No probs Le M. It is great that we can discuss these matters.....as most traders simply don't want to talk about it. It sort of is the elephant in the room sort of discussion to most retail traders. :-)

Diversified Trend Trading Approach

Here is the market data on which this simple breakout system was tested. The red market data is the 'real market data' in the series. All the other curves are random market data sets where the auto-correlation in the market data series has been ...

Diversified Trend Trading Approach

The prop shops themselves use diversification to make their models sustainable in the long term. The successful prop traders in their group can be collated into a non-correlated and diversified business model for the firm. The individual long term ...

Diversified Trend Trading Approach

The exploitable edge in real market data is very little. Markets are very efficient. This therefore limits the total possible returns that can be extracted from any real market. The best Funds in the world know how to extract this edge in a ...

Diversified Trend Trading Approach

We always need to keep in the back of our minds that it is the market data that defines an edge that a system can exploit. The system does not possess the edge itself. There must be a non-random signal in the market data itself. This 'fact' limits ...

Diversified Trend Trading Approach

Here is how we can definitively test for an edge. Take a very long term 'real' market data sample. Randomise it with an array to eliminate auto-correlation in the series. Then assess the performance of your system against that array of random ...

Diversified Trend Trading Approach

Glenhaven Capital....ouch image Probably no need to go on...but it at least demonstrates how the long term fortunes are dictated by Outliers. The rest is just noise...in the scheme of things :-)

Diversified Trend Trading Approach

AIS is also defined by its outliers. CAROR over its lifetime is pretty low at 8.81% image You can see what I mean by the effect of outliers on performance :-)

Diversified Trend Trading Approach

Cheers Le Metier. :-) Purple Valley has a CAROR or 17.73% and its last years return has dominated it's performance. This is an outlier event...which dominates the performance results. Apart from this event, the result of the results can be described ...

Diversified Trend Trading Approach

What is clear for all of the most successful FM's in the world such as the most successful trend followers and the likes of Buffett, Soros etc. is that if you exclude the outlier trades from their performance, then overall performance reduces to a ...

Diversified Trend Trading Approach

I have looked into this before as have a few guys in the industry. The smaller scale fund manager can be demonstrated to possess lower returns on average over the long term with available data. Here is a listing of long term funds by type captured ...

Diversified Trend Trading Approach

Difficult to automate. Detecting material swing highs and swing lows is difficult from which you then draw the SDC plots as you cannot simply assign a standard look-back to determine these levels. The look-backs can vary dependent on price ...

Diversified Trend Trading Approach

Hi Le Metier I personally would spend more time focusing on a broad range of simple trend following strategies that can be systematically applied to very large data sets. The SDC method is not easily applied under automation which makes me ...

Diversified Trend Trading Approach

I no longer use the SDC discretionary method which forms most of this thread. I am now fully systematic with algos. However, it never let me down and I am sure it still has legs. All I cared about was new highs or new lows. I didn't use news or ...

Diversified Trend Trading Approach

I have tried this 'sniper entry' approach and it is great. Your idea for Multi TF synchronising would be an added confirmation. It adopts a mean reverting entry into a trend defined by SDC You can get some great R:R with an approach like this. Keep ...

Diversified Trend Trading Approach

Hi J. I have all but given up.on intraday timeframes with full automation. The only method that tends to endure with intraday are relative momentum methods where I regularly replace momentum strategies before they start to go belly up. So much more ...

Diversified Trend Trading Approach

Cheers Le Metier. :-)

Diversified Trend Trading Approach

Yep Hanover really knows his stuff and this is a very good example of a sustainable return series. :-) Professional FM's with large AUM actually have clearer advantages to a retail trader in that they can achieve far wider diversification which ...

Diversified Trend Trading Approach

Hi Le Metier Detecting an edge is a very hard exercise without having a significant trade record at your disposal. In fact I would say that it is impossible. That is why I only adopt practices in my trading strategies that are backed up by ...

Diversified Trend Trading Approach

Hi Le Metier The way I consider it is like this. Most retail traders do not trade with an edge, but that doesn't mean that they cannot be profitable over the short term. For example have a close look at the random series of equity curves below. ...

Diversified Trend Trading Approach