My Hedged Fund - Another "Trend-Following" Post

in theory yes, although in practice you'll round the target position to the nearest lot/contract of whatever you're trading so you'll end up staying constant for a fair amount of time. You'll see this in action if you check out the s/s I sent over - whilst the raw signal changes daily, the ContractPos is a lot more stable. The net result it a big saving in trading costs at the expense of tracking error to the underlying strategy.

It's an interesting idea, one I'd not come across before.

My background is not IT but I did manage to code up an algo to trade a short term FX system. I could in theory extend it for the medium term system, but all trades there are done in futures (including FX). Where I come unstuck with trying to code algos for futures is the non-standard and sometimes changing contract names.. also, there is the occasional roll which has to be manually executed.. this complicates matters further. As the medium term system is low frequency (10-15 trades/month), I enter/modify orders manually each morning.

I use a Donchian channel for breakouts.. I've looked at moving averages and Bollinger bands, but for me the advantage of using a channel is placing orders in the morning and forgetting about it. With MA or Bollinger, you're then faced with the issue of having to (attempt to) trade on the close or immediately on the open, which is not something I would be comfortable with on a daily basis (i.e. I don't want to be up at 11pm each night dealing in thin markets..!).

Is your system fully automated, and what time of the day does it re-balance?

I thin I mentioned before, I've got 2 completely independent systems.

The first is for intraday (3~5 trades per day) FX and for this one I've coded up my own application that subscribes to market data, calculates a few signals and then can automatically place a trade. This is only running in Demo at the moment.

The second one is the longer term trend following running G7 (ish) and most relevant to this thread. As this only uses daily data I do everything in Excel and trade manually. I'll take a price at a fixed time of day (4pm), enter into Excel, compute the new signal and trade the difference if necessary. The whole process for a few currencies takes 2/3mins so I just accept the time risk

Have a look at Amibroker, $280 one off fee. You can do absolutely anything you want from it, backtesting, algos, statistical analysis, etc. Gets round having to use Excel.

I'll certainly take a look. I quite like using a combination of excel and matlab but always willing to try something new

The self-fulfilling prophecy of trying to save a few £'s by not taking signals/getting out before your stop is hit (guilty as charged), and the end result being that it costs you significantly more £'s, is always evident when you break certain rules which really must never be broken.

I agree, modifications which you've reflected on and tested should always be implemented if they're going to potentially add to your bottom line. I'm still making subtle changes to my strategy like yourself, but i think i'm getting very close to the point where the only thing on my mind will be correct execution.

With regards to your drawdown limit, is that to stop you giving back more than x% of open profits?

Sorry for the use of short-hand. I am not long on natural gas (UNG), which is a sideways trend at this point, but FCG which I call in my own files "Natural Gas Exploration and Production." A more complete description of the ETF is below:

"The ISE-Revere Natural Gas Index is an equal-weighted index comprised of exchange-listed companies that derive a substantial portion of their revenues from the exploration and production of natural gas."

The uptrend started here in late August, I've had buy signals for a few weeks now.

I understand... I'm answering because your feedback seems to come in good faith.

In the recent past I had some shorts, but at this point none of my short equity/commodity ETF's is giving buy signals. The Treasury Index is (TBT), and I'm there... The Yen (YCS), China (FXP) and Gold (DZZ) may be giving signals at some point within the next few weeks.