Strong May Results for Mechanical/Trend Following Systems

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absret111
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Post by absret111 » Mon Jun 11, 2012 8:22 am

In context of this discussion it would be interesting to see, how the performance of Dean Hoffman’s "Relativity" trading system has performed since 2011.
To recall: This system was released a few years ago (I think it was in 2009) and because of some new features like dynamic portfolio management (combination of various trend following systems) it was often told to be very innovative at those times. Look for example viewtopic.php?t=6422

But how about performance after release? Unfortunately I couldn’t find any up-to-date performance data on the Internet. The websites http://www.relativitytradingsystem.com/ and http://www.traderstech.net/ don’t show performance later than 2010.
If performance data is not updated, usually this is not a very good sign for profitable performance after release…

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Post by Chuck B » Mon Jun 11, 2012 8:56 am

Just another idea -- many here have created decent exit rules and position sizing strategies. If a "trend" as defined by your exit (mostly) is going to exist, and you have the ability to enter it at an appropriate time, you have decent odds of capturing the favorable price movement.

Take your exit rules and use discretion on when to apply them (i.e. enter) both on a time basis and an asset basis. For the majority of the time, do nothing. Wait. Stalk. Be willing to literally do nothing for weeks at a time (i.e. Jan through March this year) or even sometimes many months for some stocks if not years. Opportunities will properly present themselves in individual stocks on a regular basis interspersed with what seem like never ending waiting periods (sort of like waiting for a new equity high trading a basket of futures in LTTF programs :) ). Forget a 100% focus on trading futures. Wait for rare event setups in futures like last night's open in ES, YM, US, TY or today in the Bund and Dax -- setups like those are rare, of course you have to be in the right time zone or have others monitoring trades like that one.

Trade individual very liquid stocks -- wait for what seems like forever for opportunities to act; they will come. Look for hitting singles and sacrifice fly balls. Expand limited thinking about LTTF in futures to other arenas, asset classes and then use those mechanical exit strategies to their fullest benefit.

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Post by AFJ Garner » Mon Jun 11, 2012 12:48 pm

A silly question perhaps and much will depend on the nature of your exits but what sort of trade holding period are you talking about? As to last night's set ups in bonds and equities what positions did they lead to and what was the envisaged holding period?

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Post by rajivm » Mon Jun 11, 2012 12:53 pm

absret111 wrote:In context of this discussion it would be interesting to see, how the performance of Dean Hoffman’s "Relativity" trading system has performed since 2011.
To recall: This system was released a few years ago (I think it was in 2009) and because of some new features like dynamic portfolio management (combination of various trend following systems) it was often told to be very innovative at those times. Look for example viewtopic.php?t=6422

But how about performance after release? Unfortunately I couldn’t find any up-to-date performance data on the Internet. The websites http://www.relativitytradingsystem.com/ and http://www.traderstech.net/ don’t show performance later than 2010.
If performance data is not updated, usually this is not a very good sign for profitable performance after release…
Actually Dean used to run a small fund ( of size around 11 Million ). I used to loook at its performance . IT used to be on this page
http://www.hoffmantrading.com/performance/
The fund started in 2007. Except for 2007, it never had a positive year. So Hoffmann smartly took the monthly performance figures off the webpage.
So I guess his relativity system also maybe performed similar

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Post by LeviF » Mon Jun 11, 2012 12:56 pm

rajivm wrote:
absret111 wrote:In context of this discussion it would be interesting to see, how the performance of Dean Hoffman’s "Relativity" trading system has performed since 2011.
To recall: This system was released a few years ago (I think it was in 2009) and because of some new features like dynamic portfolio management (combination of various trend following systems) it was often told to be very innovative at those times. Look for example viewtopic.php?t=6422

But how about performance after release? Unfortunately I couldn’t find any up-to-date performance data on the Internet. The websites http://www.relativitytradingsystem.com/ and http://www.traderstech.net/ don’t show performance later than 2010.
If performance data is not updated, usually this is not a very good sign for profitable performance after release…
Actually Dean used to run a small fund ( of size around 11 Million ). I used to loook at its performance . IT used to be on this page
http://www.hoffmantrading.com/performance/
The fund started in 2007. Except for 2007, it never had a positive year. So Hoffmann smartly took the monthly performance figures off the webpage.
So I guess his relativity system also maybe performed similar
According to this your statement is untrue:

http://autumngold.com/Advisor/Statistic ... p?id=10323

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Post by Chuck B » Mon Jun 11, 2012 12:58 pm

AFJ Garner wrote:A silly question perhaps and much will depend on the nature of your exits but what sort of trade holding period are you talking about? As to last night's set ups in bonds and equities what positions did they lead to and what was the envisaged holding period?
Fade the move, fade the status quo "news", etc... In my case, I look at those types of setups (like today's open in NY markets) to fade the move with a very easy entry and then throw over to a mechanical trailing exit. Depending on the market and the volatility ratio (intraday vol to daily vol ATR comparisons) I use 3min, 5min or 15min data intervals.

