Trend Following Research

Quote from slavduja:

More...

How was your portfolio selected over time? Was it static?
 
Quote from Trend Following:

How was your portfolio selected over time? Was it static?
More...

Static. I am not experienced enough in order to shuffle things in and out of the portfolio. Haven't figured out the metric based on which to change the portfolio contents. (volatility??)Some advice would be great!
In addition I am looking into spread trading using short term(2-3 day holding period) trend following, do you have any experience in that area??

Thanks
Slavduja
 
Whether trends exist or not will b debated ad-infinitum for as long as a market exist. Trends exist because sentiment exist. Some people, have throughout history been able to take a solid pulse of that sentiment.

Time and compounding is all it time to free yourself of the daily grind, if that is your goal.

Do give William Schamp, Jack Hershey, and Constance Brown your due diligence. You might like what you find.
 
Quote from Trend Following:

I can't help idiots.
More...

It's amazing that simply trying to hold an intelligent conversation with someone degrades so quickly to name calling when cornering them with the most directed questions aimed at their chosen field. I can't wait to see what your next two books are about.
 
Quote from RCG Trader:

Do give William Schamp (ProfLogic), Jack Hershey...your due diligence. You might like what you find.
More...

Anyone who listens to these two deserves to go broke. Are you really going to make me watch that PricePhysics video again? Is that thing on here?
 
Quote from Trend Following:

Anyone who listens to these two deserves to go broke. Are you really going to make me watch that PricePhysics video again? Is that thing on here?
More...

The video is sophomoric & outdated created by some of my college extension students for me. It was never meant to be a professional representation of what I do.

You are clueless as to what I do yet you make derogatory remarks like this. You do not know a single person that actively trades using my method to even be able to back up such a hateful comment like that. It just goes to show what a classless individual you truly are.

I can give you the names of many people successfully using what I gave them. The only person profiting from your drivel is you.
You couldn't trade your way out of a wet paper bag using your own "Trend" techniques if your life depended on it. Why, you don't have any of your own. Everything you hold "near and dear" to you regarding trending techniques you've gotten from somewhere or somebody else. You are incapable of doing any worthwhile research on your own that isn't a rehash of information already shown elsewhere to be outdated. Hey, if I'm wrong post something original that YOU researched and created on your own. Oh . . . sorry . . . you can't!

You are a journalist and a writer, nothing more and it burns your flat ass that someone out here can so clearly see through your BS. You are an entertainer and nothing more. I've attempted to hold many reasonable conversations with you over the years and ever time you have always digressed to name calling. Every time someone corners you into expounding upon your own "chosen" field you crawl into the gutter. Typical for someone without answers to simple questions.

Put me on ignore or show me in real-time that I don't know what I'm talking about.
 
Quote from RCG Trader:

Whether trends exist or not will b debated ad-infinitum for as long as a market exist. Trends exist because sentiment exist. Some people, have throughout history been able to take a solid pulse of that sentiment.

Time and compounding is all it time to free yourself of the daily grind, if that is your goal.

Do give William Schamp, Jack Hershey, and Constance Brown your due diligence. You might like what you find.
More...

Cotton was a debateable trend? Copper, silver, AAPL,SIRI....

To Michael Covel, I learned alot from your books, and trend following has proven itself day in and day out since I discovered your books a year ago. I appreciate the thread also.

Trend following might not be the only way to trade, but when the market really moves in the right direction it will make you an absolute killing.

I would also like to ask Mr. Covel if his next book will be a follow up to his previous trend following books? I was hoping you might lay down a few more systems like you did with the turtle rules in The Complete Turtle Trader?

I know there are a lot more ways to trade the turtle rules and different filters to apply to Donchian break outs that really improve returns, so to see a book consolidate a few systems and strategies would be really cool.

:)
 
Quote from slavduja:

It certainly drives it but does it lead it??I can see that trends cannot be sustained without sustained buying and selling coming in. So yes volume is a vital component of TA, I agree.One thing is deciphering volume isn't an easy task. when price is fair participants exchange ownership of shares/contracts in high numbers (high volume in small range), markets are nothing but an auction market searching fair value. Larger participants tend to have better information available to them before the rest of us( I believe the term in econ is asymmetric information) and are therefore more often correct on the "TRUE" value of the underlying instrument. For example, producers in commodity markets have a much better grasp of how things are than we retail speculators do. These guys use us for liquidity.I have noticed how high volume nodes often are signs of market reversals and trend exhaustion. On the other hand break outs out of consolidations with high volume cause sustainable trends. One of the filters turtles used was not to enter the market if their position made up a N% of the total daily volume. I can see why that is a great filter, although not something a small timer like me buying 1-3 contracts of NQ needs to worry about anytime soon. LOL
By using constant volume bars like prof, one can filter huge amounts of noise you can encounter with time based bars.

Volume is a measure of participant's agreement on value as you point out. The relationship of the market variables came soon after DOW Theory became part of the financial industry. Larry Harris is a terrific authoritative resource on the markets and trading. Also see W. J. ONeill as a very insightful person who has moved understanding of markets and trading forward.

the nitty- gritty of how things work has been expressed. Why they work the way they do requires as deductive proof and the extreme avoidance of inductive reasoning. The general approach for the proof is done best as a problem solving approach since the result of the proof have great value in their pragmatic application. For me, I turned to Keynes (Paradigm Theory) and Carnap (Logic Theory) for the deduction boundaries. Humourously, at this point in time neithr the IRS nor the SEC has to capability to "process" the basis of how markets work and how extracting the market's offer is optimized.

