Diversified Trend Trading Approach

Cheers mate. F asked me to send you his regards. He lives in the plush suburb a few hills away. I'm in the ghetto where we keep warm lighting up our neighbours cars :-)

If you are where I think you are then that's where I met my wife all those moons ago. Roma Sreet to be precise

C, heard that Power Pivot is the bomb in excel also...then all is written in VBA? Why you went to Acces? Is there a data dump difference there or something other?

eee how much RAM do you have? and CPU? here i7 8gb

thanks

Hey NT...Not too far away from Roma Street mate and know it well. Just a bit west of it. It's a very small world mate. A bear in Roma street. Who would have thunk it! No wonder your missus was impressed

Evening J.

I prefer to keep my strategies in MS Excel but house my data and MS Excel report outputs typically in MS Access. The power of MS Access is pretty phenomenal in terms of deriving data relationships due to it's relational nature and also in it's storage capacity. Also cross-tab functionality on Access get's pretty close to pivot table functions in Excel.

Each have their pro's and cons but I tend to use Excel for the strategy development, visual output functions and reporting outputs and Access for it's data storage capability of data and excel outputs. Working with both offers the best of both worlds and they can be used seamlessly together. While I am not a programmer, you can do pretty flash stuff with MS Access without programming skills by simply pillaging and editing code or working with the inbuilt wizards.

For example you can host tick data outputs of any instrument across asset classes from tickstory and other available sources (or minute data) from whatever broker or multiple brokers in your database, and extract data on a needs basis in whatever timeframe and source to dump into your excel spreadsheet. Try doing this in Excel....you will soon run into data file size issues. If size becomes a problem in MS Access, use a SQL server and make your front end MS Access...goodbye size problems.

You can host all your prior strategies and results in Access so you never discard and forget about them. With a few filters and queries you can cross compare various strategies and results across your entire lifetime of test histories. You can host all your optimisation runs in Access and continuously cross compare results between strategies etc.

Even if I was working with a dedicated trading platform such as Amibroker or TradingBlox, I would be harnessing the power of Excel and Assess with the outputs derived from these platforms. So in a nutshell choose one, or the other...but better still both.

They key requirement for access is in the database structure you choose to use. If you get it wrong to start with you can spend significant time having to undo your creation. If you can nail the structure, you can be king of your domain.

acces have too flexible analyzing tools.at the end its data base.trick is what how you will analyze

ok thanks...ill try to see...As I will have very very large data base on 1m TF and several variations of some indicators Ill need to think this throu.

At this point I know all programing sgonna be in VBA and strategies I apply could be tested in this environment. I would probably do it at Q by Q testing. I hope that will work.

Im new on this so still not everything is clear, so appreciate the help

Good point V. Dependent on your skills base, there is not much that can't be done on either Access or Excel......in fact size and processing speed are really the only hurdles to overcome.

Cole Wilcox of Longboard Asset Management - Let's go surfing.



Enjoy

C

It certainly is mate. You wake up in Tokyo and 16 hours later you're eating pie and beans in London. Unbelievable!
Oh I wasn't a bear in those days. Just another scruffy backpacker
Good night!

Night mate :-)



PS The Old Transcontinental opposite Roma Street station is now but a distant memory. Times change.....but the ghosts of the past can still be heard....*thump, thump, thump, thump*

What Lies at the Heart of the Discretionary Systems

If I had to make a call as to why my discretionary systems outperform my fully automated systems, the following reasons come to mind and they perhaps are an 'inverse' way of viewing things from traditional retail logic of 'profit until you drop':

 

