Diversified Trend Trading Approach

Hi acman

Have a read of the "Note to Readers" section at the end of the 1st post in this thread as this helps to shortcut the journey a bit and includes a nice pdf summary of one of the discretionary strategy variants.

From posts 360 to 448 you should be able to get a good grip on the discretionary techniques described in this thread. Beyond post 448 the thread discusses principles of trend trading in general, systematic trading and focuses particularly on strategy diversification. Performance results of the discretionary strategies are also discussed at points in time up to the current date of this post.

PS Note also that if breakouts are not your thing, I also describe a retracement entry discretionary approach (DTTR) from post 903 onwards.

Cheers

C

I got that pdf but it is not good because those images in it are not zoom-able !
What do you suggest for me to read instead of that pdf?

Read from post 360 onwards as the pdf copies from the thread from this point on and the charts are zoomable in the thread itself.

C

Performance Summary - Discretionary Systems - Breakout Techniques (DTT, EDTT, EDTT1)

Well this week was unusual to say the least. Uncertainty surrounding Brexit opened up significant short term trends on the downside with the indices, but in an instant the volatility tap was turned off and the market once again returned to the doldrums. Interestingly all the indices tracked over the week exhibited almost perfect correlation. Was it my imagination or did the volatility tap get turned off immediately following the sad and untimely death of the British MP? It appears that all attention at the moment is on Brexit as the slightest rumour or factor relating to 'for' or 'against' camp gets immediately fully underwritten by the market. There clearly is going to be some more volatility as we approach referendum day.....so we need to err on the side of caution with regards to potentially committing the portfolio to too much heat prior to the decision (which may go either way).

The approach for next week will be to avoid excessively adding to short term trending opportunities that may suffer significant slippage from extreme volatility following Sunday's announcement. As a result our focus will be on the longer timeframes of D1, W1 and MN where we may be able to enter new trending opportunities that arise from the Brexit decision yet reduce the potential for slippage impacts on the portfolio.



Overview
So far, despite the slow start, June is now shaping up to be a cracker of a month that will hopefully pay for the doldrums of the past few months and then some.......we just need to ensure that we solidify the portfolio next week perhaps realising some profit in the portfolio and taking active steps to avoid taking short term positions that may expose us with portfolio heat moving into Brexit.

The big movers of the week were the highly correlated equity indices of FTSE, DJI, DAX, ASX and NIK. I would like to pay a special thanks to FTSE this week as you have made my week.


Trade Statistics - Closed Trades
June stats are pulling in some big bikkies with a Pwin of 52% which is well above the long term average of 40.3%. The $ Average Win ($653) is also well above the historical average of $520. Go you wild thing!!!

So far with only almost 6 months under our belt the YTD result of 18.2% is almost matching the entire result for last year of 19.9% so we may be in for a good result this year if we can minimise our risk exposure during the doldrums and prevent over-trading.



Equity Performance & System Health
The equity curve is enjoying a strong acceleration into blue sky at the moment....but as history always shows, such rapid accelerations are nearly almost always followed by sharp declines....so we need to be on our guard and play defensive to lock in these gains. Drawdowns are currently a distant memory.....but fortunes in this market can turn in an instant....so keep alert and stay safe and hold onto that hard earned capital as if your life depended on it.

The Win% and Average Win $ chart highlights the outperformance of June with respect to the historical average. Obviously when both these metrics sit above the historical average, things are rosy........ so at the moment it's all clear on the Western Front.

The Trade Profit Frequency chart highlights the positive skew of the current strategy which is what we are after with this technique, namely lot's of small losses that are more than compensated by a few large wins which is symptomatic of trend following strategies in general.





Trade Highlights
Thank you FTSE. A great run combined with a nice tight entry that led to a decent position size added some real gravy to the portfolio this week but all good things must end. Unfortunately I had a premature exit when price snicked the trailing stop..however beggars can't be choosers. That's the way the cookie crumbles some times.



Also a good contribution from DAX.in fact a similar result was had across FTSE, DAX, DJI, Nikkei and ASX given the almost perfect correlation. All indices were put into a holding pattern on Wednesday 15/6/2016 where volatility suddenly dried up.




Current Open Positions
Not much to speak of with the unrealised profits currently sitting in the portfolio. If it wasn't for the Yen pairs, there would almost be zilch remaining. Given the limited war chest available as unrealised profits, we can't afford to get overly aggressive next week and need to play defensive.




What's Trending According to this Technique
After the volatility tap was turned off on Wednesday evening....not much to speak of that's trending in the portfolio aside from the Yen pairs.

EURJPY



USDJPY



Below is the analytic spreadsheet for those that want to get into the detail.

