Combining trend and flat strategies into one TS = grail? - page 17
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Yes, there was such a thing. I personally combined and traded. The grail didn't come out, of course, but the strategy didn't drain either (unless, of course, the "sensible" position volume levels were crossed). The principle was very simple: the first strategy that is designed for a trend uses either pyramiding or the same reversal martin with unshakable aggressive increasing of a lot. It should lead to profit (no choice), but let's say there are flat times, when strategy gives a decent drawdown (about 80% of deposit). For this period there is a flat strategy. Flat strategy has negative mathematical expectation. Of course flat strategy is losing during the trend, but profitable during the flat. The two strategies together bring a total profit. The flat strategy simply evens out the equity curve of the first strategy during the flat and takes some part of the total profit of the first strategy (but not all, of course). Both strategies are not based on any analysis of price movement (non-syndicated and not aimed at predicting the price movement with anything else, like patterns, etc.).
And another thing, trend and flat strategies work all the time, i.e. there is no recognition of trend and flat.
Happy Holidays.
Why past tense?
In your case, the flat strategy reduces the profit of the trend strategy. By how much? And by how much does it increase the survivability of the TS in a flat?
I tried to combine the two strategies into one. The only difference between the first strategy and the second is that it filters trades by the 50-day trend, and everything else is the same. I.e. the second strategy enters the market by any buy or sell signal and the first one only if the 50-day trend coincides. Thus, I tried to kill two birds with one stone, so the system works both on flat and trend.
Strategy Tester: trend(ind-trend_v10)_v3Happy Holidays.
Why past tense?
In your case, the flat strategy reduces the profit of the trend strategy. By how much? And by how much does it increase the survivability of the TS in flat?
Thank you for congratulations)
Why in the past tense? The fact that after some time, I stopped using "random entry" (remember, I wrote that the strategy was not based on any slightest analysis of price movement) due to the fact that I came up with a more profitable version (ie, there was a major update of the strategy, which has completely changed it).
Flat strategy, for example, for 2 years, could take away about 63% of profit trend, while the trend gave a profit of about 400% (if memory serves me correctly). But there was a nuance here: when trend was strong both strategies went to zero, so if we take history, for example 10 years, then the flat strategy could take even something like half of all profits. But if the trend is not very strong, with decent reversals, then the two strategies could make a good profit. But also... To sit at zero in case of a strong trend for half a year or more... not so much.
Such a strategy may have lost 80% of its profit (for example if price reversed 6 times, i.e. 6 stops were triggered), and sometimes it could have even lost without flop, while flop strategy was responsible for 20% of drawdown. (I do not remember exactly, but something like that, i.e. it reduced the drawdown by 4 times in case of a strong flat, as in the example). As you understand it is better to lose 63% of total profits, but with 20% drawdown (joint drawdown of both systems), than to have 63% more profits with unlimited risk (history may not repeat itself, and the maximum drawdown was 80% yesterday, tomorrow - 100%).
Well, by the way, I can dig in my past memories and even if I find something (tests or statements), I can share too. But private :-).
And you, as I understand it, also are experimenting in this direction?
Thanks for the congratulations)
Why past tense? The thing is that after some time I stopped using "random entry" (remember, I wrote that the strategy was not based on any slightest analysis of price movement) due to the fact that I came up with a more profitable option (i.e., there was a serious modernization of the strategy, which has completely changed it).
Flat strategy, for example, for 2 years, could take away about 63% of profit trend, while the trend gave a profit of about 400% (if memory serves me correctly). But there was a nuance here: when trend was strong both strategies went to zero, so if we take history, for example 10 years, then the flat strategy could take even something like half of all profits. But if the trend is not very strong, with decent reversals, then the two strategies could make a good profit. But also... To sit at zero in case of a strong trend for half a year or more... not so much.
Such a strategy may have lost 80% of its profit (for example if price reversed 6 times, i.e. 6 stops were triggered), and sometimes it could have even lost without flop, while flop strategy was equal to 20% of drawdown of trend strategy. (I do not remember exactly, but something like that, i.e. it reduced the drawdown by 4 times in case of a strong flat, as in the example). As you understand it is better to lose 63% of total profits, but with 20% drawdown (joint drawdown of both systems), than to have 63% more profit with unlimited risk (history may not repeat itself, and maximal drawdown was 80% yesterday and 100% tomorrow).
