Diversified Trend Trading Approach

....continued from prior post.

Best Raw CAGR - Jan 2000 to March 2017

Not much change from last month despite some shuffling of positions. But these beauties are a force to be reckoned with. Surfs up!!



The top 10 list is as follows:



Let's have a closer look at the performance of the top 3 in the list above. Stunning long term returns but not for the faint of heart.







Best Risk Adjusted Performers - Jan 2000 to March 2017

And now without further ado, to end this performance summary on a high note, here is the top 10 list of the top risk adjusted performers in terms of the CAGR/Drawdown ratio.



....and for the top 3. Just look at the steady ascent of those equity curves.....Just wow!!!..







......and finally for the pièce de résistance.....the performance metrics for the top 10 in the CAGR/Drawdown category represented by the famous white line. That white line is racing through my mind....get higher baby!!!





So the moral of this story for trend followers during these difficult times is.....Keep the faith....cause crisis alpha will be coming to a cinema near you. :-)

Cheers

C

nice reading, thanks. Mr C, may I ask you some enligment about risk on / risk off please?

Hi J

(Edit.....had risk on-risk-off going the wrong way....a thousand apologies......fixed now)

I don't really like the terms 'risk-on' or risk-off' as it gets a bit too much airing on the soap box such as CNN. The broad principle regarding this hypothesis is one that is really only relevant during periods of uncertainty. Most of the time investors are rational and their decision making can be for a host of reasons.....risk management being one of them. However during times when there is considerable uncertainty regarding a future outcome, collective crowd behaviour can kick in and you can get mass liquidation in one class of assets in favour of another. For example during both the GFC and the Brexit announcement there was a mass shift in exposure from equities (seen as higher risk) to bonds and US treasuries (seen as lower risk). This movement was a 'risk-off' behaviour (where risk assets were taken off the table in preference for perceived lower risk assets).

Risk-on behaviour (the tendency to take on more risk to attract higher returns) is less relevant as collective behaviour tends to be a response to adverse sentiment. Of course when the fear subsides you get a movement away from perceived low yielding 'safer investments' to alternative higher yielding more speculative investments, but the move is less correlated and pronounced than the prior 'flight to safety'.

However what needs to be said is that it is more a 'sentiment' move as opposed to a rational move. Many of the asset classes that investors flock to during 'flights to safety' are actually not less risky in nature. For example US treasuries are seen as a safe haven simply due to Federal reserve policy and a habitual long track record of associated quantitative easing measures. The assumption built into the premise that US treasuries are 'safe' is predicated on the Federal reserve acting each time there is a crisis by printing more money to intervene against a markets natural method of blowing off risk steam.

In the words of Marc Faber....when the ***** hits the fan and all else fails, the only real alternative is to by a farm and a gun. :-)

I hope this helps mate.

C

......aaaaaahhhh the beach holiday needs some beach music :-)

It's Turtle Magic - Part 1 Here is a treat and well worth the wait with more to come. Enjoy :-) C

http://www.toptradersunplugged.com/t...tor-parker-07/

What makes Transtrend Tick

It's not often you get to peer under the hood of a CTA. Enjoy this great article from a formidable diversified trend follower - Transtrend....... from the mouth of it's head researcher Harold de Boer. Heaps of wisdom embedded in those words. C

https://www.thehedgefundjournal.com/content/transtrend

This Weeks Food for Thought

 

1. The Three Most Important Words in Investing
2. Preparing for market risk - stay diversified across asset classes, factors, and strategies
3. What Defines Life
4. Turning Setbacks into Success
5. Why do people compare trading with gambling at the casino?
6. A Snapshot of the Future - A Look inside 20 Stealth Startups

PS Mike Covel's fully updated 5th edition of Trend following is now out on Kindle and will be released in hard copy on 24 April. I spent a lazy day yesterday getting familiar with the update. It's brimming with new content including research articles, new interviews with trend following legends such as David Harding, fully updated principles and practices and makes a fine addition on the coffee table or virtual coffee table for Kindle users. If you have a passion for trend following, then as our Aussie legend Molly Meldrum says......Do yourself a favour!

Discretionary Systems - Breakout System Performance (EDTT and Variants)




Trade Statistics



Equity Curve



System Health



Current Open Positions



What's Trending with this Technique







C :-)

Discretionary Systems - Retracement Entry System Performance (DTTR)




Trade Statistics



Equity Curve



System Health



Current Open Positions




What's Trending with this Technique







Have a great trading week ahead. Stay chilled.