One example is McDonald's stock -- been a nice week of trading there. Especially Friday on its supposed "bad news" gap lower. Very low risk entry long, turn it over to the exit. Today just the opposite if one was looking for liquid stocks to fade the NY open.

Look at some of the European markets today! A simple entry on a 3min chart and then a hold to the close with a TF exit. There were even many scaling in opportunities, but I'd advise against much leverage AT ALL during the current environment.

Anyway, that's the type of junk I was thinking about. I usually am either exited during the day or will exit a significant portion by the close and plan to liquidate all on the next open. Sometimes you catch a runner and can just the rest of the position follow its mechanical exit through to completion.

Given that MFG destroyed my confidence (for now) in FCMs, and given the repressed environment that exists today, looking for singles and pop fly balls to run for home is all I'm thinking about. Trust is low here... :? :(

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Post by AFJ Garner » Mon Jun 11, 2012 1:02 pm

A zero return is shown for November and December 2011 and none for 2012. Perhaps Dean has now discontinued the program?

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Post by AFJ Garner » Mon Jun 11, 2012 1:08 pm

Chuck B wrote: Look at some of the European markets today! A simple entry on a 3min chart and then a hold to the close with a TF exit.
So short stocks long bonds on an intraday basis from the open today?

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Post by Chuck B » Mon Jun 11, 2012 1:21 pm

AFJ Garner wrote:
Chuck B wrote: Look at some of the European markets today! A simple entry on a 3min chart and then a hold to the close with a TF exit.
So short stocks long bonds on an intraday basis from the open today?
Yeah, not necessarily doing both unless you account for the essentially 1.0 correlation of those positions, but that's the point. Setups like today only come around on rare occasions. The bund today had a really nice entry on the 3min data with a 22 tick risk. With a LTTF exit running it is still long with an almost 5:1 R-multiple. Exit is sitting about 17 ticks under the market right now and just hanging out.

Short McD trade had a 0.52 risk (those NY opening bars are murder sometimes, even for liquid stocks like McD), about a 2.5:1 open R-multiple at the moment, exit is sitting overhead with about 38 ticks up, hanging out.

A number of USA stocks with triggered shorts on opening bar today have already closed profitable trades. It would be very nice to have all this automated to take advantage of a group at the same time. Even if that just meant breaking an "index future type position" into 1/5ths with SPY, QQQ, DIA, IWM and MDY for example. Not looking solely through the lens of ES is refreshing for directional short term trades.

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Post by rabidric » Mon Jun 11, 2012 3:33 pm

I did the very same bund trade chuck is talking about, nearly did the short euro trade too, but I was happy enough with how it unfolded right after my entry 90mins after the open, just ran it without chasing later entries. Took my money in the afternoon. My entry risk was 8ticks.

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Post by Chuck B » Mon Jun 11, 2012 3:43 pm

Notice how the US fixed income couldn't make new highs on this move down into 3:30 in equities. One easy spread to follow is SPY/TLT for example. Anyway, here is the exit point which violates holding short equity positions still open into the close with trend exit well above and trailing. Flat now and headed to dentist -- wonder what he thinks of the markets? :lol:

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Post by stopsareforwimps » Tue Jun 12, 2012 7:37 pm

marriot wrote:Whatever system you test, starting from 2000, DD begin to be bigger.
For what is worth, i think that changes are related to Internet.
Trading made easy for everyone plus automated trades for the most skilled people.
I was pondering this at 1:30 am this morning as I attempted to change some of my positions.

I wanted to go short IEV (iShares S&P Europe 350 Index) but my broker had zero shares available as borrow. This is an ETF with almost $1bn outstanding. This has only happened to me once before, when I tried to short SCO http://finance.yahoo.com/q/bc?s=SCOXQ+Basic+Chart&t=my

My interpretation is that the trend following short on Europe is a crowded trade.

inb4 DOW JONES EURO STOXX50

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Post by Toosday » Thu Jun 14, 2012 10:18 am

That and shorting stocks and ETFs is a business skewed towards the large financial institutions. When I worked for a fund, I wrote a deal for a company that was a fiduciary in the shorting process. They would manage the borrowing of shares from pensions and insurers to hedge funds and banks. It was a highly complex process with the larger funds getting more access to the shares. The borrowing process became very unwieldy for small traders due to the risk management involved so I imagine even more so for retail traders.

