoting 21vs7
{quote} watched only second half, was excellent game! {quote} hey C, thanks for uploading one of your excels..looked at it and the logic in it is simple. its true its only a report. I have several strategies in excel myself but only simple strategy. have two questions to start with: 1: how do you battle big files with big data? For one of my latest strategy if i do 1month i get 500mb file...plus there is no trading logic in...only red/green solutions when to trade or not -its true that is 21 pairs 2: how do you program logic inside the excel, or...
Evening from here 21.

It has taken a while to get there and quite a few stumbling blocks along the way but the approach I use for excel is as follows:

I have overcome the size problem by creating seperate files for each instrument that contains it's own data history. I then consolidate these files in a portfolio file that produces an unscaled portfolio result for the chosen system.

The portfolio file then links to a further portfolio file that allows you to scale the portfolio and blend it with other portfolios.

The screen shot below of the file structure might give you an idea.

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Within this structure you will see 3 critical files:
1. Master;
2. Template; and
3. Portfolio

Some VB code or you can use recorded macros to create the code run the functions between these files.

Step 1
Develop a template file for your system that contains the system calculations that run off your data history dump which is contained as a seperate dump sheet to the working calculations.

The Broad structure of the Template file is as follows:

Data Dump Sheet
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Strategy definition Sheet (this does the system crunching)
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System Output report - this sheet is where info is consolidated into the portfolio spreadsheet (to come later)
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Trade Summary sheet
This is simply a summarised snaphsot of performance for the chosen instrument. The broad settings are linked to the portfolio spreadsheet which controls the variables. Change the variables at the portfolio level to run your various tests. The Store snaps sheet is where I take screen shots by pressing the button and store them for future reference. At the portfolio level we can also run sensitivity tests across all variables to optimise.
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Step 2
Develop a Masterfile which contains a list of the instruments in your portolio.
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You then need to create VB code or a recorded macro to create your portfolio using your template spreadsheet and obtain data from your SQL database/ Access database or Excel/csv data history files for each instrument. This allows you to update data at say monthly intervals and click the button to create and update the entire suite of instruments in the portfolio with the new data. Making this automated saves heaps of time.

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Step 3
Create the Portfolio file.
This includes a dump sheet using VB code to derive the dump from each instrument spreadsheet.
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A blending sheet to allow you to blend or turn on/off individual instrument results.
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To be continued.......
  • #813
  • Apr 9, 2016 11:18am Apr 9, 2016 11:18am
A Trade Summary Sheet for the Portfolio
This is the central driver of the entire suite of spreadsheets. Change your variables here and the update will flow through all instrument spreadsheets.
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The Instrument Details spreadsheet is also an important sheet which comes from your broker and provides critical info regarding SWAP, Spreads, tick values and lot size thresholds. This sheet links to all instrument spreadsheets.
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Thats' really all there is to it. Pretty simple really.....hello.....anyone there.....hello....lol. It certainly wasn't easy mate as you might gather but I am a bit anal with my system development.

You might want more simple models and a great place to start is using Mark Ursell's tips. If you are confident with Excel you actually might find this all pretty easy....but if not, try Mark's spreadsheets and then progressively build your system capabilities.

I must admit I have enjoyed getting into the nuts and bolts of this as it forces you to understand exactly how your system works.

Cheers

C
  • #814
  • Apr 9, 2016 11:25am Apr 9, 2016 11:25am
C..if my Missis sees this excel sheets she will finally admit that im not the major Excel enthusiast in the world!
Probably you are the KingKong of the Excel. Nah, really!

respect on the work! Ill have this as a base to see if me and friends can build something similar. Thank you !
  • #815
  • Apr 9, 2016 11:32am Apr 9, 2016 11:32am
Quoting 21vs7
C..if my Missis sees this excel sheets she will finally admit that im not the major Excel enthusiast in the world! Probably you are the KingKong of the Excel. Nah, really! respect on the work! Ill have this as a base to see if me and friends can build something similar. Thank you !
No probs mate. I am happy to help you in your journey if you are interested and can throw some files your way via dropbox if you PM me that you can work through. It would be good to have another Excel dude on the case with me and another pal of mine.

C
  • #816
  • Apr 9, 2016 12:14pm Apr 9, 2016 12:14pm
Quoting Copernicus
{quote} No probs mate. I am happy to help you in your journey if you are interested and can throw some files your way via dropbox if you PM me that you can work through. It would be good to have another Excel dude on the case with me and another pal of mine. C
excellent! ill introduce you my strategy and stuff im working on nowadays.. firstly ill try understand what im up against.

Thank you again!
  • #817
  • Apr 10, 2016 3:50am Apr 10, 2016 3:50am
Quoting Copernicus
{quote} No probs Vas. I am all ears with possible improvements. {quote} Me too. Waiting for pullbacks has it's downside despite the potential for a better entry with increased position sizing. The biggest downside is that I have missed a few great trades this way. I haven't done the stats on evaluating the pullback versus the breakout....but it is more a psychological thing combined with the fact that I actually hate watching my trades play out as it makes for a very boring day and possibly increases the stress level as well. In the bad old days...
apart from trading,there is much more too much to leanr from you @copernicus .you are real fortune for this forum :nerd:
  • #818
  • Apr 10, 2016 6:21am Apr 10, 2016 6:21am
Quoting vasily
{quote} apart from trading,there is much more too much to leanr from you @copernicus .you are real fortune for this forum :nerd:
Cheers V. I will keep an eye on your thread as your work sounds very promising in identifying critical supply/demand zones and momentum breaks. :-)
  • #819
  • Edited 8:03pm Apr 10, 2016 6:41pm | Edited 8:03pm
How to Deal with Trading Stress and Sleep Apnoea

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C
  • #820
  • Edited 10:59pm Apr 10, 2016 8:44pm | Edited 10:59pm
Example 1A - Gold (XAUUSD)

Gold is Getting Interesting - Example of entries used for upcoming possible live trades

MN is at critical threshold of short trend break supported by W1.

Is this the commencement of a change in trend or will it resume back into it's 4 year short trend?

Philosophy: Fundamental drivers create the macro-trends. The short trend in gold is being currently tested using statistical variation in price movement over the past 4 years. Keep alert for possible long entries on lower timeframes for a trend break that could offer good r:r given the possible early entry into a nascent trend. Also keep alert for price retracement for mean reversions back into trend. Be selective in your trade entries to not over commit to a preferred direction until the dust settles. Dip your finger in the waters with a scaled entry trade sequence.

What to do?
1. Put a finger in the water with a trade at M30 using long breakout with low trade risk and be prepared to scale in by timeframe long if successful. For example I have a pending buy set at 1253.03 ready to go with progressive pending orders set distally from current price if momentum continues.
2. For the more patient who prefer trend trade retracement trades, then wait for M30 retracement back into oversold zone of SDC before considering entry to nail r:r and increase position sizing with the same 0.25% risk.......but consider also that it might not play out this way.

What's the worse that can happen either way.......0.25% trade risk pffffft. :-)

Regards

C

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PS I will follow this example through to the end for those who may be interested in this technique. It will demonstrate how I adjust pending order entries on higher time-frames to ensure that max break-even is achieved before further scaling into the trade. Stay tuned....if the M30 trade eventuates.
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