Trend Harmony , Updated Results

Quote from agtrader777:

"Standing the test of time" to me means that a system will produce results similar to the expected backtested results regardless of the economic conditions.

Regards.
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agtrader777, thanks for the reply. :)

Quote from fundjunkie:

Given this definition and the range of dynamics involved it strikes me that you might be disappointed - permanently.
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fundjunkie, please explain the above. Do you mean to say that the list testing conditons are not correct?
 
Quote from JaiSreeram:

Electronic markets have witnessed changes in recent times. What about their effect in Trend Harmony?
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Good question. Although (I believe) a few markets are stlil better as pit rather than electronic (such as meats)...
 
Quote from JaiSreeram:

Electronic markets have witnessed changes in recent times. What about their effect in Trend Harmony?
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Trend Harmony used the open in some of it's calculations. I changed this to a balance point which uses the high,low and close. Using the same parameters as before the system does about the same numbers.

I will post the results soon. We used pit session results till the volume on the electronic markets was greater on average than the pit. In most cases this was some time during 2008.
 
Quote from TraderZones:

Good question. Although (I believe) a few markets are stlil better as pit rather than electronic (such as meats)...
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Thanks TraderZones for the reply. Did not realise that meats can also be a commodity for trading? :)


Quote from Murray Ruggiero:

Trend Harmony used the open in some of it's calculations. I changed this to a balance point which uses the high,low and close. Using the same parameters as before the system does about the same numbers.

I will post the results soon. We used pit session results till the volume on the electronic markets was greater on average than the pit. In most cases this was some time during 2008.
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Thanks, Murray for the reply. Shall wait for the results. :)
 
Quote from JaiSreeram:

Thanks TraderZones for the reply. Did not realise that meats can also be a commodity for trading? :)




Thanks, Murray for the reply. Shall wait for the results. :)
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Here is the results of the electronic version of harmony. I am using all the same parameters as the orginal versions, just replaced references to open in the code with a variation of high,low,close.

These results use a merge contract, pit till a given date then electronic when the volume in electronic is greater than pit.
 

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I have two questions. First how does Trend Harmony deal with the electronic markets, since many of the bit sessions are not tradable.

Second, how much money is required to trade it. My understanding is that even 50K is too little to trade a trend following system.

regards
 
Quote from agtrader777:

I have two questions. First how does Trend Harmony deal with the electronic markets, since many of the bit sessions are not tradable.

Second, how much money is required to trade it. My understanding is that even 50K is too little to trade a trend following system.

regards
More...

I have created a electronic version of trend harmony, it uses the same parameters and has a few minor modification for example Market orders for next day now become limit orders at the close.

Also any reference to open is replaced with (High+low+close)/3.

So the changes are minor.

I also have a small account version for electronic markets. This uses some filters which reduces risk and I have run simulations with as little as 30K with risk of ruins of less that 25%, using this version it's possible to trade a relatively small account.

I will upload results of this soon.
 
Quote from Murray Ruggiero:

I have created a electronic version of trend harmony, it uses the same parameters and has a few minor modification for example Market orders for next day now become limit orders at the close.

Also any reference to open is replaced with (High+low+close)/3.

So the changes are minor.

I also have a small account version for electronic markets. This uses some filters which reduces risk and I have run simulations with as little as 30K with risk of ruins of less that 25%, using this version it's possible to trade a relatively small account.

I will upload results of this soon.
More...

Here are results for 1 contract as well as two different runs with money management. One with 30K and one with 25K. This version filter out trades with too much risk so we can trade a small portfiolo. I will make this available to new customer who purchase Trend Harmony since July 1, 2009, free. This means if you buy Harmony now you will get the small portfiolo version free.
 

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