Universal Trend Trading

At the very least, putting a moving average below your equity curve can serve as a visual aid. I really like the idea of a paper trade threshold (capital deactivation point) based on something like this.

It puts to rest all the mathematical mumbo jumbo about "risk of ruin"......

Just turn the capital off after the system breaks its trend.

A second order trend system, if you will.

:)
 
Quote from Wide Tailz:

At the very least, putting a moving average below your equity curve can serve as a visual aid. I really like the idea of a paper trade threshold (capital deactivation point) based on something like this.

It puts to rest all the mathematical mumbo jumbo about "risk of ruin"......

Just turn the capital off after the system breaks its trend.

A second order trend system, if you will.

:)
More...
I did some more tests and took into account only long trades. Profit factor jumped to 12, so all looks fine. Below are two columns: equity at which system starts trading and equity at which system stops.
6644 139029
148005 161540
164928 167537
176618 191658
219674 252243
252243 325535
343050 578245
588746 602922
609376 5346868
5833955 5684624
5974585 5904126
6014544 5951080
6133783 6133818
6228144 5926490
6198918 6180238
7698357 13663358
12809502 14612155
15520695 21030030
22468818 22181975
23021759 25527233
26391617 30158541
30960358 32986908
34352716 32963620
34274135 35268096
34825434 47414823
49289991 50127420
51537168 51501926
53036522 51075946
51905732 51769179
52630936 51516171
51765047 52480652
53460758 53204295
53625793 52176819
63577180 61457201
66883377 67813453
72272528 98568095
99232047 100791376
98152038 97365760
109196273 229534571
245437946 398248552
519205981 551992822
590117824 580683498
580683498 569518391
596721964 580928581
607569581 605838853
630147885 839524038
867220207 824484192
857120808 864196028
864196028 1113576435
1208683164 1318934226
1350159623 2885815396
2487973604 2487973604
2512821595 2490216286
2755426801 2477924112
2774906453 2960012601
3095988352 3092779158
3207769897 3716419245
3932220157 4239473811
4239473811 4135321759
4280141236 4167647357
4341999949 4239591437
4270037223 4203795197
4326448715 4217186977
4336141829 4679910683
5588332038 7019657573
7377874078 7194799992
7295610271 7357921784
7394184841 9797836132
11541024494 15196431707
16715610680 16941803939
17322227555 16838752130
17566501851 17353839466
17520687720 17118003237
17247022731 16941669875
17395455525 16685325775
17759368777 17843747503
18428291101 17456272958
17901008184 20836066593
22645489848 21067493396
21460828851 20730609601
20594063984 16702694493
17452076835 16593647299
17723515369 17766708391
18277231369 17721452510
18405316300 21859897869
22326649059 21203781999
25207728685 24009417079
24612046924 23936475810
25251962343 25092811572
29179372827 24161711495
29120613201 31107081086
31978800984 31270253108
32854784966 35896761487
39632417173 37038468910
38604706701 39182690154
39455840706 38987147928
41410140955 44718366754
47475211046 45099805131
46344926668 45810208147
46373074392 46408863617
47766483867 46177719307
48037260778 49903651208
50281370271 76712717379
64397111069 60034821111
65884793945 64380280568
65623691534 73590661080
78871305743 76224993312
78289234708 78988404741
80242298820 79061876270
83623916083 82213658990
81092642024 83451530744
115933024141 90331323648
102116605500 97390259711
103436533264 104150750006
104150750006 118375902518
120599097045 122644887230
122644887230 126539423435
127607841071 212862985573
235035893431 243242076012
240083194811 232126006844
246363254349 239443523876
232186756088 218260873498
296767691884 454963303214
454848506753 387927765172
458313538487 403698743558
431106843420 400313376447
447196475378 400610312653
419534760760 404549580316
480406927254 423744841924
444709953193 638775622149
672396376750 635355558454
666961942808 662100173465
677154292422 691765911314
686567062691 639868292439
716578948356 658686428403
708644543713 649898609577
703362646479 631892418166

