Trend following not working on my 7,000 backtests !

Joe, they won't place a trade because they don't want to contribute..thats the bottom line imo

i'm thinking of bailing myself, getting nothing out of this

you noticed my posts have going down?
 
piphoe said:
Joe, they won't place a trade because they don't want to contribute..thats the bottom line imo

i'm thinking of bailing myself, getting nothing out of this

you noticed my posts have going down?
Click to expand...

I believe they don't put money on it because they already know it doesn't work. The reason for their insisting it works is for ulterior motives. With our spammer friend here, it's easy to see he's just pumping for the blogger who claims it works. The blogger blogs because the return is greater from blogging than from trading. Essentially he can't trade.

You would be wise to bail. The cost of getting to a point where it can produce a return is beyond anything people can imagine. But you would not have done worst than others, 99% of whom lose.
 
EnlightenedJoe said:
I believe they don't put money on it because they already know it doesn't work. The reason for their insisting it works is for ulterior motives. With our spammer friend here, it's easy to see he's just pumping for the blogger who claims it works. The blogger blogs because the return is greater from blogging than from trading. Essentially he can't trade.

You would be wise to bail. The cost of getting to a point where it can produce a return is beyond anything people can imagine. But you would not have done worst than others, 99% of whom lose.
Click to expand...

do you trade for a living then Joe? i cant recall you saying anything about it, or are you employed? ( I am the latter)
 
FXX said:
Okay, I just thought it was odd to use the word fun next to trading for a living.
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I find it odd you say that. I genuinely find trading fun. When I was young, I played endless computer and physical games. Now the only game I play is trading. It's great fun. The game depth and sophistication is amazing and beyond anything I previously played.
 
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EnlightenedJoe said:
I find it odd you say that. I genuinely find trading fun. When I was young, I played endless computer and physical games. Now the only game I play is trading. It's great fun. The game depth and sophistication is amazing and beyond anything I previously played.
Click to expand...
I enjoy the research aspect but dont find anything enjoyable in looking at charts or entering and managing trades. It's probably good I am thia way because when emotions are involved you tend to overlook information, well I do.
 
Its interesting that you called it fun that really made me think.

I do enjoy trading when I am trading well..but i enjoy it like i'm enjoying work, because i do it like its a job :) (not an easy one!)
 
Well, I am definitely not doing it like a job. I know of no job, even those that I liked and did them for fun, required me to do nothing and still paid me. Trading is lulz.
 
EnlightenedJoe said:
Well, I am definitely not doing it like a job. I know of no job, even those that I liked and did them for fun, required me to do nothing and still paid me. Trading is lulz.
Click to expand...

Oh I see, so trading is a bit of a laugh to you, you do nothing and get paid. It sounds great!
 
EnlightenedJoe said:
I believe they don't put money on it because they already know it doesn't work. The reason for their insisting it works is for ulterior motives. With our spammer friend here, it's easy to see he's just pumping for the blogger who claims it works. The blogger blogs because the return is greater from blogging than from trading. Essentially he can't trade.

You would be wise to bail. The cost of getting to a point where it can produce a return is beyond anything people can imagine. But you would not have done worst than others, 99% of whom lose.
Click to expand...

Hi, slow to this because I don't monitor this board regularly, as others have said I'm mostly on elitetrader.

I'm Rob Carver, the nefarious blogger of which you speak. I'd like to correct a few misconceptions if I may:

I do in fact trade with real money

I make no money from blogging or running BS trading courses or any of that stuff, as a thorough search of the internet will prove. I appreciate that there are a lot of scam artists in this business who pretend to be something they are not, but I'm not in that category. In fact I actively spend time turning away people trying to involve me in such ventures, or to write introducing broker contracts.

You can verify from public information* that I'm not a snake oil salesman, but an ex hedge fund portfolio manager who retired at the age of 39. This suggests that (a) I might know a little more about trading than the average person, (b) I've probably got a few quid socked away and I don't need to stoop to appearing on instagram pretending to trade besides the pool of a rented house, and begging people to sign up for my exclusive trading tips.

