High Probability Trend Strategy

[Global OptionsTrades]

Hi guys just wondering if anyone has a consistent trading strategy that they have used religiously thats good for someone who works a 9-5 and doesn't have to be glued to their screen. Im sure this question is asked a million times but im wondering if anyone has something thats held up in all market conditions

Me too

I can't promise that it sorks in all market conditions - it had a bad month recently when I incorrectly called the top in several markets for example - but I'm using options to trade direction/trend (and volatility) with reasonable profitability, using daily charts.

Over the last year (c.150 trades) P&L is c.15% with a average duration of 23 days, so c.780% annualised. This is slightly lower than backtest results, but ignores the positive impact of using futures to trade breakouts, and 3-9mth OtM credit spreads.

The long options used to trade trend are all detailed in my journal:

https://www.elitetrader.com/et/threads/global-options-trades.330518/

Have a read. Thoughts welcomed.

 

[zenoftrading]

Wrap that around ex-dividend dates. Selling OTM put options, harvesting put premium, collecting dividend on assignments. You'll have a system. Although, capital intensive, it provides stable return spending a couple hours a day.

Interesting approach, but the problem is that the dividend received is usually relatively small compared to day-to-day price movement. The risk of a significant drop in price overshadows the benefit of receiving the dividend.

 

[zenoftrading]

If you insist on using moving averages, some of the newer ones like Jurik and Zero-lag by John Ehlers are a improvement over traditional ones, but only slightly.

Moving averages are just lowpass filters, and therefore the laws of physics say that the filters will have lag, otherwise known as group delay. The ideal filter has zero group delay, but that almost doesn't exist. Even half a period of group delay can seriously degrade performance of moving averages. Look into Kalman filters as well. It's a broad area of research by just may yield what you are looking for.

Ehlers adaptive moving averages are definitely less "laggy" compared to the conventional MAs. The math behind them tends to get pretty formidable though...

 

[varaamo]

Potentially any of them or none of them. It really depends on your personality, philosophy of market movement, attention span, or any other number of factors in your life.

btw, if you think prices evolve as a random walk, then all of technical analysis is charlatanism. However, even if you think it is random, Gaussian statistics do a poor job of describing market movements. I'm of the opinion that it is mostly random with brief periods of non-randomness. It's our job to sus that out, and our PnL curve is the validation of how well we do that job.

@panzerman, can you share a good, reliable source for Kalman filter formula that can be understood in simple and non-quant terms? I tried to look for Kalman filter implementation for Ninjatrader, but couldn;t find one; thinking of developing one myself.

 

[viruscore1]

Interesting approach, but the problem is that the dividend received is usually relatively small compared to day-to-day price movement. The risk of a significant drop in price overshadows the benefit of receiving the dividend.

That's good you think that. Glade to take the other side of your trades.

 

[jeffalvinson]

Hi guys just wondering if anyone has a consistent trading strategy that they have used religiously thats good for someone who works a 9-5 and doesn't have to be glued to their screen. Im sure this question is asked a million times but im wondering if anyone has something thats held up in all market conditions

It took me 9 years, 30,000 hours and ten's of thousands of dollars to develop what your looking for. Do you seriously think anyone is just going to hand that over?

 

[viruscore1]

It took me 9 years, 30,000 hours and ten's of thousands of dollars to develop what your looking for. Do you seriously think anyone is just going to hand that over?

Even if you told them they wouldn't understand.

 

[ironchef]

2) People are, however, genuinely glad to give you broad foundational guidance to help you on your journey to profitability.

. Agree, I benefited from lots of educational broad fundational guidance here on ET.

Your welcome, and no I do not have a definition for you. I trade cycles/reversion-to-mean strategies because I like the payoff profile of frequent small gains and the occasional large loss.

I often take the other side of your trades.

 

[ironchef]

If you insist on using moving averages, some of the newer ones like Jurik and Zero-lag by John Ehlers are a improvement over traditional ones, but only slightly.

Moving averages are just lowpass filters, and therefore the laws of physics say that the filters will have lag, otherwise known as group delay. The ideal filter has zero group delay, but that almost doesn't exist. Even half a period of group delay can seriously degrade performance of moving averages. Look into Kalman filters as well. It's a broad area of research by just may yield what you are looking for.

Do you know how to set up a Kalman filter? I took a MATLAB class because friends told me MATLAB is the language for Kalman.

 

[BrooksRimes]

It took me 9 years, 30,000 hours and ten's of thousands of dollars to develop what your looking for. Do you seriously think anyone is just going to hand that over?

Gladwell's book "Outliers" says it only takes 10,000 hours to become an expert. Maybe trading is an exception.