Cheers

C

Performance Summary - Discretionary Systems - Trend Following Retracement Entry Technique (DTTR)





Overview
This portfolio crawls along when compared to the multi-timeframe discretionary breakout strategies. The very selective trade entries combined with the restriction to the D1 timeframe results in few and far between trades. June so far has only seen 10 trades entered. Despite the apparent inactivity, unrealised profit is progressively ratcheting upwards so now we are sitting on a nice war chest. This just goes to demonstrate that we really don't need to trade lower timeframes. A far more peaceful and profitable trading life can be enjoyed out in the longer term timeframes. This is also evident when looking at the most successful CTA's in the industry (eg. Dreiss and DUNN) who trade the weekly timeframes. Once again, it demonstrates that over-trading is the greatest enemy for the trader. It unnecessarily introduces drawdowns into the system and also significantly increases the trading cost base associated with trade frictional costs (spread, SWAP and slippage).

Given the mean reversion nature of this strategy back into the primary trend, it is likely that this system will prove a useful addition to the discretionary system portfolio arsenal which so far is focused on trend breakout strategies. When trend breakouts are few and far between, this strategy is anticipated to shine attributed to mean reversion activity. If over time, this technique proves successful, it is likely that we will open it up to other timeframes as well......but it is still early days in testing the DTTR.


Trade Statistics - Closed Trades
There is not sufficient data to make any informed decision relating to trade statistics. The low Pwin% of 25.7% YTD is very deceptive as the strategy only commenced in late April and as a result, the statistics associated with closed trades only relate predominantly to losing trades as the majority of profitable trades currently are still open and not currently reflected in the results.




Equity Performance & System Health
Currently with the limited trade history, not many conclusions can currently be drawn regarding equity performance or system health. Needless to say, things appear to be tracking Ok.







Trade Highlight
While last weeks focus was on AUDCAD, we have also had a chance for a 1/2 profit take at 3xR on GBPSGD. While the remaining position has deteriorated in value, the profit take has proved beneficial in at least protecting some of the significant profit that has subsequently been eaten away with the current retracement.

For those who do not like seeing their unrealised profits vapourising away before their eyes as the trend 'bends' then this is an option to ease the pain somewhat. While in the long term this will probably be detrimental to our overall returns, the benefits to cashflow for such a long term strategy need to be considered.





Current Open Positions
Good unrealised profit is currently sitting in the portfolio allowing us to maintain an active aggressive stance in the market. If volatility continues, we are in a great position to benefit from some good performance results over the next few months. Let's keep our fingers crossed. Given the very long term nature of this strategy and the considerable breathing room to stops, it is unlikely that Brexit is going to provide a significant issue for the portfolio.....but it still pays to be vigilant.





What's Trending According to this Technique

AUDJPY


CADJPY



NIKKEI



NZDUSD




That's it for the week. detailed spreadsheet of analytics is attached.

Best of trading for next week.


Cheers

C

The sun sets on another Sunday.........time to put on boots and flashlight and go down t'ut pit :-)









Let's see what the week brings.

Cheers

C

Diversified Portfolios - Risk Management Decisions made for the period leading up to Brexit and beyond.

Today given the gaps on opening we are starting to see clues of what possibly may unfold as we draw closer to the Referendum. Fortunately there is now only 1 remaining position in the portfolio on the M30, H1 and H4 timeframes which will be exited imminently as it is about to be stopped out.

I will not be entering any new trades on the M30, H1 or H4 timeframes and will be restricting activity to the D1, W1 and MN timeframes only until after the referendum decision following market open.

This is different to the Swissy de-peg as there is warning involved. Do you take your surfboards and swim out to the potential tsunami, or do you get to the high ground?

There is sufficient breathing room in my open trades on D1, W1 and MN to keep these live as they currently are positioned to weather the storm. There may be a few new trades taken on this timeframe as they will not add significantly to portfolio heat and may position the portfolio very nicely on the longer term timeframes if current long term trends continue.

The guidance from my brokers is signalling that if you are uncomfortable with significant risk, then it's best to stay defensive and live to fight another day. While I rarely agree with advice given from 3rd parties.......I do agree with the advice given relating to potential liquidity issues.....so I am playing it safe.

For the DTTR portfolio, no action will be taken on live trades given the breathing room provided for decision making, but no new trades will be taken until after the decision.

It is time to pick up a good book and watch the fireworks unfold from the hilltop. :-)

Regards

C

You'r such a Funwrecker ( Def : Someone (usually a wife or mother) that has the uncanny ability and timing.... to pick the exact moment when you are truly happy and bring it to a screeching stop) .

So you thought you would continue on making squillions while all the rest of us suffer. Repent you sinner!!!!!

Below are details of a free webinar that may be of interest.

What is behind the best trading strategies that have outstanding results at live markets? This week there will be webcasts held by Autotrading Academy on the secrets behind their top 2% profitable Algo Trading Strategies (EAs).