Well, by the way, I can dig in my past memories and even if I find something (tests or statements), I can share too. But private :-).
And you, as I understand it, also are experimenting in this direction?
Who thinks about it? Without being specific, has anyone implemented "combining the incompatible" into a single TS? Not the alternation of one with the other, but a complete and organic combination of flat strategy and trend in a single TS... What are the principles and characteristics of such a "hybrid"?
Such thoughts on the subject: a variant of the "Crossfire" trading system (trend-floor catching) in action (in a test version so far) :-))
The combination is 100% complete and organic in a single system.
The principle and the sign is the same - buy cheap, sell expensive...
Thanks for the congratulations)
Why past tense? The thing is that after some time I stopped using "random entry" (remember, I wrote that the strategy was not based on any slightest analysis of price movement) due to the fact that I came up with a more profitable option (i.e., there was a serious modernization of the strategy, which has completely changed it).
Flat strategy, for example, for 2 years, could take away about 63% of profit trend, while the trend gave a profit of about 400% (if memory serves me correctly). But there was a nuance here: when trend was strong both strategies went to zero, so if we take history, for example 10 years, then the flat strategy could take even something like half of all profits. But if the trend is not very strong, with decent reversals, then the two strategies could make a good profit. But also... To sit at zero in case of a strong trend for half a year or more... not so much.
Such a strategy may have lost 80% of its profit (for example if price reversed 6 times, i.e. 6 stops were triggered), and sometimes it could have even lost without flop, while flop strategy was equal to 20% of drawdown of trend strategy. (I do not remember exactly, but something like that, i.e. it reduced the drawdown by 4 times in case of a strong flat, as in the example). As you understand it is better to lose 63% of total profits, but with 20% drawdown (joint drawdown of both systems), than to have 63% more profit with unlimited risk (history may not repeat itself, and maximal drawdown was 80% yesterday and 100% tomorrow).
Well, by the way, I can dig in my past memories and even if I find something (tests or statements), I can share too. But private :-).
And you, as I understand it, also are experimenting in this direction?
In general, i understand, but in general... Without knowing the algorithm of your strategy, it's difficult to comment.
Thanks for the congratulations)
Why past tense? The fact is that after some time I stopped using "random entry" (remember, I wrote that the strategy was not based on any slightest price movement analysis) due to the fact that 1. came up with a more profitable option (ie, there was a serious modernization of the strategy, which has completely changed it).
Flat strategy, for example, for 2 years could take away about 63% of profit of a trend one, while trend one gave a profit of about 400% (if memory serves me correctly). But there was a nuance here: when trend was strong both strategies went to zero, so if we take history, for example 10 years, then the flat strategy could take even something like half of all profits. But if the trend is not very strong, with decent reversals, then the two strategies could make a good profit. But also... To sit at zero in case of a strong trend for half a year or even more... not so much.
2) During a flat,trend strategy may have caused drawdown (why? because there are different types of flat) up to 80% (for example, if price reversed 6 times, i.e. 6 times stop triggered), and sometimes it may even have lost without flat, while flat strategy killed the drawdown of trend in this case to 20%. (I do not remember exactly, but something like that, i.e. it reduced the drawdown by 4 times in case of a strong flat, as in the example). As you understand it is better to lose 63% of total profits, but with 20% drawdown (joint drawdown of both systems), than to have 63% more profit with unlimited risk (history may not repeat itself, and maximal drawdown was 80% yesterday and 100% tomorrow).
Well, by the way, I can dig in my past memories and even if I find something (tests or statements), I can share too. But private :-).
And you, too, are experimenting in this direction, I suppose?
1. interesting to hear about it, but don't tell me it's MAs or some classic indicator.
2. Is "trending strategy" what we discussed in private? If so, where does "flat-out" fit in there?
If it's about the number of flips, it's about martingale
If it's about the number of flips, it's about martingale
Totally different approach...If it's to my post, there's not an ounce of martini in there... :-)))