I have spoken to some of my scalper friends and they have the same problems. Especially with ETFs given the negative carry many of them have.

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Post by Chuck B » Thu Jun 14, 2012 2:12 pm

Chuck B wrote:
AFJ Garner wrote:
Chuck B wrote: Look at some of the European markets today! A simple entry on a 3min chart and then a hold to the close with a TF exit.
So short stocks long bonds on an intraday basis from the open today?
Yeah, not necessarily doing both unless you account for the essentially 1.0 correlation of those positions, but that's the point.

Just a follow-on thought that has hit me numerous times this week since I posted those thoughts: I should have use the past tense when referring to the "1.0 correlation" of the long stock/short bund or long bund/short stock trade. It's the recent past that I was referring to, likely being affected by recency bias (obviously).

Anyway, my thoughts this week were to mindful of a rather rapid reversal of this correlation should sovereign risk appear in the market's mind since at that point we might likely see a rapid move toward correlation between a country's stock market and their bond market price. We have essentially four homes in the majors for what is considered low-risk sovereign bonds (Germany, USA, UK and Japan the last of which still baffles me). If (when?) we see an unwind in this mad rush into "low risk" sovereign long dated paper due to credit risk concerns, I would assume it would come fast and furious, and (as always) price would lead the news substantially (with mainstream media pundits of course blathering all kinds of BS contrary to what is beginning to happen).

We (developed world major economies) have experienced a greater than 30 year bull run in bonds. The central banks have "forced" those looking for yield into bonds in a humongous fashion over the past 3 years. All the ingredients are in place for this bubble to pop at some point. As always, stuff like this goes on far longer than most can imagine such that by the time it is actually ready to pop, psychologically almost nobody is in the state of mind to recognize it. On the initial leg down, "everyone" will be looking to buy knowing that higher prices (lower yields) will return shortly (i.e. think Nasdaq 100 in April 2000 (those 150+ handle days were awesome btw)).

So, just a random thought. Perhaps worth little. Perhaps with an expectation that is very high even though the odds are very low. Onward we go...

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Post by fab1usa1 » Wed Jun 20, 2012 9:10 am

Is my basket of 12 commodities simply too small, or has the May surge lost its Joementum?
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Post by rhc » Thu Dec 27, 2012 10:53 pm

Thought I’d add an update to this thread . . . . .

From page 1 of this thread we see that the discussion centred around how, in the year 2012, shorter term (ST) trend systems were performing admirably and the longer term (LT) trend systems were struggling. This was as at June 6th 2012.
It’s now 6 months later (more-or-less) and I was curious to see how what had happened for the entire year of 2012.
Did the ST system continue its excellent run and did the LT system continue its poor form?
. . . and what about the Medium term (MT)?

(If you want to read page 1 you will see that the system in question is the same for all timeframes. It only has it parameters adjusted to produce ST trades, MT trades & LT trades. The logic remains the same and it is a somewhat standard trend system which I would think be representative of most trend following systems)

Below are the old performance tables and directly underneath I have added the update to take us to year’s end.

- The ST system did a complete about face . . .the market gaveth and then it simply tooketh away. Bad luck to you if you decided to trade short term based on the previous 6 months of results.
- The LT system fared a bit better as it gained a bit during the 2nd half of 2012-12-28 but still ended nicely in the red
- The MT system was a real stinker, treading water for the first half of 2012 then taking big losses for the second half for a -36% return. OUCH!!

Bottom line: Trend following sucked in 2012 for this particular system and sucked big time during the second half of the year if you were trading ST or MT
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Post by rhc » Thu Dec 27, 2012 10:57 pm

Further to my post directly above, this is also reflected in Jez’s results from his website.
You can find the latest results here;
http://www.automated-trading-system.com ... -november/


Note that the first 5 or 6 systems in the tables are the shorter term systems.
Note further the about face they did over the second half of the year.
As I said above. . . OUCH!!
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Post by Outlaw » Fri Dec 28, 2012 4:02 pm

Thanks for posting rhc, very interesting

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Post by trackstar » Fri Dec 28, 2012 8:59 pm

thanks for posting. there have been some successful CTAs making it through the carnage but unfortunately I have not been immune to the beating either.

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Post by Toosday » Sun Dec 30, 2012 10:24 pm

Thanks for posting. I am sure you are confident in the results but I wanted to add that my runs confirm this exact same thing.

Here's to a better 2013.

Happy New Year everyone.

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