Flatline....

This is a discussion on Flatline.... within the Trading Systems forums, part of the Methods category; ok, the patient is dead.... attached is an equity curve of a home-grown trading strat tested on data as far ...

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Old Feb 21, 2005, 2:59pm   #1
 
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Flatline....

ok, the patient is dead....


attached is an equity curve of a home-grown trading strat tested on data as far back as 1990.

the inputs (all two of them) are dynamic, and so should therefore respond to current prevailing market conditions..

it is counter-trend..


performance has been rather stellar (50pts per trade, 80% win rate), until we hit 2004, whereupon it has basically flatlined.

this...
is...
annoying....

looks like 60,000 points is providing overhead resistance..


anyway, the point of my posting was..

has anyone come up with a decent mechanical strat that has performed well on the Dow during 2004? all my trend-following ones have got a similar pattern, as have my counter trend ones.


it cant be due to current market volatility can it, as the inputs are based on recent volatility levels......?
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Old Feb 21, 2005, 3:08pm   #2
 
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Fettered, you are giving them riddles to solve ~ they don't like this, you know they don't.
Some bright spark is going to suggest something unworkable, just for the sake of it....
Actually, there is no difference, because if you presented the chart upside down, it would be
likely to have the identical effect. <g>.
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Old Feb 21, 2005, 3:10pm   #3
 
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Have you had a look through the trades to see how it is failing?
It is quite likely that the inefficiency it was using has just been traded out, probably never to return.

This type of problem happens to every trading system which is why I run at least half a dozen at a time so if one or two hit the ceiling the portfolio still makes money and I can replace the dead systems with fresh ones.

At least flatline is better than a loss.
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Old Feb 21, 2005, 3:12pm   #4
 
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FetteredChinos started this thread true, and i see where you are coming from..

what im trying to get at is that something other than volatility drying up has changed in the markets over the past 18 months or so, and im trying to work out what it might be.

was looking at the monthly ranges on the dow earlier today.. ranges of 1200 points were not uncommon a few years ago....

(sigh)
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Old Feb 21, 2005, 3:14pm   #5
 
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FetteredChinos started this thread agreed jm...

at the moment i am trading a method or two based on the fundamental principles of this strategy.. so im using the discretionary side to turn the flatline into a (very slight) up-slope..

its annoying though, as im a big fan of set and forget systems..
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Old Feb 21, 2005, 3:14pm   #6
 
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Well, now that the thread is started and you are getting responses, I bet you are pleased, I remain an observer with interest to see how this develops. The truth is, I myself do not know
how to solve this one.
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Old Feb 21, 2005, 3:26pm   #7
Joined Jul 2003
FC - it's fractal.

Take any smaller timeslice and enlarge.

Socrates was close to it without realising it. You could present it upside down and it would still be fractal.

I don't 'do' plug-n-play - far too many dynamic events & variables to leave to a totally mechanistic system approach.

Last edited by TheBramble; Feb 21, 2005 at 3:31pm. Reason: answer 2nd part of FC's question
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Old Feb 21, 2005, 3:32pm   #8
 
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FetteredChinos started this thread hmm interesting brambs..

so you mean, if i broke it down to an hourly level , for example, it would exhibit the same characteristics?
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