Diversified Trend Trading Approach

You too mate :-)

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



I will leave the charts associated with this technique to the next few posts as they help in defining the status of a trend for the instruments in my watchlist.

Cheers

C :-)

DTTR Active Trades























More to come....

C

DTTR Active Trades cont'd.....

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That's it for active trades. Next post will be undecided/pending trades.

C

DTTR Undecided/Pending & Missed Trades

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A few more to come and then we're done.....(poetic lyric :-))

C

DTTR Undecided/Pending & Missed Trades cont'd......

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That's it for the update. Have a great weekend........now back to the vibe :-)

Cheers C

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Had to share this. Bang on in my opinion.

The question you have to ask is what makes people want to follow a leader?.....and this TED talk nails it :-)

https://www.ted.com/talks/simon_sine...fe?language=en


......and the Captain Swenson footage that was discussed.

Dear C

I was wondering

Do you keep profitability statistics per time frame on DTT and EDTT Variants method?

Hi T

I hope all is well mate. :-)

For EDTT and Variants - We can analyse by timeframe (M30, H1, H4, D1, W1, MN) and whether or not the trade is in the direction of the primary trend or counter trend.

Below are the trade detail files if you want to do some crunching yourself. Just be aware that the method changed on 1 Jan 2015 (refer back to posts around this date in my thread that explains the reasons for the change....and what changed......so best to disregard trade details relating to the period from 1 Jan 2013 to 31 Dec 2014.

Also just keep in mind that the trade results are discretionary in nature.....so I wouldn't be relying on them to any significant statistical degree in terms of their ability to be replicated by all who use this method....but you should be able to use the data to identify favorable and unfavorable market conditions for the instruments (markets) concerned and cross compare them against your results using your preferred broker data.

PS Also have included the analytics working file (Breakout Strategies)....a bit messy and hasn't been assembled for public viewing....but it might help.

Cheers C

Should have added this to this weeks 'Food for Thought'.

A very interesting opinion peace on the current low volatility regime and why it should not be construed as meaning a 'low risk environment'.

1. Mispricing of Volatility in a Post QE World

Cheers

C

Dear C

Thanks a lot. Much appreciated!

It was not a surprise at all to see that the bigger time frames (TFs) are losers.
Since your portfolio follows mainly FX pairs, we all know that these instruments are mean reverting.
So it is almost impossible to have consistent winners on ie monthly or weekly TFs.
Things would be different in a portfolio mainly comprised of stocks.
A stock can be valued at $5 today and it might go up to $50 or even $100 within 10 years (or the other way around...).
On the other hand one could bet with a big degree of certainty that EU will fluctuate between 0.80 and 1.60 for the next decade making it very hard to be traded in big TFs.

I would appreciate to inform us about the reason(s) behind keeping these TFs in your trading blend. It seems that with M30, H1 and H4 you could have been just fine and diversification on a fundamentally losing area (because of the mean reverting nature) is not a good idea!

Hi T

Some great points mate.....and I agree with them in general......but we need to be careful of our assumptions.

The reason for the use of all timeframes from M30 all the way up to MN was for 'proof of concept' purposes when we decided to ramp things up from the DTT to exploit additional timeframes. At that point in time I was wanting to prove whether or not the higher timeframes had any grunt or could add additional return distributions that might help to flatten the volatility of returns of the portfolio.

Some points of note to consider:

1. We use multiple timeframes to scale into a trend of significance...The EDTT and it's variants are not really trading every timeframe in isolation. What we are actually doing is using the multiple timeframes to progressively scale into a trend as discussed in prior posts. We tend to start on M30 when a trend first arises.... and if the trend persists then scale into H1....then H4 then D1...then W1.....then MN. This offers benefits to conventional pyramiding on the same trend. The reason we are using the multiple time-frames is therefore more for scaling into a trend as opposed to being 6 different timeframes that we trade independently.

2. SWAP needs to be considered.....Given the very long holding periods of trades on the D1, W1 and MN timeframes, negative SWAP or holding costs are really something to consider. However in the rare instances where you have positive SWAP, the benefits of the carry trade also need to be considered.

3. Long term trending potential of FX pairs......Don't be too harsh on the FX pairs mate as some of them offer very good long term trending potential. While I agree that pairs in general tend to be more range bound and are a different kettle of fish to say equities or the indices (that over time increase in relation to market capitalisation)...... some of the pairs offer great long term trending potential and challenge this assumption. For example the results below (including SWAP) are for a very long term trend trading system that effectively works over a very long term holding period.



If you look at the performance stats on the left of the chart above you can see that SWAP costs chew 36.3% of the total Gross Profit of the system whereas commissions (spreads) only incur 8.7% of total Gross Profit. This is attributed to the very long holding periods of trades.......however on the right hand side of the chart, you can see which instruments contributed to the net profit result. Some of the pairs such as AUDUSD, EURJPY, EURUSD, GBPUSD, NZDUSD, USDJPY.....were pretty solid profit contributors (even though each of the pairs referred to actually had negative SWAP).

So the moral of this story is to not write the FX currency pairs off as 'not being good picks for long term trends'.....as some of them quite clearly are solid contributors. Take some time to go through a large number of FX pairs on the MN timeframe and you will see that many of them have had a history of some great trends.

4. Current market conditions are not normal.......Another reason to not be too harsh on trading the MN and W1 timeframes are that in reality since 2008....there have been very limited trends of significance. Look at the chart above and see where significant drawdowns started occurring. On the long term timeframes, times have certainly changed post 2008. If market conditions change again, then the performance of the longer term timeframes may start to heat up again. It is very easy to be suckered into thinking that current market conditions are the new normal......but how long are interest rates going to stay so low for......and how long is central bank quantitative easing going to go on for. Clearly neither is sustainable in the long run. If you believe this then it is likely that you will accept that volatility must return at some point in time in the future....but who knows when?

Of course under current market conditions it is easy to write the longer timeframes off....but keep in the back of your mind that current market conditions are not normal.....in fact they are far from being normal. When volatility picks up again.....which is very likely, the favour of the longer timeframes will become more evident.

Summary
At the moment....while they are poorly performing they are not significantly impacting on overall performance so I keep them in for the following reasons:
1. They offer a way to scale into a very long term trend of significance.
2. We don't have a sufficient sample size of trades on W1 and MN to make any meaningful comment at the moment;
3. If volatility picks up, we will see better performance in general from the longer timeframes;
4. If there is a trend on and if the instrument offers positive SWAP....then it is crazy to not trade them;
5. The more timeframes traded the better your diversification which means you become less dependent on an individual return stream and more diversified return streams serve to offer better risk-weighted returns;
6. I need to keep on keeping on in tracking these longer timeframes to test out the assumptions I have made in this post.

I hope this helps mate.

C

The weekends last hurrah :-)

Pffffft....the markets....I've got the Thursday night itch :-)