So I have heard! I am aiming for an autonomous systematic implementation as opposed to chart reading but none the less will be using similar rules such as EWMA and breakout.
Evaluation of momentum and trend following strategies applied to cryptocurrencies looks promising
- Thread starter TauLepton
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So I have heard! I am aiming for an autonomous systematic implementation as opposed to chart reading but none the less will be using similar rules such as EWMA and breakout.
That ain't old school TA!!
Whoops, my knowledge of TA is extremely limited or probably more accurately none existent!!
I don't trust any reports from the university.
I only trust reports from traders who earn living from trading.
But then if they are successful, why do they bother to publish any reports?
I only trust reports from traders who earn living from trading.
But then if they are successful, why do they bother to publish any reports?
I see, well here is the professional career history of one of the authors:
Professional milestones
2012 - 2014: Man Investments
2012 - 2012: Credit Suisse Group, Senior Vice President, Member of Senior Management
2009 - 2012: Goldman Sachs
2007 - 2009: Merill Lynch
2002: The Boston Consulting Group
2001: Oliver Wyman
Whilst I agree that the credibility of the author is very important I would say that assessment of the fundamental trading philosophy of the study takes presidence. In this case the philosophy applied is trend following and momentum which as far as I'm aware, but correct me if I'm wrong as I am new to the scene, is a well established strategy.
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Yes I am aware of this fact. Trend following should still be able to capitalise on downward trends. I was considering incorporating some trading rule variants with smaller windows which will be more responsive to the quick reversals observed in cryptocurrencies. I suspect that this would make the strategy more profitable (gross of transaction costs) and also reduce the drawdown.
seems you more or less got the right idea ... the pain in the but part is the implementation of these principles ... the best advice I can give you: don't go to low in timeframes been there done that got the T-shirt ... probably nothing below the 2H is worth the effort and even then you need bigger context to confirm ...
Thank you for the heads up. At the minute I'm trying to identify the shortest window that is viable to use. It seems to be a compromise between being responsive to short term trends, not being sensitive to market noise and minimising transaction fees. Anything else I should be taking into account?
In regards to implementation, "SYSTEMATIC TRADING" by Robert Carver provides a brilliant framework for signal generation, position sizing and portfolio management. That's the approach I'll be trying to follow.
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what I look for myself is a signal on the 2H that rolls into a signal on the 3H or 4H, only then I got a signal ... that seems to me the lowest you can go ... I use stochastics as an aide and use ema20 and ema50 too ... but I have been messing about too long on smaller timeframes which just were a huge waste of time if you ask it so what I give you really is the lowest you can go imho ... Don't know the book you are mentioning so can't give you any advice on that one ... I use ATR200 for my stop-setting ... knowing the maximum I can lose makes the position sizing easier ...