1. The rules of the discretionary system allow for substantial profit taking when trends occur, across multiple timeframes. I think we can all possibly agree on that logic. The same can be said for most other trend following systems. The difference therefore does not arise from trade execution perfection as any logical trend following process will nail it. A slight edge might be achieved from the ability to trade both swing trade components and trend following styles under this approach....but this can still be automated in theory......so what gives it a real edge over my automated systems?
2. The performance improvements and specifically the low drawdowns come from the marginal or loss-making trades as opposed to the successful trades. It is natural for our minds to think that all that matters is the profitable trade but think about it this way......... When you compile your trade history you may find that only 5-10% of these trades are what keeps your account positive. It is the 90% of other trades that actually matter. Let's assume we can all achieve these 5-10% of glorious trades. Who therefore wins the game are those that restrict their losses with the balance of their trade history.....so flip your mind and your logic. If you have a half-decent trend following system, simply worry about restricting your losses.
3. Unfortunately we don't have the luxury to only trade when it is trending as who really knows when the real trends arrive?.....so it is not about restricting your trade frequency to only certain times of the day, month or year etc.......you actually have to be in the market at all times, so this therefore limits the way you can manage your losses. If you snooze you lose....simple as that....so how can you be available at all times yet restrict your losses?
4. IMO the way to manage the losses are as follows:
   1. Restrict your trade execution to those trade conditions that are more 'abnormal' than 'normal'. This therefore suggests that you need to stay away from the noise of normal volatility and use tools that attempt to discriminate between noise and those trade signals of a more enduring directional nature. Work out a way to achieve this using statistical measures as opposed to gut instinct.
   2. Do not give a chance for noise to dilute your results. You are either right or wrong. Your trade needs to purposefully go in the direction you planned right from the get go. Use a constraining mechanism that projects your trade intent into your trade rules. If price does not follow that projection....simply get out.....The constraining mechanism cannot be arbitrary and must relate to market structure or statistics. If you use a trailing stop, then that trail needs to follow precisely the boundaries of price action when in trend.
   3. Trade management is essential throughout the process between trade entry and exit. Set in force projective guidelines (constraints) that ensure your trade is working in accordance with your trend requirements at all times. By giving time for the trade to revert into 'noise' you will over time dilute your trade results.
   4. Keep your trade risk per trade as low as humanly possible on a single instrument, but diversify like the clappers to increase trade frequency and therefore maintain good returns, albeit with far higher trade frequency.

   
   
   
   

My 2 cents for the day resulting from a question I asked myself.....
Question: I want to be fully automated but these goddam' discretionary systems are powerful....why?
Answer: It is all about drawdowns, not profitability.

Measure your success each day by how many losses you have minimised. By default you will occasionally get those miserable fat tailed profits without having to plan for them. Profits.....pffft.....that's just not any fun at all :-)

Mantra for the day - "The Defensive Play will Win the Day"

Keep away from noise.....Song for the day - "Swim out past the breakers....watch the trends fly"

Discretionary Systems - April 2016 Interim Results - Closed Trades

But before we get started....light up the cigar and put on the fedora.



Have a great weekend

C

Statistical Summary


Top Trade for the Month


The Dog of the Month


Current Open Positions


What's Trending at the Moment?

GBPSGD


USDJPY


GBPUSD

The Saturday itch.

I was lucky enough to be introduced to trading by friends who are/were on the Institutional side.. the resounding comment I kept hearing when I started was preservation of funds is paramount - Money management is the holy grail.. In the beginning I didn't quite realise what a huge heads up this was....

I do now. .

Thats a great post C.. Have a cool Weekend

1st time I've noticed this thread, I like what I see enough to go back and do some reading before I post again.
Plus your an Aussie, will be handy (pity a QLDer coming into footy rep season, but I have great memories of the intercontinental)

Hey nimb :-)

Which great State do you hail?

C

Cheers Ja. It seems to be a very common denominator amongst the pro traders with long track records. If you can't beat em' you may as well join 'em.

Learning to live with Drawdowns

Have a look at the following charts. If you play in the trend following space, you better learn to accept drawdowns if you strive for alpha. Not much clear sky in the sea of blue drawdowns. It's a symptom of positive skew strategies......but give me positive skew any day to the nasty negative skew. Negative skew drawdowns such as mean reversion strategies, averaging down etc. regularly go to ground zero and below.

Think of risk like a pressure cooker. Positive skew has a release valve for uncertainty. Negative skew....well it cooks the meat..... but tends to spread it all across the kitchen when things go wrong.



Who remembers this equity curve? Hint: It comprised some of the biggest minds in the quant space dabbling with negative skew recipes (convergence trading).



Top 5 Trend Following CTA's

Anyone for a banana?




Nice article from Clenow that pays homage to our distant cousins. :-)