Total amount made by trading this way is negative, why?
Below is a column that shows % profit on each trade:
1992.66
9.14
1.58
8.52
14.83
29.06
68.56
2.41
777.43
-2.56
-1.18
-1.06
0.00
-4.84
-0.30
77.48
14.07
35.50
-1.28
10.88
14.27
6.55
-4.04
2.90
36.15
1.70
-0.07
-3.70
-0.26
-2.12
1.38
-0.48
-2.70
-3.33
1.39
36.38
1.57
-0.80
110.20
62.26
6.31
-1.60
-1.92
-2.65
-0.28
33.23
-4.93
0.83
28.86
9.12
113.74
0.00
-0.90
-10.07
6.67
-0.10
15.86
7.81
-2.46
-2.63
-2.36
-1.55
-2.53
7.93
25.61
-2.48
0.85
32.51
31.67
1.35
-2.79
-1.21
-2.30
-1.77
-4.08
0.48
-5.27
16.40
-6.97
-3.40
-18.90
-4.92
0.24
-3.04
18.77
-5.03
-4.75
-2.74
-0.63
-17.20
6.82
-2.22
9.26
-6.55
1.50
-1.19
7.99
-5.00
-1.15
0.08
-3.33
3.89
52.57
-6.77
-2.28
12.14
-3.36
0.89
-1.47
-1.69
2.91
-22.08
-4.63
0.69
13.66
1.70
3.18
66.81
3.49
-3.31
-2.81
-6.00
53.31
-14.71
-11.92
-7.14
-10.42
-3.57
-11.79
43.64
-5.51
-0.73
2.16
-6.80
-8.08
-8.29
-10.16

If I used that % to original starting amount (5000) I would end up with 519313704, much less that system's original 631892418166.
How is it possible and how can I use equity curve trading to my advantage?
 
Quote from luckyputanski:

Below equity (no commissions) from 1929 to 1940: corn, djia, nikkei, silver, sp500 (should get more data, maybe will do in the future). It's the same system I trade now, no changes at all. Doesn't look that bad.
More...

What happens if your account runs out before the equity curve turns up?
 
Quote from Wide Tailz:

Wow, that didn't work like I thought it would!

:(
More...
I wonder why and honestly I'm not sure. Could this be because with trading systems "buy & hold" is better than trend following? Or is it because this trading system hasn't failed yet (last year was awful, but it still makes 50-70 % a year) and equity curve trading makes money only with systems that failed (that is, lost nearly all capital).
 
Quote from luckyputanski:

I wonder why and honestly I'm not sure. Could this be because with trading systems "buy & hold" is better than trend following? Or is it because this trading system hasn't failed yet (last year was awful, but it still makes 50-70 % a year) and equity curve trading makes money only with systems that failed (that is, lost nearly all capital).
More...

Equity curve trading does indeed prevent ruin if you stop trading after a change in equity curve trend. However it can also reduce overall profits if not optimized to your particular equity curve characteristics. Why it didn't work in your back test, I can't know because I can't see what signal you used. However, I'd be much more interested in placing the Wide Tailz trend following signal over it, because I see opportunity all over that chart.

I really appreciate your thread because it's a window into the life of an old school universal trend follower. There are other ways, however, to approach the art. My take on the subject is most excellently summarized by a poster by the name of TK (halfway down the page) in the trading blox forum:

http://www.tradingblox.com/forum/viewtopic.php?t=7033
 
Quote from Wide Tailz:

Equity curve trading does indeed prevent ruin if you stop trading after a change in equity curve trend. However it can also reduce overall profits if not optimized to your particular equity curve characteristics. Why it didn't work in your back test, I can't know because I can't see what signal you used. However, I'd be much more interested in placing the Wide Tailz trend following signal over it, because I see opportunity all over that chart.

I really appreciate your thread because it's a window into the life of an old school universal trend follower. There are other ways, however, to approach the art. My take on the subject is most excellently summarized by a poster by the name of TK (halfway down the page) in the trading blox forum:

http://www.tradingblox.com/forum/viewtopic.php?t=7033
More...

Interesting. I also believe that markets change, nice comparison by TK to number of Aces. I optimized all parameters of my system to get about 120000 combinations. I then calculated average MAR ratio for all of them and I'm using parameters that give results barely above that average.
If markets change, I have equal chance to be affected positively as negatively.
 
Quote from luckyputanski:

Interesting. I also believe that markets change, nice comparison by TK to number of Aces. I optimized all parameters of my system to get about 120000 combinations. I then calculated average MAR ratio for all of them and I'm using parameters that give results barely above that average.
If markets change, I have equal chance to be affected positively as negatively.
More...

Interesting. That reminds me of how automakers detune the fuel map on production cars, to keep everything on the safe side.

I guess it all comes down to what kind of car you want: a Honda Accord or a boosted race car with gauges all over the panel to keep you from blowing it up!

:D
 
Quote from Wide Tailz:

Interesting. That reminds me of how automakers detune the fuel map on production cars, to keep everything on the safe side.

I guess it all comes down to what kind of car you want: a Honda Accord or a boosted race car with gauges all over the panel to keep you from blowing it up!

:D
More...
I think about more as a kalashnikov. Loosly connected parts that work in -40 C (Germans had a problem with their precisely manufactured guns in cold temperatures) and +40 C. Simple, just to get the job done.
 
You must log in or register to reply here.
Back
Top