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Trendfollowers: When oh when are we going to start making some $$$?
- Thread starter Ash1972
- Start date
Quote from asiaprop:
I dont curve fit anything. And the reduction factor is not a function of whether I am long or short but a function of how long the the trend has already lasted and also a function of the velocity/strength of the trend. I reduce the more I have already extracted from the move, which obviously does not mean anything about how long the trend may continue. I am fully aware that I often exit prematurely, but this is where I found my risk/reward to be the most favorable. The rotation comes into play when exchanging names that have made money and when the strength of the trend exhausts itself. The system cuts losers early on, purely as a function of p&l. This is part of one of my systems I run automatically and it works for me, but its a medium-term system, average holding period on US equities was until recently 22 days. Currently we came out of basing period and thats where I overrode the system to take smaller sized positions. Its very hard (to impossible) for an automated system to anticipate basing and reversals and thus I dont call my system "fully"automated. Hope it helps..
Yeah thanks a lot it helps.
May I ask regarding to "how long the the trend has already lasted and also a function of the velocity/strength of the trend." how would you handle those little spiky noise when measuring the velocity/strength of the trend?
And do you use a percentage based trailing-stop?
Thank you very much!
Quote from asiaprop:
run your current trend following system but start by reversing the leverage. You want to bet large when you are in the beginning stages of a trend, but with every subsequent move the probability of a rebound, no matter how pronounced, increases, so with each subsequent move you may want to reduce leverage. You partly miss out on some of the final breakdowns but this is anyway not the business I am in. I want to take a fairly large chunk on good leverage out of the principal move. Think about it and try to make those changes in your back test and see what you get. This is one of the basic ideas in my money and risk management building blocks which are part of my trending system.
The more I think about this approach, the more I think it's a good idea...
however, how do you pattern-recognize those small spiky temporary corrections in the trend? Then your leverage/position size will be jumping all over places, right?
Quote from asiaprop:
buddy, you gotta do a little homework yourself, I mean, you have bloomberg, start out with the equity indexes ("WEI"), from those you can derive the traded futures ("RELS"). FX is self-explanatory EURUSD = EURUSD INDEX or CURRNCY. Most commodities futures you find on the commodities pages. And eurodollar and bond futures you can find on the FI page. Very simple.
Okay thanks. As you can see I am really a newbie who relies mostly on the HELP HELP button in BB.
think about a realized volatility measure. Also you may want to test cutting spikes out of the analysis data set. I dont wanna give away more, but basically testing those ideas got me to where I am today.
Quote from mizhael:
The more I think about this approach, the more I think it's a good idea...
however, how do you pattern-recognize those small spiky temporary corrections in the trend? Then your leverage/position size will be jumping all over places, right?
Quote from Rodney King:
For those with common-sense skills, ask yourself: Would someone who actually makes all kinds of money trading choose to live in a small town in the Midwest... or in a place that sentient beings would actually <i>want</i> to live -- say, Bernardsville, Rye or New Canaan, or on the other side, Santa Monica, Laguna, or La Jolla? I mean, <i>think</i> for a minute.
lol I heard some great traders who don't like to be in NYC and trade remotely from some small places all over the world...
Quote from Haroki:
I wonder if factoring the VIX into your algos would help?
IE - lower VIX = longer trends, higher VIX = shorter trends.
This is what I do. Higher volatlility means I set lower targets and shorter time periods.
Why not using a trailing-stop to let the profit run?
---------------
And among all these heated arguments,
nobody even defined "trend-following"...
what are the entry signal for "trend-following" strategies?
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Without defining "trend-following" precisely, what conclusions can we draw?
Quote from asiaprop:
think about a realized volatility measure. Also you may want to test cutting spikes out of the analysis data set. I dont wanna give away more, but basically testing those ideas got me to where I am today.
Okay thanks a lot for your advice. You are probably 20+ years ahead of me.
I will test your advice out and hopefully it can save me from getting killed in my portfolio in the coming week...
On the other hand, I feel as long as the root is still TF, my portfolio will continue getting killed and squeezed until a clearer trend appears.
The bad thing about TF is that the Sharpe ratios are typically very low and big profit may only appear after years of drawdown... (looks to me from a newbie's eyes)...
Quote from Ivanovich:
YOU are surf, you obsessed and pathetic creature. Banned.
To all others, any time anyone even thinks there is a new alias by this loser (marketsurfer) please PM me and I will ban it right away and delete the posts associated with it.
Thank you.
If I'm guilty by association with Proffesor Logic, it would seem by the same token you are just as much of a feckless, naysayer with no 3rd party verification as your banned bud chef/surf, but this is typical for "traders" with no algorithmic programming experience nor sufficient technological and educational background to verify such software with their respective claims.
Quote from ProfLogic:
Thanks for the support Beau but you're having an argument with the mentally ill. I don't know what has happened to Surf in the last year but going off the deep end is an understatement.
Mentally ill is an understatement, incompetent applies, too.