C :-)

Dear C

Since you are so fond of music, I believe you are going to like this

http://radio.garden/live/

As you said, stay chilled...

t

T.....that's absolutely fantastic. I am just flicking through some channels now. What a great concept. Much obliged kind Sir. :-)

Back to the grind tomorrow. Farewell holiday *sobs uncontrollably* :-(

What's Trending



I thought I would have a regular feature in this thread that looks at 'what's trending' in the context of the universe of instruments traded by the discretionary techniques described in this thread, and in particular the DTTR technique. The charts are simply provided as a basis for guidance for any forumite who is interested in the approaches described in this thread. It will be a warts and all sequence of charts of current active trades. So there will be some great winners and many little losers.

There is not much to the charts. They simply are used to highlight, according to the DTTR technique the longer term directional drift across a price series utilising a median regression series that extends between obvious swing highs and swing lows. The information presented by these graphs provide a basis for me to attempt to understand:
1. What is the directional drift in the price series which we will define for our purposes as 'the primary trend';
2. What is the maximum adverse price excursion of the price series in the context of the primary trend. What this means is that if the primary trend is 'short' in direction, then what is the maximum adverse excursion long. If the primary trend is 'long' in direction, what is the maximum adverse excursion short. By defining these extremes, we are therefore attempting to identify a line (of last resort) that is parallel to the median regression channel that could be used as a trailing stop for the future direction of the price series. This line of last resort indicates when the primary trend under consideration is deemed to break down. At this point there are two potential outcomes. Price may revert back in the direction of the prior primary trend. In this case we therefore need to widen the volatility channel as a new maximum adverse excursion now needs to be redefined....or we look for signs of the commencement of a new trend and define a new swing/low/high and a new primary trend direction.
3. What is the extent of duration of the trend so far. As greater number of bars for the price series indicates a more mature trend and one that is less likely to be simply a random pattern of price bars.
4. What can be regarded as confirmation of a trend end (bend) and the commencement of a new trending series (by identifying where regression channels intersect) and when price action fails to observe the prior primary trend definition.
5. Whether current price can be regarded as being overbought or oversold in the context of the current primary trend. This information is used to identify optimal points of entry to trade the primary trend and to define lower order swings in the context of the primary trend.
6. What is the momentum of the primary trend defined by the slope of the median regression and the degree of volatility above and below the regression line (defined by the standard dev of the SDC which gives an indication of trend conviction. High vol is bad.....low vol is good. Low volatility in a trend allows for a larger position for the same level of trade risk.

.....anyway without much further ado....here are the current active trades in the DTTR.



.....and here are the charts of current active trades. Please note that I have stopped annotating the charts as after a few examples provided, you get the picture of what the coloured lines on the chart mean and I am a lazy B******* :-)



















....more to come

C

.....continued.























Cheers guys

C

Now back to the fun stuff :-)

Continuing on from post 1334, it might also be helpful to include charts of those instruments which are not currently active as we are still waiting for optimal setups.

Trades - Undecided/Pending











aveagreatweekend folks

C

Inserted Video

Dear Copernicus as always in need of your logical and rational guide. . .
There is one aspect that I would like to know as it influences in trading decisions and are fundamentals.
Personally and until about a year ago my trading was almost technical in its entirety, except to be alert of the economic calendar with some news of imminent high impact.
I have learned and incorporated, thanks to very good members of which I am subscribed, fundamental analysis which I consider important and logical for a trader.
Specifically, concepts such as currencie strength and weaknes, interest rates and sentiment are elements to consider as a filter when choosing any pair to trade.
At one point I thought it was the best thing or the element that I lacked, but my performance was greatly diminished when filtering with the concepts mentioned and now I think that it is not necessarily filter that I should apply, at this moment I refer to the attached pdf in post 1274 that touches the topic interestingly.
I am not a pro, but I am confident in my strategy which generated more trading opportunities with a decent profit, now I am sitting in my hands for days / weeks waiting trade opportunities because such fundamentals.
All this leads me to doubt and my concrete questions for you are: 1. Although macroeconomics (fundamentals) is the underlying assumption in trading, is it really relevant? 2. If so, can I have a clue of how you apply it in the day to day? 3. If it is relevant or important, there is a technical, protocolary, systematic way of analyzing elements such as isolated currency strength/weakness, interest rates, sentiment, COT, etc. in order to pick a pair (pairs)?
As you can see, I am immersed in the volatility and the allegory of the prisoners dilemma and I would greatly appreciate some clarity or perspective on the subject.
Thanks.

Interesting question above.

Waiting for Copernicus response, here is my 2c based on my 26 years of trading experience.

All fundamentals are already incorporated (or being continuously incorporated) in price action. I have stopped worrying about them quite a few years ago. Trade what you see with a sound and robust system and you are going to be just fine.

T

PS I am referring to time frames of 4H and above since I don't trade anything lower. If one trades the M1 time frame and events such as NFP announcement are about to unfold, things are obviously different...

Thank you for the interest in my concern and appreciate your response,
I think that phrase contains the answer that I am unconsciously looking for. Definitely experience & trajectory precedes it.