Trend following not working on my 7,000 backtests !

This is a discussion on Trend following not working on my 7,000 backtests ! within the Trading Systems forums, part of the Methods category; Originally Posted by qwertyuiop1 I have lost all confidence on trend following. I back-tested the below system over 9 major ...

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Old Nov 5, 2017, 4:08pm   #46
 
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Quote:
Originally Posted by qwertyuiop1 View Post
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.
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.
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Old Nov 5, 2017, 4:13pm   #47
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Originally Posted by Kaeso View Post
whos Captain 3 Ducks ? he sounds great
He was someone who did what you are doing. If the MA work that good, why do you need to switch to the barjon technique ?
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Old Nov 5, 2017, 4:16pm   #48
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Originally Posted by EnlightenedJoe View Post
He was someone who did what you are doing. If the MA work that good, why do you need to switch to the barjon technique ?
i got that part but wondered who it was..

im not using MAs i was kidding
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Old Nov 5, 2017, 4:21pm   #49
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Originally Posted by Kaeso View Post
i got that part but wondered who it was..

im not using MAs i was kidding
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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Old Nov 5, 2017, 5:10pm   #50
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Originally Posted by EnlightenedJoe View Post
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.
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.
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Old Nov 12, 2017, 11:01am   #51
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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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Old Nov 12, 2017, 11:20am   #52
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Originally Posted by Solas0077 View Post
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.

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.
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Old Nov 13, 2017, 2:29pm   #53
Joined Mar 2002
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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Old Nov 13, 2017, 2:32pm   #54
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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)
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Old Nov 13, 2017, 3:11pm   #55
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Originally Posted by Quiet1 View Post
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.
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 ?
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Old Nov 13, 2017, 3:22pm   #56
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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.
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Old Nov 13, 2017, 3:34pm   #57
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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.
So you admit to not following trends ?
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Old Nov 13, 2017, 3:37pm   #58
Joined Mar 2002
Goodbye sweet child, go troll somebody else.
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Old Nov 13, 2017, 5:16pm   #59
Joined Apr 2016
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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Thanks! The following members like this post: piphoe
Old Nov 13, 2017, 6:43pm   #60
Joined Jul 2004
https://www.ahl.com/programmes/ahl-alpha

its not that easy
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