Trend Harmony , Updated Results

Quote from salvador90:

Hello

Could you post the larger portfolios?

These last ones seem rather small ... and in one of them there is a drawdown of -85%
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Here the problem. If I post totally new portfiolo's then people blame me for changing portfiolo to fudge results. So I try within what can be done due to changes in market, liquidity ect, use the same portfiolo's also , there is not a 85% drawdown, how did you figure that. I will post some more Trend Harmony analysis , including some tradeplans with money management soon.
 
Quote from Murray Ruggiero:

Here the problem. If I post totally new portfiolo's then people blame me for changing portfiolo to fudge results. So I try within what can be done due to changes in market, liquidity ect, use the same portfiolo's also , there is not a 85% drawdown, how did you figure that. I will post some more Trend Harmony analysis , including some tradeplans with money management soon.
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I understand that but I had the impression in the beginning you had also a larger portfolio... if I remember correctly, and please correct me if im wrong, it used to be a bigger portfolio you updated and then a small one ... but maybe i'm making confusion...

Well in the portfolio, in the Monthly Report there is the return for each month it was there.
 
For example here's the big portfolio in one of the updates you made in 2008 ... it used to have 21 instruments:

CT_REV.CSV - 1
FX_REV.CSV - 2
HG_REV.CSV - 3
JY_REV.CSV - 4
NG_REV.CSV - 5
SB_REV.CSV - 6
TA_REV.CSV - 7
BO_REV.CSV - 8
BP_REV.CSV - 9
CL_REV.CSV - 10
DX_REV.CSV - 11
ED_REV.CSV - 12
HO_REV.CSV - 13
JO_REV.CSV - 14
KC_REV.CSV - 15
LB_REV.CSV - 16
LC_REV.CSV - 17
PA_REV.CSV - 18
RL_REV.CSV - 19
SF_REV.CSV - 20
UA_REV.CSV - 21
 
Quote from salvador90:

For example here's the big portfolio in one of the updates you made in 2008 ... it used to have 21 instruments:

CT_REV.CSV - 1
FX_REV.CSV - 2
HG_REV.CSV - 3
JY_REV.CSV - 4
NG_REV.CSV - 5
SB_REV.CSV - 6
TA_REV.CSV - 7
BO_REV.CSV - 8
BP_REV.CSV - 9
CL_REV.CSV - 10
DX_REV.CSV - 11
ED_REV.CSV - 12
HO_REV.CSV - 13
JO_REV.CSV - 14
KC_REV.CSV - 15
LB_REV.CSV - 16
LC_REV.CSV - 17
PA_REV.CSV - 18
RL_REV.CSV - 19
SF_REV.CSV - 20
UA_REV.CSV - 21
More...

I think the largest portfolio against which this has been independently benchmarked is the futures truth portfolio. I'm not sure what the components are (the are slected by futures truth) but I think it's a bit smaller than this.

I see where you're coming from with your thinking. That is, does this system scale with basket size. I believe it does (with caveats associated with the trend following methodology) - better than any other trend follower's performance which I have seen published in any significant detail. Given that I haven't seen any other trend follower willingly opened up to anything like the same kind of scrutiny reduces that sample size to 1 and so, from a certain perspective, amounts to little or nothing. But given that this vendor accepts such scrutiny while a sea of others do not (I know this) then that must speak loudly in favour of that vendor's integrity (integrity is always implicitly questioned with this kind of question) and at least suggests that his system can at least be classified as "probably decent" or at least "not awful".

Of course, it's down to Murray to furnish you with the results you're asking for. But IMHO, your post(s) hint at a lack of understanding of the methodology used to construct the portfolio. Murray can probably explain that for himself as I suspect it is different to what you expect.

And btw, every portfolio in existence is "hand picked". There is data-mining skew in every market related decision you or I make in system development because, at the highest level, there is no unseen oos data (I hope that makes sense). So given that and other in-built biases, one can only hope that the development methodology you follow is robust enough not to allow data-mining biases to completely undermine the entire effort.


Thx
D
 
no no... my purposse is not to know scalability or anything. Just want to check the performance in a diversified portfolio and since i was used to check THarmony performance in the past with a bigger portfolio, i anted to check again with the same portfolio.

Only 4 or 5 instruments like they were posted this last time seems a very weak diversification.

I have nothing against Murray.

I think you totally misunderstood my post. Lack of understanding in what? I myself trade under trend following methodologies so I'd like to think I know a bit of what I'm talking about... i didn't put mr Murray under scrutinity whatsoever.

As I said, I just remember I used to check his reports in here, and when this last post was made I was like "Where's the big portfolio at?".

These laast reports only had 5 or so instruments and as we know that ain't much of diversification instrument wise. :)
 
First those percent changes are based on a margin multiplier, not a real account size on the session level so for example. That 85% drawdown might be based on a 10K in the ten year note for example.

I have included many different portfolio session in this attachment. I also have two with a TP prefix. These are based on the Tradeplan feature in TradersStudio. These use a volatility based sizing for a given account size. Small portfolio based on 100K, larger ones on 1,000,000.

The equity report tab at the tradeplan level shows useful info, compound growth rate and percent drawdown, Sharpe ratio and MAR.

These results should be compared to the Barclay CTA index
Compound Annual Return 11.62%
Sharpe Ratio 0.42
Worst Drawdown 15.66%
Correlation vs S&P 500 0.01
Correlation vs US Bonds 0.11
Correlation vs World Bonds -0.01

This gives you a MAR of .74.
Remember this index is a above average CTA because bad ones are removed from the index, so even though it’s a average , it’s biased by survivorship cause this upward bias. For example what would the SP500 be if we used 0 for stock price of WorldCom, Enron , like they were still in the index.

Please see included attachment in this and next posts.
 

Attachments

Here the Tradeplans, I needed to post in 2 pieces.
 

Attachments

Thanks for the updated results. :) By the way, the "Simple Harmony" has been around for five years, have there been any changes, any improvements?
 
Quote from Derrick1983:

Thanks for the updated results. :) By the way, the "Simple Harmony" has been around for five years, have there been any changes, any improvements?
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Yes, I have a new system based on the harmony technology which I will be selling. It will cost more than the package with simple harmony. I will also be setting it as a upgrade to existing harmony users for $549.00. The system will sell for $1399.00 for TraderStudio users, $1699.00 including TradersStudio and $1899.00 with data also included.

The results are attached.
 

Attachments

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