Diversified Trend Trading Approach

Cheers NL. My wife thinks I am trying.......very trying!!!!!:-)

HudithePfupf,

Thank you for ur reply, first of all i wanna tell you that I love you man (In a Friendly way of course), i just found out that you r subscribed to me so thank you, i hope that i'm providing good content on my thread .

A part from your post here i didn't know that you have any opinion about this, just to make things clear i was responding to C's post, i just found out about you and about your thread after doing some research to get to know you (this is how i do things in life, i like to know with who i'm dealing with before i respond).

As for Peter Brandt's thingy, i didn't make a deep research of his statements because i don't care to waist my time on this, i'm not a Member of his program and i don't intend to be because this is not my style of trading but i read his books and been following him on all kind of media and he surely seems to be the real deal, a Genuine and realistic trader, at his age i don't thing that he is looking for glory or Fame .

Peace ,
bass

I'm going long C#. :-)

Going for the Michelin Star

Attached Image (click to enlarge)

I thought I would post a portfolio blend that I am currently working on. Here is the recipe:
1. Trim down a mean reversion (retracement entry) Bollinger entry system in the direction of the prevailing trend;
2. Liberally garnish with simple momentum breakout systems and apply Donchian sauce; and
3. Add non-correlated accoutrements such as the FUSEX 500 Index.

Voila.....a robust crowd pleaser with lot's of kick.

System Ingredients:

1. B1_5cLong - Mean reversion (Long only retracement entry into trend with exit at the short term mean)

Base System Results - No Compounding



2. BollB1_Sc - Mean reversion (Short/Long retracement entry into trend with exit at the short term mean)

Base System Results - No Compounding



3. Donch4T - Momentum (Medium term trend following)

Base System Results - No Compounding



4. Donch4S - Momentum (Medium term swing trade)

Base System Results - No Compounding




5. Donch5S - Momentum (Medium/Long Term swing trade)

Base System Results - No Compounding




6. Fusex - Buy and Hold Index

Attached Image (click to enlarge)

Performance Metrics - Compounded

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Attached Image (click to enlarge)

Instructions for Mixing:
Allocation weightings:
B1_5cLong - 40%
BollB1_5c - 10%
Donch4T - 10%
Donch4S - 10%
Donch5S - 10%
Fusex - 20%

Apply a multipler of 3x on allocation weightings.

Signature Dish - The Portfolio result

A spicy blend with inspiration drawn from Sichuan.

Serve while hot.



Enjoy with a chilled Chablis :-)

Cheers

C

You're on the way of becoming a Gordon Ramsay or a Paul Bocuse, or heck, both in the same time!

Good luck with that!

Merci m'sieur. I'm glad you enjoyed my gastronomic delight.

....and now for some after dinner mints.....wafer thin :-)

Discretionary Systems - Breakout System Performance (DTT and EDTT 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










Aveagreatweekend


C :-)

Food for Thought



1. Im a quant in an investment bank. Its not what you think
2. The short-selling world according to DARP
3. Current housing market in Australia and the ongoing concerns around affordability
4. RCM Alternatives Reviews the Trend Following New Edition
5. The equity chief at one of Wall Street's biggest firms breaks down the hottest story in markets right now
6. Revenge of the Humans: How Discretionary Managers Can Crush Systematics
7. 125: Getting hiredwho trading firms and hedge funds are seeking out w/ Matthew Hoyle
8. EP: 126 A Look Inside Managed Futures
7. Episode #51: Mark Kritzman, We Have To Question The Assumptions That Underpin Our Models Nothing Is Simple

Enjoy :-)

C

PS One of my all-time favorite podcasts if you are interested in diversification.

Hi C,

"Current open positions" means that you already apply this in your real trading or its just a simulation?

thx

Hi FX......Just in walk forward demo All discretionary performance metrics exclude SWAP and slippage. These need to be factored in for a comparison against possible live performance. Cheers C

Super nice your selection!

thanks

Leverage for the Long Run

An interesting award winning research paper from Charlie Bilello of Pension Partners, LLC which challenges the Efficient Market Hypothesis, Random walk theory and Capital Asset Pricing Model.

Highlights

1. First, we illustrate that Moving Averages and trends contain important information about future volatility and the propensity for streaks in performance.
2. Next, we show that using Moving Averages to time the market achieves a similar to higher return than Buy and Hold with less risk.
3. Lastly, we show Leverage Rotation Strategies (LRS) which use a systematic rule to consistently outperform the market over time.

When the stock market is in an uptrend (above its Moving Average), conditions favor leverage as volatility declines and there are more positive streaks in performance. When the stock market is in a downtrend (below its Moving Average), the opposite is true as volatility tends to rise.

We found that being exposed to equities with leverage in an uptrend and rotating into risk-free Treasury bills in a downtrend can lead to significant outperformance over time. For investors and traders seeking a destination with higher returns who are willing to take more risk at the right time, systematic leverage for the long run is one way of moving there, on average.

Enjoy :-)

C

An interesting read that rang a few bells for me...........we 'equity curve blenders' are not alone :-)

Food for Thought

 

1. Sources of Free Historical Data ;
2. The insidious threat of data mining bias;
3. Engines of evidence;
4. What scientific term or concept ought to be more widely known?
5. #35 - Jerry Parker
6. 096 Could you be throwing away good trading strategies?
7. I just had to include this below (though not related to trading.....but fascinating nevertheless)

Enjoy

C

Excellent example with wolves....love it!

have a good weekend