Complimentary system to Trend following

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AceofAce
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Complimentary system to Trend following

Post by AceofAce » Fri Feb 10, 2012 2:06 am

Does anybody know of a system that makes money during periods that trend doesn't (don't count mean reversion/countertrend). Think anything "outside the box" (e.g. Options etc)

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Post by sluggo » Fri Feb 10, 2012 9:00 am

Yes. You can find proof of this by looking at the "Correlation to Trend Following Index" of various money managers. Some managers have negative correlation to trend following. They are profitable when trend followers are not, and vice versa.

These people know of a system that makes money during periods that trend following doesn't.

Will they tell you what systems they are using? I suppose they might.

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Post by stamo » Fri Feb 10, 2012 9:20 am

Reversal systems -- sell upside breakouts -- buy downside breakouts.

rhc
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Re: Complimentary system to Trend following

Post by rhc » Fri Feb 10, 2012 9:22 am

AceofAce wrote:Does anybody know of a system that makes money during periods that trend doesn't (don't count mean reversion/countertrend). Think anything "outside the box" (e.g. Options etc)
Rearranging that question;

“Does anyone know of a system that makes money during periods of non-trending market action.â€

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Post by fab1usa1 » Fri Feb 10, 2012 10:21 am

When you find this anti-trending system how will you allocate trading capital to it, through a dynamic market-type indicator, or a static 50/50 mix or something similar?

As a non-pro trader, but one who uses two trend-following systems courtesy of TB for almost a year, I have come to learn that reducing Max DD is preferable to boosting CAGR, although doing both would be ideal, but given the choice I would reduce Max DD. What is your objective with this ant-trending system?

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Post by LeviF » Fri Feb 10, 2012 10:45 am

I think the poster is asking if there is a trading system that would have prevented him from losing 20% last year.

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Post by OEXTrader » Fri Feb 10, 2012 1:02 pm

High probability iron condors are good for your purpose, even in slow trending markets. Enter on an IV spike or satisfying premium, and have a large stop loss. Adjustments are rare and thus it is unclear whether they really contribute to avoiding a loss. Have the right hedging plan to avoid your yearly gain getting wiped by 2 bad trades, ie dont be afraid to spend some of the credit on insurance, even in quiet markets. Condors are not a stand alone strategy and you want other spreads balancing your short gammas and vegas in your strategy portfolio. Like a month out OTM backspread on each side on an index with cheaper vol for example.

To me, the major problem with options is the discretion used in the slippage parameter. On SPX, RUT, OEX, NDX, you won't get filled anywhere close to the mid. That changes drastically the shape of your equity curve. I consider a 30% slippage on adjustments and exits realistic on RUT, and if I wanted to get more stringent than that, I would end up not trading much. The new SPXPM is electronically traded, but there is no volume. Also, dont expect a nice & smooth equity curve with 12 trades a year.
I've had no persistent success with condors on weeklies so far, for which you'd need to avoid morning settled indices like RUT. Hope this helps.

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Re: Complimentary system to Trend following

Post by AceofAce » Sun Feb 12, 2012 9:57 am

rhc wrote:
AceofAce wrote:Does anybody know of a system that makes money during periods that trend doesn't (don't count mean reversion/countertrend). Think anything "outside the box" (e.g. Options etc)
Rearranging that question;

“Does anyone know of a system that makes money during periods of non-trending market action.â€

rhc
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Re: Complimentary system to Trend following

Post by rhc » Sun Feb 12, 2012 10:33 pm

AceofAce wrote:Actually i mean more "Does anyone know of a system that makes money during periods of non-trending market action, excluding countertrend/ mean reversion systems"
Hmmm, I thought that question was answered !!??

Your question now asks;
"Does anyone know of a system that makes money during periods of non-trending market action, excluding countertrend/ mean reversion systems"

My question from above asked (& then answered);
“Does anyone know of a system that makes money during periods of non-trending market action but not in directionless markets.â€

AceofAce
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Re: Complimentary system to Trend following

Post by AceofAce » Mon Feb 13, 2012 4:02 pm

[quote="rhc"][quote="AceofAce"]Actually i mean more "Does anyone know of a system that makes money during periods of non-trending market action, excluding countertrend/ mean reversion systems"[/quote]
Hmmm, I thought that question was answered !!??

Your question now asks;
[b][i]"Does anyone know of a system that makes money during periods of non-trending market action, excluding countertrend/ mean reversion systems"[/i][/b]

My question from above asked (& then answered);
[b][i]“Does anyone know of a system that makes money during periods of non-trending market action but not in directionless markets.â€

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Post by babelproofreader » Mon Feb 13, 2012 4:27 pm

i.e. What systems, other than countertrend/mean reversion, make money during non-trending market action (during directionless markets)
Long/short volatility trading systems (implemented via options) and binary betting.

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Post by bobsyd » Mon Feb 13, 2012 5:06 pm

Look at shorter term daily or intraday timeframes.

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Post by Chris67 » Tue Feb 14, 2012 3:29 am

I have a system with a positive expectation that has made money over 30 years that seems to always make money when trend following doesnt - Ive posted on the forum beofre about it but nobody wanted to know
The best thing about this system was it has had 1 trade in 30 years so the commissions and slippage are pretty minimal !!!!
PM me for more details - it isnt a mean reversion or range system

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Post by Lee MacFarlane » Sun Feb 19, 2012 2:15 am

Listen, there are ways to make money when the markets are not trending. But you don't necessarily need 'non-trending' systems too...

here is a start=
1. diversify and non-correlate with at least 10 systems (trend or non).
2. look at different time frames (trending or non-trending)
3. review your exits according to volitility (that matches your time frame)
4. do what you said 'look outside the box'.

you've got to stay ahead of the curve with those items.

cheers, lee.

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Post by Aaron01 » Mon Feb 20, 2012 4:49 pm

Chris67 wrote:I have a system with a positive expectation that has made money over 30 years that seems to always make money when trend following doesnt - Ive posted on the forum beofre about it but nobody wanted to know
The best thing about this system was it has had 1 trade in 30 years so the commissions and slippage are pretty minimal !!!!
PM me for more details - it isnt a mean reversion or range system
Maybe that's why...

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Post by rabidric » Tue Feb 21, 2012 5:27 am

he was short his p/l
:P

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Post by ifyousayso » Tue Feb 28, 2012 3:24 pm

Okay, that was funny. Not nice, but funny.

[quote="rabidric"]he was short his p/l
:P[/quote]

rabidric
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Post by rabidric » Wed Feb 29, 2012 3:24 am

I am sure chris would take it in the spirit intended 8)

Chris67
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Post by Chris67 » Wed Feb 29, 2012 3:58 am

BEING Short my p/l for the last 14 months was a great trade - and no offence taken
I find it unbelievable nobody has asked me about my system - absolutely genuine - 1 trade 25 years and makes money nearly all the time TF doesnt and negative correlation and positive expected outcome ?
come on guys .. have a guess !

sluggo
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Post by sluggo » Wed Feb 29, 2012 10:16 am

Everyone who gives a rat's ass, has already guessed.

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