Trend following not working on my 7,000 backtests !

qwertyuiop1 said:
You've made some interesting points for me to think about. I guess I want to avoid tweaking parameters too much to avoid curve fitting. But if the tweaks make sense and if successful over a similar sample size then the tweaks may well be valid.

You may have missed it on my original post but I did try adjusting after 24 hours depending on whether trade in profit or not but it made no noticeable difference.

Out of curiosity do you trade a successful trend following strategy yourself?
If so what is your expectancy cy per tade do you have in terms of R? And over whstvsampke size?
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Sorry I missed the bit about adjusting it after 24 hours. I trade price action setups with the stacked ema condition as a filter. It’s profitable but rather different from what you’re doing. I’m happy to share more details in private if you like.
 
qwertyuiop1 said:
But I'm not a curve fitter. Nor should anyone be a curve fitter.
All successful systems need to be robust.
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OK fine, you are an MA fitter.

The system cannot be robust if you cannot explain why it works. For instance, can I plot some kind of an MA that will cause you to give me your money ? If not, why not ? What causes you to believe you can plot an MA to cause someone else to give you their money ? Do you consider them to be stupid ?
 
EnlightenedJoe said:
.. For instance, can I plot some kind of an MA that will cause you to give me your money ? If not, why not ? What causes you to believe you can plot an MA to cause someone else to give you their money ? Do you consider them to be stupid ?
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when the 10MA > 20MA > 50MA it creates an "open pocket" and its a great opportunity for my candle to dip its hand in and lift the wallet or mobile :)
 
Kaeso said:
when the 10MA > 20MA > 50MA it creates an "open pocket" and its a great opportunity for my candle to dip its hand in and lift the wallet or mobile :)
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Haven't seen captain 3 ducks for a very long time. Maybe all his money are gone. Or maybe he made it and have no more need for ducks. But the probability favours the former.
 
EnlightenedJoe said:
Haven't seen captain 3 ducks for a very long time. Maybe all his money are gone. Or maybe he made it and have no more need for ducks. But the probability favours the former.
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whos Captain 3 Ducks ? he sounds great :clap:
 
qwertyuiop1 said:
I have lost all confidence on trend following.

I back-tested the below system over 9 major FX pairs using 4 hour charts over 13 years which consisted of exactly 7,004 trades.

Plot 3 EMAS on chart: 5,21,55
Use a Stop loss od 2ATR(14)

Enter long/short when 5 EMA crosses above/below the 55 EMA
Exit when 5EMA crosses back over ANY of the 21 or 55 EMA (whichever comes first)

And that's it !

As you can see it adheres to all the fundamental rules of a good trading system:
- IT knows what instruments it trades
- Knows entry signal
- Knows exit signal before entering which facilitates both cutting losses and maximising profits
- cuts losses
- lets profits run
- knows risk in advance

It barely broke even before costs (It had an expectancy of 0.01R per trade). Since costs were about 0.02 R it had an expectancy of -0.01R per trade.

I then tweaked it slightly whereby I closed any trades that were not in profit after 24 hours. And for those that were in profit I moved the SL to breakeven.
Again- the overall results were very similar.

I'm not saying trend-following cant assist in trading. But based on my back tests - (which was a significant sample size in anyone's language) it definitely isn't a simple case of cut your losses and let your profits run and you are guaranteed profits in the long run like many sites lead you to believe.

It really needs to be fine tuned a bit better than that. I really don't know where to go from here to be honest.

Ya - you can tweak the parameters - but that should now make any difference in the long run.

Id be curious to get other peoples thoughts on it.
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In the markets, there is cause and effect.

The effect is the price you see on the chart. Something caused the price to move like that.

Your issue is that you are looking at effect (where we traded) and looking for cause. Sadly, cause is not there.

So no matter how you slice and dice it - you need to focus on causes.
 
Kaeso said:
i got that part but wondered who it was..

im not using MAs i was kidding
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Well just search 3 ducks and you will find him.

Maybe you should post up your trades, then we get a better idea on what you are doing. I promise I won't steal your idea. Although I can't promise itsnotpossible won't copy trade you.
 
EnlightenedJoe said:
Well just search 3 ducks and you will find him.

Maybe you should post up your trades, then we get a better idea on what you are doing. I promise I won't steal your idea. Although I can't promise itsnotpossible won't copy trade you.
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oh yes i found it thanks ill have a look later. Maybe one day ill be post some results and/or trades yeah.. i am interested to do that but haven't felt inclined as yet.
 
Solas0077 said:
Explanation for TF failure in recent years was offered on the basis that there is not enough dumb money to support this style of trading. Interesting article here.
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Neal Berger's a fund manager talking about fund management to fund managers. Anyone who invests in a passive quant fund rather than doing what we do, as private retail traders, is certainly dumb money.
 
Read Rob Carver's blog and/or his book or even his thread on ET (globalarbtrader is his name). Trend following absolutely does work and while no-one can definitively say why obviously he has a very good handle (which is probably the industry consensus among CTAs) on a reasonable explanation for it.
 
BUT...you should expect long term trend following to have down years and long flat periods like any other investment that just seeks to extract a risk-premium without an informational edge (eg equity risk premium)
 
Quiet1 said:
Read Rob Carver's blog and/or his book or even his thread on ET (globalarbtrader is his name). Trend following absolutely does work and while no-one can definitively say why obviously he has a very good handle (which is probably the industry consensus among CTAs) on a reasonable explanation for it.
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If it works, why are you not following trends ? If you did shouldn't you be rich already, instead of going on internet to look for magic formulas ?
 
I'll ignore the childish this time.

Anyone who trades or has an interest in trading can learn something from Rob Carver's work whether you use it or not.
 
This is typical of MA/TA/PA/FA. Demo bloggers/spammers will insist it works but will absolutely refuse to put money on it.
 
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