determine trend?
- Thread starter maildigger
- Start date
can these be reversed engineered to profit on the next run/trend. YES.
Coin flipping has nothing to do with trendfollowing. The markets are driven by human behaviour. Human behaviour can be analyzed and give reliable signals to trade the trend.
If i constantly stay above 80% profitable trades it proves that it has nothing to do with the coinflipping theory, because in the long run ( at least 1000 observations) coinflipping will tend to a 50/50 result as i have 80/20 results.
Please explain me how i can get 80/20 results in "coinflipping the market".
Just using the plain old momentum indicator to determine the trend, and then only trading with the trend, seems to help quite a bit.
Momentum indicator = Close[this bar] - Close[N bars ago]
I applied long term momentum (approx 9 months) to a shortterm / intermediateterm system, restricting the system to only trade in the direction of the long term trend.
The number of trades was cut in half, roughly as expected.
Profits increased and drawdowns decreased. Gain-to-pain ratios like the MAR Ratio (which equals CAGR% / MaxDD%) and the Sharpe Ratio also improved. The greatest improvements seem to have occurred recently, in calendar years 2004 and 2006.
Here's a test run in which the filter setting is "stepped" across both possible values: Yes (filter is enabled), plotted in Red; and No (filter is disabled), plotted in Blue. Yes-Red looks nicer than No-Blue.
And this is just the humble momentum indicator. Imagine how much better things get when you use a sophisticated method of identifying the trend....
Momentum indicator = Close[this bar] - Close[N bars ago]
I applied long term momentum (approx 9 months) to a shortterm / intermediateterm system, restricting the system to only trade in the direction of the long term trend.
The number of trades was cut in half, roughly as expected.
Profits increased and drawdowns decreased. Gain-to-pain ratios like the MAR Ratio (which equals CAGR% / MaxDD%) and the Sharpe Ratio also improved. The greatest improvements seem to have occurred recently, in calendar years 2004 and 2006.
Here's a test run in which the filter setting is "stepped" across both possible values: Yes (filter is enabled), plotted in Red; and No (filter is disabled), plotted in Blue. Yes-Red looks nicer than No-Blue.
And this is just the humble momentum indicator. Imagine how much better things get when you use a sophisticated method of identifying the trend....
i know alot about systems and typically - not always ok - trend following has many small losses and few big winners. they try and diversify across many markets because you would die of boredom waiting for a trend.
now there is another way to trend trade and have a high degree of winners. you go for small profits and have high risk. which makes sense because you say you seldom get stopped out. i know 500 trades seems like alot of samples but i have done 50,000 rt's a day with 73% accuracy counter trend trading.
nothing personal at all just trying to understand more about your method. in fact i love trend traders just wouldn't want to be one. i know quite a few and i always welcome anyone who can contribute the the liquidity of the markets and take the other side of my trades. long live the trend trader!
see my chart art gallery at
http://www.elitetrader.com/vb/showthread.php?threadid=89844
Mark Brown
Easily. You weight the coin so that 80% of the time it falls on the side you profit from.
Such a coin is as embarrassing to ms (a non-surfer judging by his attacks on trends) as his endorsement of that low grade oil selling fake turtle.
Note for mb: Trading with the trend (not following it to its exhaustion) doesn't imply high risk for those 80% trades; it implies (in my case anyway) reading the trends structure to find those situations with high probability of success and then using targets to take your success, except where the conditions very strongly push patient following. The key determinant of high % for me is being prepared not to take the even slightly weaker setups.
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The things people believe in are usually just what they instinctively feel is right; the justifications and arguments are the least important part of the belief.
That's why you can win the argument, prove them wrong, and still they believe what they did in the first place. You've attacked the wrong thing.
So what do you do? Agree to disagree. Or fight. - C. Zakalwe.
I daytrade the ES. I make on average 2-3 trades a day.
I do not go for few big profits ( average profit per trade is several points) and i do not have many small losses as i win in over 80% of my trades.
I have many big profits and few little losses, just the opposite of what you say. I do not have high risk either.
The art is to make big money in few trades and with little risk.
The number of RT a day are irrelevant.
Your statements prove that you don't know what i'm talking about. That's what i meant when i said : I assume that those who do not believe in trend following, were not smart enough to find the trend. This doesnât mean they are stupid. They are probably much smarter than I am. But in one thing I might be smarter: in finding a trend.
i know people who make money trend trading - many - but none that have a high percent of winners. could you say how many trades average you make per market per year? that will tell alot. i mean its not like i am trying to steal anything from you.
mark brown
think of this if i set today and flip 500 flips of a coin and stop and 80% were heads - that's what your stats are to me as a researcher who test systems on 20,000 trades not 500.
are your stats based on actually trading? that would be awesome if it were good trading, stay doing what your doing. it would be real interesting to follow a live call of the beginning of your trend cause most trends ar identifiable after the fact.
i am now wondering what your trend is - heck maybe im a trend trader. no dont think so because i trade long when the market is going short. i do just the opposite of what the price action is doing. so what is your trend?
Quote from nidarian:
EXCEPT my trends last 10min on averageAnd I have lots of trends up and down in one day!
can i ask you say you have a 10 minute trend - is the price trading below where you will buy it higher? does the market come to you? and then you are off an running with a long position?
mb
Absolutly. Markets always comes to me first before I let it go and fetch me some profits. Or I aint playing or feeding it treats.
Come here boy. Be good now! Fill. Good boy, now go fetch me some profits. Good boy!
There is your holy grail. You have all been using it on your dogs for years.