Trend Harmony , Updated Results

[Murray Ruggiero]

Quote from JaiSreeram:

Post , how many markets were used when you orginally developed Trend Harmony

When developing the system I started with 32 markets , then stablized on about 28. The seven market portfiolo is because that what Future Truth picked for their evaluation. Since portfiolo based systems are the results of the portfiolo picked ,I started using the one they picked so no one could claim I change the portfiolo in hindsight.

 

[SuperCruz]

Can you give us updated results of a larger portfolio, not just the seven commodity one?

 

[Murray Ruggiero]

Quote from SuperCruz:

Can you give us updated results of a larger portfolio, not just the seven commodity one?

Yes, my current larger portfiolo has 25 markets. I have uploaded the latest results.

 

[byculla]

Murry,
Do you use money management and position sizing with your system ? Dosen't seem that you use stop losses, how about stops ?
For a 1 contract trading and $ 100K of capital the losses per trade in many a case are a bit too rich for my constitution. Pass the malox plz.

 

[Murray Ruggiero]

Quote from byculla:

Murry,
Do you use money management and position sizing with your system ? Dosen't seem that you use stop losses, how about stops ?
For a 1 contract trading and $ 100K of capital the losses per trade in many a case are a bit too rich for my constitution. Pass the malox plz.

People asked to see results on a larger portfiolo. This would require $1,000,000 to trade using money management position sizing. Most retail customers are looking for as small of a portfiolo as possible to trade. That why I use the Future Truth portfiolo. It's reasonable. The only change I would make is to use mini natural gas. Also remember these are results over 27 years and drawdown numbers increase over time.

 

[byculla]

That explains position sizing now the rest.

Dosen't seem that you use stop losses, how about traling stops ?

What I see in your Trade by trade tab does not support the adage of keeping losses small.

 

[Murray Ruggiero]

Quote from byculla:

That explains position sizing now the rest.

Dosen't seem that you use stop losses, how about traling stops ?

What I see in your Trade by trade tab does not support the adage of keeping losses small.

The adage is to keep losses smaller compared to wins. We have a win/loss ratio of 2.27 , which is how a trend following system works. The systems does have exits but they are based on the system logic not dollar value. A simple example is a 20 bar breakout without stops does have protection , the other side of the channel.


It might not be pretty but this is trend following. This method is long term profitable, but can produce drawdowns at times. Things like dollar stops, trailing stops can improve historical results but this might not hold up in the future.

 

[rcanfiel]

Quote from byculla:



What I see in your Trade by trade tab does not support the adage of keeping losses small.

I completely agree. There are some really breathtaking periods of consecutive and heavy losses in 2007.

This looks more like a triples and home runs rather than a singles hitting system.

But your openness and willing to post results is definitely a positive

 

[Murray Ruggiero]

Quote from rcanfiel:

I completely agree. There are some really breathtaking periods of consecutive and heavy losses in 2007.

This looks more like a triples and home runs rather than a singles hitting system.

But your openness and willing to post results is definitely a positive

Triples and Home runs that trend following. I could have developed a version of the system with tight stops which I might of gotten to look better and shown those results but I wanted to show the system I developed in 2005. Loss or not , the system has remained profitable since I orginally finished in in August 2005 and released it in January 2006.

Also using stops might seem like it helps but when markets get manic like some are now ,the stops will do nothing but create large losses over repeated stop out trades.

 

[rcanfiel]

Quote from Murray Ruggiero:

Also using stops might seem like it helps but when markets get manic like some are now ,the stops will do nothing but create large losses over repeated stop out trades.

I would not agree on this point. I have done much stoploss research (pounding many trades for a method into a spreadsheet, adjusting per margin, and cutting it off at numerous stops). It is very rare that even a disaster stop does not at least preserve, let alone increase, total profitability, with at least some reduction of time-in-market

Besides, you have at least one breathtaking string of losses in 2007, despite the "no stop loss" concept. It is not just about profitability, it is about how you got there.

Usually when someone disavows stops or profit targets, it is because there has been a lack of exhaustive research to actually see what would have happened against their own trading signals. More times than not, one or the other offers some to much improvement.

Raw exposure to the markets ignores the Risk part of the R:R equation.