* https://news.efinancialcareers.com/uk-en/151380/key-departures-at-man-groups-ahl-fund/
https://register.fca.org.uk/ShPo_IndividualDetailsPage?id=003b000000LUkMJAA1
I've also done loads of podcasts and written books claiming to be Robert Carver, who worked for AHL. They would have sued me by now if it wasn't true!

I make a little money from selling books, and arguably my blog is partly a shop window for those books, but really is 'a little money'. The economics of the book industry mean that specialist non fiction books which take ages to write will eventually, if you're lucky, end up paying you about minimum wage if you work out your hourly rate.

I make nothing from speaking at conferences, and another relatively small amount of beer from doing some lecturing.

Since I retired from fund management my earnings break down is roughly as follows:
- trading 92%
- book sales 4.5%
- consulting & academic lecturing 3%

I'm excluding from this returns and dividends from my passive investment portfolio.
Of course you have no way of verifying these figures, although my fundseeder account is visible if you subscribe https://fundseeder.com/trading_account/1246. Again though I could have created multiple accounts and just shown you the best one, but you'll see if you can click through that if I was going to cheat I probably would have created something a bit more stellar (my Sharpe Ratio is a mere 1.27; nowhere near good enough to stand out).

Whilst it may seem hard to believe in this cynical world I am genuinely in the position where I have enough money and I'm genuinely interested only in sharing my expertise with others. If I really wanted to monetize my skills I'd go back to hedge fund managing (I still get plenty of offers, including one this morning); that is a far more renumerative role than being some kind of dodgy trading snake oil salesman.

Now back to the subject of this post. I'm often classified by others as some kind of trend following cheerleader. I'm not. You must be mixing me up with Mike Covel.

This is probably because I have a habit of using trend following rules as one of the examples I use when explaining broader concepts. And of course I used to work for a fund that mainly did trend following. But I only have about 40% of my trading capital allocated to that particular style. Sadly being associated with trend following does mean you are tarnished by association with some of the loopier people in that field. But it's a false syllogism to say:

- "X is a mad trading snake oil salesman"
- "X is a trend follower"
- "Rob Carver is a trend follower"

...therefore "Rob Carver is a mad trading snake oil salesman"

If you were to read any of my stuff you'd realise that I have much broader interests in systematic trading. Specifically one thing I like to do is get people to think and understand whether their results really have any statistical evidence.

Originally my name was mentioned because I had some ideas about what might make trend following work, so let's talk about that for a moment.

It's important to say that just because trend following has worked in the past (and there's plenty of evidence of that), it won't necessarily work in the future (if you were more familiar with my stuff you'll know I spend a lot of time banging this particular drum).

It's also a relatively low Sharpe Ratio strategy so there may well be longish periods when it doesn't work, and you need stacks of evidence to prove or disprove historic performance. Finally the original poster performed a test on a relatively short period of time (13 years) and a small set of instruments (9) drawn from a single asset class (FX), with a single trend following rule.

This is nowhere near evidence to prove anything... in fact if he had found that the trend following system worked I would strongly caution him against trading it. The OP also used relatively short time frames in an instrument that is very expensive to trade; thus creating a headwind of high costs that most any strategy would struggle to overcome, unless the backtest was massively over fitted.

I'll leave you with a quote from earlier in the thread that was kind, and (though I'm clearly biased) hopefully accurate:

"Anyone who trades or has an interest in trading can learn something from Rob Carver's work whether you use it or not."

You might for example learn that trading spot FX is far too expensive for a retail trader, which is far more useful to you than any supposed magic trend following system that someone might try and sell you.

Anyway, sorry for the long interruption. As you were.

Rob Carver, AKA globalarbtrader
 
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.
Click to expand...

Also for signal confirm can add MACAD indicator :)
 
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