"following trends" is an unworkable approach. Instead Science and the Scientific Method have to be brought to the fore.

The solution lies in market granularity and that finite math must be used in the process. Pragmatically, the markets use instrument values as the basis of trading. The auction rules are just an adjunct for facilitating the maintenance of markets.

Look at the variables in terms of their ingredients: instrument definitions. a contract is the unit, for example. By observing the measured flow of contracts, you see the character of the market. Time cannot be used, as you point out, for this examination. Pragmatically, time is "sufficient" for observing markets.

What replaces time, again as you point out, are events. In paticular the deductive proof is accomplished by examining the events from the perspective of their order.

I admire you cogent expression of the flow of events as related to the market variables. This is the essence ofhow to find out "why".

To begin this examination, one must go to the root: one unit and its precise value. This shows why time cannot be the independent variable. Neither can price-volume bars you mention. Also, they are not event oreinted.

I constructed the flow of units using an event orientation. The two market events turn out to be "continuation" and "change". This gave me the correct measure of volume and the correct measure of price. Behavioral Finance also discovered these esential facts as well and in the context ot the trader instead of the market.

Traders are examined from the viewpoint of what they do and how they behave. Market behavior focuses on why markets do what they do as tradrs trade.

As Harris points out there are many many ways to make money in markets; he uses 32 categories.

Because I had to deal with taking the market's offer, I had to focus on the science of "why" markets work as they do. Inductiion is a fool's errand.

Market design totally restricts the mathematics that can be applied. The key was examining the granularity. Work with me here. At any instant. there is a heirarchy of "value" at play. "Best" is what counts as in BBid and BAsk. The minumum separation is the granularity. And the markets afford anyone the ability to see how the traders are "stacked up" according to their interests.

My pragmatic task was to frontrun the market and its traders.

For proving why the market works the way it does, is another issue. This is done once. Frontrunning is gong on all the time for making money.

I looked at the pieces and put the pieces together, deductively. What I found were the measures of Price and Volume and how and why they interrelated. This has not happened in the public sense.

Behavioral Finance focuses, unfortunately, on price; this is mostly because of what is traded: value. Those measures of events are noted above.

Volume IS a variable and it can only be measured one meaningful way: it's dynamic. The dynamic of volume is its rate of change interms of the independent variable of the market: events. Pragmatically, the financial industry uses the incorrent independent variable. That is to my advantage.

As you wrote in your post, you are sensitive to the measures of volume: increasing and decreasing. So the nature of the markets is a relative issue and NOT an absolute issue.

The Hypothesis Set comes easy as the usual if then statement. The "form" of the statement answers the question. The form is If volume, Then price. A lot of work has been done inductively but little was done deductively.

Let me link volume and price for you:

H1 If volume is incrasing, then price trend will continue.

H2 If volume is decreasing, then price trend will change.

Now you see the parametric measures (PM of the HS. All aspects of paradigm theory are met.

One thing that is intereting is the nature of the continuation and the nature of change. Each have three components: pre, event and post.

Obviously, I made my mark in the trading world using these six elements. They form an order of events. Trading, for me, is a process of partial fills at a multiple of the market's capacity. Watching my "print" is a phenomenal experience since I trade against groups of traders instead of on a one to one basis.


How did you come up with a specific number 7??
Yes, trending may exist in all seven fractals(time frames). In one you could be in consolidation but in another you could be in a trend. This is why I asked Covel about multiple time frame trend following as means of diversifying and decreasing draw downs. I have also heard of testing your strategy with exact parameters on smaller time frames for robustness. Say a MA cross of 5 period and 15 period. You optimize and test on daily bars, than test for robustness by using the same 5 and 15 period on 30min bars and 5min bars.
I agree about the shorter time frames, I think its due to net profit being a product of # of trades and average profit/trade. Lower time frame can more than make up for lower %wins by having higher number of trades overall.Am I right??

In a friendly way I suggest that consolidation is not a price type event. Fractals are not timeframe based; they are event based.

covel struck out in writing his books. He has simply collected the views of assorted people which he feels others should use to do trading in markets. At some point it must become undrstood that te market's offer is NOT what covel is speaking of. He is just a person who sells a product in an industry.

The MA is an indicator that relates to data collections found in formulae. their are many indicators and inventing them is a lot of fun. It is best to build indicators that relate the the market's properties according the the market's measure.

I suggest the in a month on a given fractal that 15 trades occur. They each take the market's offer. When you look at ES margin and compare it to the reults of 15 trades you can see building wealth is in a ratio of 10,000 dollars to 1500 dollars. This is a high velocity multiple by most professional standards (other than fund managers and the like). This is an effectiveness and efficiency measure of the technique of the trader.

Selecting the trading fractal is important. By moving up to 20 to 40 trades a day, the above ratio is better. Comparisons come down to using the ATR since it depects the seasonal and othr properties of markets.
More...
 
Quote from Trend Following:

"Harmony with the market..."is the path to nowhere.
More...

Here is a sample of what nowhere looks like Michael.
You are the first to see the new automated program my programmers have been cooking up in our the kitchen of servers.
Those plus & minus numbers are trade results in dollars per contract profit.
Oh, this is an automated program that works in real-time.
The trade rules were covered as to not confuse you.
They were in English and too simple
Soon this little program will be available for testing, not that you will.
You don't trade.
Since you broke the rules on this site & opened the door and the mods don't want to close it. I thought I would kick it the rest of way open.

attachment.php
 

Attachments

You must log in or register to reply here.
Back
Top