They will share their perspective and results with you, showing where to focus your energy. Here's What You'll Learn:

1. Where to focus when creating trading strategies
2. Secrets behind trading strategies with results
3. Demonstration of the best tactics to create trading strategies
4. Demonstration on how to choose top performing strategies
5. The major mistakes in trading strategy creation

Copernicus note: Yes there will be the inevitable marketing of StrategyQuant which is the ultimate intent and motive for the seminar, but there should also be some good content that may be of interest.

This link will bring you to the registration page.

Cheers

C

Guilty as Charged.

ratatataaaa

I just need to feel that again. Is that you Bass???????. It doesn't feel like you....but it does feel nice. What long hair you have.

Interesting tweet from Covel





Indeed, while Barron's focuses on the last 3 years, this period of time is inconsequential considering the Fund's performance over the past 40 years.....pretty impressive to say the least. Here is the last 14 years of his flagship fund.



If you are prepared to ride this beast, the rocky road seems to be well worth it.

Let's go back even further.....way back to 1984





All hail the systematic trend trader. :-)

Trend Following Performance Report - May 2016

Up, down, turning around, looping the loop and defying the ground.........that's the story of performance so far this year with the CTA's. May was a downer eating a further -2.86% into returns following on from a slight positive up kick in April......... and this puts the CTA's into deeper negative return territory for the year. The S&P500 TR Index is kicking our butt's over the past 12 months with a 4.54% return and just to add salt to the wounds, has pulled a 9.81% return since January. Compare this to the Trend Following Index (TF Index) return of -6.31% for the last 12 months.

We will take a moment to mourn.




Below are the results for the TF Index.



Sure......... give the mutual funds their time in the sun....funny little fella's......let's see who has the last laugh.....in exactly 2 days following Brexit we will be 100 Billion dollars richer!!!!!




Anyway, below are the detailed results of the funds that comprise the TF Index.



So onto the awards for the Month of May for the FM's. Not much change from last month with the notables still leading the way such as Dreiss, Transtrend, FORT, Crabel and Tactical.

Adrenalin Junkie Award for the best CAGR between Jan 2002 to May 2016



Despite the strong performance over the entire period with a tumultuous rocky ride, Dreiss appears to be topping out and entering drawdown territory. I tried catching up with Bill but apparently he was out on his daily surf.




Wooden Spoon Award for the Worst Drawdown between Jan 2002 to May 2016


This fund just refuses to call a day a day. She canna take it no longer Cap'n. I assume that it's investment community are 'walking dead' by now.


White Undie Award for the Lowest Drawdown between Jan 2002 to May 2016


A good choice for the scaredy cats out there.


Bestest of the Best Overall Performer Award for the Highest Adjusted CAGR between Jan 2002 to May 2016


If you are after the best overall performer with respect to best performance return scaled to drawdown....then this is it...... The current investment god of the universe in the CTA space. Well done again FORT.

Encouragement Award for the Best Annualised Sharpe Ratio between Jan 2002 to May 2016



Not my preferred performance category (as I prefer adjusted CAGR), but the Sharpe ratio is still a fairly robust metric that displays overall volatility of returns.


Brief Moment of Glory Award for the Best Performance for the Month




The Last But Not Least Award for the Best Performance over the last 12 rolling Months





That's the wrap for May.

Cheers C

A case of the Brexit's.......The finger of death!!!!!!!!



Run Forrest run!!!!!!!

What if !!!....
What if you shorted this move ? and others ...
​Forgive me but i didn't sleep well last night, you know why.

Have a good Day.

Mate....it has been a helluva day. I can understand the unsettled night you would have had.

It was actually through my inaction today that actually gave me a great result unlike the stuffing around I did during the Swissy event. As per tactics I kept clear of all trading on short term timeframes but was able to catch the run for part of the way on D1 on GBPUSD with only minor slippage in the DTTR portfolio. I also was favourably positioned on a number of other long term trades (DTTR) I was holding like Nikkei and other instruments that had a wicked ride on the longer term timeframes (after sucking up some pain after the earlier bullish sentiment surrounding Brexit earlier this week).....but I also got hammered on a few longer term positions but for a manageable loss ......and after the dust settled.....and the chips counted.....the portfolio's generally handled things exceptionally well. I was concerned that I might be giving back to the market the earlier gains this month....but this time, the chips were on my side.

Am heading off to the farm early tomorrow morning so will be off air for the next few days.

Have a great weekend Bass :-)

Well, slowly I am becoming addicted to these guys and strategy quant. If I keep on attending these sessions I have a feeling I will be clicking the purchase button. Did any of you guys listen to this webinar with Rimantas and Justin?

went to see your portfolio when i came in the shop...very nice positioning on ej gu audx and on equties and commodity..probably you should be up nicely and that is some fine result!! congrats

have a nice one!