Morning N :-) For that example, I was using fixed lots across the time series according to the following sizing (in yellow below). This is all traded on the Daily timeframe with an average hold per trade of 30.2 days. No pips are targeted. Every ...

Diversified Trend Trading Approach

I see where you are going 60. I misinterpreted you. There are some nice points in this post. Well crafted :-)

Systematic Trend Trading

I must admit I agreed with everything in your post except this sentence quoted above. A choice between a single instrument and numerous instruments does not necessarily improve your returns when dealing with trend following. For example below is a ...

Systematic Trend Trading

The trade results displayed above were non-compounded (profits not reinvested) ....hence the reduction in drawdown over time.....but yes....... last 3 years has been pretty ugly but seems to be picking up steam in last few months for FX. The ...

Diversified Trend Trading Approach

For Price Following Systems that operate off the philosophy of market divergence, your success is attributed to a handful of trades. The edge lies in the 'Positive Skew'. Keep to the right hand side of the market distribution by letting profits run ...

Diversified Trend Trading Approach

Cheers paolo :-)

Diversified Trend Trading Approach

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Diversified Trend Trading Approach

That gets framed and placed in prime position in my office. How to define the game in a succinct paragraph :-)

Systematic Trend Trading

Great article 60 :-) This article also gives some more of the game away. "The 1 Percent Rule: Why a Few People Get Most of the Rewards"

Systematic Trend Trading

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Diversified Trend Trading Approach

No probs with testing hypothesis. We should all do it.

Trading against the herd

IMO the vast populace trades randomly without being aware of it (fooled by randomness) and suffer frictional costs with the Law of Large Numbers. (Note: Random in the context of the trade contributing to an overall edge). Reverse a random ...

Trading against the herd

How Diversification of Divergent Systems Smooths the Volatility of the Equity Curve. image image image image

Diversified Trend Trading Approach

Good advice....... apart from the diversification angle. There is only one Buffett....but many successful CTA's that have outperformed Buffett over the long term in terms of risk adjusted returns. Jan 1996 to Jan 2010 image Source: As a value ...

Diversified Trend Trading Approach

Food for thought - The Influence of Time with Randomness Consider how diversification allows for ensemble averages as opposed to non-diversified systematic application leading to time decay. Now apply this to FX and the percentage of long term ...

Diversified Trend Trading Approach

An eye-opener. Thanks for sharing. Found this as well after reading the extract. :-)

Systematic Trend Trading

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Diversified Trend Trading Approach

Cheers 60. Very interesting :-)

Systematic Trend Trading

60 is spot on. His philosophical approach is supported by David Harding's statements (Winton Capital) put to the test by Jez Liberty in the following examples and practiced by the very successful Global Diversified Systematic Trend Following ...

Systematic Trend Trading

Hi H :-) If it works...it works...but the main reason I like the space I occupy is that it simply requires simple systems that stand the test of time. My main problem is working with systems that have a short shelf life. I am hopeless in determining ...

50% win ratio, 1:1 sl tp, and random entries